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The following papers are required reading. The published papers are available through the E-Journals database at the Howard-Tilton library. The link is: http://tulink.library.tulane.edu:3210/sfx_local/az
- DeBondt and Thaler, “Does the Stock Market Overreact?” Journal of Finance, July 1985, Vol. 40, No. 3, pp. 793-805.
- Jegadeesh and Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, March 1993, Vol. 48, No. 1, pp. 65-91.
- Fama and French, “The Cross-Section of Expected Stock Returns,” Journal of Finance, June 1992, Vol. 47, No. 2, pp. 427-465.
- Lakonishok, Shleifer, and Vishny, “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance, Dec. 1994, Vol. 49, No. 5, pp. 1541-1578.
- Sloan, “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?” Accounting Review, July 1996, Vol. 71, No. 3, pp. 289-315.
- Piotroski, “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers,” Journal of Accounting Research, Supplement 2000, Vol. 38, pp. 1-41.
- Mohanram, “Separating Winners From Losers Among Low Book-to-Market Stocks Using Financial Statement Analysis,” Review of Accounting Studies, 2005, Vol. 10, pp. 133-170.
- Dichev, “Is the Risk of Bankruptcy a Systematic Risk?” Journal of Finance, June1998, Vol. 53, No. 3, pp. 1131 – 1147.
- Doyle, Lundholm and Soliman, “The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises,” Journal of Accounting Research, Dec. 2006, Vol. 44, Issue: 5, pp. 849-887.
- Gutierrez and Pirinsky, “Momentum, Reversal, and the Trading Behavior of Institutions,” Journal of Financial Markets, 2007, Vol. 10, pp. 48-75.
- Baker, Bradley, and Wurgler, “Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly,” Financial Analysts Journal, Jan.- Feb 2011, Vol 67, No. 1
- Frazzini and Pedersen, “Betting Against Beta,” AQR Capital Management and New York University Working Paper. [This paper has a revise and resubmit at the Journal of Financial Economics. Information about how to get this paper will be posted on Blackboard.]
13. Madden, Fehle, Fournier, “Brands Matter: An Empirical Demonstration of the Creation of Shareholder Value Through Branding,” Journal of the Academy of Marketing Science, Spring 2006, Vol. 34, No. 2, pp. 224-235.
14. Edmans, “Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices,” Journal of Financial Economics, Sept. 2011, Vol. 101, No. 3. pp. 621-640.
15. Cooper, Gulen, and Schill, “Asset Growth and the Cross-Section of Stock Returns,” Journal of Finance, August2008, Vol. 63, No. 4, pp. 1609-1651.
16. Bradshaw, Richardson and Sloan, “The Relation Between Corporate Financing Activities, Analysts’ Forecasts and Stock Returns,” Journal of Accounting and Economics, Oct. 2006, Vol. 42, No. 1-2, pp. 53-85.
- Chou, Li and Zhou, “Portfolio Optimization Under Asset Pricing Anomalies,” Japan and the World Economy, 2006, Vol. 18, Issue 2, pp. 121-142.
以上都是比较经典的金融学论文，上传与大家分享~
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