Shidler College of Business
University of Hawaii
2404 Maile Way, E-602f
Honolulu, HI 96822
Office: (808) 956-8736
Fax: (808) 956-9887
Email: qianqiu@hawaii.edu |
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Dr. Liu received his B.S. in Mathematics, M.S. in Statistics from Wuhan University, China, and Ph.D. in Finance from Kellogg School of Management, Northwestern University. He has been with the Shidler College of Business, University of Hawaii at Manoa since August 2003.
His teaching is in the areas of corporate finance, investments, and financial econometrics at undergraduate, MBA, and Ph.D. levels. He taught the Investment Analysis and Management course for the VEMBA (Vietnam Executive MBA) program at Hanoi and Ho Chi Minh City. He is scheduled to teach the Financial Forecasting course for the MFE (Master of Financial Engineering) program. Previously, he was a teaching assistant and instructor for various finance courses in Kellogg School of Management, Northwestern University. He also taught Ph.D. seminars on Econometrics and Asset Pricing in the Institute of Advanced Studies at Wuhan University from 1996 to 1998.
His current research interests are in the areas of empirical asset pricing, financial econometrics, market microstructure, and international finance. His research has been published (or forthcoming) in journals including Review of Financial Studies, Journal of Applied Econometrics, International Review of Finance, Annals of Economics and Finance, Journal of Investment Management. His recent research, “Reality Check: The Implications of Applying Sustainable Withdrawal Rate Analysis to Real World Portfolios” (joint with Rosita Chang, Jack De Jong, and John Robinson), won 2008 Academy of Financial Services (AFS) Paper Award.
Selected Publications
Return Reversals, Idiosyncratic Risk, and Expected Returns, joint with Victor Huang, Ghon Rhee, and Liang Zhang, forthcoming in the Review of Financial Studies.
On Portfolio Optimization: How and When Do We Benefit from High-Frequency Data, forthcoming in the Journal of Applied Econometrics.
An Analysis of the Magnet Effect under Price Limits, joint with Yan Du and Ghon Rhee, forthcoming in the International Review of Finance.
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts, joint with Shirley Huang and Jun Yu, Annals of Economics and Finance, Vol. 8, No. 1, 2007, 33-56.
The Stock Market’s Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy, joint with John H. Boyd and Ravi Jagannathan, Journal of Investment Management, Vol. 4, No. 4, 2006, 73-90. |
