参考书目 1.贝多广,1995,《证券经济理论》,上海人民出版社。 2.陈共,1994,《证券学》,中国人民大学出版社 3.黄亚钧,1996,《现代投资银行的业务和经营,立信会计出版社。 4.江其务,1990,《中国金融改革与发展》,福建人民出版社 5.林海,2001,“中国股票市场价格波动率的实证研究”,厦门大学硕士论文。 6.马克思,1975,《资本论》,人民出版社 7.斯蒂格利茨,1997,《经济学,中国人民大学出版社。 8.屠光绍主编,2000,《交易体制:原理与变革》,上海人民出版社。 9.郑振龙,1992“纽约证交所的特种会员制度及其借鉴”,《国际金融研究,第2期,17-19 10.郑振龙,1996,《各国股票市场比较研究》,中国发展出版社 11. Amihud, Yakov, Jesper C. Bent, and Haim Mendelson, 1992, "Further Evidence on the Risk Return Relationship, " Working Paper, Graduate School of Business, Stanford University 12. Amihud, Yakov, and Haim Mendelson, 1986, Asset Pricing and the Bid-Ask Spread Journal of financial Economics 17, pp 223-49 13. Bachelier, L 1900, "Theory of speculation, in Cootner, P(ed), The random character of stock market prices, MIT press 14. Black, Fischer, 1972, Capital Market Equilibrium with Restricted Borrowing", Journal of Business, July 15.-,1976, The Pricing of Commodity Contracts", Journal of Financial Economics 3, pp.l67-79 16. Black, Fischer, Michael C. Jensen, and Myron Scholes, 1972, "The Capital Asset Pricing Model: Some Empirical Tests, "in Michael C Jensen(ed ) Studies in the Theories of capital Markets, Praeger, New York. 17. Black, F, and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities Journal of political Economy 81, pp 637-59 18. Bodie, Zvi, Alex Kane and Alan J. Marcus, 2002, Investments, 5th ed, McGraw-Hill 19. Campbell, J.Y., 1999, Asset prices, consumption, and the business cycle", in John Taylor and Michael Woodford (eds ) Handbook of Macroeconomics, VoL. 1, North-Holland, Amsterdam 20. -, 2000, Asset Pricing at the Millennium, Journal of finance 55, pp. 1515-68 21. Chen, N.,R. Roll, and S. Ross, 1986, "Economic Forces and the stock Market, "Journal of Business 59, pp. 383-403 22. Chordia, Tarun, Richard Roll and Subrahmanyam, 2000,"Commonality in Liquidity Journal of Financial Economics 56, pp 3-28 23. Cornell, Bradford and Marc R. Reinganum, 1981, "Forward and Futures Prices: Evidence from the Foreign Exchange Markets", Journal of Finance 36, Dec 24. Cowles, A, 1933, Can stock market forecasters forecast? Econometrica 1, pp. 309-24 J C, J.E. Ingersoll, and S.A. Ross, 1981,The Relationship between Forward Future Prices", Journal of Financial Economics, pp. 321-46 26. DeBondt, W.F. M, and Thaler, R, 1985, " Does the stock market overact? " Journal of Finance40,p.793-805 1987, Further evidence on investor overreaction and stock market seasonality Journal of Finance 42, pp. 557-81 28. Engle, Robert F, 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrics 50, pp987-1008 29. Fabozzi, Frank J., 2000, Bond Markets, Analysis and Strategies, 4th ed, Prentice Hall 30. Fama E,1970,"Efficient capital market: a review of theory and empirical work", Journal of Finance 25, pp 383-417 31 1991,Efficient Markets Il, Journal of finance 46, pp. 1575-1618 1981," Stock Returns, Real Activity, Inflation and Money", American Eco Review, September
参考书目 1. 贝多广，1995，《证券经济理论》，上海人民出版社。 2. 陈共，1994，《证券学》，中国人民大学出版社。 3. 黄亚钧,1996,《现代投资银行的业务和经营》，立信会计出版社。 4. 江其务，1990,《中国金融改革与发展》，福建人民出版社。 5. 林海，2001，“中国股票市场价格波动率的实证研究”，厦门大学硕士论文。 6. 马克思，1975,《资本论》，人民出版社。 7. 斯蒂格利茨，1997,《经济学》，中国人民大学出版社。 8. 屠光绍主编，2000,《交易体制：原理与变革》，上海人民出版社。 9. 郑振龙，1992,“纽约证交所的特种会员制度及其借鉴”，《国际金融研究》，第 2 期，17-19。 10. 郑振龙，1996,《各国股票市场比较研究》，中国发展出版社。 11. Amihud, Yakov, Jesper C. Bent, and Haim Mendelson, 1992, “Further Evidence on the RiskReturn Relationship,” Working Paper, Graduate School of Business, Stanford University. 12. Amihud, Yakov, and Haim Mendelson, 1986, “Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics 17, pp.223-49. 13. Bachelier, L.1900, “Theory of speculation”, in Cootner, P.(ed), The random character of stock market prices, MIT press. 14. Black, Fischer, 1972, “Capital Market Equilibrium with Restricted Borrowing”, Journal of Business, July. 15. ——，1976,“The Pricing of Commodity Contracts”，Journal of Financial Economics 3, pp.167—79. 16. Black, Fischer, Michael C. Jensen, and Myron Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests,” in Michael C.Jensen (ed.), Studies in the Theories of Capital Markets, Praeger, New York. 17. Black，F., and M. Scholes，1973，“The Pricing of Options and Corporate Liabilities”， Journal of Political Economy 81，pp.637—59. 18. Bodie, Zvi, Alex Kane and Alan J. Marcus, 2002, Investments, 5th ed., McGraw-Hill. 19. Campbell, J.Y., 1999, “Asset prices, consumption, and the business cycle”, in John Taylor and Michael Woodford (eds.), Handbook of Macroeconomics, Vol. 1, North-Holland, Amsterdam. 20. ——, 2000, “Asset Pricing at the Millennium,” Journal of Finance 55, pp.1515-68. 21. Chen, N., R. Roll, and S. Ross, 1986, “Economic Forces and the stock Market,” Journal of Business 59, pp. 383-403. 22. Chordia, Tarun, Richard Roll and Subrahmanyam, 2000, “Commonality in Liquidity”, Journal of Financial Economics 56, pp.3-28. 23. Cornell, Bradford and Marc R. Reinganum, 1981, “Forward and Futures Prices: Evidence from the Foreign Exchange Markets”, Journal of Finance 36, Dec.. 24. Cowles, A.，1933, “Can stock market forecasters forecast?” Econometrica 1, pp. 309-24. 25. Cox，J.C., J.E.Ingersoll，and S.A.Ross，1981, “The Relationship between Forward Prices and Future Prices”，Journal of Financial Economics，pp.321—46. 26. DeBondt, W. F. M., and Thaler, R., 1985, “Does the stock market overact?” Journal of Finance 40, pp.793-805. 27. ——, 1987, “Further evidence on investor overreaction and stock market seasonality”, Journal of Finance 42, pp. 557-81. 28. Engle, Robert F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrics 50, pp.987-1008. 29. Fabozzi, Frank J., 2000, Bond Markets, Analysis and Strategies, 4th ed., Prentice Hall. 30. Fama E.，1970, “Efficient capital market: a review of theory and empirical work”, Journal of Finance 25, pp.383-417. 31. ——，1991，“Efficient Markets II,” Journal of Finance 46, pp. 1575-1618. 32. ——, 1981, "Stock Returns, Real Activity, Inflation, and Money", American Economic Review, September
33. Fama, Eugene F, and Kenneth French, 1992,"The Cross Section of Expected Stock Returns, Journal of Finance 47, pp. 427-66 34 1993, Common risk factors in the returns on stocks and bonds, Journal of financial Economics, Vol 33, No. 1, February, pp. 3-56 995, Size and book-to-market factors in earnings and returns, "Journal of finance Vol 50, No 1, March, pp. 131-155 36. -,1996, " Multifactor explanations of asset-pricing anomalies, "Journal of finance, Vol 51, No. 1, March, pp 55-84 37. 2002, The Equity Premium", Journal of Finance 57, pp 637-59 38. Fama, E, and J. MacBeth, 1973, Risk, Return and Equilibrium: Empirical Test, Journal of Political Economy 81, pp. 607-36 39. Feldstein, Martin, 1980, Inflation and the Stock Market", American Economic review December 40. Fisher, Lawrence, and James H. Lorie, 1970, "Some Studies of Variability of returns on Investment in Common Stocks, " Journal of Business 43 41. Francis, J.C., 1986, Investments: Analysis and Management, 4th edition, McGraw-Hill Book Company. 42. Friedman, M, 1953, "The Case for Flexible Exchange Rates, In Essays in Positive Economics. Chicago: University of Chicago Press 43. Froot, K. Aand Dabora, E, 1999, How are stock prices affected by the location of trade Joumal of Financial Economics 53, pp 189-216 4. Fuller, R.J., and Hsia, C C ,"A Simplified Model for Estimating Stock Prices of Growth Firms", Financial Analysts Journal, May-June, 1984 45. Gordon, M. J, 1962, The Investment, Financing and Valuation of the Corporation, Irwin, Homewood 46. Gowland, D, 1990, The Regulation Of Financial Market in The 1990s, Edward Elgar Publishing limited 47. Grossman, Sanford J, and Joseph E. Stiglitz, 1980, "On the Impossibility of Informationally efficien 48. Hamada, R, 1972, "The Effect of the Firms Capital Structure on the Systematic Risk of Common Stocks", Journal of finance 27, May 49. Harvey, C.R., 1991, The world price of covariance risk,, Journal of Finance 46, pp. 11l-57 50. Haugen, Robert A, 2002, Modern Investment Theory, 5th ed, Prentice Hall 51. Heaton, John, and Deborah lucas, 1997, Portfolio choice and asset prices: The importance of entrepreneurial risk, " Northwestern University, manuscript 52. Hube, Karen,"Time for Investings Four-Letter Word", The Wall Street Journal, January 53. Hull, J.C., Options Ind Derivative Securities. 5th ed.. Prentice Hall, 2002 54. Jaganathan. Ravi, and Wang 1996."The Conditional CAPM and the Cross-Section of Expected Returns of finance 51, pp 3-54 55. Jorion, Philippe, and William N. Goetmann, 1999, Global Stock Markets in the Twentieth Century, " Journal of Finance 54, pp. 1015-44 56. Kabir, R, 1990, Security Market Regulation: An empirical investigation of trading suspension and insider trading restriction, Datawyse Publishing House, Maastricht 57. Kandel, Schmuel and Robert F Stambaugh, 1987, " On Correlations and Inferences about Mean-Variance Efficiency, Journal of Financial Economics 18, pp 61-90 989, A Mean-Variance Framework for the tests of Asset Pricing Models, Review of Financial Studies 2, pp 125-56 995, Portfolio Inefficiency and the Cross-Section of Expected Return, Journal of
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