Yunting Liu is an Associate Professor of Finance (with tenure) at School of Economics, Peking University. He holds a Ph.D. (2017) and M.A. (2014) in Economics from the Johns Hopkins University and B.S. in Mathematics and B.A. in Finance with distinction from Wuhan University.

His research interests include Asset Pricing, Financial Economics and Macro-Finance

CV (PDF)»

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Publications

• Good Idiosyncratic Volatility, Bad Idiosycnratic Volatility, and the Cross-Section of Stock Returns, Journal of Banking and Finance, Yunting Liu and Yandi Zhu, forthcoming;
• The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns, Management Science, Yunting Liu, Vol.68, No.2, pp.1573-1589, 2022;   Author's Copy with Appendix
• The Upward Trend in the Volatility of Firm Productivity Shocks", Economics Letters, Yunting Liu, Vol.163, pp.68-71, Feburary 2018
• 资产数字化、银行风险与“双支柱”调控 (Asset Digitization, Bank Risk and "Two-Pillar" Regulation), 《经济研究》(Economic Research Journal), Dexu He, Qingjun Zhang, Si Chen, and Yunting Liu, Issue.1, 2023; (featured cover article)
• 中国经济微观不确定性的测度和效应研究 (China’s Micro Uncertainty and its Effect), 《经济学动态》(Economic Perspectives), Yunting Liu and Yandi Zhu, Issue.1, 2023; (featured cover article)
• 股票错误定价、市值管理与上市公司并购行为 (Stock Mispricing, Market Valuation Management and Listed Firms’ M&A), 《中国工业经济》(China Industrial Economics), Dexu He, Min Zeng, Yuhui Wu, and Yunting Liu, Issue.10, 2022;
• "异质信念, 卖空约束和中国股票市场反转效应 (Heterogeneous Beliefs, Short-Sale Constraints, and Chinese Stock Market Reversals)", 《财贸经济》 (Finance & Trade Economics), Yunting Liu and Xiaorong Zhang, Issue.12, 2021;

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重要报刊发表

"为何强调扩大有本金和债务约束的金融需求", 《经济日报》(理论版), 刘蕴霆，2023年4月6日第10版;

"发挥数字技术赋能效应 推动中小企业转型升级", 《经济参考报》(理论版), 刘蕴霆，2023年6月20日A08版;

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Working Papers

• "Productivity Risk and the Dynamics of Stock and Bond Returns", Yunting Liu ; This paper supercedes the paper previously circulated as "The Real and Nominal Determinants of Stock and Bond Returns Comovement"
• "Idiosyncratic Volatility, Firm Investment and Captial Accumulation", Yunting Liu
• "Idiosyncratic Skewness and the Cross-Section of Stock Returns", Yunting Liu and Yandi Zhu, R&R

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Courses

• Undergraduate Computer Programming in Financial Engineering
• Master Security Analysis
• Master Fixed Income Securities

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Research Grants

• Principal Investigator: Research on the Relation and Mechanism between Firm Productivity Volatility, Idiosyncratic Return Volatility and Cross-Section of Stock Returns: National Science Foundation of China Grant 2020-2022
• Main participant: Insurance Solvency Regulation and Insurer's Risk Decision: National Science Foundation of China Grant 2022-2025
• Main participant: The Effects of Economic Uncertainty on Financial Volatility Modeling and Forecasting: a Big Data and Heterogeneity Perspective: National Science Foundation of China Grant 2023-2026
• Co-Investigator: Research on Participants Incentives in Carbon and Electricity Markets under Carbon Peak and Neutrality Goals: Peking University New Engineering Discipline Grant 2022

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Selected Awards

• Baogang Distinguished Scholar Award, 2023
• Excellence in Refereeing Award, Economic Science Journal (《经济科学》), 2021
• Class Advisor Excellence Award , Peking University, China, 2019
• Third Prize Teaching Award, Peking University, China, 2017
• Department Fellowship, Johns Hopkins University, United States, 2014-2017
• T. Rowe Price Fellowship, Johns Hopkins University, United States, 2011-2014