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Liu, Jun

Professor of Finance
University of California at San Diego


Educational Background

Ph.D. in Finance, Stanford University


Associate Professor with Tenure, Rady School of Management, UCSD, 2005-Present Assistant Professor, Anderson School of Management, UCLA, 1999-2005

Honors / Achievements

Michael Brennan Award for the best paper published in Review of Financial Studies in 2005

Short BIO

Professor Liu’s research interests are theoretical and empirical asset pricing, and the development and use of econometric methods. Professor Liu has published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, as well as the Journal of Business, Review of Accounting Studies, Accounting Review, and Financial Analyst Journal. His papers have been widely cited among both academics and practitioners in the finance industry.


  • Jun Liu, Ehud Peleg, and Avanidhar Subrahmanyam (2010), Information, Expected Utility, and Portfolio Choice, Journal of Financial and Quantitative Analysis.

    Jun Liu, John Huhges and Jing Liu (2009), On the Relation between Expected Returns and Implied Cost of Capi, Review of Accounting Studies.

    Mark Grinblatt and Jun Liu (2008), Debt Policy, Corporate Taxes, and Discount Rates, Journal of Economic Theory.

    John Hughes, Jing Liu and Jun Liu (2007), Information, Diversification, and Asset Pricing, Accounting Review.

    Jun Liu (2007), Portfolio Selection in Stochastic Environments, Review of Financial Studies.

    Jun Liu,Francis 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.

    Jun Liu, Andrew Ang, Geert Bekaert (2005), Why Stocks May Disappoint, Journal of Financial Economics.

    Jun Liu, Jun Pan, TanWang (2005), An Equilibrium Model of Rare Event Premia, Review of Financial Studies.

    Jun Liu, Andrew Ang (2004), How to Discount Cashflows with Time-Varying Expected Returns, Journal of Finance.

    Jun Liu, Francis Longstaff (2004), Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, Review of Financial Studies.

    Jun Liu, Geert Bekaert (2004), Conditional Information and Variance Bounds on Pricing Kernels, Review of Financial Studies.

    Jun Liu, Matthias Kahl, Francis Longstaff (2003), Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it? Journal of Financial Economics.

    Jun Liu , Jun Pan, Francis A. Longstaff (2003), Dynamic Asset Allocation with Event Risk, Journal of Finance.

    Darrell Duffie, Jun Liu (2001), Floating-Fixed Credit Spreads, Financial Analysts Journal.

    Jun Liu, Andrew Ang (2001), A Generalized Earning Model of Stock Valuation, Review of Accounting Studies.