现代金融学基石性文献(MM、CAPM、APT、EMH等）

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    现代金融学最经典的十几篇基石性文献(均值方差、MM、CAPM、APT、EMH、股权溢价、B-S、三因子模型、股权溢价)

目录：

[1]

1.Prtfolio Selection-Markowitz, JF1952(均值-方差模型)

2.Existence of an Equilibrium for a Competitive Economy-Arrow&Debreu, Econometrica1954(Arrow-Debreu均衡)

3.The Cost of Capital, Corporation Finance and the Theory of Investment-Modigliani&Miller, AER1958(MM定理)

    4.Capital Asset Prices- A Theory of Market Equilibrium under Conditions of Risk-Sharpe, JF1964(CAPM)

    5.Security Prices, Risk, and Maximal Gains From Diversification-Lintner, JF1965(CAPM)

    6.Equilibrium in a Capital Asset Market-Mossin, Econometrica1966(CAPM)

7.The Arbitrage Theory of Capital Asset Pricing-Ross, JET1976(APT)

8.The Pricing of Options and Corporate Liabilities-Black&Scholes, JPE1973(B-S)

9.Theory of Rational Option Pricing-Merton, Bell JEMS1973(B-S)

10.Proof that properly anticipated prices fluctuate randomly-Samuelson, Industrial Management Review1965(EMH)

11.Efficient Capital Markets- A Review of Theory and Empirical Work-Fama, JF1970(EMH)

12.Market efficiency, long-term returns, and behavioral finance-Fama, JFE1998(EMH)

13.Common risk factors in the returns on stocks and bonds-Fama&French, JFE1993(三因子模型)

14.Multifactor Explanations of Asset Pricing Anomalies-Fama&French, JF1996(三因子模型)

15.Anomalies- The Equity Premium Puzzle-Siegel&Thaler, JEP1997(股权溢价之谜)

abbr_2381025d594c0aba5bef564dd065f19b.rar (17.12 MB)

2011-1-8 07:56:16 上传

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关键词：现代金融 CAPM cap APT APM 金融学 CAPM APT 基石 EMH

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