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Details about Jun Liu

Workplace:Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University, (more information at EDIRC)
Southwestern University of Finance and Economics (SWUFE), (more information at EDIRC)
Rady School of Management, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by Jun Liu.

Last updated 2015-01-06. Update your information in the RePEc Author Service.

Short-id: pli926


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Working Papers

2009

  1. Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2007

  1. Risk, Return and Dividends
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005) Downloads

    See also Journal Article in Journal of Financial Economics (2007)

2005

  1. Corruption, Firm Governance, and the Cost of Capital
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (6)
  2. Information, Diversification, and Cost of Capital
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (4)

2004

  1. THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (7)
    See also Journal Article in The Journal of Business (2006)
  2. The Value of Private Information
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads

2003

  1. Dynamic Derivative Strategies
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (88)
    See also Journal Article in Journal of Financial Economics (2003)
  2. How to Discount Cashflows with Time-Varying Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2002

  1. An Equilibrium Model of Rare Event Premia
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1)
  2. Debt Policy, Corporate Taxes, and Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2002) Downloads View citations (1)

    See also Journal Article in Journal of Economic Theory (2008)
  3. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) Downloads View citations (1)
  4. Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2003)
  5. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) Downloads View citations (13)

2001

  1. Conditioning Information and Variance on Pricing Kernals
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
  2. Dynamic Choice and Risk Aversion
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (2)

2000

  1. Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (10)
    See also Journal Article in Review of Financial Studies (2004)
  2. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Journal Article in Journal of Financial Economics (2005)

1999

  1. Conditioning Information and Variance Bounds on Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

Journal Articles

2013

  1. Optimal Convergence Trade Strategies
    Review of Financial Studies, 2013, 26, (4), 1048-1086 Downloads View citations (16)

2010

  1. Information, Expected Utility, and Portfolio Choice
    Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1221-1251 Downloads View citations (4)

2008

  1. Debt policy, corporate taxes, and discount rates
    Journal of Economic Theory, 2008, 141, (1), 225-254 Downloads View citations (7)
    See also Working Paper (2002)

2007

  1. Portfolio Selection in Stochastic Environments
    Review of Financial Studies, 2007, 20, (1), 1-39 Downloads View citations (99)
  2. Risk, return, and dividends
    Journal of Financial Economics, 2007, 85, (1), 1-38 Downloads View citations (15)
    See also Working Paper (2007)

2006

  1. The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks
    The Journal of Business, 2006, 79, (5), 2337-2360 Downloads View citations (69)
    See also Working Paper (2004)

2005

  1. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
    Review of Financial Studies, 2005, 18, (1), 131-164 Downloads View citations (83)
  2. Why stocks may disappoint
    Journal of Financial Economics, 2005, 76, (3), 471-508 Downloads View citations (68)
    See also Working Paper (2000)

2004

  1. Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
    Review of Financial Studies, 2004, 17, (3), 611-641 Downloads View citations (64)
    See also Working Paper (2000)

2003

  1. Dynamic derivative strategies
    Journal of Financial Economics, 2003, 69, (3), 401-430 Downloads View citations (53)
    See also Working Paper (2003)
  2. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
    Journal of Financial Economics, 2003, 67, (3), 385-410 Downloads View citations (63)
    See also Working Paper (2002)
 
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