金融学系
教授
yjliu@gsm.pku.edu.cn
简介:
刘玉珍教授现任北京大学光华管理学院金融学教授、博士生导师，北京大学金融发展研究中心主任，北京大学促进两岸交流基金主任。曾任北京大学光华管理学院金融系主任、金融硕士项目主任，台湾政治大学金融系主任。
刘教授毕业于台湾中山大学。

刘玉珍教授的主要研究领域为行为金融、市场微观结构、财富管理以及量化投资产品设计。目前已在国际顶尖学术期刊Journal of Financial Economics, Review of Financial Studies、Management Science、Journal of Financial and Quantitative Analysis, Review of Asset Pricing Studies 发表论文7篇（多为中国样本的研究），另有20多篇英文论文、数十篇中文论文发表在Journal of Financial Markets、Journal of Corporate Finance、Journal of Banking and Finance、《经济研究》、《管理世界》、《经济学季刊》、《金融研究》等国内外重要学术期刊上。其中，2009年发表于Review of Financial Studies的论文“Just How Much do Individual Investors Lose by Trading”采用全市场投资者的真实交易数据，系统揭示了散户参与股市投资的经济后果，谷歌学术引用超过800次，曾被诺贝尔奖获得者Daniel Kahneman教授在The Economist上撰文隆重推荐阅读。刘教授的研究论文曾获得首届孙冶方金融创新奖、第12届证券与金融市场年会（SFM）的最佳论文、第19届全球华人金融年会最佳公司金融论文奖、第六届中国金融学年会最佳论文奖、《金融研究》2013年度优秀论文等多个奖项。2016年，刘玉珍教授还被授予“中国金融研究杰出贡献奖”，教育部新世纪人才支持计划、国家自然科学基金、台湾中山大学管院杰出校友、北大中国工商银行教师奖等多个荣誉。

刘玉珍教授凭借在行为金融和证券市场制度设计领域的卓越成果，长期参与两岸监管部门的政策制定与咨询，积累了丰富的政策监管及实务经验。她作为学术专家长期参与台湾金管会、台湾证券交易所、期货交易所、新柜市场的制度设计与改革方案的制定，曾多次受邀到中国证监会、上海证券交易所、中国金融期货交易所、深圳交易所、最高人民法院、中国银监会等部门参与资本市场监管措施和法规的制定与咨询。主持或参与的政策咨询项目包括上市公司分红指引、上交所多次集合競價制度、中国证监会投资者保护中心投资者情绪指数编制及投资者教育讲座、新三板流动性改革方案、上交所日内集合竞价改革方案、中金所散户市场中高频交易制度改革方案、光大乌龙指事件判决等。

刘教授还有着丰富的学术和实务兼职。学术方面，曾承担Journal of Finance, Management Science, Review of Financial Studies, Journal of Financial and Quantitative Analysis等多个国际重要期刊，国家自然科学基金面上项目、重大项目，香港科学研究奖励机构，以及十余种大陆和台湾重要杂志的评审工作，并担任中国金融学年会、中国国际金融年会（CICF）、中国金融学术年会（CFRC）、EFMA, 台湾财务学会等年会的委員。实务方面，她兼任中国金融期货交易所专家委员，证监会、中金所、民生银行以及华融资产管理公司博士后站指导导师，台湾期交所交易委员，证券商业同业公会顾问，台北市政府特种基金顾问，投资人保护中心调解委员，台湾经济部国有事业民营化咨询委员，台湾证券柜台买卖中心独立董事，中银国际独立董事等。

研究领域:
行为金融学,证券市场微结构,家庭金融,投资学
职业经历:
2007―目前光华管理学院金融系教授1998―2007台湾政治大学财务管理系教授，系主任1996―1998台湾中正大学金融系教授，系主任1991―1996台湾中正大学金融系副教授
研究成果:
 
英文期刊（Selected）
31) Ming Gao, Yu-Jane Liu,  and Yushui Shi, Do people feel less at risk? Evidence from disaster experience, Journal of Financial Economics, 2019, forthcoming.
30) Brad, Barber, YT Lee, Yu-Jane Liu, T Odean, Ke Zhang,  Learn Fast or Slow?, 2019, Review of Asset Pricing Studies, forthcoming.
29) M Jin, Yu-Jane Liu, J J Meng, Fat finger event and Risk taking behavior,  Journal of Empirical Finance, 2019, forthcoming.
28) Hu, Conghui, Yu-jane Liu, and Ning Zhu, De-Leverage and Illiquidity Contagion. Journal of Banking and Finance,2019, forthcoming.
27) Hung-Kun Chen, Konan Chan, Shing-Yang Hu, and Yu-Jane Liu. Share pledges and margin call pressure[J]. Journal of Corporate Finance, 2018: 96-117.
26) Chen, Jia, Jiajun Jiang, and Yu-jane Liu. Financial literacy and gender difference in loan performance[J]. Journal of Empirical Finance, 2018: 307-320.
25) Chen,Jing, Yu-Jane Liu, Lei Lu, Ya Tang. Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures. Journal of Futures Markets, 2016, 36(3):240–266.
24) Gao, Ming, Yu-Jane Liu, Weili Wu. Fat-Finger Trade and Market Quality: The First Evidence From China. Journal of Futures Markets, 2016, 36(10):1016-1025.
23) Liu, Yu-Jane, Zheng Zhang, Longkai Zhao, Speculation Spillovers. Management Science, 2015, 61(3):649-664.
22) Hu, Conghui, Yu-Jane Liu. Valuing diversity: CEOs' career experiences and corporate investment. Journal of Corporate Finance, 2015, 30(C):11-31.
21) Yi-Tsung Lee, Yu-Jane Liu, Wei-Shao Wu, Robert Fok, "Hedging Costs, Liquidity, and Inventory Management: The Evidence from Option Market Makers", Journal of Financial Markets(SSCI), 2014, 18: 25-48.
20) Brad Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, The Cross-section of Speculator Skill: Evidence from Day Trading", Journal of Financial Markets(SSCI), 2014, 18: 1-24.
19) Mao-Wei Hung, Yu-Jane Liu, and Chia-Fen Tsai, "Managerial personal diversification and portfolio equity incentives." Journal of Corporate Finance, 2012, 18 (1): 38-64..
18) Yu-Jane Liu, Chih-Ling Tsai, Min-Chun Wang and Ning Zhu, "Prior Consequences and Subsequent Risk Taking: New Field Evidence from the Taiwan Futures Exchange", Management Science(SSCI), 2010, 56: 606-620.
17) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, "Just HowMuch do Individual Investors Lose by Trading?" Review of Financial Studies, 2009, 22 (2): 609-632.
16) Li-wen Chen, Ji-Chai Lin, Yu-Jane Liu and Shane Johnsen, Information, Sophisication, and Foreign versus Domestic Investors' Performance, Journal of Banking and Finance(SSCI) , 2009, 33( 9): 1636-1651.
15) Yu-Jane Liu, Min-Chun Wang and Longkai Zhao, Narrow Framing: Perfessions, Sophisication and Experience, Journal of Futures Market (SSCI), 2009,140: 175-203.
14) Rachel, Yu-Jane Liu and Larry Tzeng, "Hidden Overconfidence and Advantageous Selection", The Geneva Risk and Insurance Review, 2010, 35 (2): 93-107.
13) Yi-Tsung Lee, Yu-Jane Liu and Ning Zhu, 2008, The costs of owning employer stocks: Evidence from Taiwan, Journal of Financial and Quantitative Analysis,(SSCI), 2008, 43:717-740.
12) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan, European Financial Managment(SSCI), Vol 13, Iss. 3, Jun 2007, 423-447.
11) Ji-Chai Lin, Yi-Tsung Lee and Yu-Jane Liu, "IPO Auctions and Private Information", Journal of Banking and Finance (SSCI), Vol. 31 Iss. 5, May 2007, 1483-1500.
10) Lee, Yi-Tsung, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam, Taxes and Dividend Clientele: Evidence from Trading and Ownership Structure, Journal of Banking and Finance (SSCI), Vol. 30, 2006, 229-246.
9) Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmany,"Order Imbalance and Market Efficiency: Evidence from the Taiwan Stock Exchange, " Journal of Financial and Quantitative Analysis (SSCI), Vol. 39, Iss. 2, Jun. 2004,327-342. (has been re-summarized in The CFA Digest, Vol. 34, Iss. 4, Nov. 2004, 54-55.)
8) Ray Tsaih, Yu-Jane Liu, Wenchin Liu, and Yu-Ling Lien, "A Decision Support System for Small Business Loans", Decision Support System（SCI）. Vol. 38, Iss. 1, Oct. 2004, 91-99.
7) Yu-Jane Liu and K.C. John Wei Liaw and Gwohorng, "On the Demand Elasticity of IPO: An Analysis of Discriminatory Auctions", International Review of Finance, 2001,151-178.
6) Y.T.Lee, Robert Fok and Y.J, Liu, "Information Stocks, Trading Strategies and Order Imbalance, " Journal of Business, Finance and Accounting,(SSCI）Vol. 28, No.1&2, Jan/March. 2001.199-230.
5) Chih-Hsien Yu andYu-Jane Liu, "On the Effect of Stock Stabilization Fund—A Case of Taiwan, " Review of Pacific Basin Financial Markets and Policies.
4) Y. T. Lee, J.C. Lin and Y.J.Liu, " Trading Patterns of Big versus Small Traders: An Emerging Market Analysis, " Journal of Banking and Finance (SSCI), 1999, 701-725.
3) Y. J. Liu, V. W. Liu, and C. S. Wu, "The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms," Review of Quantitative Finance and Accounting, Vol. 9, No. 3, 1997, 301-326.
2) Y. J. Liu, "Auction Mechanisms and Information Structure：An Experimental Study of Information Aggregation in Securities Markets," Research in Experimental Economics, Vol. 6, JAI Press Inc., 1996, 165-212.
1) K.C. Wei, Y. J. Liu, C. C. Yang and K. H. Chuang, "Volatility and  Price Changes Spillover Effects Across the Developed and Emerging Markets," Pacific-Basin Finance Journal, Vol. 3, No. 1, March 1995, 113-136.
 
 
中文期刊（Selected）
1）高铭，江嘉骏，陈佳，刘玉珍，“谁说女子不如儿郎?——P2P投资行为与过度自信[J] ”，金融研究, 2017(11):96-111.
2）胡聪慧，刘玉珍，吴天琪，郑建明，“有限注意、行业信息扩散与股票收益”，经济学(季刊)，2015，03：1173-1192.
3) 刘莎莎，刘玉珍，唐涯， "信息优势、风险调整与基金业绩"，管理世界，2013，No.8，67-76.
4) 高明、刘玉珍，"跨国家庭金融比较：理论与政策意涵"，经济研究，2013，No.2， 134-149.
5) 孟涓涓，赵龙凯，刘玉珍，尤炜，"社会性学习、从众心理和股市参与决策"，金融研究，2013，No.7.
6) 陶启智，周铭山，刘玉珍，"杠杆率在公司并购后的变动-部分调整模型的应用"，金融学季刊，2011，No.6.
7) 周铭山，孙磊，刘玉珍， "社会互动、相对财富关注及股市参与"，金融研究，2011，No.2， 172-184.
8) 刘玉珍，张峥，徐信忠，张金华， "基金投资者的框架效应"，管理世界，2010，No.2，25-37.
9) 周铭山、张维宁、李广子、刘玉珍，"自愿披露与公司融资选择"，金融学季刊，2010，No.5.
10) 李怡宗，刘玉珍，王锦莹，陈薇如，赖文弘，“限价委托簿信息透明度与市场质量”，证券市场发展季刊(TSSCI)，2007，forthcoming.
11) 王锦莹，陈隆麒，刘玉珍,“股票回购对股利政策变动公告效应之影响”的接受，管理评论(TSSCI),第25 卷第3 期,2006.
12) 陈嘉惠，刘玉珍，林炯垚，“公开市场股票回购影响因素分析”，证券市场发展季刊(TSSCI), 第15 卷第3 期, October 2003, 27-61.
13) 刘玉珍，叶淑玲，简淑芬，季秀，“建构我国未上市(柜)股票交易制度之研究”，证券市场发展季刊(TSSCI),第13 卷 第 4 期, Jan, 2002, 1-42.
14) 陈嘉惠，高郁惠，刘玉珍，“ 投资人偏好与资产配置”，台湾管理学刊，第1 卷 第 2 期, February 2002, 213-232.
15) 刘玉珍与徐敏富，“民营化对股市的冲击”，中山管理评论(TSSCI)，1999.
16) 李怡宗、刘玉珍、李健玮，“Black-Scholes评价模式在台湾认购权证市场之实证”（最佳论文奖），管理评论(TSSCI)，第18卷第3期，1999，83-104.
17) 刘玉珍、臧大年、陈薇如，“未上市股票市场价差决定因子之实证研究” ，证券市场发展季刊(TSSCI) 10:4（第十卷第四期），1998，27-54.
18) 刘玉珍，何怡满，“台湾股市隔夜报酬预测因子之实证研究”，管理科学学报(TSSCI)，第十四卷第一期，1994，页三九~六十四。
19) 刘玉珍，周行一，潘璟静，“台湾股市价格限制与交易行为”，中国财务学刊(TSSCI)，第四卷第二期，1996, 页四一~六十。
20) 刘维基，刘玉珍，黄建顺，潘璟静，“台湾股市日内价格变动分析”，证券市场发展季刊(TSSCI)，第七卷第二期，1995年，页四十七~七十三。
21) 黄仁甫、刘玉珍，“台湾股市交易信息不对称之实证研究”，中国财务学刊(TSSCI)，第三卷第一期，1995, 七月，页九十五~一一七。
22) 刘玉珍，“国际股市信息结构之实证研究”，台大管理论丛(TSSCI)，第五卷第一期，1994，页一八九~ 二二二。
23) 刘玉珍，何怡满，“台湾股市公司特性与信息结构之实证研究”，国科会人文社会科学论丛，第四卷第一期，1994年一月，页一一四~三二。
24) 刘玉珍，刘维基，林淑铃，“台湾股市季盈余宣告的信息－随机优势模式与资本资产定价模式之比较”，管理科学学报(TSSCI)，第十卷第一期，1993，页二十三~ 四十六。
25) 刘玉珍，刘维基，谢政能，“台湾股市过度反应之实证研究”，台大管理论丛(TSSCI)，第四卷第一期，1993，页一零五~一四六。
26) 刘玉珍，刘维基，史习安，“台湾股市真实价格发现能力之实证研究”，台大管理论丛(TSSCI)，第二卷第一期，1991，页一一九~一三八。
27) 刘玉珍，刘维基，吴钦杉，郭秋荣，“台湾地区股票上市公司变现能力与股票报酬关系之实证研究”，管理科学学报(TSSCI)，第八卷第一期，1991，页三十七~五十一。
28) 刘维基，吴钦杉，刘玉珍，“竞价制度对股市变现能力的影响之模拟研究”，社会科学论丛，第三十八辑，1990年，页一零七~一二九。
29) 刘维基，吴钦杉，刘玉珍，“股市投资人投单策略形成之模拟研究”，政大管理评论(TSSCI)， 1990年，页一三九~一五四。
30) 刘维基，黄钲堤，刘玉珍，“台湾证券市场公司规模与盈余公告所含信息内容之实证研究”，管理科学学报(TSSCI)，第七卷第一期，1990年，页三十一~四十八。
31) 吴钦杉，刘玉珍，“台湾地区上市公司股票最后进出喊价价差的决定因子之实证研究”，管理科学学报(TSSCI)，第六卷第一期，1989年五月，页一~一十六
32) 刘维基，刘玉珍，“融资顺位理论的发展与实证”，政大管理评论(TSSCI)，1989年，页七~二十二
 
进行中论文（Working Papers）
1) Brad Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, "Learning Fast or Slow", AFA Annual Meeting,January 4-6, 2019.
2) Jiajun Jiang ,Yi-Tsung Lee,Yu-Jane Liu,Juanjuan Meng ."Are People Aware of Their Inattention? Evidence from Credit Card Repayment ", Stanford Institute of Theoretical Economics, (SITE), August 8-10, 2018.
3) Christopher Hansman, Harrison Hong, Wenxi Jiang, Yu-Jane Liu, Juanjuan Meng, "Riding the Credit Boom", China NBER conference, September 10-11,2018.
出席会议（Selected）
1) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2006.01.06, Who Loses from Trade? Evidence from Taiwan,The 2006 Annual Meeting of American Finance Association, AFA, Boston.
2) Lin, Ji-Chai, Yi-Tsung Lee, and Yu-Jane Liu, 2005.12.14, IPO Auctions and Private Information, The 18th Australasian Finance & Banking Conference 2005, School of Banking and Finance, The University of New South Wales, SYDNEY.
3) Lee, Yi-Tsung, Yu-Jane Liu, and Vivian W. Tai, 2005.10.14, Who Demand on the Brokerage House Recommendations? , 2005 Annual Meeting of the Financial Management Association International, FMA, Chicago.NSC 92-2416-H-004-054-EF
4) Lin, Ji-Chai, Yi-Tsung Lee, and Yu-Jane Liu, 2005.07.05, Why Have Auctions Been Losing Market Shares to Bookbuilding in IPO Markets? The 80th Annual Conference of Western Economic Association International, WEAI, San Fransico.
5) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.12.21, Do Individual Day Traders Make Money? Evidence from Taiwan, 2004 NTU International Conference, National Taiwan University, Taipei. (Has been re-summarized by Business Week, August 16, 2004.)
6) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.12.18, Who Gains from Trade? Evidence from Taiwan,The 12th Conference on the Theories and Practices of Securities and Financial Markets, Department of Finance, NSYSU, Kaohsiung. (The Best Paper Award)
7) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.10.16, Do Individual Day Traders Make Money? Evidence from Taiwan, Behavioral Finance Program Meeting, National Bureau of Economic Research, Inc., Massachusetts, USA.
8) Lin, Ji-Chai, Yi-tsung Lee, and Yu-Jane Liu, 2003.11, Why are IPO Auctions Not Popular? The 11th Conference on Pacific Basin Finance, Economics, and Accounting, Taipei.
9) Lee, Yi-Tsung, Lin, Ji-Chai, and Yu-Jane Liu, 2003.10, The Performance of Auctions in Pricing IPO Shares: New Evidence, 2003 Annual Meeting, Financial Management Association, Denver, US.
10) Lee, Yi-Tsung, Yu-Jane Liu, and John Wei, 2003.08, The Probit Model: An Application to the Choice of Initial Public Offerings Methods, Joint Statistical Meetings, American Statistics, San Francisco, US.
11) Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu, 2003.06, The Performance of Auctions in Pricing IPO Shares: New Evidence, 2003 Annual Meeting, European Financial Management Association, Helsinki, Finland.
12) Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu, 2003.01, The Performance of Auctions in Pricing IPO Shares: New Evidence, Pacific Rim Conference, WEAI, Taipei.
13) Lee, Yi-Tsung, Yu-Jane Liu, and John Wei, 2002.07, Institutional Order Submission Strategies, Execution Costs, and Opportunity Costs, The 77thAnnual Conference of WEAI, Western Economic Association International, Seattle, USA.
14) Lee, Yi-Tsung, Yu-Jane Liu and John Wei, “Execution costs, and opportunity costs: A tradeoff analysis for institutional traders,” The 10th Security Market Theory and Practice Conference held in National Sun Yat-sen University, 2001.
15) Liaw, Gwohorng, Yu-Jane Liu and K.C. John Wei, "On the Demand Elasticity of IPO: An Analysis of Discriminatory Auctions", American Finance Assoication, 2001, NTU International Finance Conference 2000.（The Best Paper Award）
16) Y.T.Lee, Robert Fok and Yu-Jane Liu, “Information Stocks, Trading Strategies and Order Imbalance,” The First National Practices Economics Conference（The Best Paper Award）
17) K.C. John Wei, Yu-Jane Liu, Huan-Di Yi, and Le-Ming Su, “Institutional Trades and Price Impacts on the Taiwan Stock Exchange, FMA, 1998.
18) Yu-Jane Liu, Ming-Fu Shyu, “The Impact of Stock Floation on Privatization”, National Sun Yat-sen Securities and Finance Conference, Oct. 1997.
19) Z. S. Yu, Yu-Jane Liu and W. I. Dai, “The Effect of Taiwan Stabilization Funds: Under the Military Exercise from Mainland China,” National Sun Yat-sen Securities and Finance Conference, Oct. 1997.
20) Edward H. Chow, Yi-Tsung Lee and Yu-Jane Liu, “Intraday Information, trading Volume, and Return Volatiltiy: Evidence from the Order Flows on the Taiwan Stock Exchange,” FMA, Oct. 1997.
21) Lee, J.C. Lin and Yu-Jane Liu, "On the Taiwan Stock Exchange: Big Versus Small Players," PACAP/CFA, EFMA conference, July 1996.
22) Yu-Jane Liu, "Information Shocks, Trading Strategies and Order Imbalance -A Closer Look in Taiwan Stock Market," International Conference of Asian-Pacific Business Management, January 1996（Taipei）.
23) Yu-Jane Liu, Edward, H. Chow and G. G. Pan, "Limit Moves and Positive Feedback Trading," The Theories and Practices in Securities and Finance Markets－National Sun Yat-sen University, 1995,（Kaoshiung）
24) Yu-Jane Liu, "Auction Mechanisms and Information Structure：An Experimental Study of Information Aggregation in Securities Markets," National Taiwan University Internation Finance Conference. 1995.（Taipei）. (The Best Paper Award)
25) Edward H. Chow, Yu-Jane Liu, Gin-Gin Pan, ”Analysis of The Price Limits, Investing Strategies, and Market Performance in Taiwan Stock Market”, The Theories and Practices in Securities and Finance Markets－National Sun Yat-sen University, 1