实证金融-张峥

1、.：.；课 程 大 纲课程编号：02812280授课对象：金融硕士课程称号：实证金融英文称号：Empirical Finance周学时/总学时：3/36学 分：2任课教师：刘玉珍、张翼、张峥开课学期：20212021第1学期 先修课程：金融学概论、证券投资学、公司财务、计量经济学 任课教师联络方式：刘玉珍教授光华2楼324，：62757699；: HYPERLINK mailto: 张翼副教授光华2楼363，：62757895；: HYPERLINK mailto: zhangyigsm.pku

2、.edu张峥副教授光华2楼372，：62767856；: HYPERLINK mailto: 辅导、答疑时间：一、课程概述本课程主要经过实证金融学研讨文献的讨论，引见资产定价和公司财务领域的实证研讨设计与方法，金融数据的运用与计算分析。课程内容包括资产定价模型的检验、共同基金、公司财务与治理、金融市场与机构、行为金融等等。二、课程目的本课程的主要的培育目的是：经过课程的学习，学生可以了解相关领域的研讨进展，独立设计实施一个实证金融的研讨工程，并规范地完成论文的写作。三、内容提要及学时分配内容学时上课时间授课教师1概述、论文

3、写作3学时2021年9月9日张峥2实证资产定价资产定价模型的检验3学时2021年9月16日张峥3实证资产定价共同基金3学时2021年9月23日张峥4实证资产定价行为金融3学时2021年9月30日刘玉珍5实证资产定价市场微构造3学时2021年10月14日刘玉珍6实证公司财务公司财务3学时2021年10月21日张翼7实证公司财务证券发行3学时2021年10月28日张翼8实证公司财务金融中介、银行的作用3学时2021年11月11日张翼9实证公司财务金融中介、银行的作用3学时2021年11月18日张翼10实证公司财务行为公司财务3学时2021年11月25日张翼四、阅读资料根据上课情况，详细内容能够会微

4、调第一部分：实证资产定价Empirical Asset Pricing*required for courseI. Cross sectional stock return and asset pricing model *Chen, Long, Robert Novy-Marx, Lu Zhang, 2021, An alternative three-factor model, working paper*Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional v

5、ariation in stock returns, Journal of Finance 52, 133.Davis, James, Eugene F. Fama, and Kenneth R. French, 2000, Characteristics, Covariances, and Average Returns: 1929 to 1997, Journal of Finance 55, 389-406.*Fama Eugene F. and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anom

6、alies, Journal of Finance 51, 55-84.Fama, Eugene F., and Kenneth R. French, 2021, Dissecting Anomalies, Journal of Finance 63, 1653-1678. Lee, C. M. C. and B. Swaminathan, 2000, Price Momentum and Trading Volume, Journal of Finance 55, 2021-2069.II. Mutual fund *Carhart, Mark M., 1997, On Persistenc

7、e in Mutual Fund Performance, Journal of Finance 52, 57-82.*Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ Wermers, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis 35, 343-368Fama, Euge

8、ne F. and Kenneth R. French, 2021, Mutual Fund Performance, working paper*Frazzini, Andrea, Lauren Cohen and Christopher Malloy, 2021 The Small World of Investing: Board Connections and Mutual Fund Returns, Journal of Political Economy, 116, 951-979French, Kenneth R., 2021, Presidential Address: The

9、 Cost of Active Investing, Journal of Finance 63, 1537-1573.III. Behavioral FinanceTrond M. Dskeland and Hans K. Hvid, HYPERLINK /journal/forth_abstract.asp?ref=639 Do Individual Investors Have Asymmetric Information Based on Work Experience? Journal of Finance, forthcoming. Amit Seru, Tyl

10、er Shumway, and Noah Stoffman, Learning by Trading, RFS Advance Access published on September 20, 2021.Enrichetta Ravina and Paola Sapienza, What Do Independent Directors Know? Evidence from Their Trading, RFS Advance Access published on April 13, 2021 Jie Gan, Housing Wealth and Consumption Growth:

11、 Evidence from a Large Panel of Households, RFS Advance Access published on February 9, 2021 IV. Market MicrostrutureTerrence Hendershot, Charles M. Jones, and Albert J. Menkveld, HYPERLINK /afa/forthcoming/6130p.pdf t _blank Does Algorithmic Trading Improve Liquidity?Richard W. Sias and D

12、avid A. Whidbee, Insider Trades and Demand by Institutional and Individual Investors, RFS Advance Access published on January 25, 2021.Andy Puckett and Xuemin (Sterling) Yan, HYPERLINK /journal/forth_abstract.asp?ref=637 The Interim Trading Skills of Institutional Investors, Journal of Fin

13、ance, forthcoming.Randi Ns, Johannes A. Skjeltorp, and Bernt Arne degaard, HYPERLINK /afa/forthcoming/6765p.pdf t _blank Stock Market Liquidity and the Business Cycle, Journal of Finance, forthcoming.第二部分：实证公司财务Empirical Corporate Finance*required for courseI. Capital Structure 1. Fischer,

14、 E., R. Heinkel, and J. Zechner, “Dynamic Capital Structure Choice: Theory and Tests, Journal of Finance (1989) Vol. 44, pp. 19-40.2. Fama, Eugene, and Kenneth French, 1998, “Taxes, Financing Decisions, and Firm Value, Journal of Finance (June 1998) Vol. 53, pp. 819-843.*3. Andrade, Gregor, and Kapl

15、an, Steven, “How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed, Journal of Finance (October 1998) Vol. 53, pp. 1443-1493.4. Hovakimian, Armen, Gayane Hovakimian, and Hassan Tehranian, Determinants of Target Capital Structure: The Case

16、 of Dual Debt and Equity Issues, Journal of Financial Economics (March 2004), Vol. 71, No. 3, pp. 517-540.5. Hennessy, Christopher A. and Toni Whited, 2004, “Debt Dynamics, Journal of Finance, 60, forthcoming.6. Hovakimian, Armen, 2005, “Are Observed Capital Structures Determined by Equity Market Ti

17、ming? Journal of Financial and Quantitative Analysis, forthcoming.7. Leary, Mark T., and Roberts, Michael R., 2004, “Do Firms Rebalance Their Capital Structures? Journal of Finance, forthcoming.*8. Flannery, Mark, and Kasturi Rangan, “Partial Adjustment toward Target Capital Structures unpublished 2

18、005 University of Florida working paper. Journal of Financial Economics, forthcoming.*9.Baker, Malcolm, and Jeffrey Wurgler. Market Timing and Capital Structure Journal of Finance 57, no. 1 (February 2002): 1-32.II Securities Issuance1.Lucas and McDonald, 1990, Equity issues and stock market price d

19、ynamics, Journal of Financial Economics, PP. 3-21 *2.Beatty, Randolph, and Jay Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics 15, 213-232*3. Benveniste, Lawrence, and Paul Spindt, 1989, How investment bankers determine t

20、he offer price and allocation of new issues, Journal of Financial Economics, PP. 343-62 4.Aggarwal, Reena, 2000, Stabilization activities by underwriters after initial public offerings, Journal of Finance, Vol. 55, 1075-1103*5.Loughran, Tim, and Jay Ritter, 1995, The new issues puzzle, Journal of Fi

21、nance, Vol.1 , No. 1, pp. 23-516.Baker, Malcolm, and Jeffrey Wurgler, 2000, The equity share in new issues and aggregate stock returns, Journal of Finance, Vol. 55, No. 5, 2219-57*7.Herzel, M., Smith, R.L., 1993. Market discounts and shareholder gains for placing equity privately. Journal of Finance

22、 48, 459485.8. JOSEPH AHARONY, Jevons Lee, T.J. Wong, Financial packaging of IPO firms in China, HYPERLINK JavaScript:WinOpen(); Journal of Accounting Research, Vol. 38, No. 1, Spring 2000III Financial Intermediation, Banks in Capital Markets, and Liquidity Constraints1. Stein, Jeremy C., “Agency, I

23、nformation and Corporate Investment, chapter in Constantinides, Harris, and Stulzs 2003 North-Holland Handbook of the Economics of Finance.2. Diamond, Douglas W., Financial Intermediation and Delegated Monitoring, Review of Economic Studies (1984), pp. 393-414.3. Rajan, Raghuram, Insiders and Outsid

24、ers: The Choice between Informed and Arms Length Debt, Journal of Finance (September 1992) Vol. 47, No. 4, pp. 7-1400.* 4. Petersen, Mitchell A. and Raghuran Rajan, The Benefits of Lending Relationships: Evidence from Small Business Data, Journal of Finance (March 1994) Vol. 49, No. 1, pp. 3-37.5. F

25、azzari, S., G. Hubbard, and B. Petersen, Financing Constraints and Corporate Investment, Brookings Papers on Economic Activity (1988) pp. 141-195.*6.Lummer, S., McConnell, J., 1989. Further evidence on the bank lending process and the capital market response to bank loan agreements. Journal of Finan

26、cial Economics 25, 99122.* 7. Houston, Joel, Chris James, and David Marcus, Capital Market Frictions and the Role of Internal Capital Markets in Banking, Journal of Financial Economics (November 1997) Vol. 46, No. 2, pp. -164.* 8. Baker, Malcolm, Jeremy C. Stein, and Jeffrey Wurgler, “When Does the

27、Market Matter? Stock Prices and the Investment of Equity-Dependent Firms, Quarterly Journal of Economics (August 2003) Vol. 118, pp. 969-1006. Japan:* 9. Gibson, Michael S., “Can Bank Health Affect Investment? Evidence from Japan, Journal of Business (July 1995), Vol. 68, No. 3, pp. 281-308.10.Morck

28、, R., Nakamura, M., Shivdasani, A., 2000. Banks, ownership structure, and firm value in Japan. Journal of Business 73, 539567.*11.Weinstein, D., Yafeh, Y., 1998. On the costs of a bank-centered financial system: Evidence from the changing main bank relations in Japan. Journal of Finance 53, 635672.E

29、ast Asia:12. K.C. John Wei, Yi Zhang, 2021, Ownership Structure, Cash Flow, and Corporate Investment: Evidence from East Asian Economies Before the Financial Crisis, Journal of Corporate Finance, 2021, volume 14, issue 2China:13. Lihui, Tian, Saul Estrin, 2007, Debt finaning, soft budget constraints, and goverbment ownership: evidence from China, Economics of Transition, 15(3)14. Xiaochi Lin, Yi Zhang, and Ning Zhu, 2021, Does Bank Ownership Increase Firm Value? Evidence from China, Journal of International Money and Finance, volume 2