劉玉珍

2007―目前

光華管理學院金融系教授

行為金融學

證券市場微結構

家庭金融

投資學

劉玉珍教授的主要研究領域為行為金融、市場微觀結構、財富管理以及量化投資產品設計。目前已在國際頂尖學術期刊Journal of Financial Economics, Review of Financial Studies、Management Science、Journal of Financial and Quantitative Analysis, Review of Asset Pricing Studies 發表論文多篇，另有20多篇英文論文、數十篇中文論文發表在Journal of Financial Markets、Journal of Corporate Finance、Journal of Banking and Finance、《經濟研究》、《管理世界》、《經濟學季刊》、《金融研究》等國內外重要學術期刊上。其中，2009年發表於Review of Financial Studies的論文“Just How Much do Individual Investors Lose by Trading”採用全市場投資者的真實交易數據，系統揭示了散户參與股市投資的經濟後果，谷歌學術引用超過800次，曾被諾貝爾獎獲得者Daniel Kahneman教授在The Economist上撰文隆重推薦閲讀。劉教授的研究論文曾獲得首屆孫冶方金融創新獎、第12屆證券與金融市場年會（SFM）的最佳論文、第19屆全球華人金融年會最佳公司金融論文獎、第六屆中國金融學年會最佳論文獎、《金融研究》2013年度優秀論文等多個獎項。2016年，劉玉珍教授還被授予“中國金融研究傑出貢獻獎”，教育部新世紀人才支持計劃、國家自然科學基金、北大中國工商銀行教師獎等多個榮譽。

劉玉珍教授憑藉在行為金融和證券市場制度設計領域的卓越成果，長期參與監管制度研究，積累了豐富的政策監管及實務經驗。她曾多次受邀到中國證監會、上海證券交易所、中國金融期貨交易所、深圳交易所、最高人民法院、中國銀監會等部門參與資本市場監管措施和法規的研究。主持或參與的政策研究項目包括上市公司分紅指引、上交所多次集合競價制度、中國證監會投資者保護中心投資者情緒指數編制及投資者教育講座、新三板流動性改革方案、上交所日內集合競價改革方案、中金所散户市場中高頻交易制度改革方案、光大烏龍指事件判決等。

劉教授還有着豐富的學術和實務兼職。學術方面，曾承擔Journal of Finance, Management Science, Review of Financial Studies, Journal of Financial and Quantitative Analysis等多個國際重要期刊，國家自然科學基金面上項目、重大項目，香港科學研究獎勵機構，以及十餘種國際重要雜誌的評審工作，並擔任中國金融學年會、中國國際金融年會（CICF）、中國金融學術年會（CFRC）、EFMA等年會的委員。實務方面，她曾兼任中國金融期貨交易所專家委員，證監會、中金所以及民生銀行博士後站指導導師，證券公司獨立董事等。

(1) Conghui Hu and Yu-Jane Liu, Valuing Diversity: CEOs' Career Experiences and Corporate Investment, accepted for publication in Journal of Corporate Finance, 2014.

(2) Yu-Jane Liu, Longkai Zhao, Zheng Zhang,“Speculation Spillover”, Management Science(SSCI), forthcoming.

(3) 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.

(4) 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.

(5) 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..

(6) 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.

(7) 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.

(8) 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.

(9) Yu-Jane Liu, Min-Chun Wang and Longkai Zhao, Narrow Framing: Perfessions, Sophisication and Experience, Journal of Futures Market (SSCI), 2009,140: 175-203.

(10) Rachel, Yu-Jane Liu and Larry Tzeng, "Hidden Overconfidence and Advantageous Selection", The Geneva Risk and Insurance Review, 2010, 35 (2): 93-107.

(11) 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.

(12) 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.

(13) 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.

(14) 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.

(15) 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.)

(16) 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.

(17) 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.

(18) 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.

(19) 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.

(20) 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.

(21) 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.

(22) 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.

(23) 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.

(24) Gao, Ming, Yu-Jane Liu, Weili Wu. Fat-Finger Trade and Market Quality: The First Evidence From China. Journal of Futures Markets, 2016, 36(10):1016-1025.

(25) Chen,Jing, Yu-Jane Liu, Lei Lu, Ya Tang. Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures. Journal of Futures Markets, 2016, 36(3):240–266.

(26) Chen, Jia, Jiajun Jiang, and Yu-jane Liu. Financial literacy and gender difference in loan performance[J]. Journal of Empirical Finance, 2018: 307-320.

(27) Hung-Kun Chen, Konan Chan, Shing-Yang Hu, and Yu-Jane Liu. Share pledges and margin call pressure[J]. Journal of Corporate Finance, 2018: 96-117.

(28) Hu Conghui, Liu Yu-Jane, Zhu Ning, 2019, De-Leverage and Illiquidity Contagion, Journal of Banking & Finance, 102: 1-18 E2

(29) Jin Miao,Liu Yu-Jane, Meng Juanjuan, 2019, Fat-finger Event and Risk-taking Behavior, Journal of Empirical Finance, 53,126-143 E2

(30) Jiajun Jiang,Yu-Jane Liu,Ruichang Lu,Social heterogeneity and local bias in peer-to-peer lending – evidence from China,Journal of Comparative Economics,Vol 48, Iss. 2, June 2020, 302-324

(31) Brad, Barber, YT Lee, Yu-Jane Liu, T Odean, Ke Zhang,2020,Learn Fast or Slow? Review of Asset Pricing Studies, 10(1), 61-93

(32) Conghui Hu, Yu-Jane Liu, and Ning Zhu. Deleveraging Commonality. Journal of Financial Markets,2020

(33) Ming Gao, Yu-Jane Liu, and Yushui Shi, Do people feel less at risk? Evidence from disaster experience, Journal of Financial Economics,2020(A),138(3):866-888.

(34)Conghui Hu，Yu-Jane Liu，Xin Xu，The valuation effect of stock dividends or splits: Evidence from a catering perspective，Journal of Empirical Finance(SSCI)，Volume 61, March 2021, Pages 163-179.

(35)Miao Jin, Yu-Jane Liu, Juanjuan Meng, Yu Zhang, The Transmission of Income variations to Consumption variations: the Role of the Firm, The Review of Economics and Statistics,Pages 1–45.2022.

(36)Zeyang Chen, Yu-Jane Liu, Juanjuan Meng and Zeng Wang, What's in a Face? An Experiment on Facial Information and Loan Approval Decision,Management Science, forthcoming.

(1) 劉莎莎，劉玉珍，唐涯， "信息優勢、風險調整與基金業績"，管理世界，2013，No.8，67-76.

(2) 高明、劉玉珍，"跨國家庭金融比較：理論與政策意涵"，經濟研究，2013，No.2， 134-149.

(3) 孟涓涓，趙龍凱，劉玉珍，尤煒，"社會性學習、從眾心理和股市參與決策"，金融研究，2013，No.7.

(4) 陶啓智，周銘山，劉玉珍，"槓桿率在公司併購後的變動-部分調整模型的應用"，金融學季刊，2011，No.6.

(5) 周銘山，孫磊，劉玉珍， "社會互動、相對財富關注及股市參與"，金融研究，2011，No.2， 172-184.

(6) 劉玉珍，張崢，徐信忠，張金華， "基金投資者的框架效應"，管理世界，2010，No.2，25-37.

(7) 周銘山、張維寧、李廣子、劉玉珍，"自願披露與公司融資選擇"，金融學季刊，2010，No.5.

(8) 李怡宗，劉玉珍，王錦瑩，陳薇如，賴文弘，“限價委託簿信息透明度與市場質量”，證券市場發展季刊(TSSCI)，2007，forthcoming.

(9) 王錦瑩，陳隆麒，劉玉珍,“股票回購對股利政策變動公告效應之影響”的接受，管理評論(TSSCI),第25 卷第3 期,2006.

(10) 陳嘉惠，劉玉珍，林炯垚，“公開市場股票回購影響因素分析”，證券市場發展季刊(TSSCI), 第15 卷第3 期, October 2003, 27-61.

(11) 劉玉珍，葉淑玲，簡淑芬，季秀，“建構我國未上市(櫃)股票交易制度之研究”，證券市場發展季刊(TSSCI),第13 卷 第 4 期, Jan, 2002, 1-42.

(12) 陳嘉惠，高鬱惠，劉玉珍，“ 投資人偏好與資產配置”，台灣管理學刊，第1 卷 第 2 期, February 2002, 213-232.

(13) 劉玉珍與徐敏富，“民營化對股市的衝擊”，中山管理評論(TSSCI)，1999.

(14) 李怡宗、劉玉珍、李健瑋，“Black-Scholes評價模式在台灣認購權證市場之實證”（最佳論文獎），管理評論(TSSCI)，第18卷第3期，1999，83-104.

(15) 劉玉珍、臧大年、陳薇如，“未上市股票市場價差決定因子之實證研究” ，證券市場發展季刊(TSSCI) 10:4（第十卷第四期），1998，27-54.

(16) 劉玉珍，何怡滿，“台灣股市隔夜報酬預測因子之實證研究”，管理科學學報(TSSCI)，第十四卷第一期，1994，頁三九~六十四。

(17) 劉玉珍，周行一，潘璟靜，“台灣股市價格限制與交易行為”，中國財務學刊(TSSCI)，第四卷第二期，1996, 頁四一~六十。

(18) 劉維基，劉玉珍，黃建順，潘璟靜，“台灣股市日內價格變動分析”，證券市場發展季刊(TSSCI)，第七卷第二期，1995年，頁四十七~七十三。

(19) 黃仁甫、劉玉珍，“台灣股市交易信息不對稱之實證研究”，中國財務學刊(TSSCI)，第三卷第一期，1995, 七月，頁九十五~一一七。

(20) 劉玉珍，“國際股市信息結構之實證研究”，台大管理論叢(TSSCI)，第五卷第一期，1994，頁一八九~ 二二二。

(21) 劉玉珍，何怡滿，“台灣股市公司特性與信息結構之實證研究”，國科會人文社會科學論叢，第四卷第一期，1994年一月，頁一一四~三二。

(22) 劉玉珍，劉維基，林淑鈴，“台灣股市季盈餘宣告的信息－隨機優勢模式與資本資產定價模式之比較”，管理科學學報(TSSCI)，第十卷第一期，1993，頁二十三~ 四十六。

(23) 劉玉珍，劉維基，謝政能，“台灣股市過度反應之實證研究”，台大管理論叢(TSSCI)，第四卷第一期，1993，頁一零五~一四六。

(24) 劉玉珍，劉維基，史習安，“台灣股市真實價格發現能力之實證研究”，台大管理論叢(TSSCI)，第二卷第一期，1991，頁一一九~一三八。

(25) 劉玉珍，劉維基，吳欽杉，郭秋榮，“台灣地區股票上市公司變現能力與股票報酬關係之實證研究”，管理科學學報(TSSCI)，第八卷第一期，1991，頁三十七~五十一。

(26) 劉維基，吳欽杉，劉玉珍，“競價制度對股市變現能力的影響之模擬研究”，社會科學論叢，第三十八輯，1990年，頁一零七~一二九。

(27) 劉維基，吳欽杉，劉玉珍，“股市投資人投單策略形成之模擬研究”，政大管理評論(TSSCI)， 1990年，頁一三九~一五四。

(28) 劉維基，黃鉦堤，劉玉珍，“台灣證券市場公司規模與盈餘公告所含信息內容之實證研究”，管理科學學報(TSSCI)，第七卷第一期，1990年，頁三十一~四十八。

(29) 吳欽杉，劉玉珍，“台灣地區上市公司股票最後進出喊價價差的決定因子之實證研究”，管理科學學報(TSSCI)，第六卷第一期，1989年五月，頁一~一十六。

(30) 劉維基，劉玉珍，“融資順位理論的發展與實證”，政大管理評論(TSSCI)，1989年，頁七~二十二。

(31) 劉維基，吳欽杉，劉玉珍，“股市投資人投單策略形成之模擬研究”，政大管理評論(TSSCI)， 1990年，頁一三九~一五四。

(32) 劉維基，黃鉦堤，劉玉珍，“台灣證券市場公司規模與盈餘公告所含信息內容之實證研究”，管理科學學報(TSSCI)，第七卷第一期，1990年，頁三十一~四十八。

(33) 吳欽杉，劉玉珍，“台灣地區上市公司股票最後進出喊價價差的決定因子之實證研究”，管理科學學報(TSSCI)，第六卷第一期，1989年五月，頁一~一十六

(34) 劉維基，劉玉珍，“融資順位理論的發展與實證”，政大管理評論(TSSCI)，1989年，頁七~二十二

(1) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2006.01.06, Who Loses from Trade? Evidence from Taiwan,The 2006 Annual Meeting of American Finance Association, AFA, Boston.

(2) Lin, Ji-Chai, Yi-Tsung Lee, and Yu-Jane Liu, 2005.12.14, IPO Auctions and Private Information, The 18th Australasian Finance & Banking Conference 2005, School of Banking and Finance, The University of New South Wales, SYDNEY.

(3) Lee, Yi-Tsung, Yu-Jane Liu, and Vivian W. Tai, 2005.10.14, Who Demand on the Brokerage House Recommendations? , 2005 Annual Meeting of the Financial Management Association International, FMA, Chicago.NSC 92-2416-H-004-054-EF.

(4) Lin, Ji-Chai, Yi-Tsung Lee, and Yu-Jane Liu, 2005.07.05, Why Have Auctions Been Losing Market Shares to Bookbuilding in IPO Markets? The 80th Annual Conference of Western Economic Association International, WEAI, San Fransico.

(5) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.12.21, Do Individual Day Traders Make Money? Evidence from Taiwan, 2004 NTU International Conference, National Taiwan University, Taipei. (Has been re-summarized by Business Week, August 16, 2004.).

(6) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.12.18, Who Gains from Trade? Evidence from Taiwan,The 12th Conference on the Theories and Practices of Securities and Financial Markets, Department of Finance, NSYSU, Kaohsiung. (The Best Paper Award).

(7) Barber, Brad, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004.10.16, Do Individual Day Traders Make Money? Evidence from Taiwan, Behavioral Finance Program Meeting, National Bureau of Economic Research, Inc., Massachusetts, USA.

(8) Lin, Ji-Chai, Yi-tsung Lee, and Yu-Jane Liu, 2003.11, Why are IPO Auctions Not Popular? The 11th Conference on Pacific Basin Finance, Economics, and Accounting, Taipei.

(9) Lee, Yi-Tsung, Lin, Ji-Chai, and Yu-Jane Liu, 2003.10, The Performance of Auctions in Pricing IPO Shares: New Evidence, 2003 Annual Meeting, Financial Management Association, Denver, US.

(10) Lee, Yi-Tsung, Yu-Jane Liu, and John Wei, 2003.08, The Probit Model: An Application to the Choice of Initial Public Offerings Methods, Joint Statistical Meetings, American Statistics, San Francisco, US.

(11) Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu, 2003.06, The Performance of Auctions in Pricing IPO Shares: New Evidence, 2003 Annual Meeting, European Financial Management Association, Helsinki, Finland.

(12) Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu, 2003.01, The Performance of Auctions in Pricing IPO Shares: New Evidence, Pacific Rim Conference, WEAI, Taipei.

(13) Lee, Yi-Tsung, Yu-Jane Liu, and John Wei, 2002.07, Institutional Order Submission Strategies, Execution Costs, and Opportunity Costs, The 77thAnnual Conference of WEAI, Western Economic Association International, Seattle, USA.

(14) Lee, Yi-Tsung, Yu-Jane Liu and John Wei, “Execution costs, and opportunity costs: A tradeoff analysis for institutional traders,” The 10th Security Market Theory and Practice Conference held in National Sun Yat-sen University, 2001.

(15) Liaw, Gwohorng, Yu-Jane Liu and K.C. John Wei, "On the Demand Elasticity of IPO: An Analysis of Discriminatory Auctions", American Finance Assoication, 2001, NTU International Finance Conference 2000.（The Best Paper Award）.

(16) Y.T.Lee, Robert Fok and Yu-Jane Liu, “Information Stocks, Trading Strategies and Order Imbalance,” The First National Practices Economics Conference（The Best Paper Award）.

(17) K.C. John Wei, Yu-Jane Liu, Huan-Di Yi, and Le-Ming Su, “Institutional Trades and Price Impacts on the Taiwan Stock Exchange, FMA, 1998.

(18) Yu-Jane Liu, Ming-Fu Shyu, “The Impact of Stock Floation on Privatization”, National Sun Yat-sen Securities and Finance Conference, Oct. 1997.

(19) Z. S. Yu, Yu-Jane Liu and W. I. Dai, “The Effect of Taiwan Stabilization Funds: Under the Military Exercise from Chinese mainland,” National Sun Yat-sen Securities and Finance Conference, Oct. 1997.

(20) Edward H. Chow, Yi-Tsung Lee and Yu-Jane Liu, “Intraday Information, trading Volume, and Return Volatiltiy: Evidence from the Order Flows on the Taiwan Stock Exchange,” FMA, Oct. 1997.

(21) Lee, J.C. Lin and Yu-Jane Liu, "On the Taiwan Stock Exchange: Big Versus Small Players," PACAP/CFA, EFMA conference, July 1996.

(22) Yu-Jane Liu, "Information Shocks, Trading Strategies and Order Imbalance -A Closer Look in Taiwan Stock Market," International Conference of Asian-Pacific Business Management, January 1996（Taipei）.

(23) Yu-Jane Liu, Edward, H. Chow and G. G. Pan, "Limit Moves and Positive Feedback Trading," The Theories and Practices in Securities and Finance Markets－National Sun Yat-sen University, 1995,（Kaoshiung）.

(24) Yu-Jane Liu, "Auction Mechanisms and Information Structure：An Experimental Study of Information Aggregation in Securities Markets," National Taiwan University Internation Finance Conference. 1995.（Taipei）. (The Best Paper Award).

(25) Edward H. Chow, Yu-Jane Liu, Gin-Gin Pan, ”Analysis of The Price Limits, Investing Strategies, and Market Performance in Taiwan Stock Market”, The Theories and Practices in Securities and Finance Markets－National Sun Yat-sen University, 1.

曾榮獲國際多個學術論文研討會最佳論文獎。