金融研究生必读书目和经典文献—金融市场学.docVIP

金融研究生必读书目和经典文献-金融市场学 金融市场学金融市场学 理论 作者 出处 发展1、 随机游走模型 Kendall, Osborn, Arnold Moore2、 有效率市场假说(Efficient market hypothesis) Eugene Fama Eugene Fama， “Efficient Capital Market: a Review of Theory and Empirical Work”, Journal of Finance, May 19703、 规模效应（或小公司效应） Rolf Banz Banz,R.1981, “The relationship between return and market value of common stock”, Journal of Financial Economics 9:3-18 小公司效应在一月份的前两个星期最为明显，见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、 流动性效应 Amihud Mendelson5、 账面价值/市场价值比率效应 Eugene Fama, Kenneth French Eugene Fama, Kenneth French, “The Cross Section of Expected Stock Returns”, Journal of Finance, June 1992.6、 逆转效应（过度反应） DeBondt, Thaler DeBondt, Thaler, “Does the Stock Market Overact?” Journal of Finance, (40)19857、 动力效应 N. Jegadeesh, S. Titman, N. Jegadeesh, S. Titman, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance, (48)19938、 股权溢价之谜 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悖论 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, 393-40810、 现代组合理论 　　 Harry Markowitz,　 Harry Markowitz, “Portfolio Selection”, Journal of Finance, March 195211、 资本资产定价模型（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.放松了关于所有资产都可以市场化的假设，推导出存在非市场化资产情况下的资产定价公式。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.多因素的资本资产定价模型Robert Merton, “An Intertempo