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金融学推荐阅读
原创论文目录2007-12-23 20:41金融学推荐阅读
原创论文目录货币经济学货币经济学 理论 作者 出处1、 剑桥方程式 马歇尔、庇古 PigouA.C. “The value of money” QuarterlyJournal of Economics 32Nov.38-5619172、 模仿传染模型 Lux. T Lux.T “Herd behavior bubbles and crashes”The Economic Journal Vol. 105 pp 881-896 19953、 托宾 q 效应 托宾 Tobin “A general equilibrium approach to monetarytheory” Journal of Money Credit and Banking pp15-29 Feb. 19694、 消费的财富效应 莫迪利亚尼 Franco Modigliani “Monetary Policy andConsumption” in Consumer Spending and Money Policy: The LinkagesFederal Reserve Bank of Boston. 1971 pp9-845、 流动性偏好 凯恩斯 KenyesJ.M.1936“The general theory ofemployment interest rate and money” in the collected writings of JohnMaynard KeeynesVol.6 London :Macmillan19716、 真实经济周期模型 基德兰德、普雷斯科特 KydlandF.E.andPrescottE.C.. “Time to build and aggregate fluctuations”Econometrica 506November:1345-70 19827、 泰勒规则 泰勒 Taylor J. “Discretion versus policy rules inpractice” Carnegie-Rochester Conference Series on Public PolicyVol.39 19938、 动态非一致性博弈模型 KydlandFE and PrescottE.C. KydlandFE andPrescottE.C. “Rules rather than discretion: the inconsistency ofoptimal plans” Journal of Political Economy Vol.85 PP473 June 19779、 MCI Freedman C Freedman C “The use of indicators and the monetaryconditions index in Canada” in Balino T.J.T and CottarelliC eds.“Frameworks of monetary stability-policy issues and countryexperiments” IMF PP470 199410、 跨期生活费用指数 Alchian 和 Klein Alchian Klein “On a correctmeasure inflation” Journal of Money Credit and Banking Feb. 197311、 动态均衡物价指数 Shibuya Shibuya “Dynamic equilibrium priceindex: asset price and inflation” Monetary and Economic StudiesInstitute for Monetary and Economic Studies Bank of Japan 101 199212、 有弹性的通货膨胀目标 Ben Bernanke and Mark Gertler Ben Bernanke andMark Gertler“Monetary policy and asset price volatility” in “NewChallenge for Monetary Policy” Jackson Hole August 26-28199913、 金融体系内在脆弱性假说 米什金 MinskyH.“the financial instabilityhypothesis: a restatement ”帕 7714、 生命周期假说 Life cycle hypothesis 莫迪利亚尼、布伦伯格ModiglianiF and brumberg F 1954 “ Utility analysis and theconsumption function :an interpretation of cross-section data.inpost-keynesian economics” ed.K.K. Kurihara New Brunswick: Rutgersuniversity pressModiglianiF and brumberg F 1954. “Utility analysis andaggregate consumption functions :an attempt at integration” in thecollected papers of franco modigliani vol.2the life cycle hypothesisof savinged.A.Abel Cambridge Mass: MIT Press1980:79-12715、 流动性偏好 Liquidity preference 凯恩斯 Keynes,J.M. 1937 “Alternative theories of the rate of interest” Economic Journal47 June : 241-52 in the general theory and after part 2 defence anddevelopment collected writing of J.M. Keynes Vol.XIV ed.D.E. MoggrideLondon: MacmllanKeynes,J.M. 1936 “The general theory of employmentinterest and money”.In collected writing of J.M. Keynes Vol.XII ed.D.E. Moggride London: Macmllan16、 通货膨胀缺口 Inflation Gap 凯恩斯 Keynes J.M 1940”How to payfor the war” Lodon” Macmillan. Reprinted in essays in persuadsion: Thecollected Writing of Jonh Mayynard Keynes Vol.IX London Macmillan197217、 IS-LM 模型 希克斯,汉森 J.R.Hicks1937《凯恩斯先生与古典经济学:一个尝试性解释》,计量经济学年会18、 银行的衍生存款理论derivative deposit theory of banking 詹姆斯.彭宁顿 “Observations on the private banking establishments of themetropolis: first memorandum to huskisson” In Economic writings ofJames pennington ed. R.S. sayers London The London School of Economicsand political Science 196319、 金融加速因子 伯南克,哥特勒等 Ben Bernanke Mark Gertler and SimonGilchrist “The financial accelerator in a quantitative business cycleframework” NBER Working Paper 645520、 费雪效应 费雪 Fisher I. 1930 “The theory of Interest” New York:Macmillan Company21、 乘数理论 汉森 HansenA.H.1941 “business cycles and nationalincome” New York: Norton22、 “稳定黄金”法则23 最优货币量学说 米尔顿.弗里德曼 FriedmanM.1969 “The optimalquantity of money” in The optimum quantity of money and other essaysChicago: Aldine24、 恒久性收入 弗里德曼 FriedmanM. 1957 “A theory of consumptionfunction” Princeton university Press25、 鲍莫尔-托宾的存货理论 鲍莫尔、托宾 Baumol W.J. 1952 “Thetransactions demand for cash: an inventory theoretic approach” Quarterly Journal of Economics 66Nov. 545-56Tobin J. 1956 “Theinterest –elasticity of transactions demand for cash” Review ofeconomics and statistics 29 May :124-3126、 理性预期模型 汉森、萨金特 Hansen L. and Sargent T. 1981 “Linearrational expectations models for dynamically interrelated variables. InRational Expectations and Econometric practice ed. R.Lucas Jr. and T.Sargent Minneapolis: University of Minnesota Press27、 通货膨胀税28、 金融结构 雷蒙德.W.戈德史密斯 《发达国家的金融结构与经济增长-关于金融形态的比较试验》195529、 金融抑制金融深化 罗纳德I麦金农和爱德华S肖 《经济发展中的 与货币和资本》 《经济发展中的金融深化》 The American Economic Review,1970s30、 利率的期限结构模型 萨金特 Sargent T. 1979 “A note on maximumlikelihood estimation of the rational expectations model of the termstructure” Journal of Monetary Economics 5:133-4331、 永久收入假设 克里斯蒂诺、艾肯鲍姆、马歇尔 ChristensenL.Eichenbaum M. and Marshall D. 1911. “The permanent income hypothesisrevisited” Econometrica 59397-42432、 货币中性 Neutrality of money 哈耶克 HayekF.A. von. 1931 “Pricesand production” London: George Routledge33、 货币交易方程式 费雪 FisherI.1911 “The purchasing power ofmoney” 2nd revised edn.1926 reprinted New York:Kelley196334、 可贷资金理论35、 流动性升水理论36、 货币的替代效应37、 哈恩难题国际金融国际金融 理论 作者 出处1、 购买力平价理论 卡塞尔 CasselG. 1916 “The present situation of theforeign exchanges” Economic Journal 26March: 62-52、 资产组合平衡分析 Branson Branson” Asset market and relative pricesin exchange rate determination” 19773、 利率平价理论4、 一价定律 Izard Isard p. 1979 “How far can we push the law of oneprice” American Economic Review 675、 特里芬难题 特里芬 TriffenR.1960 “ Golden and dollar crisis” NewHaven: Yale University Press6、 M-F 模型 Mundell R.A Mundell R.A “The appropriate use of monetaryand fiscal policy under fixed exchange rate” IMF Staff Paper 19627、 格雷欣法则 Thomas Gresham 1560 Thomas Gresham 1869 “The historyof economics” London: bliss sands and Co.8、 J-曲线效应 J-curve effect 麦吉 Magee S. 1973 “Currencycontracts pass-through and devaluation” Brookings paper on economicActivity”9、 国际收支的吸收分析法Absorption approach to the balance of payments亚历山大 Alexander S. S. 1952 “effects of devaluation on a tradebalance” International monetary fund Staff papersVol.2:263-78Alexander S.S.1959 “A simplified synthesis of elasticties and absorption approaches” American Economic Review 49:22-4210、 最优货币区理论 optimal currency areas 蒙代尔 MundellR.A.1961“A theory of optimum currency areas” American EconomicReviewSeptember:657-6511、 国际收支的弹性分析方法 Elasticities approach to the balance ofpayments 查尔斯.比克迪克 Bickerdike C.F.1920 “The instability offoreign exchange” Economic Journal 30March:118-2212、 抵补利率平价 covered interest parity 凯恩斯 KeynesJ.M1923 “Atract on monetary reform” London: Macmillan13、 马歇尔-勒纳条件 Marshall-Lener Condition 马歇尔MarshallA.1923 “Money credit and commerce” London: Macmillan14、 货币贬值的吸收方法 悉尼.亚特兰大 AlexanderS. 1952 “Effects of adevaluation on a trade balance” International Monetary Fund Staff Paper2 :263-7815、 货币贬值的货币方法 蒙代尔 MundellR.A. 1971 “monetary theory”pacific palisades: Good year16、 国际收支依赖性经济模型 斯旺 Swan T.W. 1960 “Economic control ina dependent economy” Economic record 36:51-6617、 汇率超调模型 多恩布什 Dornbusch R. 1976 “Expectations andexchange rate dynamics” Journal of Political Economy 846:1161-76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 BanzR.1981 “The relationshipbetween return and market value of common stock” Journal of FinancialEconomics 9:3-18 小公司效应在一月份的前两个星期最为明显,见 DonaldKeim “Size Related Anomalies and Stock Return Seasonality: FutureEmpirical Evidence” Journal of Financial Economics June 1983 MarshallBlume Robert Stambaugh “Biases in Computed Returns: an Application toSize Effect” Journal of Financial Economics August 1983.4、 流动性效应 Amihud amp Mendelson5、 账面价值/市场价值比率效应 Eugene Fama Kenneth French Eugene FamaKenneth French “The Cross Section of Expected Stock Returns” Journalof Finance June 1992.6、 逆转效应(过度反应) DeBondt Thaler DeBondt Thaler “Does the StockMarket Overact” Journal of Finance 4019857、 动力效应 N. Jegadeesh S. Titman N. Jegadeesh S. Titman “Returnto Buying Winners and Selling Losers: Implications for Stock MarketEfficiency” Journal of Finance 4819938、 股权溢价之谜 米拉,普雷斯科特 Mehra R. and PrescottE.1985. “Theequity premium: a puzzle.” Journal of Monetary Economics 1529、 Grossman-Stiglitz 悖论 Grossman Sanford J. and Stiglitz J. EGrossman Sanford J. and Stiglitz J. E. 1980 “On the Impossibilityof Informationally Efficient Markets” American Economic Review 70393-40810、 现代组合理论 Harry Markowitz Harry Markowitz “PortfolioSelection” Journal of Finance March 195211、 资本资产定价模型 (CAPM) 威廉夏普 SharpeW.F. 1964 “Capital assetprices:a theory of market equilibrum under conditions risk” Journal ofFinance 19September 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 “NonmarketableAssets and Capital Market Equilibrium under Uncertainty” In Studier inthe 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 AssetPricing 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 StochasticConsumption and Investment Opportunities” Journal of FinancialEconomics 71979.12、 APT Stephen A. Ross RossS.A. “The arbitrage theory of capital assetpricing”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 EconomicStudies February 195814、 M-M 定理(又称不相关定理) Modigliani Franco and Merton H. MillerModigliani and Miller “The cost of capital corporation finance andthe theory of investment” American Economic Review 48:261-97,195815、 税差主义 F. Modigliani M. H. Miller F. Modigliani M. H. Miller“Dividend Policy Growth and the Valuation of Shares” Journal ofBusiness October 1961. F. Modigliani M. H. Miller “Corporate IncomeTaxes and the Cost of Capital: A Correction” American economic Review53June 1963 pp.433-443 认识到税收对资本结构以及企业价值的税盾(taxshield)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” NationalTax Journal 20 No.4Dec. 1967 pp.444-454Miller Merton.H “Debt andTaxes” Journal of Finance 321977 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 Riskof Ruin and the Lost of Capital” Journal of Finance 22 no.4September1967pp.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. “ARe-Examination of the Modigliani- Miller Theorem” The AmericanReview59Dec. 1969 pp.784-793Stiglitz Joseph E. “On the Irrelevanceof corporate Financial Policy” The American Review64Dec. 1974pp.851-85617 权衡理论 Robichek Alexander A. and Myers Stewart RobichekAlexander A. and Myers Stewart “Problems in the Theory of OptimalCapital Structure” Journal of Financial and Quantitative Analysis1no.11966Myers Stewart “The Capital Structure Puzzle” Journal ofFinance 39 no.3July 1984 pp.575-592 Masulis Ronald W. “Discuss:How Big is the Tax Advantage to Debt” The Journal ofFinance39no.3July 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 “TheTheory of the Firm: Managerial Behavior Agency Costs and CapitalStructure” Journal of Financial Economics May 1976.19、 财务契约论 Smith Clifford W. and Warner Jerold B. Smith CliffordW. and Warner Jerold B. “On Financial Contracting: An Analysis of BondCovenants” Journal of Financial Economics 1979117-16120、 信号理论 Spence A. M. and S. A. Ross Spence A. M. “Job MarketingSignaling” Quarterly Journal of Economics 87 1973pp.355-374 S. A.Ross “The Determination of Financial Structure: the Incentive SignalingApproach” Bell Journal of Economics 81977 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 StewartC. and Majluf Nicholas S. “Corporate Financing and Investment DecisionsWhen Firms Have Information That Investors Do Not Have” Journal ofFinancial Economics 131984 pp.187-22122、 公司控制权市场 Henry Manne Henry Manne “Mergers and the Market forCorporate Control” Journal of Political Economics1965 pp110-12023、 金融契约论 Grossman Sanford and Hart Oliver Grossman Sanford andHart Oliver “Takeover Bids the Free Rider Problem and the Theory ofCorporation” Bell Journal of Economics 11 no.11980 pp42-6324、 公司治理结构学说 Williamson Oliver E Williamson Oliver E.“Corporate Finance and Corporate Governance” Journal of Finance 43no.3June 1988 pp.567-59125、 自由现金流理论 Jensen Michael C. Jensen Michael C. “Agency Costsof Free Cash Flow Corporate Finance and Takeover” American EconomicReview May 1986 vol.76 no.2 pp323-329 Jensen Michael C “The Free CashFlow Theory of Takeover: A Ainancial Perspective on Mergers andAcquisitions and the Economy” “The Merger Boom” Proceedings of aconference sponsord by Federal Reserve Bank of Boston Oct.1987pp.102-143.26、 市场无效说 Delong Shleifer Summers Waldmann Delong ShleiferSummers Waldmann “Noise Trader Risk in financial Markets” Journalof Political Economy 981990.27、 行为资本资产定价模型 Hersh Shefrin Meir Statman Hersh ShefrinMeir Statman “Behavioral Capital Asset Pricing Theory” Journal ofFinancial and Quantative Analysts September 1994.28、 期望理论(又称前景理论) D. Kahneman A.Tversky D. KahnemanA.Tversky “Prospect Theory: An Analysts of Decision Making UnderRisk” Econometrica March 1979.29、 积极反馈投资策略 Summers De long J.B. Shleifer A. Summers andRoberts J.W “Positive feedback investment strategies and destabilizingrational speculation” The Journal of Finance Vol. 4530、 噪声交易 Noise trade Black F Black F 1986 “Noise”Journal ofFinance 41July:529-4331、 MBO32、 无套利模型 休伯曼 HubermanG.1982 “A simple approach to arbitragepricing” Journal of Economic theory28:183-9133、 布莱克-斯科尔斯期权定价模型 布莱克、斯科尔斯 BlackF. andScholesM.J.1973 “The pricing of options and corporate liabilities”Journal of Political Economy813May:637-5434、 二项式期权定价模型 考克 、 (Ross) 罗 斯 坦 斯(Cox) 罗斯 、宾 (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.