金融经济学经典文献

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金融经济学经典文献



汪炜 推荐2008/11



Articles：



Kenneth J. Arrow：The Role of Securities in the Optimal Allocation of Risk-bearing，Econometrie，1953；Review of Economic Studies，1964/31

K. Arrow、G. Debreu：Existence of An Equilibrium for A Competitive Economy，Econometrica，1954/22

Harry Markowitz：Portfolio Selection，Journal of Finance，1952/7 Franco Modigliani、Merton H. Miller：The cost of Capital, Corporation Finance and the Theory of Investment，American Economic Review，1958/48

William F. Sharpe：Capital asset prices:A theory of capital market equilibrium under conditions of risk，Journal of Finance，1964/19

Eugene F. Fama：Efficient Capital Markets:A Review of Theory and Empirical Work，Journal of finance，1970/25

Fisher Black、Myron Scholes：The Pricing of Options and Corporate Liabilities，Journal of Political Economy，1973/81

Robert C. Merton：An Intertemporal Capital Asset Pricing Model，Econometrica，1973/41 Robert C. Merton：The Theory of Rational Option Pricing，Bell Journal of Economics and Management Science，1973/4

Stephen A. Ross：The Arbitrage Theory of Capital Asset Pricing，Journal of Economic Theory，1976 /13

R.Roll：A Critique of the Asset Pricing Theory's Tests，Journal of Financial Economics，1977/4 Stephen A. Ross：A Simple Approach to The Valuation of Risky Streams，Journal of Business，1978/51

John C.Cox、Steven Ross、MarK Rubinstein：Options Pricing: A Simplified Approach，Journal of Financial Economics，1979/ 7

Michael H. Harrison、David M. Kreps：Martingales and Arbitrage in Multiperiod Securities Markets，Journal of Economic Theory，1979/20

Daniel Kahneman、Tversdy：Prospect Theory: An Analysis of Decision Making Under Risk，Econometrica，1979/47 R.Roll、Stephen A. Ross：An Empirical Investigation of The Arbitrage Pricing Theory，Journal of Finance，1980/35

S.Grossman、J.Stiglitz：On the Impossibility of Informationally Efficient Markets，American Economic Review，1980/70 David M. Kreps：Arbitage and Equilibrium in Economics with Infinitely Commodities，Journal of Mathematical Economics，1981/8 John C. Cox、Jonathan E. Ingersoll、Stephen A. Ross：A theory of the Term Structure of Interest


Rates，Econometrica，1985/53

Darrell Duffie、Chi-Fu Huang：Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities，Econometrica，1985/53

Harris、M. A.Raviv：The Theory of Capital Structure，Journal of Finance，1991/ 49

Eugene F. Fama、Kenneth R. French：Multifactor explanations of asset pricing anomalies，Journal of Finance，1996/51

Hersh Shefrin、Meir Statman：Behavioral Portfolio Theory，Journal of Financial and Quantitative Analysis，2000/ 35

Literatures：



Harry Markowitz：Portfolio Selection: Efficient Diversification of Investment，Cambridge:Basil Blackwell，1959（1991 Second ed.）

William F. Sharpe：Portfolio Theory and Capital Markets，McGraw-Hill，1970（2000 Second ed.）

Robert C. Merton：Continuous-Time Finance，Oxford:Blackwell，1992 M. O'Hara：Market Microstructure Theory，Basil Black-well，1995

D. Duffie：Dynamic Asset Pricing Theory，Princeton University Press，1996

Andrei Shleifer：Inefficient Markets: An Introduction to Behavioral Finance，Oxford University Press，2000

Robert J. Shiller：Irrational Exuberance，Princeton University Press，2000

Peter L. Bernstein：Investment Revolution，1992

Peter L. Bernstein：Capital Ideas Evolving，John Wiley & Sons, Inc. 2007

Surveys：



D.Duffie：The New Palgrave: Finance, A Review，Journal of Monetary Economics，Vol. 25，1990 John Y. Campbell：Asset Pricing at the Millennium，Harvard Institute of Economic Research Working Papers 1897, 2000

G.Hawawini、D.B.Keim：The Cross Section of Common Stock Returns:A Review of the Evidence and Some New Findings，Working Paper，1998；Cambridge University Press，2000 Ananth Madhavan：Market Microstructure: A Survey，Working Paper，2000

Nicholas Barberis、Richard Thaler：A Survey of Behavioral Finance，Working Paper，2001 Sanjiva Prasad、Christopher J.Green、Victor Murinde：Company Financing, Capital Structure, and Ownership: A Survey, and Implications For Developing Economies，Working Paper，2001 Bruno Biais、Larry Glosten、Chester Spatt：The Microstructure of Stock Markets，Working Paper，2002


Textbooks：



J.E.Ingersoll：Theory of Financial Decision Making，Rowman & Littlefield Publishers Inc.，1987 Robert Jarrow：Finance Theory，Prentice-Hall，1988

Huang、Litzenberger：Foundations of Financial Economics，PrenticeHall，1988、1998 D.Duffie：Security Markets: Stochastic Models，Boston: Academic Press，1988 D.Duffie：Dynamic Asset Pricing Theory，Third English Edition, Princeton University Press，2001 John H.Cochrane：Asset Pricing，Princeton University Press, Princeton，2001

Leroy、Ross：Principle of Financial Economics，Cambridge University Press，2001 G.Constantinides、M.Harris、R.Stulz：Handbook of the Economics of Finance，North-Holland，2003

Z.Bodie、R.Merton：Finance，Prentice Hall，2000 J.Campbell、A.Lo、A.MacKinley：The Econometrics of Financial Markets，Princeton University Press，1997

John Hull：Options,Futures, and other Derivatives，5th ed.，Prentice-Hall，2003 Reto Gallati：Investment，MIT Sloan，Spring 2003

Z. Bodie、A. Kane、A.Marcus：Investment，6th ed.，McGrill Hill Inc.，2005

S.Ross、Westerfield、Jaffe：Corporate Finance，6th Edition，Mcgraw Hill，2005 Jean Tirole：The Theory of Corporate Finance，Princeton University Press，2006

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