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 intertemporalgeneral 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 theEconomics 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 marketwith heterogeneous expectations, Quarterly Journal of Economics, 92,323–336.
Harrison, J. and D. Kreps, 1979, Martingales andarbitrage in multi-period securities markets, Journal of EconomicTheory, 20, 381-408.


3、最优投资与消费决策
Campbell,J., 2003, Consumption-based asset pricing, in Handbook of the Economicsof Finance, G. Constantinides, M. Harris, and R. Stulz (eds.),North-Holland, Amsterdam, The Netherlands.
Constantinides, G.,1987, Theory of valuation: overview and recent developments, inFrontiers 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 incompletemarkets 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 andCentralized 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 SecuritiesMarkets, 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 aDeterminant of Asset Returns? Journal of Finance 57, 2185-2221.
■Easley,D., N. Kiefer, and M. OHara (1997), One Day in the Life of a VeryCommon Stock, Review of Financial Studies 10, 805-835.
Easley,D., N. Kiefer, M. OHara, Paperman (1996), Liquidity, Information andLess Frequently Traded Stocks, Journal of Finance 51, 1405-1436.
■Grundy,B. and M. McNichols (1989) Trade and Revelation on Information throughPrices 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 SaleConstraints 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 stockprices, 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.
*HarrisonHong, Jose Scheinkman, and Wei Xiong, Advisors and Asset Prices: AModel 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 AssetPricing: On the Compensation for Illiquidity in Stock Returns, Journalof 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 andMarket 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 Economicsof 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.
*Diamondand Verrecchia (1981), Information Aggregation in a Noisy RationalExpectations 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 withHeterogeneously 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 Informationthrough Prices and Direct Disclosure, Review of Financial Studies 2,495-526.
He, H. and J. Wang, 1995, Differential information anddynamic 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 TradingPatterns When Some Investors Receive Information Before Others, Journalof 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 withincomplete 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.
*LinPeng and Wei Xiong, 2006, Investor Attention, Overconfidence andCategory 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.

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