刘俊
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



教育背景：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
教授介绍：刘俊教授现任上海高级金融学院金融学****，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。
1. Arnott, Robert D., Jason C. Hsu, Jun Liu, and Harry Markowitz, 2015, Can Noise Create the Size and Value Effects?, Management Science.
2. Caskey, Judson, John S. Hughes, and Jun Liu, 2015, Strategic Informed Trades, Diversification, and Expected Returns, The Accounting Review.
3. Liu, Jun, and Allan Timmermann, 2013, Optimal Convergence Trade Strategies, The Review of Financial Studies.
4. Liu, Jun, Ehud Peleg, and Avanidhar Subrahmanyam, 2010, Information, Expected Utility, and Portfolio Choice, Journal of Financial and Quantitative Analysis.
5. Hughes, John, Jing Liu, and Jun Liu, 2009, On the relation between expected returns and implied cost of capital, Review of Accounting Studies.
6. Liu, Jun, and Mark Grinblatt, 2008, Debt Policy, Corporate Taxes, and Discount Rates, Journal of Economic Theory.
7. Liu, Jun, 2007, Portfolio Selection in Stochastic Environments, The Review of Financial Studies.
8. Ang, Andrew, and Jun Liu, 2007, Risk, Return and Dividends, Journal of Financial Economics.
9. Liu, Jing, Jack Hughes, and Jun Liu, 2007, Information, Diversification, and Asset Pricing , The Accounting Review.
10. Longstaff, Francis, Jun Liu, and Ravit E. Mandell, 2006, The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads, Journal of Business.
11. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, The Review of Financial Studies.
12. Ang, Andrew, Geert Bekaert, and Jun Liu, 2005, Why Stocks May Disappoint, Journal of Financial Economics.
13. Bekaert, Geert, and Jun Liu, 2004, Conditional Information and Variance Bounds on Pricing Kernels, The Review of Financial Studies.
14. Longstaff, Francis, and Jun Liu, 2004, Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities, The Review of Financial Studies.
15. Ang, Andrew, and Jun Liu, 2004, How to Discount Cashflows with Time-Varying Expected Returns, The Journal of Finance.
16. Jun Liu, Francis A. Longstaff, Jun Pan, 2003, Dynamic Asset Allocation with Event Risk, The Journal of Finance.
17. 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.
18. Longstaff, Francis, Jun Liu, and Jun Pan, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
19. Duffie, Darrell, and Jun Liu, 2001, Floating-Fixed Spreads, Financial Analysts Journal.
20. Ang, Andrew, and Jun Liu, 2001, A Generalized Earning Model of Stock Valuation, Review of Accounting Studies.

资产定价理论、中国经济：理论与实践。

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