金融学、公司金融参考阅读书目和论文(强烈推荐)

1、这是我学校一位教授（美国博士）介绍给我的参考书目(下面注释为该教授所写），主要是金融方面的，侧重Corporate Finance，不是简单的罗列，里面基本都是有价值的文章。主要提供给想做学术的朋友，做学术读大量的文章肯定是必须的，不是非学术所必须。如果大家喜欢，麻烦顶一下，谢谢！BooksFama, Eugene. 1976. “Foundations of Finance”. New York: Basic Books. ( 个人认为是最经典的书。写得好，讲得很清晰，有条不紊，读起来有意思。特别是基础不太好的同学，不可不读。)Fama, Eugene., and Miller, Merto

2、n. 1972. “The Theory of Finance”. Holt, Rinehart and Winston. (又是一本Fama的书。也很经典，但没什么印象了。)Campbell, J., Lo, A., and MacKinlay, A. 1997. “The Econometrics of Financial Markets”. Princeton: Princeton University Press. Cochrane, John, 2001. “Asset Pricing”. Princeton: Princeton University Press. (这就是号称“平

3、生不读Cochrane, 自称Finance 也枉然”的Cochrane的大作。其实，你要是不做Asset Pricing，看懂前几个Chapters足够了。不太明白为什么这本书在中国这么火，莫非中国学生都做Asset pricing? 希望不要弄得又像大炼钢铁一样的结果。)R. Haugen. “Modern Investment Theory”. Upper Saddle River NJ: Prentice-Hall, Inc. （有一定难度的书，不知道现在出到几版了。）Elton, E., and Gruber, M. 1995. “Modern Portfolio Theory an

4、d Investment Analysis”, 5th Edition. New York: John Wiley & Sons, Inc. (也不太容易。)Smith, C. 1990. “The Modern Theory of Corporate Finance”. 2nd-edition. McGraw-Hill. (对做corporate finance比较有用。这本书其实就是收录了比较早和比较经典的corporate finance方面的文章。有点像“XX文摘精华版”。现在价值不是很大，因为其中收录的许多文章后面的list里都有。) Asset Pricing, Long-

5、term Performance and Market Efficiency（这个我不在行，拣我知道的写。）Cochrane, John. “New Facts in Finance”. Federal Reserve Bank of Chicago. (这是个通俗易读版。适合想要了解一下这个area, 又不想读很多数学的人。)Breeden, Douglas T. 1979. “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”. Journal of F

6、inancial Economics 7, 265-296. (看不懂数学没有关系，关键是看懂intuition.)Merton, Robert. 1973. “An Intertemporal Capital Asset Pricing Model”. Econometrica 41, 265-296. (这篇也一样，注重模型的intuition.)Ross, S. 1976, “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory 13, 341-360.Sharpe, W. 1964. “Ca

7、pital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”. Journal of Finance 19, 425-442.Black, F. 1972. "Capital Market Equilibrium with Restricted Borrowing," Journal of Business 45, 444-455.Fama, E. 1991. “Efficient Capital Markets: II”. Journal of Finance 46, 1575-1

8、617. (很长一篇文章，内容又多，当时读得挺痛苦。)Fama, E. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”. Journal of Finance, 383-417.Chordia, Tarun., and Swaminathan, Bhaskaran. 2000. “Trading Volume and Cross-autocorrelations in Stock Returns”. Journal of Finance 55, 913-935. Narasimhan, Jegad

9、eesh., and Titman, Sheridan. 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”. Journal of Finance 56, 699-720.Fama, E. and MacBeth, J. 1973. “Risk, Return, and Equilibrium: Empirical Tests”.Journal of Political Economy 91, 607-636. (大名鼎鼎的Fama-MacBeth regression

10、 的出处。不过，Economists 好像并不买这个帐，觉得这种方法不make econometric sense. 吾也深有同感也。现在panel data等等都这么发达了，干嘛还死抱这种econometrics上面并不先进的方法不放呢？)Chen, N., Roll, R., and Ross, S. 1986. “Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories”. Journal of Business 59, 383-403. (说是叫testing

11、 APT, 其实更像testing CAPM. 很有名的，看了就知道。)Fama, E. and French, K. 1989. “Business Conditions and Expected Returns on Stocks and Bonds”. Journal of Financial Economics 25, 23-50. Fama, E. and French, K. 1992. “The Cross-Section of Expected Stock Returns”. Journal of Finance 47,? 427-465. Fama, E. and Frenc

12、h, K. 1993. “Common Risk Factors in the Returns on Stocks and Bonds”. Journal of Financial Economics 33, 3-56. (这三篇是Fama-French 的经典三部曲。Three-factor model, five-factor model 就是由此而来。Pontiff 曾经抱怨过，他在Rochester当学生的时候曾想过做个类似的paper, 但老师们告诉他 “You cant, because there is no theory.” 直到看到Fama-French的paper, 才感叹

13、到，“只要人有名，有没有theory并不重要啊”。)Kothari, S.P., Shanken, J., and Sloan, R. 1995. “Another Look at the Cross-Section of Expected Stock Returns”. Journal of Finance 50, 185-224. Lakonishok, J., Shleifer, A., and Vishny, R. 1994. “Contrarian Investment, Extrapolation, and Risk”. Journal of Finance 49, 1541-15

14、78. Chan, L., Jegadeesh, N., and Lakonishok, J. 1995. “Evaluating the Performance of Value Versus Glamour Stocks: The Impact of Selection Bias”. Journal of Financial Economics 38, 269-296.Lo, A. W., and MacKinlay, A. 1990. “Data-Snooping Biases in Tests of Financial Asset Pricing Models”. Review of

15、Financial Studies, 3, 431-467. Lewellen J. 1999. "The Time-Series Relations among Expected Returns". Journal of Financial Economics 54, 5-43. (Lewellen 是个美国帅哥, 在MIT做得不错。为人比较能和人交往，presentation 做得很好，属于那种交流表达能力都很出色的人。)Lewellen J., and Shanken, J. 2002. “Learning, Asset-Pricing Tests, and Mark

16、et Efficiency”. Journal of Finance, 1113-1145.Miller, Edward. 1977. “Risk, Uncertainty, and Divergence of Opinion”. Journal of Finance 32, 11651-1168. Jones, Charles M., and Lamont, Owen. 2002. “Short Sales Constraints and Stock Returns”. Journal of Financial Economics, 207-239.Chen, Joseph., Hong,

17、H., and Stein, J. 2002. “Breadth of Ownership and Stock Returns” Journal of Financial Economics, 171-205.Dechow, Patricia., Hutton, A., Muelbroek, L., and Sloan, R. 2001. “Short Sellers, Fundamental Analysis, and Stock Returns”. Journal of Financial Economics 61, 77-106. (Dechow 和Sloan都是做Accounting的

18、。据说因为合作得太多，两人走到了一起。)Dichev, Ilia D., and Piotroski, J. 2001. “The Long-run Stock Returns Following Bond Ratings Changes”. Journal of Finance 56, 173-203. Ikenberry, David., and Ramnath, Sundaresh. 2002, “Underreaction to Self-selected News Events: The Case of Stock-splits”. Review of Financial Studi

19、es 15, 489-526. Titman, Sheridan. 2002. “Discussion of Underreaction to Self-selected News Events: The Case of Stock-splits”. Review of Financial Studies 15, 527-531. Lakonishok, J., and Smidt, S. 1988. “Are Seasonal Anomalies Real? A Ninety-Year Perspective”. Review of Financial Studies 1, 403-427.

20、Lo, A., and MacKinlay, C. 1988. “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test”. Review of Financial Studies 1, 41-66.Keim, D., and Stambaugh, R. 1986. “Predicting Returns in the Stock and Bond Markets”. Journal of Financial Economics 17, 357-390. Ferson,

21、W., and Harvey, C. 1991. “The Variation of Economic Risk Premiums”. Journal of Political Economy 99, 385-415.Conrad, J., and Kaul, G. 1988, “Time Variation in Expected Returns”. Journal of Business, 409-426.Loughran, T., and Ritter, J. 1996, “Long-Term Market Overreaction: The Effect of Low-Priced S

22、tocks”. Journal of Finance, 1959-1970.Boudoukh, J., Richardson, M., and Whitelaw, R. 1994. “A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns”. Review of Financial Studies, 539-573.Jegadeesh, Narasimhan., and Titman, Sheridan. 1993, “Returns to Buying Winners and S

23、elling Losers: Implications for Stock Market Efficiency”. Journal of Finance 48, 65-91.Daniel, K., and Titman, S. 1997. “Evidence of the Characteristics of Cross Sectional Variation in Stock Returns”. Journal of Finance, 1-33.Jegadeesh, N., and Titman, S. 2001. "Profitability of Momentum Strate

24、gies: An Evaluation of Alternative Explanations". Journal of Finance 56, 699-720.Lakonishok, J., Shleifer, A., and Vishny, R. 1994. “Contrarian Investment, Extrapolation, and Risk”. Journal of Finance 49, 1541-1578. Grinblatt, M., and Titman, S. 1989. “Portfolio Performance Evaluation: Old Issu

25、es and New Insights”. Review of Financial Studies 2, 393-422. Brown, S., Goetzmann, W., Ibbotson, R., and Ross, S. 1992. “Survivorship Bias in Performance Studies”. Review of Financial Studies 5, 553-580. Fama, Eugene., and French, Kenneth. 1996. “Multifactor Explanations of Asset-pricing Anomalies”

26、. Journal of Finance 51, 55-84. Breeden, D., Gibbons, M., and Litzenberger, R. 1989. “Empirical Tests of the Consumption Oriented CAPM”. Journal of Finance 44, 231-262. Chan, K. C., Chen, N., and Hsieh, D. 1985. “An Exploratory Investigation of the Firm Size Effect”. Journal of Financial Economics 1

27、4, 451-471.Amihud, Y., and Mendelson, H. 1986. “Asset Pricing and the Bid-Ask Spread”. Journal of Financial Economics 17, 223-249. Ritter, J. 1991. “The Long-Run Performance of Initial Public Offerings”. Journal of Finance, 3-27. (Ritter 是long-term performance的开山祖师，提到long-term performance不能不提Ritter。

28、另外，他也是IPO的大家，对IPO感兴趣的可去他的网站看看。)Loughran, T., and Ritter, J. 1995. “The New Issues Puzzle”. Journal of Finance, 23-51. (是上一篇的加强版。)Schultz, P. 2003. “Pseudo Market Timing and the Long-Run Underperformance of IPOs,” Journal of Finance 58, 483-518. (90年代中期，关于long-term performance measurement的问题吵得热火朝天，至到

29、现在。)Barber, B., and Lyon, J. 1996. “Detecting Abnormal Operating Performance: The Empirical Power and Specification of Test Statistics”. Journal of Financial Economics 41, 359-99.BankingDiamond, Douglas W., and Dybvig, Philip H. 1983. “Bank Runs, Deposit Insurance,and Liquidity”, Journal of Politica

30、l Economy, 91, 401 - 419. (Banking中的经典，虽然我不是做banking的，但认为不可不读)Diamond, Douglas W. 1997. “Liquidity, Banks, and Markets”, Journal of Political Economy, 105, 928-956.Calomiris, Charles W., and Kahn, Charles. 1991. “The Role of Demandable Debt in Structuring Optimal Banking Arrangements”. American Econ

31、omic Review 81, 497-513.Kashyap, Anil K., Rajan, Raghuram., and Stein, Jeremy C. 2002. “Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-taking”. Journal of Finance 57, 33-73.Allen, Franklin., and Gale, Douglas. 1998. “Optimal Financial Crises”. Journal of Fina

32、nce, 53, 1245-1284.Allen, Franklin. 2001. “Presidential Address: Do Financial Institutions Matter?”. Journal of Finance, 56, 1165 - 1175.Allen, Franklin., and Santomero, Anthony M. 1998. “The Theory of Financial Intermediation”, Journal of Banking and Finance, 21, 1461-1485.Billett, Matthew T., Flan

33、nery, Mark J., and Garfinkel, Jon A. 1995. “The Effect of Lender Identity on a Borrowing Firm's Equity Return”. Journal of Finance, 50, 699-718. Behavioral Finance这是finance新兴的一个方向。主要是结合Asset Pricing 和Corporate Finance的理论加进心理学的一些东西进行empirical 方面的研究。其在Asset Pricing 这个方面主要是mispricing 的研究，Corporate

34、Finance这个方面可就多了。这里面的大家当然要属老当益壮的Richard Thaler, 和后起之秀Jeffery Wurgler. 大名鼎鼎的Shleifer也做不少这方面的研究。读了下面的几篇papers你应该能感觉到Behavioral Finance 是做什么的。感兴趣的，自已去他们的website把他们的papers都读一遍吧。Barberis, Nicholas and Thaler, Richard H. 2003. "A Survey of Behavioral Finance". Handbook of the Economics of Finance

35、. Baker, Malcolm., Ruback, Richard., and Wurgler, Jeffery. 2004. “Behavioral Corporate Finance: A Survey”. Handbook of Empirical Corporate Finance.Hirshleifer, D. 2001. “Investor Psychology and Asset Pricing”. Journal of Finance, 1533-1597.Fama, E. 1998. “Market Efficiency, Long-term Returns, and Be

36、havioral Finance”. Journal of Financial Economics, 283-306. (该文曾获JFE大奖。Fama 是个死忠 “Market is efficient” 的人，应此对他的观点要持一定的怀疑态度。)Shleifer, Andrei and Vishny, Robert W. 1997. “The Limits of Arbitrage”, Journal of Finance, 52, 35-55.Malmendier, U., and Tate, G. 2005. “CEO Overconfidence and Corporate Inves

37、tment”. Journal of Finance, 2661-2700. (这两个人都挺有个性。Malmendier 是个欧洲女孩，一头金发。听说以前是练体操的，难怪身材特像小女孩。加上说话又快，往前面一站就像个高中生。Tate 是个美国帅哥，Wharton的教授。很儒雅，说话也有板有眼。应该是许多女生的偶像。)Barberis, N., Shleifer, A., and Vishny, R. 1998. “A Model of Investor Sentiment”. Journal of Financial Economics, 307-343. Baker, M., and Wur

38、gler, J. 2000. “The Equity Share in New Issues and Aggregate Stock Returns”. Journal of Finance 55, 2219-2257. (Wurgler的处女作，也是这篇文章开始引起人们的注意。)Heaton, J. 2002. “Managerial Optimism and Corporate Finance”. Financial Management, 33-45.Corporate Finance: Introduction and Overview of Corporate FinanceBren

39、nan, 1995, “Corporate finance over the past 25 years”, Financial Management 24, Summer, 9-22.Hart, O., 1989, “An economists perspective on the theory of the firm”, Columbia Law Review 89, 1757-1774.Williamson, O., 1981, “The modern corporation: origins, evolution, attributes”, Journal of Economic Li

40、terature 1537-1568.Graham, J. and Harvey, C. 2000. “The Theory and Practice of Corporate Finance: Evidence from the Field”. Journal of Financial Economics 60, 187-244.Corporate Finance: Agency Theory and OwnershipFama, E., and Jensen, M. 1983. “Agency Problems and Residual Claims”. Journal of Law an

41、d Economics, 327-349.Fama, E., and Jensen, M. 1983. “Separation of Ownership and Control”. Journal of law and economics, 301-325.（美国现代金融Agency Theory 的开山之作。不过这两篇写得不是很好。非要两篇一起看才看得明白。） Fama, E. 1978. “The Effects of a Firms Investment and Financing Decisions on the Welfare of Its Securityholders”. Ame

42、rican Economic Review 68, 272-284. (这其实不完全算Agency theory, 但他用很通俗的英语解释了一个有意思的问题。)Jensen, M., and Meckling, W. 1976. "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics, 305-360. (这么经典的paper 就不用多介绍了吧。)Demsetz. 1983. “The Structure o

43、f Ownership and the Theory of the Firm”. Journal of Law and Economics 26, 375-390. (Demsetz关于ownership的看法别具一格。和上面的Jensen-Meckling对照着读更有体会。)Jensen, M. 1986. “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”. American Economic Review, 323-329. (在Corporate Finance领域家喻户晓的paper. 其他Financ

44、e的人没读过也基本上听说过。)Myers, S. 1977. “The Determinants of Corporate Borrowing”. Journal of Financial Economics 5, 146-175. (将agency problem between bondholders and stockholders 与firms investment strategy 联系起来的经典文章。)Parrino, R., and Weisbach, M. 1999. “Measuring Investment Distortions Arising from Stockhol

45、der-bondholder Conflict”. Journal of Financial Economics 53, 3-42 (也是获奖之作。方法很新颖，有创意，居然能想出用simulation来做corporate finance。不过，如果不是Weisbach, 估计也不好发。做research 就是这样，名人尝试新东西叫有创意，不出名的人尝试新东西叫冒险。)Harford, J. 1999. “Corporate Cash Reserves and Acquisitions”. Journal of Finance 54, 1969-1997. (Jarrad 也是少年成名，是Ro

46、chester毕业，JFE的嫡系部队。大概是JFE最年轻的Associate Editor. 目前corporate finance领域最出名的年轻俊杰之一。)Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R. 1999. “The Determinants and Implications of Corporate Cash Holdings”. Journal of Financial Economics, 52, 3-46.Lie, E. 2000. “Excess Funds and Agency Problems: An E

47、mpirical Study of Incremental Cash Disbursements”. Review of Financial Studies 13, 219-248.Morck, R., Shleifer, A., and Vishny, R. 1988. “Management Ownership and Market Valuation: An Empirical Analysis”. Journal of Financial Economics, 293-315.Corporate Finance: Information, Investors and Corporate

48、 Policy这里面有些不属于corporate finance 的范畴。他山之石，可以攻玉，知识面广一些对做research很有好处。不同领域本来就有交叉，想分很清楚也不太容易。Akerlof, George. 1970. “The market for “lemons”: Qualitative Uncertainty and the Market Mechanism”. Quarterly Journal of Economics, 89, 488-500. (要是让我列个My favorite Top 10 papers, 这篇文章绝对在其中。Akerlof 居然用最最简单的model

49、, 来把一个最最复杂的理论解释得清清楚楚，难怪能得诺贝尔奖。现在有些人正好相反，用最最复杂的model, 把一个最最简单的理论解释得晕头转向。这些人其实不应该做finance, 应该去搞数学或物理。)Ross, S. 1977. “The Determinants of Capital Structure: The Incentive-signaling Approach”. Bell Journal of Economics 8, 23-40. (Ross的这篇也很经典。提起他大多数人会想起APT, 其实他对corporate finance 贡献也很大。这篇很有上面提到的Akerlof的风

50、格，都是用很简单的model阐述一个深奥的理论。Ross这个人也很不错，平易近人，很幽默，健谈，没有一点架子，和谁都能见面熟。人格魅力指数：100/100。)Myers, S.C., and Majluf, N.? 1984. “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”. Journal of Financial Economics, 187-221. (影响很大的一篇文章。后来的IPO underpricing 和 Pecking o

51、rder theory 等等许多都基于此。可以说对corporate finance 各个领域都有影响。）Hart, O. 2001. “Financial Contracting”. Journal of Economic Literature 39, 1079-1100.Thakor. 1989. “Strategic Issues in Financial Contracting: An Overview”. Financial Management, 39-58.Spence, Michael. 1973. “Job market signaling”. Quarterly Journ

52、al of Economics, 87, 355-74.Rothschild, Michael., and Stiglitz, Joseph. 1976. “Equilibrium in Competitive Insurance Markets: an Essay on the Economics of Imperfect Information”. Quarterly Journal of Economics, 90, 629-649.Grossman, Sanford., and Stiglitz, Joseph E. 1980. “On the Impossibility of Inf

53、ormationally Efficient Markets”. American Economic Review, 70, 393-408.Merton, Robert C. 1987. “A Simple Model of Capital Market Equilibrium with Incomplete Information”. Journal of Finance, 483-510.Corporate Finance: Capital Structure, Financing Decisions, Investment and TaxesMiller, M., and Modigl

54、iani, F. 1958.“The Cost of Capital, Corporation Finance, and the Theory of Investment”. American Economic Review, 261-297. (什么，没读过？你洗洗睡吧。少数几篇做Finance而获诺贝尔经济学奖的大作，不读不行。)Miller, M., and Modigliani, F. 1963. “Corporate Income Taxes and the Cost of Capital: A Correction”. American Economic Review, 433-4

55、43. (这是他们AER1958大作的续篇。那篇大作中有一处错误，但当时没有什么人能看得懂这篇划时代的巨作，就像爱因斯坦当年发表相对论一样。直到5年后被他们自己发现，才有了这篇文章。不过，原文的结论不受影响，所以他们才在30几年后得了诺贝尔奖。) Harris, M. and A. Raviv. 1991. “The Theory of Capital Structure”. Journal of Finance, 297-368. (MM之后capital structure基本上被做烂了，文章数量只能用汗牛充栋来形容。看这篇review paper 能让你少看不少papers.) Bake

56、r, M., and Wurgler, J. 2002. “Market Timing and Capital Structure”, Journal of Finance, 1-32. (一篇很有创意的文章，算是behavioral corporate finance 最有代表性的佳作。该文引起很大争议，到今天批它的文章恐怕只有用过江之鲫来形容。到不是这俩人对头多，只是这篇文章影响太大，批它比批一篇不出名的文章更容易引起人们的兴趣，和方舟子打假有点相似。)Frank, M., and Goyal, V. 2003. “Testing the Pecking Order Theory of C

57、apital Structure”, Journal of Financial Economics 67, 217-248. (很有名的一篇paper, 虽然我不太喜欢。该文曾获JFE的奖，是近年来在capital structure这个领域有影响的文章。)Mehrotra, V., Mikkelson, M., and Partch, M. 2003. “The Design of Financial Policies in Corporate Spin-offs”. Review of Financial Studies 16, 1359-1388. (Idea有新意。Mikkelson

58、曾报怨这篇paper被under appreciated。)Berger, P., Ofek, E., and Yermack, D. 1997. “Managerial Entrenchment and Capital Structure Decisions”. Journal of Finance, 1411-1437.Masulis, R., 1980. “The Effects of Capital Structure Change on Security Prices: A Study of Exchange Offers”. 1980. Journal of Financial E

59、conomics, 139-178. Chemmanur, T., and Paolo, F. 1999. “A Theory of the Going-Public Decision”. Review of Financial Studies 12, 249-279.Dunbar, C. 1995. “The Use of Warrants as Underwriter Compensation in Initial Public Offerings”. Journal of Financial Economics 38, 59-78.DeAngelo, H., and Masulis, R. 1980. “Optimal Capital Structure under Corporate and Personal Taxatio