国际金融
国际金融 理论 作者 出处
1、 购买力平价理论 卡塞尔 Cassel,G. 1916, “The present situation of the foreign exchanges”, Economic Journal 26,March: 62-5
2、 资产组合平衡分析 Branson Branson,” Asset market and relative prices in exchange rate determination”, 1977
3、 利率平价理论
4、 一价定律 Izard Isard, p. 1979, “How far can we push the law of one price?” American Economic Review 67
5、 特里芬难题 特里芬 Triffen,R.1960, “ Golden and dollar crisis”, New Haven: Yale University Press
6、 M-F模型 Mundell R.A Mundell R.A ,“The appropriate use of monetary and fiscal policy under fixed exchange rate” IMF Staff Paper, 1962
7、 格雷欣法则 Thomas Gresham 1560, Thomas Gresham 1869, “The history of economics”, London: bliss, sands and Co.
8、 J-曲线效应 (J-curve effect) 麦吉 Magee, S., 1973, “Currency contracts, pass-through , and devaluation” Brookings paper on economic Activity”
9、 国际收支的吸收分析法(Absorption approach to the balance of payments) 亚历山大 Alexander, S. S., 1952, “effects of devaluation on a trade balance”, International monetary fund Staff papers, Vol.2:263-78Alexander, S.S.,1959, “A simplified synthesis of elastic ties and absorption approaches”, American Economic Review 49:22-42
10、 最优货币区理论 (optimal currency areas) 蒙代尔 Mundell,R.A.1961, “A theory of optimum currency areas”, American Economic Review,September:657-65
11、 国际收支的弹性分析方法 (Elasticities approach to the balance of payments) 查尔斯.比克迪克 Bickerdike, C.F.1920, “The instability of foreign exchange” ,Economic Journal 30,March:118-22
12、 抵补利率平价 (covered interest parity) 凯恩斯 Keynes,J.M,1923 “A tract on monetary reform”, London: Macmillan
13、 马歇尔-勒纳条件 (Marshall-Lener Condition) 马歇尔 Marshall,A.1923 “Money, credit and commerce” London: Macmillan
14、 货币贬值的吸收方法 悉尼.亚特兰大 Alexander,S. 1952, “Effects of a devaluation on a trade balance” ,International Monetary Fund Staff Paper 2 :263-78
15、 货币贬值的货币方法 蒙代尔 Mundell,R.A. 1971, “monetary theory” pacific palisades: Good year
16、 国际收支依赖性经济模型 斯旺 Swan, T.W. 1960, “Economic control in a dependent economy”, Economic record 36:51-66
17、 汇率超调模型 多恩布什 Dornbusch, R. 1976, “Expectations and exchange rate dynamics”, Journal of Political Economy 84(6):1161-76
金融市场学
金融市场学 理论 作者 出处 发展
1、 随机游走模型 Kendall, Osborn, Arnold Moore
2、 有效率市场假说(Efficient market hypothesis) Eugene Fama Eugene Fama, “Efficient Capital Market: a Review of Theory and Empirical Work”, Journal of Finance, May 1970
3、 规模效应(或小公司效应) Rolf Banz Banz,R.1981, “The relationship between return and market value of common stock”, Journal of Financial Economics 9:3-18 小公司效应在一月份的前两个星期最为明显,见Donald Keim, “Size Related Anomalies and Stock Return Seasonality: Future Empirical Evidence”, Journal of Financial Economics, June 1983; Marshall Blume, Robert Stambaugh, “Biases in Computed Returns: an Application to Size Effect”, Journal of Financial Economics, August 1983.
4、 流动性效应 Amihud & Mendelson
5、 账面价值/市场价值比率效应 Eugene Fama, Kenneth French Eugene Fama, Kenneth French, “The Cross Section of Expected Stock Returns”, Journal of Finance, June 1992.
6、 逆转效应(过度反应) DeBondt, Thaler DeBondt, Thaler, “Does the Stock Market Overact?” Journal of Finance, (40)1985
7、 动力效应 N. Jegadeesh, S. Titman, N. Jegadeesh, S. Titman, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance, (48)1993
8、 股权溢价之谜 米拉,普雷斯科特 Mehra, R. and Prescott,E.1985. “The equity premium: a puzzle.” Journal of Monetary Economics 15(2)
9、 Grossman-Stiglitz悖论 Grossman, Sanford, J. and Stiglitz, J. E Grossman, Sanford, J. and Stiglitz, J. E., 1980,, “On the Impossibility of Informationally Efficient Markets”, American Economic Review 70, 393-408
10、 现代组合理论 Harry Markowitz, Harry Markowitz, “Portfolio Selection”, Journal of Finance, March 1952
11、 资本资产定价模型(CAPM) 威廉?夏普 Sharpe,W.F. 1964, “Capital asset prices:a theory of market equilibrum under conditions risk”, Journal of Finance 19,September 1.放松了关于所有资产都可以市场化的假设,推导出存在非市场化资产情况下的资产定价公式。David Mayers, “Nonmarketable Assets and Capital Market Equilibrium under Uncertainty”, In Studier in the Theory of Capital Markets, ed. Michael Jensen, New York: Praeger.2.多因素的资本资产定价模型Robert Merton, “An Intertemporal Capital Asset Pricing Model”, Econometrica, 1973.3.以消费为导向的资本资产定价模型Breeden D., “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, (7)1979.
12、 APT Stephen A. Ross Ross,S.A., “The arbitrage theory of capital asset pricing”,Journal of Economic Theory13(3),Dec.341-60
13、 共同基金定理(mutual fund theorem) James Tobin James Tobin, “Liquidity Preference as Behavior toward Risk”, The Review of Economic Studies, February 1958
14、 M-M定理(又称不相关定理) Modigliani, Franco and Merton H. Miller Modigliani and Miller ,“The cost of capital, corporation finance, and the theory of investment” ,American Economic Review, 48:261-97,1958
15、 税差主义 F. Modigliani, M. H. Miller F. Modigliani, M. H. Miller, “Dividend Policy, Growth and the Valuation of Shares”, Journal of Business, October 1961. F. Modigliani, M. H. Miller, “Corporate Income Taxes and the Cost of Capital: A Correction,” American economic Review, 53(June 1963) pp.433-443认识到税收对资本结构以及企业价值的税盾(tax shield)效应,对MM定理进行了修正。 Farrar, Donald E. and Selwyn, Lee L. “Taxes, Corporate Financial Policy and Return to Investment,” National Tax Journal, 20, No.4(Dec. 1967), pp.444-454Miller, Merton.H, “Debt and Taxes,” Journal of Finance 32,1977, pp.261-275从投资者之间在边际税率上的差异这个角度出发,在一般市场均衡的条件下,科学阐述了资本结构理论。
16、 破产成本主义 Baxter, Nevins D. Baxter, Nevins D. “Leverage, Risk of Ruin and the Lost of Capital”, Journal of Finance, 22, no.4(September, 1967)pp.395-404 一旦债务超过可接受的水平,企业的平均资本成本就会随着债务水平的增加而增高,从而增加破产的可能性,过度的债务融资还会增加企业全部盈利的风险性,进而减少企业总价值。参考Stiglitz, Joseph E., “A Re-Examination of the Modigliani- Miller Theorem,” The American Review,59(Dec. 1969) pp.784-793Stiglitz, Joseph E., “On the Irrelevance of corporate Financial Policy,” The American Review,64(Dec. 1974) pp.851-856
17 权衡理论 Robichek, Alexander A., and Myers, Stewart, Robichek, Alexander A., and Myers, Stewart, “Problems in the Theory of Optimal Capital Structure”, Journal of Financial and Quantitative Analysis, 1,no.1(1966)Myers, Stewart, “The Capital Structure Puzzle,” Journal of Finance, 39, no.3(July 1984), pp.575-592 Masulis, Ronald W. “Discuss: How Big is the Tax Advantage to Debt?” The Journal of Finance,39,no.3(July 1984), pp.853-855将负债的成本从破产成本进一步扩展到代理成本、财务困境成本以及非负债税收收益的损失等方面,扩大了成本和收益的内容,形成后权衡理论。
18、 代理成本理论 M. Jensen, W. Meckling, M. Jensen, W. Meckling, “The Theory of the Firm: Managerial Behavior, Agency Costs, and Capital Structure”, Journal of Financial Economics, May 1976.
19、 财务契约论 Smith, Clifford W. and Warner, Jerold B. Smith, Clifford W. and Warner, Jerold B. “On Financial Contracting: An Analysis of Bond Covenants,” Journal of Financial Economics (1979)117-161
20、 信号理论 Spence, A. M. and S. A. Ross Spence, A. M. “Job Marketing Signaling,” Quarterly Journal of Economics 87, 1973,pp.355-374 S. A. Ross, “The Determination of Financial Structure: the Incentive Signaling Approach”, Bell Journal of Economics, (8)1977将信号理论运用到资本结构理论中。
21、 新融资优序论 Myers, Stewart C. and Majluf, Nicholas S. Myers, Stewart C. and Majluf, Nicholas S. “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”, Journal of Financial Economics, 13(1984) pp.187-221
22、 公司控制权市场 Henry Manne Henry Manne, “Mergers and the Market for Corporate Control”, Journal of Political Economics(1965) pp110-120
23、 金融契约论 Grossman, Sanford and Hart, Oliver Grossman, Sanford and Hart, Oliver, “Takeover Bids, the Free Rider Problem, and the Theory of Corporation”, Bell Journal of Economics, 11, no.1(1980) pp42-63
24、 公司治理结构学说 Williamson, Oliver E Williamson, Oliver E., “Corporate Finance and Corporate Governance”, Journal of Finance, 43 no.3(June 1988) pp.567-591
25、 自由现金流理论 Jensen, Michael C. Jensen, Michael C. “Agency Costs of Free Cash Flow, Corporate Finance and Takeover”, American Economic Review, May 1986, vol.76, no.2 pp323-329 Jensen, Michael C “The Free Cash Flow Theory of Takeover: A Ainancial Perspective on Mergers and Acquisitions and the Economy”, “The Merger Boom”, Proceedings of a conference sponsord by Federal Reserve Bank of Boston, Oct.1987, pp.102-143.
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