刘俊

【个人简介】

刘俊，长江商学院金融学教授，加州大学圣地亚哥分校管理学院终身教职副教授，西南财经大学金融学院院长。目前已在国际顶尖金融学期刊上发表了十余篇有影响力的论文。他在长江商学院将主要为MBA学员讲授风险投资和价值等有关的课程。

【主要研究领域】

理论和经验主义式资产定价，计量经济学等。

【学术成就】

2005年，发表在《金融研究评论》的最佳论文被评为Michael Brennan 奖。此外，刘俊教授的多篇论文还被广泛引用，在学术界和理论界引起反响。

【主要学术成果】

1. “Floating-Fixed Spreads” (with Darrell Duffie), Financial Analyst Journal, May/June, 2001.

2. “A Generalized Earning Model of Stock Valuation” (with Andrew Ang), Review of Accounting

Studies , V6, n4, December, 2001.

3. “Dynamic Asset Allocation with Event Risk” (with Francis Longstaff and Jun Pan), Journal of

Finance, v58, n1, 231-259, February, 2003.

4. “Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?”

(with Matthias Kahl and Francis Longstaff), Journal of Financial Economics, v67, n3, 385-410,

March 2003.

5. “Dynamic Derivative Strategies” (with Jun Pan), Journal of Financial Economics, v69, n3, 401-

430, September, 2003.

6. “Conditional Information and Variance Bounds on Pricing Kernels” (with Geert Bekaert), Review

of Financial Studies, v17, n2, 339-378.

7. “Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage

Opportunities” (with Francis Longstaff), Review of Financial Studies, v17, n3, 611-641.

8. “How to Discount Cashflows with Time-Varying Expected Returns” (with Andrew Ang), Journal

of Finance, v59, n6, 2745-2783.

9. “An Equilibrium Model of Rare Event Premia” (with Jun Pan and TanWang), Review of Financial

Studies, v18, n1, 131-164.

10. “Why Stocks May Disappoint” (with Andrew Ang and Geert Bekaert), Journal of Financial Economics,

v76, n3, 471-508.

11. “The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads” (with

Francis Longstaff and Ravit E. Mandell), forthcoming, Journal of Business.

12. “Portfolio Selection in Stochastic Environments”, forthcoming, Review of Financial Studies.

13. “Risk, Return and Dividends” (with Andrew Ang), forthcoming, Journal of Financial Economics.

14. “Information, Diversification, and Asset Pricing” (with Jing Liu and Jack Hughes), forthcoming,

Accounting Review.

【授课经历】

1. Investments (MBA), 2000.

2. Theory of Finance (MBA), 2001, 2002.

3. Security Analysis and Investment Management (MBA), 2003, 2004, 2005.

4. Continuous-Time Finance (PhD), 2000, 2002, 2003, 2004.

5. Financial Economics (PhD) 2004.

6. Corporate finance (MBA), 2006.

7. New Venture Finance (MBA), 2006.

【曾获奖励】

1. First Place, Higher Mathematics Contest of Peking University, 1981.

2. Blackett Scholarship, Erice International School of Subnuclear Physics, 1986.

3. Barclays Global Investors/Michael Brennan Best Paper Award, Review of Financial Studies, 2005.

【发表论文】

1. “Density-Based Inference of Jump-Diffusion Processes” (with Jun Pan and Lasse Pedersen), reviseresubmit, Journal of Econometrics, 2002.

2. “Debt Policy, Corporate Taxes, and Discount Rates” (with Mark Grinblatt), submitted, 2004. revise-resubmit, Journal of Economic Theory.

3. “Endogenous Retirement, Endogenous Labor Supply, andWealth Shocks” (with Eric Neis), working

paper, 2002.

4. “The Value of Private Information” (with Ehud Peleg and Avanidhar Subrahmanyam), working paper, 2004.