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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。
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！
下面贴出
Asset Pricing Reading List:
I. Rational Expectations Equilibrium
1. Hellwig, M. 1980, On the aggregation of information in competitive markets, Journal of Economic Theory, 22, pp477-498.
2. Diamond, D. And R. Verrecchia, 1981, Information aggregation in a noisy rational expectations equilibrium, Journal of Financial Economic, 9, pp221-235.
4. Grossman, S.J. and J.E. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets, American Economic Review, 70, pp393-408.
5. A. Kyle, 1985, Continuous auctions and inside trading, Econometrica, 53, pp1315-1335.
6. A. Kyle, 1989, Informed Speculation with imperfect competition, Review of Economic Studies, 56, pp 317-356.
II. Differential Timing of Information
7. Bikhchandani S., D. Hirshleifer and I. Welch, 1992, A Theory of Fads, Fashion, Custom, and Cultural Changes as information Cascades, Journal of Political Economy, 100, pp992-1026
8. Banerjee, A.V., 1993, The Economics of Rumours, Review of Economic Studies, 60, pp309- 327.
III. Numerical Solution Techniques
9. Chunsheng Zhou, 1998, Dynamic portfolio choice and asset pricing with differential information, Journal of Economic Dynamics and Control, 22, pp1027-1051
IV. Dynamic Models
10. Berk, J.B. and H. Uhlig, 1993, The Timing of Information in a General Equilibrium Framework, Journal of Economic Theory, 59, pp275-287.
12. Wang, J., 1993, A Model of Intertemporal Asset Pricing Under Asymmetric Information, Review of Economic Studies, 60, pp249-282.
V. Noise Trading and Non-Rational Behavior
13. Black, F, 1986, Noise, The Journal of Finance, 61, pp529-543
14. Zeckhauser, R. J. Patel and D. Hendricks, 1991, Nonrational Actors and Financial Market Behavor, Theory and Decision, 31, pp257-287.
15. De Long, J.B., A. Shleifer, L.H. Summers and R.J. Waldmann, 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, pp703-737.
VI. Behavioral Finance
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17. Chunsheng Zhou, 2003, Behavior Based Manipulation, working paper, Guanghua School of Management, Peking University
18. Sheilfer A. and R. Vishy, 1997, The Limits of Arbitrage, The Journal of Finance, LII, pp35-55.
19. Barberis, N., A. Shleifer, and R. Vishny, 1998, A model of investor sentiment, The Journal of Financial Economics, 49, pp307-343.
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, Elsevier Science B.V., pp1053-1123
21.Cutler, David M., James M Poterba, and L.H. Summers, 1991, Speculative dynamics, Review of Economic Studies, 58, pp529-546.
22. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, Investor psychology and security market under- and overreactions, The Journal of Finance, 53, pp1839-1887.
23. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, The Journal of Finance, 45, pp375-395.
24. Diamond, Douglas, and Robert Verracchia, 1987, Constraints on short selling and asset price adjustment to private information, Journal of Financial Economics, 18, pp277-311.
25. Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, The Journal of Finance, 54, pp2143-2184.
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一共23个文件，请按照顺序下载解压！
[此贴子已经被作者于2005-9-28 13:46:03编辑过]
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