北京大学光华管理学院金融学系研究生导师介绍:刘玉珍
刘玉珍行政职务:系主任,金融硕士项目主任系别:金融学系职称:教授办公电话:86-10-62757699Email:yjliu@gsm.pku.edu.cn刘玉珍教授目前任北京大学光华管
研究成果
英文期刊(Selected)
1) Yu-Jane Liu, Longkai Zhao, Zheng Zhang,“Speculation Spillover”, Management Science(SSCI), forthcoming.
2) Yi-Tsung Lee, Yu-Jane Liu, Wei-Shao Wu, Robert Fok, "Hedging Costs, Liquidity, and Inventory Management: The Evidence from Option Market Makers", Journal of Financial Markets(SSCI), 2014, 18: 25-48.
3) Brad Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean, The Cross-section of Speculator Skill: Evidence from Day Trading", Journal of Financial Markets(SSCI), 2014, 18: 1-24.
4) Mao-Wei Hung, Yu-Jane Liu, and Chia-Fen Tsai, "Managerial personal diversification and portfolio equity incentives." Journal of Corporate Finance, 2012, 18 (1): 38-64..
5) Yu-Jane Liu, Chih-Ling Tsai, Min-Chun Wang and Ning Zhu, "Prior Consequences and Subsequent Risk Taking: New Field Evidence from the Taiwan Futures Exchange", Management Science(SSCI), 2010, 56: 606-620.
6) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, "Just HowMuch do Individual Investors Lose by Trading?" Review of Financial Studies, 2009, 22 (2): 609-632.
7) Li-wen Chen, Ji-Chai Lin, Yu-Jane Liu and Shane Johnsen, Information, Sophisication, and Foreign versus Domestic Investors' Performance, Journal of Banking and Finance(SSCI) , 2009, 33( 9): 1636-1651.
8) Yu-Jane Liu, Min-Chun Wang and Longkai Zhao, Narrow Framing: Perfessions, Sophisication and Experience, Journal of Futures Market (SSCI), 2009,140: 175-203.
9) Rachel, Yu-Jane Liu and Larry Tzeng, "Hidden Overconfidence and Advantageous Selection", The Geneva Risk and Insurance Review, 2010, 35 (2): 93-107.
10) Yi-Tsung Lee, Yu-Jane Liu and Ning Zhu, 2008, The costs of owning employer stocks: Evidence from Taiwan, Journal of Financial and Quantitative Analysis,(SSCI), 2008, 43:717-740.
11) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan, European Financial Managment(SSCI), Vol 13, Iss. 3, Jun 2007, 423-447.
12) Ji-Chai Lin, Yi-Tsung Lee and Yu-Jane Liu, "IPO Auctions and Private Information", Journal of Banking and Finance (SSCI), Vol. 31 Iss. 5, May 2007, 1483-1500.
13) Lee, Yi-Tsung, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam, Taxes and Dividend Clientele: Evidence from Trading and Ownership Structure, Journal of Banking and Finance (SSCI), Vol. 30, 2006, 229-246.
14) Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmany,"Order Imbalance and Market Efficiency: Evidence from the Taiwan Stock Exchange, " Journal of Financial and Quantitative Analysis (SSCI), Vol. 39, Iss. 2, Jun. 2004,327-342. (has been re-summarized in The CFA Digest, Vol. 34, Iss. 4, Nov. 2004, 54-55.)
15) Ray Tsaih, Yu-Jane Liu, Wenchin Liu, and Yu-Ling Lien, "A Decision Support System for Small Business Loans", Decision Support System(SCI). Vol. 38, Iss. 1, Oct. 2004, 91-99.
16) Yu-Jane Liu and K.C. John Wei Liaw and Gwohorng, "On the Demand Elasticity of IPO: An Analysis of Discriminatory Auctions", International Review of Finance, 2001,151-178.
17) Y.T.Lee, Robert Fok and Y.J, Liu, "Information Stocks, Trading Strategies and Order Imbalance, " Journal of Business, Finance and Accounting,(SSCI)Vol. 28, No.1&2, Jan/March. 2001.199-230.
18) Chih-Hsien Yu andYu-Jane Liu, "On the Effect of Stock Stabilization Fund—A Case of Taiwan, " Review of Pacific Basin Financial Markets and Policies.
19) Y. T. Lee, J.C. Lin and Y.J.Liu, " Trading Patterns of Big versus Small Traders: An Emerging Market Analysis, " Journal of Banking and Finance (SSCI), 1999, 701-725.
20) Y. J. Liu, V. W. Liu, and C. S. Wu, "The Impact of Information Diffusion on Comparisons among Various Trading Mechanisms," Review of Quantitative Finance and Accounting, Vol. 9, No. 3, 1997, 301-326.
21) Y. J. Liu, "Auction Mechanisms and Information Structure:An Experimental Study of Information Aggregation in Securities Markets," Research in Experimental Economics, Vol. 6, JAI Press Inc., 1996, 165-212.
22) K.C. Wei, Y. J. Liu, C. C. Yang and K. H. Chuang, "Volatility and Price Changes Spillover Effects Across the Developed and Emerging Markets," Pacific-Basin Finance Journal, Vol. 3, No. 1, March 1995, 113-136.
中文期刊(Selected)
1)刘莎莎,刘玉珍,唐涯, "信息优势、风险调整与基金业绩",管理世界,2013,No.8,67-76.
2)高明、刘玉珍,"跨国家庭金融比较:理论与政策意涵",经济研究,2013,No.2, 134-149.
3)孟涓涓,赵龙凯,刘玉珍,尤炜,"社会性学习、从众心理和股市参与决策",金融研究,2013,No.7.
4)陶启智,周铭山,刘玉珍,"杠杆率在公司并购后的变动-部分调整模型的应用",金融学季刊,2011,No.6.
5)周铭山,孙磊,刘玉珍, "社会互动、相对财富关注及股市参与",金融研究,2011,No.2, 172-184.
6)刘玉珍,张峥,徐信忠,张金华, "基金投资者的框架效应",管理世界,2010,No.2,25-37.
7)周铭山、张维宁、李广子、刘玉珍,"自愿披露与公司融资选择",金融学季刊,2010,No.5.
8)李怡宗,刘玉珍,王锦莹,陈薇如,赖文弘,“限价委托簿信息透明度与市场质量”,证券市场发展季刊(TSSCI),2007,forthcoming.
9)王锦莹,陈隆麒,刘玉珍,“股票回购对股利政策变动公告效应之影响”的接受,管理评论(TSSCI),第25 卷第3 期,2006.
10)陈嘉惠,刘玉珍,林炯垚,“公开市场股票回购影响因素分析”,证券市场发展季刊(TSSCI), 第15 卷第3 期, October 2003, 27-61.
11)刘玉珍,叶淑玲,简淑芬,季秀,“建构我国未上市(柜)股票交易制度之研究”,证券市场发展季刊(TSSCI),第13 卷 第 4 期, Jan, 2002, 1-42.
12)陈嘉惠,高郁惠,刘玉珍,“ 投资人偏好与资产配置”,台湾管理学刊,第1 卷 第 2 期, February 2002, 213-232.
13)刘玉珍与徐敏富,“民营化对股市的冲击”,中山管理评论(TSSCI),1999.
14)李怡宗、刘玉珍、李健玮,“Black-Scholes评价模式在台湾认购权证市场之实证”(最佳论文奖),管理评论(TSSCI),第18卷第3期,1999,83-104.
15)刘玉珍、臧大年、陈薇如,“未上市股票市场价差决定因子之实证研究” ,证券市场发展季刊(TSSCI) 10:4(第十卷第四期),1998,27-54.
16)刘玉珍,何怡满,“台湾股市隔夜报酬预测因子之实证研究”,管理科学学报(TSSCI),第十四卷第一期,1994,页三九~六十四。
17)刘玉珍,周行一,潘璟静,“台湾股市价格限制与交易行为”,中国财务学刊(TSSCI),第四卷第二期,1996, 页四一~六十。
18)刘维基,刘玉珍,黄建顺,潘璟静,“台湾股市日内价格变动分析”,证券市场发展季刊(TSSCI),第七卷第二期,1995年,页四十七~七十三。
19)黄仁甫、刘玉珍,“台湾股市交易信息不对称之实证研究”,中国财务学刊(TSSCI),第三卷第一期,1995, 七月,页九十五~一一七。
20)刘玉珍,“国际股市信息结构之实证研究”,台大管理论丛(TSSCI),第五卷第一期,1994,页一八九~ 二二二。
21)刘玉珍,何怡满,“台湾股市公司特性与信息结构之实证研究”,国科会人文社会科学论丛,第四卷第一期,1994年一月,页一一四~三二。
22)刘玉珍,刘维基,林淑铃,“台湾股市季盈余宣告的信息-随机优势模式与资本资产定价模式之比较”,管理科学学报(TSSCI),第十卷第一期,1993,页二十三~ 四十六。
23)刘玉珍,刘维基,谢政能,“台湾股市过度反应之实证研究”,台大管理论丛(TSSCI),第四卷第一期,1993,页一零五~一四六。
24)刘玉珍,刘维基,史习安,“台湾股市真实价格发现能力之实证研究”,台大管理论丛(TSSCI),第二卷第一期,1991,页一一九~一三八。
25)刘玉珍,刘维基,吴钦杉,郭秋荣,“台湾地区股票上市公司变现能力与股票报酬关系之实证研究”,管理科学学报(TSSCI),第八卷第一期,1991,页三十七~五十一。
26)刘维基,吴钦杉,刘玉珍,“竞价制度对股市变现能力的影响之模拟研究”,社会科学论丛,第三十八辑,1990年,页一零七~一二九。
27)刘维基,吴钦杉,刘玉珍,“股市投资人投单策略形成之模拟研究”,政大管理评论(TSSCI), 1990年,页一三九~一五四。
28)刘维基,黄钲堤,刘玉珍,“台湾证券市场公司规模与盈余公告所含信息内容之实证研究”,管理科学学报(TSSCI),第七卷第一期,1990年,页三十一~四十八。
29)吴钦杉,刘玉珍,“台湾地区上市公司股票最后进出喊价价差的决定因子之实证研究”,管理科学学报(TSSCI),第六卷第一期,1989年五月,页一~一十六
30)刘维基,刘玉珍,“融资顺位理论的发展与实证”,政大管理评论(TSSCI),1989年,页七~二十二
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