Qianqiu Liu

Professor of Finance
Director, Ph.D. Program
Shidler College Distinguished Professor

Academic Background

  • 2003 - PhD in Finance, Kellogg School of Management, Northwestern University
  • 1996 - MS in Statistics, Wuhan University, China
  • 1993 - BS in Mathematics, Wuhan University, China

Research Interests

  • Empirical Asset Pricing
  • Financial Econometrics
  • Market Microstructure
  • International Finance
  • Personal Financial Planning

Selected Publications

Momentum is Really Short-term Momentum, joint with Qiang Gong and Ming Liu, Journal of Banking and Finance, Vol. 50, 2015, 169-182.

Saving for Retirement While Having More Nights with Peaceful Sleep: Comparison of Lifecycle and Lifestyle Strategies from Expected Utility Perspective, joint with Rosita Chang, David Hunter, and Helen Saar, Financial Services Review, Vol. 23, No. 2, 2014, 169-188.

A Closer Look at the Short-term Return Reversal, joint with Zhi Da and Ernst Schaumburg, Management Science, Vol. 60, No. 3, 2014, 658-674.

The Cost of Guaranteed Income: Demystifying the Value Proposition of Variable Annuities with Guaranteed Lifetime Withdrawal Benefit Riders, joint with Rosita Chang, Jack De Jong, John Robinson, and Jack Suyderhoud, Retirement Management Journal, Vol. 4, No. 1, 2014, 55-69.

Extreme Downside Risk and Expected Stock Returns, joint with Victor Huang, Ghon Rhee, and Feng Wu, Journal of Banking and Finance, Vol. 36, No. 5, 2012, 1492-1502.

Another Look at Idiosyncratic Volatility and Expected Returns, joint with Victor Huang, Ghon Rhee, and Liang Zhang, Journal of Investment Management, Vol. 9, No. 4, 2011, 26-51.

Are Lifecycle Funds Getting a Bum Rap? A Comprehensive Comparison of Lifecycle versus Lifestyle Retirement Strategies from Accumulation through Withdrawal, joint with Rosita Chang, Jack De Jong, and John Robinson, Journal of Wealth Management, Vol. 14, No. 2, 2011, 68-84.

The 52-Week High Momentum Strategy in International Stock Markets, joint with Ming Liu and Tongshu Ma, Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204.

Return Reversals, Idiosyncratic Risk, and Expected Returns, joint with Victor Huang, Ghon Rhee, and Liang Zhang, Review of Financial Studies, Vol. 23, No. 1, 2010, 147-168.

On Portfolio Optimization: How and When Do We Benefit from High-Frequency Data, Journal of Applied Econometrics, Vol. 24, No. 4, 2009, 560-582.

Reality Check: The Implications of Applying Sustainable Withdrawal Rate Analysis to Real World Portfolios, joint with Rosita Chang, Jack De Jong, and John Robinson, Financial Services Review, Vol. 18, No. 2, 2009, 123-139.

An Analysis of the Magnet Effect under Price Limits, joint with Yan Du and Ghon Rhee, International Review of Finance, Vol. 9, No. 1/2, 2009, 83-110.

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.

Teaching

Honors

  • 2014 - The CFA Institute Asia Pacific Capital Markets Research Best Paper Award at the 2014 Financial Management Association (FMA) Asian Annual Meeting
  • 2013 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
  • 2012 - The Mega Holdings Best Paper Award at the 2012 Asian Finance Association (AsianFA) Annual Meeting
  • 2012 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
  • 2010 - The InFRE Best Paper Award at the Academy of Financial Services (AFS) Annual Meeting
  • 2010 - Semifinalist for the Best Paper in Investments at the 2010 Financial Management Association (FMA) Annual Meeting
  • 2010 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
  • 2009 - Shirley M. Lee Research Award, Shidler College of Business, University of Hawaii
  • 2008 - The CFP Board of Standards Best Paper Award at the Academy of Financial Services (AFS) Annual Meeting
qianqiu's picture
University of Hawai‘i at Mānoa
Shidler College of Business
2404 Maile Way
Honolulu
HI
96822
USA

Room

E-602f

Contact Info

Phone
(808) 956-8736
Fax
(808) 956-9887