金融研究生必讀書目和經(jīng)典文獻-金融市場學(xué)

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金融市場學(xué)

金融市場學(xué) 理論 作者 出處 發(fā)展

1、 隨機游走模型 Kendall, Osborn, Arnold Moore
2、 有效率市場假說(Efficient market hypothesis) Eugene Fama Eugene Fama， “Efficient Capital Market: a Review of Theory and Empirical Work”, Journal of Finance, May 1970
3、 規(guī)模效應(yīng)（或小公司效應(yīng)） Rolf Banz Banz,R.1981, “The relationship between return and market value of common stock”, Journal of Financial Economics 9:3-18 小公司效應(yīng)在一月份的前兩個星期最為明顯，見Donald Keim, “Size Related Anomalies and Stock Return Seasonality: Future Empirical Evidence”, Journal of Financial Economics, June 1983; Marshall Blume, Robert Stambaugh, “Biases in Computed Returns: an Application to Size Effect”, Journal of Financial Economics, August 1983.
4、 流動性效應(yīng) Amihud & Mendelson
5、 賬面價值/市場價值比率效應(yīng) Eugene Fama, Kenneth French Eugene Fama, Kenneth French, “The Cross Section of Expected Stock Returns”, Journal of Finance, June 1992.
6、 逆轉(zhuǎn)效應(yīng)（過度反應(yīng)） DeBondt, Thaler DeBondt, Thaler, “Does the Stock Market Overact?” Journal of Finance, (40)1985
7、 動力效應(yīng) N. Jegadeesh, S. Titman, N. Jegadeesh, S. Titman, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance, (48)1993
8、 股權(quán)溢價之謎 米拉，普雷斯科特 Mehra, R. and Prescott,E.1985. “The equity premium: a puzzle.” Journal of Monetary Economics 15(2)
9、 Grossman-Stiglitz悖論 Grossman, Sanford, J. and Stiglitz, J. E Grossman, Sanford, J. and Stiglitz, J. E., 1980,, “On the Impossibility of Informationally Efficient Markets”, American Economic Review 70, 393-408
10、 現(xiàn)代組合理論 　　 Harry Markowitz,　 Harry Markowitz, “Portfolio Selection”, Journal of Finance, March 1952
11、 資本資產(chǎn)定價模型（CAPM） 威廉?夏普 Sharpe,W.F. 1964, “Capital asset prices:a theory of market equilibrum under conditions risk”, Journal of Finance 19,September　 1.放松了關(guān)于所有資產(chǎn)都可以市場化的假設(shè)，推導(dǎo)出存在非市場化資產(chǎn)情況下的資產(chǎn)定價公式。David Mayers, “Nonmarketable Assets and Capital Market Equilibrium under Uncertainty”, In Studier in the Theory of Capital Markets, ed. Michael Jensen, New York: Praeger.2.多因素的資本資產(chǎn)定價模型Robert Merton, “An Intertemporal Capital Asset Pricing Model”, Econometrica, 1973.3.以消費為導(dǎo)向的資本資產(chǎn)定價模型Breeden D., “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, (7)1979.
12、 APT Stephen A. Ross Ross,S.A., “The arbitrage theory of capital asset pricing”,Journal of Economic Theory13（3），Dec.341-60
13、 共同基金定理(mutual fund theorem) James Tobin James Tobin, “Liquidity Preference as Behavior toward Risk”, The Review of Economic Studies, February 1958
14、 M－M定理（又稱不相關(guān)定理） Modigliani, Franco and Merton H. Miller Modigliani and Miller ,“The cost of capital, corporation finance, and the theory of investment” ,American Economic Review, 48：261－97，1958
15、 稅差主義 F. Modigliani, M. H. Miller F. Modigliani, M. H. Miller, “Dividend Policy, Growth and the Valuation of Shares”, Journal of Business, October 1961. F. Modigliani, M. H. Miller, “Corporate Income Taxes and the Cost of Capital: A Correction,” American economic Review, 53(June 1963) pp.433-443認識到稅收對資本結(jié)構(gòu)以及企業(yè)價值的稅盾（tax shield）效應(yīng)，對MM定理進行了修正。 Farrar, Donald E. and Selwyn, Lee L. “Taxes, Corporate Financial Policy and Return to Investment,” National Tax Journal, 20, No.4(Dec. 1967), pp.444-454Miller, Merton.H, “Debt and Taxes,” Journal of Finance 32,1977, pp.261-275從投資者之間在邊際稅率上的差異這個角度出發(fā)，在一般市場均衡的條件下，科學(xué)闡述了資本結(jié)構(gòu)理論。
16、 破產(chǎn)成本主義 Baxter, Nevins D. Baxter, Nevins D. “Leverage, Risk of Ruin and the Lost of Capital”, Journal of Finance, 22, no.4(September, 1967)pp.395-404 一旦債務(wù)超過可接受的水平，企業(yè)的平均資本成本就會隨著債務(wù)水平的增加而增高，從而增加破產(chǎn)的可能性，過度的債務(wù)融資還會增加企業(yè)全部盈利的風(fēng)險性，進而減少企業(yè)總價值。參考Stiglitz, Joseph E., “A Re-Examination of the Modigliani- Miller Theorem,” The American Review,59(Dec. 1969) pp.784-793Stiglitz, Joseph E., “On the Irrelevance of corporate Financial Policy,” The American Review,64(Dec. 1974) pp.851-856
17 權(quán)衡理論 Robichek, Alexander A., and Myers, Stewart, Robichek, Alexander A., and Myers, Stewart, “Problems in the Theory of Optimal Capital Structure”, Journal of Financial and Quantitative Analysis, 1,no.1(1966)Myers, Stewart, “The Capital Structure Puzzle,” Journal of Finance, 39, no.3(July 1984), pp.575-592　 Masulis, Ronald W. “Discuss: How Big is the Tax Advantage to Debt?” The Journal of Finance,39,no.3(July 1984), pp.853-855將負債的成本從破產(chǎn)成本進一步擴展到代理成本、財務(wù)困境成本以及非負債稅收收益的損失等方面，擴大了成本和收益的內(nèi)容，形成后權(quán)衡理論。
18、 代理成本理論 M. Jensen, W. Meckling, M. Jensen, W. Meckling, “The Theory of the Firm: Managerial Behavior, Agency Costs, and Capital Structure”, Journal of Financial Economics, May 1976.
19、 財務(wù)契約論 Smith, Clifford W. and Warner, Jerold B. Smith, Clifford W. and Warner, Jerold B. “On Financial Contracting: An Analysis of Bond Covenants,” Journal of Financial Economics (1979)117-161
20、 信號理論 Spence, A. M. and S. A. Ross Spence, A. M. “Job Marketing Signaling,” Quarterly Journal of Economics 87, 1973,pp.355-374 S. A. Ross, “The Determination of Financial Structure: the Incentive Signaling Approach”, Bell Journal of Economics, (8)1977將信號理論運用到資本結(jié)構(gòu)理論中。
21、 新融資優(yōu)序論 Myers, Stewart C. and Majluf, Nicholas S. Myers, Stewart C. and Majluf, Nicholas S. “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”, Journal of Financial Economics, 13(1984) pp.187-221
22、 公司控制權(quán)市場 Henry Manne Henry Manne, “Mergers and the Market for Corporate Control”, Journal of Political Economics(1965) pp110-120
23、 金融契約論 Grossman, Sanford and Hart, Oliver Grossman, Sanford and Hart, Oliver, “Takeover Bids, the Free Rider Problem, and the Theory of Corporation”, Bell Journal of Economics, 11, no.1(1980) pp42-63
24、 公司治理結(jié)構(gòu)學(xué)說 Williamson, Oliver E Williamson, Oliver E., “Corporate Finance and Corporate Governance”, Journal of Finance, 43 no.3(June 1988) pp.567-591
25、 自由現(xiàn)金流理論 Jensen, Michael C. Jensen, Michael C. “Agency Costs of Free Cash Flow, Corporate Finance and Takeover”, American Economic Review, May 1986, vol.76, no.2 pp323-329 Jensen, Michael C “The Free Cash Flow Theory of Takeover: A Ainancial Perspective on Mergers and Acquisitions and the Economy”, “The Merger Boom”, Proceedings of a conference sponsord by Federal Reserve Bank of Boston, Oct.1987, pp.102-143.
26、 市場無效說 Delong, Shleifer, Summers, Waldmann, Delong, Shleifer, Summers, Waldmann, “Noise Trader Risk in financial Markets”, Journal of Political Economy, (98)1990.
27、 行為資本資產(chǎn)定價模型 Hersh Shefrin, Meir Statman, Hersh Shefrin, Meir Statman, “Behavioral Capital Asset Pricing Theory”, Journal of Financial and Quantative Analysts, September 1994.
28、 期望理論（又稱前景理論） D. Kahneman, A.Tversky D. Kahneman, A.Tversky, “Prospect Theory: An Analysts of Decision Making Under Risk”, Econometrica, March 1979.
29、 積極反饋投資策略 Summers De long, J.B. Shleifer, A. Summers and Roberts J.W, “Positive feedback investment strategies and destabilizing rational speculation”, The Journal of Finance, Vol. 45
30、 噪聲交易 Noise trade Black ,F Black ,F, 1986, “Noise”,Journal of Finance 41,July:529-43
31、 MBO
32、 無套利模型 休伯曼 Huberman,G.1982, “A simple approach to arbitrage pricing”, Journal of Economic theory28：183－91
33、 布萊克－斯科爾斯期權(quán)定價模型 布萊克、斯科爾斯 Black,F. and Scholes,M.J.1973, “The pricing of options and corporate liabilities”, Journal of Political Economy81(3),May:637-54
34、 二項式期權(quán)定價模型 考克斯（Cox）、羅斯（Ross）、羅賓斯坦（Robinstein）等人于1979年在《金融經(jīng)濟學(xué)月刊》上發(fā)表了論文期權(quán)定價：一種簡易的方法
35、 貼現(xiàn)現(xiàn)金流模型(Discount cash flow model) 布倫南 Brennan,M. 1979, “The pricing of contingent claims in discrete time models”, Journal of Finance34 :53-68
36、 貝葉斯決策理論 Bayesian decision theory 托馬斯.貝葉斯 Bayes,T.1763,”An essay towards solving a problem in the doctrine of chances”, Philosophical Transactions of the royal society:370-418
37、 折舊的經(jīng)濟理論 霍特林 Hotelling ,H.1925. “A general mathematical theory of depreciation”, Journal of the American statistical association 20, September: 340-53
38、 違約溢價模型 默頓 Merton,R.C. 1974, “on the pricing of corporate debt: the risk structure of interest rates”, Journal of Finance 29:449-70
39、 股票回報模型 希勒 Shiller,R. 1981, “Do stock prices move too much to be justified by subsequent changes in dividends?” American Economic Review 71:421-36
40、 委托－代理模型 哈特 Hart,O. 1983 “Optimal lab information :an introduction”,Review of Economic Studies 50:3-35
41、 公司控制理論 施萊弗、薩默斯 Shleifer ,A. and Summers, L. 1988 , “Breach of trust in hostile takeovers”, In Corporate Takeovers: Causes and consequences ed. A. Auerbach, Chicago Press
42、 公司治理結(jié)構(gòu) 法馬 Fama,E. 1980, “Agency problems and the theory of the firm”, Journal of Political Economy 88:288-307
43、 委托－代理 (Principle and Agency) 羅斯 Ross,S. 1973, “The economic theory of agency: the principle’s problem”, American review 63(20，May:134-9
44、 非公開信息 哈里斯 Harris,I.E. “Liquidity, trading rules,and electronic trading systems”, Monograph Serious in Finance and Economics,New York University Salomon Ceter,New York
45、 風(fēng)險厭惡 普拉特 Pratt,J.W.1964.,“Risk aversion in small and in large”, Econometric 32:122-36
46、 理性泡沫模型 Flood, Garber Flood,R.P. and Garber, P.M. “Market fundamentals Versus price-level bubbles: The first Tests”, Journal of Political Economy, August 1980
47、 系統(tǒng)性風(fēng)險 威廉.夏普 Sharp,W.1964, “Capital asset prices: a theory of market equilibrium under conditions of risks” Journal of Finance 19:425-42
48、 股利折現(xiàn)模型
49、 股利增長模型