刘俊
上海交通大学上海高级金融学院全时访问教授、加利福尼亚大学圣地亚哥分校金融学教授
刘俊教授现任上海交通大学上海高级金融学院全时访问教授，加利福尼亚大学圣地亚哥分校金融学教授。刘俊教授的研究主要集中在理论和实证资产定价以及计量经济学方法的发展和应用。他的论文在国际顶尖金融学期刊如 Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Business, Review of Accounting Studies, 以及 Accounting Review 上发表。2005 年刘俊教授发表在 Review of Financial Studies 上的论文获得了 Michael Brennan 奖。
刘俊教授为 SAIF 讲授《中国经济发展理论与实践》、《资产定价理论》等课程。
刘俊教授于 2000 年获得斯坦福大学金融学博士学位，1988 年获得德克萨斯大学物理学博士学位。
1. Duffie, Darrell, and Jun Liu. 2001. Floating-Fixed Credit Spreads, Financial Analysts Journal.
2. Ang, Andrew, and Jun Liu. 2001. A General Affine Earnings Valuation Model, Review of Accounting Studies.
3. Kahl, Matthias, Jun Liu, and Francis A. Longstaff. 2003. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?, Journal of Financial Economics.
4. Liu, Jun, Francis A. Longstaff, and Jun Pan. 2003. Dynamic Asset Allocation with Event Risk, Journal of Finance.
5. Liu, Jun, and Jun Pan. 2003. Dynamic derivative strategies, Journal of Financial Economics.
6. Ang, Andrew, and Jun Liu. 2004. How to discount cashflows with time-varying expected returns, Journal of Finance.
7. Bekaert, Geert, and Jun Liu. 2004. Conditioning information and variance bounds on pricing kernels, Review of Financial Studies.
8. Liu, Jun, and Francis A. Longstaff. 2004. Losing money on arbitrage: Optimal dynamic portfolio choice in markets with arbitrage opportunities, Review of Financial Studies.
9. Liu, Jun, Jun Pan, and Tan Wang. 2004. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.
10. Ang, Andrew, Geert Bekaert, and Jun Liu. 2005. Why stocks may disappoint, Journal of Financial Economics.
11. Jun, Liu, Francis A. Longstaff, and Ravit E. Mandell. 2006. The market price of risk in interest rate swaps: The roles of default and liquidity risks, Journal of Business.
12. Liu, Jun. 2007. Portfolio selection in stochastic environments, Review of Financial Studies.
13. Hughes, John S., Jing Liu, and Jun Liu. 2007. Information asymmetry, diversification, and cost of capital, The Accounting Review.
14. Ang, Andrew, and Jun Liu. 2007. Risk, return, and dividends, Journal of Financial Economics.
15. Grinblatt, Mark, and Jun Liu. 2008. Debt policy, corporate taxes, and discount rates, Journal of Economic Theory.
16. Hughes, John, Jing Liu, and Jun Liu. 2009. On the relation between expected returns and implied cost of capital, Review of Accounting Studies.
17. Liu, Jun, Ehud Peleg, and Avanidhar Subrahmanyam. 2010. Information, expected utility, and portfolio choice, Journal of Financial and Quantitative Analysis.
18. Liu, Jun, and Allan Timmermann. 2013. Optimal convergence trade strategies, Review of Financial Studies.
19. Caskey, Judson, John S. Hughes, and Jun Liu. 2015. Strategic Informed Trades, Diversification, and Expected Returns, The Accounting Review.
20. Arnott, Robert D., Jason C. Hsu, Jun Liu, and Harry Markowitz. 2015. Can noise create the size and value effects?, Management Science.
21. Ang, Andrew, Jun Liu, and Krista Schwarz. 2020. Using Stocks or Portfolios in Tests of FactorA Models, Journal of Financial and Quantitative Analysis.
22. Jiang, Julia, Jun Liu, Weidong Tian, and Xudong Zeng. 2022. Portfolio concentration, portfolio inertia, and ambiguous correlation, Journal of Economic Theory.
23. Li, Kai, and Jun Liu. 2022. Optimal Dynamic Momentum Strategies, Operations Research.
24. Li, Kai, and Jun Liu. 2023. Extrapolative asset pricing, Journal of Economic Theory.
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