Jun Liu is an associate professor of finance in the Rady School. Dr. Liu received his Ph.D. in finance from Stanford University in 2000. Prior to coming to UCSD, he served as an assistant professor at UCLA's Anderson School of Management from 1999-2005. Dr. Liu's research interests are theoretical and empirical asset pricing, and the development and use of econometric methods. Dr. Liu teaches finance courses for the FlexMBA and Full-Time MBA programs at the Rady School.
Articles Published or Accepted
1. "Floating-Fixed Spreads" (with Darrell Duffie), Financial Analyst Journal, May/June, 2001.
2. "A Generalized Earning Model of Stock Valuation" (with Andrew Ang), Review of Accounting Studies, V6, n4, December, 2001.
3. "Dynamic Asset Allocation with Event Risk" (with Francis Longstaff and Jun Pan), Journal of Finance, v58, n1, 231-259, February, 2003.
4. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?" (with Matthias Kahl and Francis Longstaff), Journal of Financial Economics, v67, n3, 385-410, March 2003.
5. "Dynamic Derivative Strategies" (with Jun Pan), Journal of Financial Economics, v69, n3, 401-430, September, 2003.
6. "Conditional Information and Variance Bounds on Pricing Kernels" (with Geert Bekaert), Review of Financial Studies, v17, n2, 339-378, Summer, 2004.
7. "Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" (with Francis Longstaff), Review of Financial Studies, v17, n3, 611-641, Fall, 2004.
8. "How to Discount Cashflows with Time-Varying Expected Returns" (with Andrew Ang), Journal of Finance, v59, n6, 2745-2783, December, 2004.
9. "An Equilibrium Model of Rare Event Premia" (with Jun Pan and TanWang), Review of Financial Studies, v18, n1, 131-164, Spring, 2005.
10. "Why Stocks May Disappoint" (with Andrew Ang and Geert Bekaert), Journal of Financial Economics, v76, n3, 471-508, June, 2005.
11. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks" (with Francis Longstaff and Ravit E. Mandell), Journal of Business, v79, n5, 2337-2359, September, 2006.
12. "Portfolio Selection in Stochastic Environments", Review of Financial Studies, v20, n1, 1-39, January, 2007.
13. "Risk, Return and Dividends" (with Andrew Ang), forthcoming, Journal of Financial Economics.
14. "Private Information, Diversification, and Asset Pricing" (with Jing Liu and Jack Hughes), forthcoming, Accounting Review.
Working Papers
"Does Noise Create the Size and Value Effects?" (with Robert Arnott, Jason Hsu and Harry Markowitz)
2. "Density-Based Inference of Jump-Diffusion Processes" (with Jun Pan and Lasse Pedersen), revise-resubmit, Journal of Econometrics, 2002.
3. "Debt Policy, Corporate Taxes, and Discount Rates" (with Mark Grinblatt), submitted, 2004. revise-resubmit, Journal of Economic Theory.
4. "Endogenous Retirement and Portfolio Choice" (with Eric Neis), working paper, 2002.
5. "The Value of Private Information" (with Ehud Peleg and Avanidhar Subrahmanyam), working paper,2004
Contact Information
Rady School of Management
Otterson Hall, Room 4S148
9500 Gilman Dr. #0553
La Jolla, CA 92093-0553
Phone: (858) 534-2022
Fax: (858) 534- 0745
Email: junliu@ucsd.edu
Research Interests
Theoretical and Empirical Asset Pricing
Econometrics