金金融研究生必读参考书目列表(金融市场学).doc

凯程考研，为学员服务，为学生引路！金金融研究生必读参考书目列表（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 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.341-6013、 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 195814、 MM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, 48：26197，195815、 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.851-85617 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)117-16120、 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.187-22122、 公司控制权市场 Henry Manne Henry Manne, “Mergers and the Market for Corporate Control”, Journal of Political Economics(1965) pp110-12023、 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) pp42-6324、 公司治理结构学说 Williamson, Oliver E Williamson, Oliver E., “Corporate Finance and Corporate Governance”, Journal of Finance, 43 no.3(June 1988) pp.567-59125、 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 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. 4530、 噪声交易 Noise trade Black ,F Black ,F, 1986, “Noise”,Journal of Finance 41,July:529-4331、 MBO32、 无套利模型 休伯曼 Huberman,G.1982, “A simple approach to arbitrage pricing”, Journal of Economic theory28：1839133、 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:637-5434、 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 :53-6836、 贝叶斯决策理论 Bayesian decision theory 托马斯.贝叶斯 Bayes,T.1763,”An essay towards solving a problem in the doctrine of chances”, Philosophical Transactions of the royal society:370-41837、 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: 340-5338、 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 29:449-7039、 股票回报模型 希勒 Shiller,R. 1981, “Do stock prices move too much to be justified by subsequent changes in dividends?” American Economic Review 71:421-3640、 委托代理模型 哈特 Hart,O. 1983 “Optimal lab information :an introduction”,Review of Economic Studies 50:3-3541、 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