<P>周老师一共讲两个专题，秋季是高级金融专题——资产定价，春季是高级金融专题——公司财务。</P>
<P>这里是资产定价专题的阅读文献，一共有25篇左右，里面有很多金融学的经典论文，有志于学术的可以研究研究！</P>
<P>下面贴出</P>
<P>Asset Pricing Reading List:</P>
<H1><FONT size=4><U>I. Rational Expectations Equilibrium</U></FONT> </H1>
<P>1. Hellwig, M. 1980, On the aggregation of information in competitive markets, <I>Journal of Economic Theory, </I>22, pp477-498.</P>
<P>2. Diamond, D. And R. Verrecchia, 1981, Information aggregation in a noisy rational expectations equilibrium, <I>Journal of Financial Economic, </I>9, pp221-235.</P>
<P>4. Grossman, S.J. and J.E. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets,<I> American Economic Review</I>, 70, pp393-408. </P>
<P>5. A. Kyle, 1985, Continuous auctions and inside trading, <I>Econometrica</I>, 53, pp1315-1335.</P>
<P>6. A. Kyle, 1989, Informed Speculation with imperfect competition, <I>Review of Economic Studies</I>, 56, pp 317-356.</P>
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<H3><U>II. Differential Timing of Information

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<P>7. Bikhchandani S., D. Hirshleifer and I. Welch, 1992, A Theory of Fads, Fashion, Custom, and Cultural Changes as information Cascades, <I>Journal of Political Economy, </I>100, pp992-1026 </P>
<P><FONT size=3><FONT size=2>8. Banerjee, A.V., 1993, The Economics of Rumours, Review of Economic Studies, 60, pp309- 327.</FONT> </FONT></P>
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<H3><U>III. Numerical Solution Techniques

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<P>9. Chunsheng Zhou, 1998, Dynamic portfolio choice and asset pricing with differential information, <I>Journal of Economic Dynamics and Control</I>, 22, pp1027-1051</P>
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<H3><U>IV. Dynamic Models

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<P>10. Berk, J.B. and H. Uhlig, 1993, The Timing of Information in a General Equilibrium Framework, <I>Journal of Economic Theory,</I> 59, pp275-287. </P>
<P>12. Wang, J., 1993, A Model of Intertemporal Asset Pricing Under Asymmetric Information, <I>Review of Economic Studies</I>, 60, pp249-282.</P>
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<H3><U>V. Noise Trading and Non-Rational Behavior

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<P>13. Black, F, 1986, Noise, <I>The Journal of Finance</I>, 61, pp529-543 </P>
<P>14. Zeckhauser, R. J. Patel and D. Hendricks, 1991, Nonrational Actors and Financial Market Behavor, <I>Theory and Decision</I>, 31, pp257-287. </P>
<P>15. De Long, J.B., A. Shleifer, L.H. Summers and R.J. Waldmann, 1990, Noise Trader Risk in Financial Markets, <I>Journal of Political Economy</I>, 98, pp703-737. </P>
<H3><U>VI. Behavioral Finance

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<P>17. Chunsheng Zhou, 2003, Behavior Based Manipulation, working paper, <I>Guanghua School of Management, Peking University

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<P>18. Sheilfer A. and R. Vishy, 1997, The Limits of Arbitrage, <I>The</I> <EM>Journal of Finance</EM>, LII, pp35-55.</P>
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<P>19. Barberis, N., A. Shleifer, and R. Vishny, 1998, A model of investor sentiment, The <I>Journal of Financial Economics,</I> 49, pp307-343.</P>
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<P>20. Barberis, N. and R. H. Thaler, 2003, A Survey of Behavior Finance, Handbook of the Economics of Fiance, edited by Constantinides, Harris and Stulz, <I>Elsevier Science B.V.</I>, pp1053-1123</P>
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<P>21.Cutler, David M., James M Poterba, and L.H. Summers, 1991, Speculative dynamics, <I>Review of Economic Studies,</I> 58, pp529-546.</P>
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<P>22. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, Investor psychology and security market under- and overreactions, <I>The Journal of Finance,</I> 53, pp1839-1887.</P>
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<P>23. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, <I>The Journal of Finance,</I> 45, pp375-395.</P>
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<P>24. Diamond, Douglas, and Robert Verracchia, 1987, Constraints on short selling and asset price adjustment to private information, <I>Journal of Financial Economics,</I> 18, pp277-311.</P>
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<P>25. Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, <I>The Journal of Finance,</I> 54, pp2143-2184.</P>
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<P>一共23个文件，请按照顺序下载解压！</P>

[此贴子已经被作者于2005-9-28 13:46:03编辑过]