劉俊[西南財經大學金融學院院長]

劉俊，西南財經大學金融學院院長。長江商學院金融學教授，加州大學聖地亞哥分校管理學院終身教職副教授，西南財經大學金融學院院長。目前已在國際頂尖金融學期刊上發表了十餘篇有影響力的論文。他在長江商學院將主要為MBA學員講授風險投資和價值等有關的課程。

研究領域

理論和經驗主義式資產定價，計量經濟學等。

學術成就

2005年，發表在《金融研究評論》的最佳論文被評為Michael Brennan 獎。此外，劉俊教授的多篇論文還被廣泛引用，在學術界和理論界引起反響。

學術成果

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.

劉俊[西南財經大學金融學院院長]

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.

授課經歷

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.

曾獲獎勵

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.

發表論文

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.