上海财大“金融实证”课程 休斯顿大学吴国俊

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I. Market Microstructure Biases and Estimation Problems

A. Bid-Ask Spread Biases

1. Class Notes: Market Microstructure.
2. *Blume, M., and R. Stambaugh, 1983, “Biases in Computed Returns: An Application to the Size Effect”, Journal of Financial Economics 12, 387-404.
3. *Roll, R., 1984, “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market”, Journal of Finance 39, 1127-1139.
4. Conrad, J., and G. Kaul, 1993, “Long-Term Market Overreaction or Biases in Computed Returns?” Journal of Finance 48, 39-63.
5. George, T. J., G. Kaul and M. Nimalendran, 1990, “Estimation of the Bid-Ask Spread and its Components: A New Approach”, Review of Financial Studies 4, 623-656.
6. Roll, R., 1983, “On Computing Mean Returns and the Small Firm Premium”, Journal of Financial Economics 12, 371-386.

B. Nonsynchronous Trading

7. *Scholes, M., and J. Williams, 1977, “Estimating Betas from Nonsychronous Data”, Journal of Financial Economics 5, 309-327.
8. *Cohen, K., et al, 1983, “Friction in the Trading Process and the Estimation of Systematic Risk”, Journal of Financial Economics 12, 263-278.
9. Lo, A., and A. C. MacKinlay, 1990, “An Econometric Analysis of Nonsynchronous Trading”, Journal of Econometrics 45, 181-211.  

C. NASDAQ and Other

10. *Christie, G. C. and P. H. Schultz, 1994, “Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes”, Journal of Finance 49, 1813-1840.
11. Christie, G. C., J. H. Harris and P. H. Schultz, 1994, “Why Do NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes”, Journal of Finance 49, 1841-1860.
12. Easley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph B. Paperman, 1996, “Liquidity, Information, and Infrequently Traded Stocks”, Journal of Finance 51, 1405-1436.

II. Event Studies

1. Class Notes: Event Studies.
2. *Fama, E., L. Fisher, M. Jensen, and R. Roll, 1969, “The Adjustment of Stock Prices to New Information”, International Economic Review 10, 1-21.
3. *Brown, S., and J. Warner, 1980, “Measuring Security Price Performance”, Journal of Financial Economics 8, 205-258.
4. *Brown, S., and J. Warner, 1985, “Using Daily Stock Returns: The Case of Event Studies”, Journal of Financial Economics 14, 3-31.
5. *Bernard, V., 1987, “Cross-Sectional Dependence and Problems of Inference in Market-Based Accounting Research”, Journal of Accounting Research 25, 1-48.
6. *Ball, C., and W. Torous, 1988, “Investigating Security Price Performance in the Presence of Event-Date Uncertainty”, Journal of Financial Economics 22, 123-154.

III. Tests of Asset-Pricing Models

1. Class Notes: Asset pricing tests
2. Roll, R., 1977, “A Critique of the Asset Pricing Theory Tests: Part I: On Past and Potential Testability of the Theory”, Journal of Financial Economics 4, 129-176.
3. *Gibbons, M., 1982, “Multivariate Tests of Financial Models”, Journal of Financial Economics 10, 3-27.
4. *Fama, E.F., and K.R. French, 1992, The Cross-Section of Expected Stock Returns”, Journal of Finance 47, 427-465.
5. Jagannathan, R., and Z. Wang, 1996, “The Conditional-CAPM and the Cross-Section of Expected Returns”, Journal of Finance 51, 3-53.
6. Ferson, W.E., and R. Jagannathan, 1996, “Econometric Evaluation of Asset Pricing Models”, Handbook of Statistics 14, 1-33.

IV.  Market Efficiency and/or Time-Variation in Expected Returns

1. Class Notes: Expected Returns
2. *Gibbons, R., and W. Ferson, 1985, “Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio”, Journal of Financial Economics 14, 217-236.

3. *Fama, E., and F. French, 1988, “Permanent and Temporary Components of Stock Prices”, Journal of Political Economy 96, 246-273.

4. Conrad, C., and G. Kaul, 1989, “Mean Reversion in Short-Horizon Expected Returns”, Review of Financial Studies 2, 225-240.

5. Merton, R. C., 1980, “On Estimating the Expected Return on the Market: An Explanatory Investigation”, Journal of Financial Economics 8,323-361.

6. Jegadeesh, N., and S. Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance 48, 65-91.

V. Conditional Volatility

1. Class Notes: GARCH Models
2. Bollerslev, T., R. Y. Chou and K. F. Kroner, 1992, “ARCH Modeling in Finance” , Journal of Econometrics 52, 5-59.
3. *Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica 50, 987-1007.
4. *Engle, R. F., and T. Bollerslev, 1986, “Modelling the Persistence of Conditional Variances”, Econometric Reviews 5, 1-50.
5. Bollerslev, T., 1986,“Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics 31, 307-327.
6. Bollerslev, T., R. F. Engle and J. M. Woolridge, 1988, “A Capital Asset Pricing Model with Time-Varying Covariances”, Journal of Political Economy 96, 116-131.
7. French, K. R., G. W. Schwert and R. F. Stambaugh, 1987, “Expected Stock Returns and Volatility”, Journal of Financial Economics 19, 3-29.
8. Glosten, L. R., R. Jagannathan and D. E. Runkle, 1993, “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance 48, 1779-1801
9. *Campbell, J. Y. and L. Hentschel, 1992, “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns”, Journal of Financial Economics 31, 281-318.
10. Bekaert, G. and G. Wu, 2000, “Asymmetric Volatility and Risk in Equity Markets”, Review of Financial Studies 13, 1-42.
11. Wu, G., 2000, “The Determinants of Asymmetric Volatility,” Review of Financial Studies, , 14, 837-859.
12. Christie, A. A., 1982, “The Stochastic Behavior of Common Stock Variances -- Value, Leverage and Interest Rate Effects,” Journal of Financial Economics, 10, 407-432.
13. *Schwert, G. W., 1989, “Why Does Stock Market Volatility Change Over Time?,” Journal of Finance, 44, 1115-1153.

VI. Behavioral Finance

1. Coval, Joshua, and Tyler Shumway, 2005, “Do Behavioral Biases Affect Prices?”, Journal of Finance, 40, 1-34.
2. *Grinblatt, Mark, and Bing Han, 2005, “Prospect theory,mental accounting" Journal of Financial Economics 78, 311–339.

 

[此贴子已经被作者于2007-12-29 3:49:57编辑过]