金融硕士研究生精读书目.doc

金融硕士研究生精读书目应用金融硕士研究生精读书目陈雨露、张杰、瞿强联合推荐2004-12-7 1、经济学原理N格里高利曼昆(N.Gregory Mankiw)，中国人民大学出版社。2、应用经济计量学拉姆拉玛纳山(Ramu Ramanathan)，机械工业出版社。3、货币金融学弗雷德里克S米什金(Fredcric S.Mishkin)，中国人民大学出版社。4、金融学兹维博迪、罗伯特默顿，中国人民大学出版社。5、公司理财斯蒂芬A罗斯，机械工业出版社。6、投资学精要兹维博迪，中国人民大学出版社。7、国际金融管理Jeff.Madura，北京大学出版社。8、固定收入证券市场及其衍生产品Suresh.M.Sundaresan，北京大学出版社。9、银行管理-教程与案例(第五版)，乔治H汉普尔，中国人民大学出版社。10、投资组合管理：理论及应用小詹姆斯法雷尔，机械工业出版社。11、衍生金融工具与风险管理唐M钱斯(Don.M.Chanc)，中信出版社攻读博士学位预备生精读书目陈雨露、张杰、瞿强联合推荐2004-12-7 1、经济学原理N格里高利曼昆(N.Gregory Mankiw)，中国人民大学出版社。2、应用经济计量学拉姆拉玛纳山(Ramu Ramanathan)，机械工业出版社。3、金融经济学(德)于尔根艾希贝格尔，西南财经大学出版社。4、货币金融学弗雷德里克S米什金(Fredcric S.Mishkin)，中国人民大学出版社。5、金融学兹维博迪、罗伯特默顿，中国人民大学出版社。6、国际经济学(美)保罗克鲁德曼，中国人民大学出版社。7、比较金融系统富兰克林艾伦，王晋斌等译，中国人民大学出版社。8、世界经济千年史(英)安格斯麦迪森(Angus Maddison)，北京大学出版社。9、金融市场与金融机构基础(美)弗朗哥莫迪利亚尼，清华大学出版社1999版。10、微观银行学弗雷克斯，西南财经大学出版社。11、公司理财斯蒂芬A罗斯，机械工业出版社。12、投资学兹维博迪，中国人民大学出版社金融学推荐阅读原创论文目录货币经济学货币经济学理论作者出处1、剑桥方程式马歇尔、庇古Pigou,A.C.,The value of moneyQuarterly Journal of Economics 32,Nov.38-56,1917 2、模仿传染模型Lux.T Lux.T,Herd behavior,bubbles and crashes,The Economic Journal,Vol.105,pp 881-896,1995 3、托宾q效应托宾Tobin,A general equilibrium approach to monetary theory,Journal of Money,Credit and Banking,pp15-29,Feb.1969 4、消费的财富效应莫迪利亚尼Franco Modigliani,Monetary Policy and Consumption,in Consumer Spending and Money Policy：The Linkages(Federal Reserve Bank of Boston.1971),pp9-84 5、流动性偏好凯恩斯Kenyes,J.M.,1936,The general theory of employment,interest rate and moneyin the collected writings of John Maynard Keeynes,Vol.6 London：Macmillan,1971 6、真实经济周期模型基德兰德、普雷斯科特Kydland,F.E.and Prescott,E.C.Time to build and aggregate fluctuations,Econometrica 50(6),November：1345-70,1982 7、泰勒规则泰勒Taylor J.,Discretion versus policy rules in practice,Carnegie-Rochester Conference Series on Public Policy,Vol.39,1993 8、动态非一致性博弈模型Kydland,F,E and Prescott,E.C.Kydland,F,E and Prescott,E.C.,Rules rather than discretion：the inconsistency of optimal plans,Journal of Political Economy,Vol.85,PP473,June 1977 9、MCI Freedman,C Freedman,C,The use of indicators and the monetary conditions index in Canadain Balino,T.J.T and Cottarelli,C eds.Frameworks of monetary stability-policy issues and country experiments,IMF,PP470,1994 10、跨期生活费用指数Alchian和Klein Alchian,KleinOn acorrect measure inflation,Journal of Money,Credit and Banking,Feb.1973 11、动态均衡物价指数Shibuya Shibuya,Dynamic equilibrium price index：asset price and inflation,Monetary and Economic Studies,Institute for Monetary and Economic Studies,Bank of Japan,10(1),1992 12、有弹性的通货膨胀目标Ben Bernanke and Mark Gertler Ben Bernanke and Mark Gertler,Monetary policy and asset price volatility,inNew Challenge for Monetary Policy,Jackson Hole,August 26-28,1999 13、金融体系内在脆弱性假说米什金Minsky,H.the financial instabilit yhypothesis：a restatement帕77 14、生命周期假说(Life cycle hypothesis)莫迪利亚尼、布伦伯格Modigliani,F and brumberg,F,1954,Utility analysis and the consumption function：an interpretation of cross-section data.in post-keynesian economics,ed.K.K.Kurihara,New Brunswick：Rutgers university pressModigliani,F and brumberg,F 1954.Utility analysis and aggregate consumption functions：an attempt at integrationin the collected papers of franco modigliani,vol.2,the life cycle hypothesis of saving,ed.A.Abel,Cambridge,Mass：MIT Press,1980：79-127 15、流动性偏好(Liquidity preference)凯恩斯Keynes，J.M.,1937,Alternative theories of the rate of interest,Economic Journal 47,June：241-52,in the general theory and after；part 2defence and development,collected writing of J.M.Keynes Vol.XIV,ed.D.E.Moggride,London：MacmllanKeynes，J.M.1936,The general theory of employment,interest and money,.In collected writing of J.M.Keynes Vol.XII,ed.D.E.Moggride,London：Macmllan 16、通货膨胀缺口(Inflation Gap)凯恩斯Keynes,J.M 1940,How to pay for the war,LodonMacmillan.Reprinted in essays in persuadsion：The collected Writing of Jonh Mayynard Keynes Vol.IX,London Macmillan,1972 17、IS-LM模型希克斯，汉森J.R.Hicks,1937,凯恩斯先生与古典经济学：一个尝试性解释，计量经济学年会18、银行的衍生存款理论(derivative deposit theory of banking)詹姆斯.彭宁顿Observations on the private banking establishments of the metropolis：first memorandum to huskisson,In Economic writings of James pennington,ed.R.S.sayers,London The London School of Economics and political Science,1963 19、金融加速因子伯南克，哥特勒等Ben Bernanke,Mark Gertler and Simon Gilchrist,The financial accelerator in aquantitative business cycle framework,NBER Working Paper 6455 20、费雪效应费雪Fisher,I.1930The theory of InterestNew York：Macmillan Company 21、乘数理论汉森Hansen,A.H.1941business cycles and national incomeNew York：Norton 22、稳定黄金法则23最优货币量学说米尔顿.弗里德曼Friedman,M.,1969,The optimal quantity of moneyin The optimum quantity of money and other essays,Chicago：Aldine 24、恒久性收入弗里德曼Friedman,M.1957,A theory of consumption function,Princeton university Press 25、鲍莫尔-托宾的存货理论鲍莫尔、托宾Baumol,W.J.1952The transactions demand for cash：an inventory theoretic approach,Quarterly Journal of Economics 66,Nov.545-56Tobin,J.1956The interest-elasticity of transactions demand for cash,Review of economics and statistics 29,May：124-31 26、理性预期模型汉森、萨金特Hansen,L.and Sargent,T.1981Linear rational expectations models for dynamically interrelated variables.In Rational Expectations and Econometric practice,ed.R.Lucas,Jr.and T.Sargent,Minneapolis：University of Minnesota Press 27、通货膨胀税28、金融结构雷蒙德.W.戈德史密斯发达国家的金融结构与经济增长-关于金融形态的比较试验,1955 29、金融抑制金融深化罗纳德I麦金农和爱德华S肖经济发展中的货币和资本与经济发展中的金融深化The American Economic Review，1970s 30、利率的期限结构模型萨金特Sargent,T.1979,A note on maximum likelihood estimation of the rational expectations model of the term structure,Journal of Monetary Economics 5：133-43 31、永久收入假设克里斯蒂诺、艾肯鲍姆、马歇尔Christensen,L.,Eichenbaum,M.and Marshall,D.1911.The permanent income hypothesis revisited,Econometrica 59；397-424 32、货币中性(Neutrality of money)哈耶克Hayek,F.A.von.1931Prices and production,London：George Routledge 33、货币交易方程式费雪Fisher,I.1911,The purchasing power of money,2nd revised edn.1926；reprinted New York：Kelley,1963 34、可贷资金理论35、流动性升水理论36、货币的替代效应37、哈恩难题国际金融国际金融理论作者出处1、购买力平价理论卡塞尔Cassel,G.1916,The present situation of the foreign exchanges,Economic Journal 26,March：62-5 2、资产组合平衡分析Branson Branson,Asset market and relative prices in exchange rate determination,1977 3、利率平价理论4、一价定律Izard Isard,p.1979,How far can we push the law of one price?American Economic Review 67 5、特里芬难题特里芬Triffen,R.1960,Golden and dollar crisis,New Haven：Yale University Press 6、M-F模型Mundell R.A Mundell R.A,The appropriate use of monetary and fiscal policy under fixed exchange rateIMF Staff Paper,1962 7、格雷欣法则Thomas Gresham 1560,Thomas Gresham 1869,The history of economics,London：bliss,sands and Co.8、J-曲线效应(J-curve effect)麦吉Magee,S.,1973,Currency contracts,pass-through,and devaluationBrookings paper on economic Activity9、国际收支的吸收分析法(Absorption approach to the balance of payments)亚历山大Alexander,S.S.,1952,effects of devaluation on atrade balance,International monetary fund Staff papers,Vol.2：263-78Alexander,S.S.,1959,A simplified synthesis of elastic ties and absorption approaches,American Economic Review 49：22-42 10、最优货币区理论(optimal currency areas)蒙代尔Mundell,R.A.1961,A theory of optimum currency areas,American Economic Review,September：657-65 11、国际收支的弹性分析方法(Elasticities approach to the balanc eof payments)查尔斯.比克迪克Bickerdike,C.F.1920,The instability of foreign exchange,Economic Journal 30,March：118-22 12、抵补利率平价(covered interest parity)凯恩斯Keynes,J.M,1923A tract on monetary reform,London：Macmillan 13、马歇尔-勒纳条件(Marshall-Lener Condition)马歇尔Marshall,A.1923Money,credit and commerceLondon：Macmillan 14、货币贬值的吸收方法悉尼.亚特兰大Alexander,S.1952,Effects of adevaluation on atrade balance,International Monetary Fund Staff Paper 2：263-78 15、货币贬值的货币方法蒙代尔Mundell,R.A.1971,monetary theorypacific palisades：Good year 16、国际收支依赖性经济模型斯旺Swan,T.W.1960,Economic control in adependent economy,Economic record 36：51-66 17、汇率超调模型多恩布什Dornbusch,R.1976,Expectations and exchange rate dynamics,Journal of Political Economy 84(6)：1161-76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 Moore 2、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 Fin ance,May 1970 3、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&Mendelson 5、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)1985 7、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)1993 8、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 70,393-408 10、现代组合理论Harry Markowitz,Harry Markowitz,Portfolio Selection,Journal of Finance,March 1952 11、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 Intertemporal Capital Asset Pricing Model,Econometrica,1973.3.以消费为导向的资本资产定价模型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(又称不相关定理)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、税差主义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认识到税收对资本结构以及企业价值的税盾(tax shield)效应，对MM定理进行了修正。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从投资者之间在边际税率上的差异这个角度出发，在一般市场均衡的条件下，科学阐述了资本结构理论。16、破产成本主义Baxter,Nevins D.Baxter,Nevins D.Leverage,Risk of Ruin and the Lost of Capital,Journal of Finance,22,no.4(September,1967)pp.395-404一旦债务超过可接受的水平，企业的平均资本成本就会随着债务水平的增加而增高，从而增加破产的可能性，过度的债务融资还会增加企业全部盈利的风险性，进而减少企业总价值。参考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权衡理论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将负债的成本从破产成本进一步扩展到代理成本、财务困境成本以及非负债税收收益的损失等方面，扩大了成本和收益的内容，形成后权衡理论。18、代理成本理论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、财务契约论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、信号理论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将信号理论运用到资本结构理论中。21、新融资优序论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、公司控制权市场Henry Manne Henry Manne,Mergers and the Market for Corporate Control,Journal of Political Economics(1965)pp110-120 23、金融契约论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、公司治理结构学说Williamson,Oliver EWilliamson,Oliver E.,Corporate Finance and Corporate Governance,Journal of Finance,43 no.3(June 1988)pp.567-591 25、自由现金流理论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 CThe Free Cash Flow Theory of Takeover：A Ainancial Perspective on Mergers and Acquisitions and the Economy,The Merger Boom,Proceedings of aconference sponsord by Federal Reserve Bank of Boston,Oct.1987,pp.102-143.26、市场无效说Delong,Shleifer,Summers,Waldmann,Delong,Shleifer,Summers,Waldmann,Noise Trader Risk in financial Markets,Journal of Political Economy,(98)1990.27、行为资本资产定价模型Hersh Shefrin,Meir Statman,Hersh Shefrin,Meir Statman,Behavioral Capital Asset Pricing Theory,Journal of Financial and Quantative Analysts,September 1994.28、期望理论(又称前景理论)D.Kahneman,A.Tversky D.Kahneman,A.Tversky,Prospect Theory：An Analysts of Decision Making Under Risk,Econometrica,March 1979.29、积极反馈投资策略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、噪声交易Noise trade Black,F Black,F,1986,Noise,Journal of Finance 41,July：529-43 31、MBO 32、无套利模型休伯曼Huberman,G.1982,A simple approach to arbitrag epricing,Journal of Economic theory28：183-91 33、布莱克-斯科尔斯期权定价模型布莱克、斯科尔斯Black,F.and Scholes,M.J.1973,The pricing of options and corporate liabilities,Journal of Political Economy81(3),May：637-54 34、二项式期权定价模型考克斯(Cox)、罗斯(Ross)、罗宾斯坦(Robinstein)等人于1979年在金融经济学月刊上发表了论文期权定价：一种简易的方法35、贴现现金流模型(Discount cash flow model)布伦南Brennan,M.1979,The pricing of contingent claims in discrete time models,Journal of Finance34：53-68 36、贝叶斯决策理论Bayesian decision theory托马斯.贝叶斯Bayes,T.1763,An essay towards solving aproblem in the doctrine of chances,Philosophical Transactions of the royal society：370-418 37、折旧的经济理论霍特林Hotelling,H.1925.A general mathematical theory of depreciation,Journal of the American statistical association 20,September：340-53 38、违约溢价模型默顿Merton,R.C.1974,on the pricing of corporate debt：the risk structure of interest rates,Journal of Finance 29：449-70 39、股票回报模型希勒Shiller,R.1981,Do stock prices move too much to be justified by subse quent changes in dividends?American Economic Review 71：421-36 40、委托-代理模型哈特Hart,O.1983Optimal lab information：an introduction,Review of Economic Studies 50：3-35 41、公司控制理论施莱弗、萨默斯Shleifer,A.and Summers,L.1988,Breach of trust in hostile takeovers,In Corporate Takeovers：Causes and consequences ed.A.Auerbach,Chicago Press 42、公司治理结构法马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)罗斯Ross,S.1973,The economic theory of agency：the principles problem,American review 63(20，May：134-9