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一、经典理论

1、均衡定价

Lucas, R., 1978, Asset prices in an exchange economy, Econometrica, 46, 1426-1446.

Cox, J. C. , J. E. Ingersoll, JR. , and S. A. Ross, 1985, An intertemporal general equilibrium model of asset prices, Econometrica, 53, 363-384.

2、无套利定价

Cox, J., S. Ross, and M. Rubinstein, 1979, Option pricing: a simplified approach, Journal of Financial Economics 7, 229-263.

Duffie, D., 2003, Intertemporal asset pricing theory, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands.

Harrison, J. and D. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics, 92, 323–336.

Harrison, J. and D. Kreps, 1979, Martingales and arbitrage in multi-period securities markets, Journal of Economic Theory, 20, 381-408.

3、最优投资与消费决策

Campbell, J., 2003, Consumption-based asset pricing, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands.

Constantinides, G., 1987, Theory of valuation: overview and recent developments, in Frontiers of Financial Theory, G. Constantinides and S. Bhattacharya (eds.), Rowman and Littlefield, Totowa, New Jersey.

He, H. and N. Pearson, 1991, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite-dimensional case, Journal of Economic Theory, 54, 259-304.

4、价格形成的微观基础

■Amihud, Y., and H. Mendelson (1986), Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17, 223-249.

Amihud, Y., and H. Mendelson (1980), Dealership Markets: Market Making with Inventory, Journal of Financial Economics 8, 31-53.

Biais, B. (1993), Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets, Journal of Finance 48, 157-185.

■Brown, D and R.H. Jennings (1989) On Technical Analysis, Review of Financial Studies 2, 527-552.

■Easley, D and M. OHara (1987), Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics 19, 69-90.

Easley, D. and M. O’Hara, 1992, Time and the process of security price adjustment, Journal of Finance, 47: 577-605.

Easley, D., S. Hvidkjaer, and M. OHara (2002), Is Information Risk a Determinant of Asset Returns? Journal of Finance 57, 2185-2221.

■Easley, D., N. Kiefer, and M. OHara (1997), One Day in the Life of a Very Common Stock, Review of Financial Studies 10, 805-835.

Easley, D., N. Kiefer, M. OHara, Paperman (1996), Liquidity, Information and Less Frequently Traded Stocks, Journal of Finance 51, 1405-1436.

■Grundy, B. and M. McNichols (1989) Trade and Revelation on Information through Prices and Direct Disclosure, Review of Financial Studies 2, 495-526.

Kyle, A. (1985), Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335.

■Wang, J. (1993), A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economic Studies 60, 249-282.

Wang, J. (1994), A model of competitive stock trading volume, Journal of Political Economy, 102, 127-168.

二、最新发展

1、资本市场中的泡沫

*Abreu, D. and M. Brunnermeier (2003), Bubbles and Crashes, Econometrica 71, 173-204.

■Allen, F. and Gorton (1993), Churning Bubbles, Review of Economic Studies 60, 813-836.

■Allen and Gale (2000), Bubbles and Crises, Economic Journal 110, 236-255.

Allen, Morris and Postlewaite (1993), Finite Bubbles with Short Sale Constraints and Asymmetric Information, Journal of Economic Theory 61, 206-229.

Diba, B. T. And Grossman, H. I.（1988）, The theory of rational bubbles in stock prices, The Economic Journal, 98: 746-754.

Froot, K. A. and Obstfeld, M.（1991）, Intrinsic bubbles: The case of stock prices, The American Economic Review, 81(5): 1189-1214.

Harrison Hong, Jose Scheinkman, and Wei Xiong, 2006, Asset Float and Speculative Bubbles, Journal of Finance 61, 1073-1117.

*Harrison Hong, Jose Scheinkman, and Wei Xiong, Advisors and Asset Prices: A Model of the Origins of Bubbles, Journal of Financial Economics, forthcoming.

Pastor, L. and Veronesi, P. (2006), Was there a Nasdaq bubble in the late 1990s? Journal of Financial Economics 81, 61--100.

■Tirole, J.（1985）, Asset bubbles and overlapping generations, Econometrica, 53(6): 1499-1582.

2、交易成本和流动性

Acharya and Pedersen (2005), Asset Pricing with Liquidity Risk, Journal of Financial Economics 77, 375-410.

Brennan, M. and H. Cao, 1997, International portfolio investment flows, Journal of Finance, 52(5): 1851-80.

*Brennan, M., and A. Subrahmanyam (1998), Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns, Journal of Financial Economics 41, 441-464.

Chordia, Roll and Subrahmanyam (2000), Commonality in Liquidity, Journal of Financial Economics 56, 3-28.

Chordia, T., R. Roll, and A. Subrahmanyam (2001), Market Liquidity and Trading Activity, Journal of Finance.

Chordia, T., R. Roll, and A. Subrahmanyam (2002), Order Imbalance, Liquidity and Market Returns, Journal of Financial Economics 65, 111-130.

■Constantinides, G., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy, 94, 842-62.

■Grossman, S. and M. Miller, 1988, Liquidity and market structure, Journal of Finance, 43, 617-33.

He and Modest (1995), Market Frictions and Consumption-Based Asst Pricing, Journal of Political Economy 103, 94-117.

■Holmstrom, B., and J. Tirole, 2001, LAPM: A liquidity-based asset pricing model, Journal of Finance, 56, 1837-1867.

Huang, M., 2003, Liquidity Shocks and equilibrium liquidity premia, Journal of Economic Theory, 109, 104-129.

Huberman, G. and D. Halka, 2001, Systematic liquidity, Journal of Financial Research, 24, 161-178.

*O’Hara, M, 2003, Presidential Address: Liquidity and price discovery, Journal of Finance, 58,(4), 1335-1354.

O’Hara, M, 2003, Microstructure and Asset Pricing, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands.

Pastor and Stambaugh (2003), Liquidity risk and expected stock returns, Journal of Political Economy 111, 642-685.

Vayanos, D., 1998, Transaction costs and asset prices: A dynamic equilibrium model, Review of Financial Studies, 11, 1-58.

Vayanos, D., 2003, Flight to quality, flight to liquidity, and the pricing of risk, Working paper, MIT.

Vayanos, D., and T. Wang, 2003, Search and endogenous concentration of liquidity in asset markets, Working paper, MIT.

3、私人信息与公共信息对资产价格的影响

■Admati, A. (1985), A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets, Econometrica 53, 629-657.

Burguet R. and X. Vives (1999), Social Learning and Costly Information Acquisition, Economic Theory 15, 2000, 185-205.

Campbell and Kyle (1993), Smart Money, Noise Trading and Stock Price Behavior, Review of Economic Studies 60, 1-34.

*Diamond and Verrecchia (1981), Information Aggregation in a Noisy Rational Expectations Economy, Journal of Financial Economics 9, 221-235.

■Diamond and Verrecchia (1991), Disclosure, Liquidity, and the Cost of Capital, Journal of Finance 46, 1325-1359.

Froot , K., Scharfstein, D. and J. Stein (1992), Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, Journal of Finance 47, 1461-1484.

Glosten, L., and P. Milgrom (1985), Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14, 71-100.

*Grossman and Stiglitz (1980), On the Impossibility of Informationally Efficient Markets, American Economic Review 70, 393-408.

■Grundy, B. and M. McNichols, (1989), Trade and Revelation of Information through Prices and Direct Disclosure, Review of Financial Studies 2, 495-526.

He, H. and J. Wang, 1995, Differential information and dynamic behavior of stock trading volume, Review of Financial Studies, 8(4): 919-72.

■Hellwig, F. (1980), On the Aggregation of Information in competitive Markets, Journal of Economic Theory 22, 477-498.

Hirshleifer, D., Subrahmanyam, A. and S.Titman (1994), Security Analysis and Trading Patterns When Some Investors Receive Information Before Others, Journal of Finance 49, 1665-1698.

Kyle, A. (1985), Continuous Auctions and Insider Trading, Econometrica 53, 1315- 1335.

Kyle, A.S. (1989) Informed Speculation with Imperfect Competition, Review of Economic Studies 56, 317-356.

■Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.

■Milgrom, P. and N. Stokey (1982), Information, Trade and Common Knowledge, Journal of Economic Theory 26, 17-27.

*Lin Peng and Wei Xiong, 2006, Investor Attention, Overconfidence and Category Learning, Journal of Financial Economics 80, 563-602.

Wang (1993), A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economic Studies 60, 249-282.

Wang, J., 1994, A model of competitive stock trading volume, Journal of Political Economy, 102, 127-168.

■Verrecchia, R. (1982), Information Acquisition in a Noisy Rational Expectations Economy, Econometrica 50, 1415-1430.

4、  行为金融学中的资产定价

*Harris and Raviv (1993), Differences of opinion make a horse race, Review of Financial Studies 6, 473-506.

■Harrison and Kreps (1978), Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323-336.

Hong and Stein (2003), Differences of Opinion, Short-Sales Constraints, and Market

Crashes, Review of Financial Studies 16, 487-525.

■Miller (1977), Risk, Uncertainty, and Divergence of Opinion, Journal of Finance 32, 1151-1168.

Morris, Stephen (1996), Speculative investor behavior and learning, Quarterly Journal of Economics 110, 1111-1133.

*Scheinkman and Xiong (2003), Overconfidence and Speculative Bubbles, Journal of Political Economy 111, 1183-1219.

*De Long, Shleifer, Summers, and Waldman (1990), Noise Trader Risk in Financial Markets, Journal of Political Economy 98, 703-738.

■De Long, Shleifer, Summers, and Waldman (1991), The Survival of Noise Traders in Financial Markets, Journal of Business 64, 1-19.

Gromb and Vayanos (2002), Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs, Journal of Financial Economics 66, 361-407.12

Kogan, Ross, Wang, and Westerfield (2006), The Survival and Price Impact of Irrational Traders, Journal of Finance 61, 195-229.

Mitchell, Pulvino, and Stafford (2002), Limited Arbitrage in Equity Markets, The Journal of Finance 57, 551-584.

■Shleifer, A. and R. Vishny (1997), The Limits of Arbitrage, Journal of Finance 52, 35-55.

Chevalier and Ellison (1997), Risk taking by mutual funds as a response to incentives, Journal of Political Economy 105, 1167-1200.

Chevalier and Ellison (1999), Career concerns of mutual fund managers, Quarterly Journal of Economics 114, 389-432.

Scharfstein and Stein (1990), Herd behavior and investment, American Economic Review 80, 465-479.

Stein, Jeremy (2005), Why Are Most Funds Open-End? Competition and the Limits of Arbitrage, Quarterly Journal of Economics 120, 247-272.

5、操纵和内部交易

*Aggarwal, R. and G. Wu, 2005, Stock Market Manipulation – Theory and Evidence, Journal of Business, forthcoming.

■Allen, F. and D. Gale (1992), Stock-price manipulation, Review of Financial Studies 4, 443-481.

Allen, F. and G. Gorton (1992), Stock-price manipulation, market microstructure and asymmetric information, European Economic Review 36, 624-630.

Brunnermeier, M. and L. Pedersen (2005), Predatory Trading, Journal of Finance 60, 1825-1863.

Foster, F. D. and S. Viswanathan (1994), Strategic trading with asymmetrically informed traders and long-lived information, Journal of Financial and Quantitative Analysis 29, 499-518.

Fishman, M. and K. Hagerty (1995), The mandatory disclosure of trades and market liquidity, Review of Financial Studies 8, 637-676.

Jarrow, R. A., 1992, Market Manipulation, Bubbles, Corners and Short Squeezes, Journal of Financial and Quantitative Analysis, 27, 311-36.

Vila, J.L., (1989), Simple games of market manipulation, Economic Letters 29, 21-26.

Bhattacharya, U. and M. Spiegel (1991),Insider, Outsider and Market Breakdown, Review of Financial Studies 4, 255-282.

Fishman, M. and K. Hagerty (1992), Insider Trading and the Efficiency of Stock Prices, Rand Journal of Economics 23, 106-122.

*Leland, E. (1992),Insider Trading: Should it be prohibited?, Journal of Political Economy 100, 859-887.

Maug, E. (2002),Insider Trading Legislation and Corporate Governance, European Economic Review 46, 1569-1597.

Maug, E. (1998), Large shareholders as Monitors: Is there a Trade-Off between Liquidity and Control?, Journal of Finance 53, 65-97.

John, K. and R. Narayanan (1997), Market manipulation and the role of insider trading regulations, Journal of Business 70, 217-247.

Rochet, J-Ch. and J. Vila, (1994) Insider Trading without Normality, Review of Economic Studies 61, 131-152.

注：

■ 代表课堂讨论的论文

*    代表必须精读和讲述的论文

适合人群：金融学专业研究生，准备攻读北大金融博士和出国读金融PHD的研究生、或博士在读人员，金融学研究人员

[此贴子已经被作者于2009-6-1 23:21:14编辑过]