Details about Jun Liu

Access statistics for papers by Jun Liu.

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

Short-id: pli926

Working Papers

2009

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

2007

2. Risk, Return and Dividends
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005)
   See also Journal Article Risk, return, and dividends, Journal of Financial Economics, Elsevier (2007) View citations (18) (2007)

2005

3. 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 View citations (17)
4. Information, Diversification, and Cost of Capital
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (7)

2004

5. 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 View citations (8)
   See also Journal Article The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks, The Journal of Business, University of Chicago Press (2006) View citations (98) (2006)
6. The Value of Private Information
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

2003

7. Dynamic Derivative Strategies
   Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (134)
   See also Journal Article Dynamic derivative strategies, Journal of Financial Economics, Elsevier (2003) View citations (123) (2003)
8. How to Discount Cashflows with Time-Varying Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2002

9. An Equilibrium Model of Rare Event Premia
   Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (1)
10. Debt Policy, Corporate Taxes, and Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2002) View citations (1)
    See also Journal Article Debt policy, corporate taxes, and discount rates, Journal of Economic Theory, Elsevier (2008) View citations (11) (2008)
11. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) View citations (2)
12. Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) View citations (1)
    See also Journal Article Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?, Journal of Financial Economics, Elsevier (2003) View citations (91) (2003)
13. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) View citations (13)

2001

14. Conditioning Information and Variance on Pricing Kernals
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
15. Dynamic Choice and Risk Aversion
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (8)

2000

16. 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 View citations (14)
    See also Journal Article Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, The Review of Financial Studies, Society for Financial Studies (2004) View citations (115) (2004)
17. Why Stocks May Disappoint
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article Why stocks may disappoint, Journal of Financial Economics, Elsevier (2005) View citations (120) (2005)

1999

18. Conditioning Information and Variance Bounds on Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

Journal Articles

2013

1. Optimal Convergence Trade Strategies
   The Review of Financial Studies, 2013, 26, (4), 1048-1086 View citations (34)

2010

2. Information, Expected Utility, and Portfolio Choice
   Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1221-1251 View citations (9)

2008

3. Debt policy, corporate taxes, and discount rates
   Journal of Economic Theory, 2008, 141, (1), 225-254 View citations (11)
   See also Working Paper Debt Policy, Corporate Taxes, and Discount Rates, NBER Working Papers (2002) View citations (1) (2002)

2007

4. Portfolio Selection in Stochastic Environments
   The Review of Financial Studies, 2007, 20, (1), 1-39 View citations (171)
5. Risk, return, and dividends
   Journal of Financial Economics, 2007, 85, (1), 1-38 View citations (18)
   See also Working Paper Risk, Return and Dividends, NBER Working Papers (2007) View citations (18) (2007)

2006

6. 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 View citations (98)
   See also Working Paper 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 (2004) View citations (8) (2004)

2005

7. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
   The Review of Financial Studies, 2005, 18, (1), 131-164 View citations (160)
8. Why stocks may disappoint
   Journal of Financial Economics, 2005, 76, (3), 471-508 View citations (120)
   See also Working Paper Why Stocks May Disappoint, NBER Working Papers (2000) View citations (21) (2000)

2004

9. Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
   The Review of Financial Studies, 2004, 17, (3), 611-641 View citations (115)
   See also Working Paper Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, University of California at Los Angeles, Anderson Graduate School of Management (2000) View citations (14) (2000)

2003

10. Dynamic derivative strategies
    Journal of Financial Economics, 2003, 69, (3), 401-430 View citations (123)
    See also Working Paper Dynamic Derivative Strategies, Working papers (2003) View citations (134) (2003)
11. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
    Journal of Financial Economics, 2003, 67, (3), 385-410 View citations (91)
    See also Working Paper Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?, NBER Working Papers (2002) View citations (3) (2002)