金金融研究生必读参考书目列表(金融市场学)

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 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 Finance, 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 Rela ted 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Robe rt 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 Ste phen 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, Febr uary 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. Modiglian i, 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.575-592Masulis, 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 Financi ng and Investment Decisions When Firms Have Information That