刘俊 - 特聘/访问教授 - SAIF | 高金

刘俊

上海交通大学上海高级金融学院金融学访问研究教授、加利福尼亚大学圣地亚哥分校金融学教授

联系方式：jliu@saif.sjtu.edu.cn
秘书：金程英
邮箱：cyjin@saif.sjtu.edu.cn

教授简介| 研究领域| 学术成果| SAIF所授课程

博士学位：斯坦福大学金融学，2000
博士学位：德克萨斯大学物理学，1988
学士学位：北京大学物理学，1982

刘俊教授现任上海高级金融学院金融学访问研究教授，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。

理论和实证资产定价，计量经济学等。

期刊论文

1. Ang, Andrew, Jun Liu, and Krista Schwarz. 2020. Using Stocks or Portfolios in Tests of Factor Models, Journal of Financial and Quantitative Analysis.

2. Caskey, Judson, John S. Hughes, and Jun Liu. 2015. Strategic Informed Trades, Diversification, and Expected Returns, The Accounting Review.

3. Arnott, Robert D., Jason C. Hsu, Jun Liu, and Harry Markowitz. 2015. Can Noise Create the Size and Value Effects?, Management Science.

4. Liu, Jun, and Allan Timmermann. 2013. Optimal Convergence Trade Strategies, Review of Financial Studies.

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

6. Hughes, John, Jing Liu, and Jun Liu. 2009. On the relation between expected returns and implied cost of capital, Review of Accounting Studies.

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

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

9. Ang, Andrew, and Jun Liu. 2007. Risk, Return and Dividends, Journal of Financial Economics.

10. Hughes, John S., Jing Liu, and and Jun Liu. 2007. Information Asymmetry, Diversification, and Cost of Capital, The Accounting Review.

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

13. Liu, Jun, Jun Pan, and Tan Wang. 2005. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.

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

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

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

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

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

19. Liu, Jun, and Jun Pan. 2003. Dynamic Derivative Strategies, Journal of Financial Economics.

20. Duffie, Darrell, and Jun Liu. 2001. Floating-fixed credit spreads, Financial Analysts Journal.

21. Ang, Andrew, and Jun Liu. 2001. A General Affine Earnings Valuation Model, Review of Accounting Studies.

资产定价理论、中国经济：理论与实践。