Contact Information

Andersen Hall, Rm 445

2001 Sheridan Rd

Evanston, IL 60208-2001


Cell: 408-425-1143



Bin (Ying) Liu

Job Market Candidate

Finance Department

Ph.D Finance, Kellogg School of Management - Northwestern University (2016 Expected)
M.S. Statistics, B.A. Economics, Stanford University (2011)


Curriculum Vitae

Research Interests: Asset Pricing, Behavioral Finance, Mutual Funds. Research Statement

Job Market Paper:

Circle of Competence and the Gradual Diffusion of Information in Prices
Finalist: BlackRock Applied Research Award. Finalist: PanAgora Crowell Prize
Abstract: I examine how information in the price of one firm is incorporated into the price of another related firm. Information in prices diffuses slowly across firms affected by common shocks. Further, this phenomenon is most pronounced across firms each affected by many types of shocks, i.e. complex firms. To explain these empirical regularities, I incorporate structural uncertainty and ambiguity aversion into a standard multi-asset rational expectation model. In the model, each firm is affected by multiple types of shocks and investors, endowed with limited kinds of expertise, do not know the riskiness, i.e. volatility, of some of these shocks. Investors are especially fearful of unknown risks, so they assume that shocks of unknown riskiness are extremely risky in their investment decisions. This behavior prevents the price of one firm from efficiently incorporating information in the price of a related firm, especially if both firms in the pair are complex firms. The model also explains the diversification discount.

Prof. Ravi Jagannathan (Chair)
Prof. Jules van Binsbergen , Prof. Jonathan Berk , Prof. Robert Korajczyk , Prof. Ian Dew-Becker

Other Working Papers:

Matching Capital and Labor (with Jonathan Berk and Jules van Binsbergen)
Revise and Resubmit at The Journal of Finance
Abstract: We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms. At least 30% of the value mutual fund managers add can be attributed to the firm's role in efficiently allocating capital amongst its mutual fund managers. We find no evidence of a similar effect when a firm hires managers from another firm. We conclude that an important reason why firms exist is the private information that derives from the firm's ability to better assess the skill of its own employees and the use of that information to efficiently allocate capital to labor.

Dividend Dynamics, Learning, and Expected Stock Index Returns (with Ravi Jagannathan)
Revise and Resubmit at The Journal of Finance
Abstract: We develop a model for dividend dynamics and allow investors to learn about model parameters over time. The model predicts 31.3% of the variation in annual dividend growth rates during 1976-2013. When investors' beliefs about the persistence of dividend growth rates increase, dividend-to-price ratios increase, and short-horizon expected returns decrease after controlling for dividend-to-price ratios. These findings are consistent with investors' preferences for early resolution of uncertainty. We embed learning about dividend dynamics in an equilibrium asset pricing model. The model predicts 22.9% of the variation in annual stock index returns. Learning accounts for forty-percent of that 22.9%.

Works in Progress:

Scale and Skill in Active Management: an Instrumental Variable Approach

Are Investors Ambiguity Averse? Evidence from Mutual Fund Flows


Kellogg School of Management
2001 Sheridan Road
Evanston, IL 60208-2800