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 Related 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Robert 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 Stephen 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,

February 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. Modigliani, 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