Contact Information

Biography

Dr. Rui Liu is an Assistant Professor of Finance at the Palumbo-Donahue School of Business. Her teaching interests are primarily in investments, portfolio management, fixed income, derivatives, and financial management. Dr. Liu developed a derivatives course for business and mathematics majors pursing the Certificate in Actuarial Science and currently serves as the faculty contact for the program. 

Her research interests are in empirical asset pricing and macro-finance with emphasis on fixed income markets. She studies the dynamics of the Treasury yield curve, including Treasury risk premia and interest rate volatility. Her research also addresses the effects of monetary policy on financial markets, the term structure of commodity futures, and financial econometrics.

Dr. Liu's research has been published in Management Science, Journal of Empirical Finance, Quarterly Journal of Finance, and Review of Quantitative Finance and Accounting.

Among others, her research has been presented at conferences including: the San Francisco Federal Reserve-Bank of Canada Conference on Fixed Income Markets, the Fixed Income and Financial Institutions Conferences, the Canadian Derivatives Institute Conference, and the annual conferences for Financial Management Association, Northern Finance Association, Midwest Finance Association, Commodity and Energy Markets Association. 

Dr. Liu has served as reviewer for academic journals such as Journal of Banking and Finance, Journal of Empirical Finance, and Quantitative Finance.

Education

  • Ph.D., Finance, University of Houston
  • M.Sc., Finance, Auburn University
  • M.B.A., Finance, Auburn University

School

Palumbo-Donahue School of Business
  • Dean's Award for Excellence in Research, 2021
  • Summer Research Grant, 2020-2021
  • Summer Research Grant, 2019-2020
  • Summer Research Grant, 2017-2018

External
  • First Prize Award for Research, Macro Economics Factors & Finance, Inquire Europe Conference
  • Bauer Ph.D. Travel Grant, University of Houston, 2017-2018
  • Ph.D. Student Travel Grant, Southwestern Finance Association (SWFA), 2017-2018
  • Doctoral Student Fellowship, University of Houston, 2017-2018

Articles in Journals

Gao, X., Li, B., & Liu, R. (2022). The Relative Pricing of WTI and Brent Crude Oil Futures: Expectations or Risk Premia. Journal of Commodity Markets.

Gao, X., Lin, K., & Liu, R. (2022). Tick Size, Institutional Trading, and Market Making: A Study of the SEC Tick Size Pilot Program. The Quarterly Journal of Finance, 12(3).

Boyd, N., Li, B., & Liu, R. (2022). Risk Premia in the Term Structure of Crude Oil Futures: Long-run and Short-run Volatility Components. Review of Quantitative Finance and Accounting, 58(4), 1505-1533.

Doshi, H., Jacobs, K., & Liu, R. (2021). Information in the Term Structure: A Forecasting Perspective. Management Science, 67(8), 5255-5277.

Liu, R. (2019). Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. Quarterly Journal of Finance, 1(9), 1-62.

Doshi, H., Jacobs, K., & Liu, R. (2018). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Journal of Empirical Finance, 48, 99-122.

Paper Presentations

Etienne, X., Li, B., & Liu, R. (2023). Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures. Eastern Finance Association Annual Meeting, Asheville, NC.

Etienne, X., Li, B., & Liu, R. (2022). Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures. Commodity and Energy Markets Association Annual Meeting, Chicago, IL.

Gao, X., Li, B., & Liu, R. (2021). The Relative Pricing of Brent and WTI Crude Oil Futures: Expectations or Risk Premia. Commodity and Energy Markets Association Annual Meeting, online.

Doshi, H., Jacobs, K., & Liu, R. (2021). Modeling Volatility in Dynamic Term Structure Models. Midwest Finance Association Annual Meeting, online.

Doshi, H., Jacobs, K., & Liu, R. (2020). Modeling Volatility in Dynamic Term Structure Models. Northern Finance Association Annual Meeting, online.

Doshi, H., Jacobs, K., & Liu, R. (2020). Modeling Volatility in Dynamic Term Structure Models. Canadian Derivatives Institute (CDI) Conference on Derivatives, online.

Doshi, H., Jacobs, K., & Liu, R. (2019). Information in the Term Structure: A Forecasting Perspective. Southwestern Finance Association Annual Conference, Houston, TX.

Liu, R. (2018). Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. Midwest Finance Association Annual Conference, San Antonio, TX.

Doshi, H., Jacobs, K., & Liu, R. (2017). Information in the Term Structure: A Forecasting Perspective. Financial Management Association Annual Conference, Boston, MA.

Doshi, H., Jacobs, K., & Liu, R. (2017). Information in the Term Structure: A Forecasting Perspective. 6th Fixed Income and Financial Institutions Conference, Columbia, SC.

Liu, R. (2017). Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. Southwestern Finance Association Annual Conference, Little Rock, AR.

Doshi, H., Jacobs, K., & Liu, R. (2017). Information in the Term Structure: A Forecasting Perspective. Financial Management Association Latin American Conference, Mexico City, Mexico.

Liu, R. (2016). Forecasting Bond Risk Premia with Unspanned Macroeconomic Information. Financial Management Association Annual Conference, Las Vegas, NV.

Doshi, H., Jacobs, K., & Liu, R. (2016). Information in the Term Structure: A Forecasting Perspective. Northern Finance Association Annual Conference, Québec, Canada.

Doshi, H., Jacobs, K., & Liu, R. (2016). Information in the Term Structure: A Forecasting Perspective. China International Conference in Finance, Xiamen, China.

Doshi, H., Jacobs, K., & Liu, R. (2016). Information in the Term Structure: A Forecasting Perspective. Midwest Finance Association Annual Conference, Atlanta, GA.

Doshi, H., Jacobs, K., & Liu, R. (2015). Information in the Term Structure: A Forecasting Perspective. San Francisco Fed-Bank of Canada Conference on Fixed Income Markets, San Francisco, CA

Doshi, H., Jacobs, K., & Liu, R. (2015). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Financial Management Association Annual Conference, Orlando, FL.

Doshi, H., Jacobs, K., & Liu, R. (2015). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Asian Finance Association Annual Conference, Changsha, China.

Doshi, H., Jacobs, K., & Liu, R. (2015). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. 7th International IFABS Conference, Hangzhou, China.

Doshi, H., Jacobs, K., & Liu, R. (2015). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Midwest Finance Association Annual Conference, Chicago, IL.

Doshi, H., Jacobs, K., & Liu, R. (2014). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. Inquire Europe Conference on "Macro Economic Factors & Finance", Stockholm, Sweden.

Doshi, H., Jacobs, K., & Liu, R. (2014). Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics. 3rd Annual Fixed Income Conference, Charleston, SC.