1、这是我学校一位教授（美国博士）介绍给我的参考书目(下面注释为该教授所写） ，主要是金融方面的，侧重 Corporate Finance，不是简单的罗列，里面基本都是有价值的文章。主要提供给想做学术的朋友，做学术读大量的文章肯定是必须的，不是非学术所必须。如果大家喜欢，麻烦顶一下，谢谢！BooksFama, Eugene. 1976. “Foundations of Finance”. New York: Basic Books. ( 个人认为是最经典的书。写得好，讲得很清晰，有条不紊，读起来有意思。特别是基础不太好的同学，不可不读。)Fama, Eugene., and Miller, Mer
2、ton. 1972. “The Theory of Finance”. Holt, Rinehart and Winston. (又是一本 Fama 的书。也很经典，但没什么印象了。)Campbell, J., Lo, A., and MacKinlay, A. 1997. “The Econometrics of Financial Markets”. Princeton: Princeton University Press. Cochrane, John, 2001. “Asset Pricing”. Princeton: Princeton University Press. (这就是
3、号称“平生不读 Cochrane, 自称 Finance 也枉然” 的 Cochrane 的大作。其实，你要是不做 Asset Pricing，看懂前几个 Chapters 足够了。不太明白为什么这本书在中国这么火，莫非中国学生都做 Asset pricing? 希望不要弄得又像大炼钢铁一样的结果。)R. Haugen. “Modern Investment Theory”. Upper Saddle River NJ: Prentice-Hall, Inc. （有一定难度的书，不知道现在出到几版了。 ）Elton, E., and Gruber, M. 1995. “Modern Portf
4、olio Theory and Investment Analysis”, 5th Edition. New York: John Wiley & Sons, Inc. (也不太容易。 )Smith, C. 1990. “The Modern Theory of Corporate Finance”. 2nd-edition. McGraw-Hill. (对做 corporate finance 比较有用。这本书其实就是收录了比较早和比较经典的corporate finance 方面的文章。有点像“XX 文摘精华版 ”。现在价值不是很大，因为其中收录的许多文章后面的 list 里都有。) As
5、set Pricing, Long-term Performance and Market Efficiency（这个我不在行，拣我知道的写。 ）Cochrane, John. “New Facts in Finance”. Federal Reserve Bank of Chicago. (这是个通俗易读版。适合想要了解一下这个 area, 又不想读很多数学的人。)Breeden, Douglas T. 1979. “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportun
6、ities”. Journal of Financial Economics 7, 265-296. (看不懂数学没有关系，关键是看懂 intuition.)Merton, Robert. 1973. “An Intertemporal Capital Asset Pricing Model”. Econometrica 41, 265-296. (这篇也一样，注重模型的 intuition.)Ross, S. 1976, “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory 13, 341-36
7、0.Sharpe, W. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”. Journal of Finance 19, 425-442.Black, F. 1972. “Capital Market Equilibrium with Restricted Borrowing,“ Journal of Business 45, 444-455.Fama, E. 1991. “Efficient Capital Markets: II”. Journal of Financ
8、e 46, 1575-1617. (很长一篇文章，内容又多，当时读得挺痛苦。)Fama, E. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”. Journal of Finance, 383-417.Chordia, Tarun., and Swaminathan, Bhaskaran. 2000. “Trading Volume and Cross-autocorrelations in Stock Returns”. Journal of Finance 55, 913-935. Naras
9、imhan, Jegadeesh., and Titman, Sheridan. 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”. Journal of Finance 56, 699-720.Fama, E. and MacBeth, J. 1973. “Risk, Return, and Equilibrium: Empirical Tests”.Journal of Political Economy 91, 607-636. (大名鼎鼎的 Fama-MacBe
10、th regression 的出处。不过，Economists 好像并不买这个帐，觉得这种方法不 make econometric sense. 吾也深有同感也。现在 panel data 等等都这么发达了，干嘛还死抱这种 econometrics 上面并不先进的方法不放呢？)Chen, N., Roll, R., and Ross, S. 1986. “Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories”. Journal of Business 59, 38
11、3-403. (说是叫 testing APT, 其实更像 testing CAPM. 很有名的，看了就知道。)Fama, E. and French, K. 1989. “Business Conditions and Expected Returns on Stocks and Bonds”. Journal of Financial Economics 25, 23-50. Fama, E. and French, K. 1992. “The Cross-Section of Expected Stock Returns”. Journal of Finance 47,? 427-465
12、. Fama, E. and French, K. 1993. “Common Risk Factors in the Returns on Stocks and Bonds”. Journal of Financial Economics 33, 3-56. (这三篇是 Fama-French 的经典三部曲。Three-factor model, five-factor model 就是由此而来。Pontiff 曾经抱怨过，他在Rochester 当学生的时候曾想过做个类似的 paper, 但老师们告诉他 “You cant, because there is no theory.” 直到看
13、到 Fama-French 的 paper, 才感叹到， “只要人有名，有没有 theory 并不重要啊”。)Kothari, S.P., Shanken, J., and Sloan, R. 1995. “Another Look at the Cross-Section of Expected Stock Returns”. Journal of Finance 50, 185-224. Lakonishok, J., Shleifer, A., and Vishny, R. 1994. “Contrarian Investment, Extrapolation, and Risk”. J
14、ournal of Finance 49, 1541-1578. Chan, L., Jegadeesh, N., and Lakonishok, J. 1995. “Evaluating the Performance of Value Versus Glamour Stocks: The Impact of Selection Bias”. Journal of Financial Economics 38, 269-296.Lo, A. W., and MacKinlay, A. 1990. “Data-Snooping Biases in Tests of Financial Asse
15、t Pricing Models”. Review of Financial Studies, 3, 431-467. Lewellen J. 1999. “The Time-Series Relations among Expected Returns“. Journal of Financial Economics 54, 5-43. (Lewellen 是个美国帅哥, 在 MIT 做得不错。为人比较能和人交往，presentation 做得很好，属于那种交流表达能力都很出色的人。)Lewellen J., and Shanken, J. 2002. “Learning, Asset-Pr
16、icing Tests, and Market Efficiency”. Journal of Finance, 1113-1145.Miller, Edward. 1977. “Risk, Uncertainty, and Divergence of Opinion”. Journal of Finance 32, 11651-1168. Jones, Charles M., and Lamont, Owen. 2002. “Short Sales Constraints and Stock Returns”. Journal of Financial Economics, 207-239.
17、Chen, Joseph., Hong, H., and Stein, J. 2002. “Breadth of Ownership and Stock Returns” Journal of Financial Economics, 171-205.Dechow, Patricia., Hutton, A., Muelbroek, L., and Sloan, R. 2001. “Short Sellers, Fundamental Analysis, and Stock Returns”. Journal of Financial Economics 61, 77-106. (Dechow
18、 和 Sloan 都是做 Accounting 的。据说因为合作得太多，两人走到了一起。)Dichev, Ilia D., and Piotroski, J. 2001. “The Long-run Stock Returns Following Bond Ratings Changes”. Journal of Finance 56, 173-203. Ikenberry, David., and Ramnath, Sundaresh. 2002, “Underreaction to Self-selected News Events: The Case of Stock-splits”.
19、Review of Financial Studies 15, 489-526. Titman, Sheridan. 2002. “Discussion of Underreaction to Self-selected News Events: The Case of Stock-splits”. Review of Financial Studies 15, 527-531. Lakonishok, J., and Smidt, S. 1988. “Are Seasonal Anomalies Real? A Ninety-Year Perspective”. Review of Fina
20、ncial Studies 1, 403-427.Lo, A., and MacKinlay, C. 1988. “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test”. Review of Financial Studies 1, 41-66.Keim, D., and Stambaugh, R. 1986. “Predicting Returns in the Stock and Bond Markets”. Journal of Financial Econom
21、ics 17, 357-390. Ferson, W., and Harvey, C. 1991. “The Variation of Economic Risk Premiums”. Journal of Political Economy 99, 385-415.Conrad, J., and Kaul, G. 1988, “Time Variation in Expected Returns”. Journal of Business, 409-426.Loughran, T., and Ritter, J. 1996, “Long-Term Market Overreaction: T
22、he Effect of Low-Priced Stocks”. Journal of Finance, 1959-1970.Boudoukh, J., Richardson, M., and Whitelaw, R. 1994. “A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns”. Review of Financial Studies, 539-573.Jegadeesh, Narasimhan., and Titman, Sheridan. 1993, “Return
23、s to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”. Journal of Finance 48, 65-91.Daniel, K., and Titman, S. 1997. “Evidence of the Characteristics of Cross Sectional Variation in Stock Returns”. Journal of Finance, 1-33.Jegadeesh, N., and Titman, S. 2001. “Profitabilit
24、y of Momentum Strategies: An Evaluation of Alternative Explanations“. Journal of Finance 56, 699-720.Lakonishok, J., Shleifer, A., and Vishny, R. 1994. “Contrarian Investment, Extrapolation, and Risk”. Journal of Finance 49, 1541-1578. Grinblatt, M., and Titman, S. 1989. “Portfolio Performance Evalu
25、ation: Old Issues and New Insights”. Review of Financial Studies 2, 393-422. Brown, S., Goetzmann, W., Ibbotson, R., and Ross, S. 1992. “Survivorship Bias in Performance Studies”. Review of Financial Studies 5, 553-580. Fama, Eugene., and French, Kenneth. 1996. “Multifactor Explanations of Asset-pri
26、cing Anomalies”. Journal of Finance 51, 55-84. Breeden, D., Gibbons, M., and Litzenberger, R. 1989. “Empirical Tests of the Consumption Oriented CAPM”. Journal of Finance 44, 231-262. Chan, K. C., Chen, N., and Hsieh, D. 1985. “An Exploratory Investigation of the Firm Size Effect”. Journal of Financ
27、ial Economics 14, 451-471.Amihud, Y., and Mendelson, H. 1986. “Asset Pricing and the Bid-Ask Spread”. Journal of Financial Economics 17, 223-249. Ritter, J. 1991. “The Long-Run Performance of Initial Public Offerings”. Journal of Finance, 3-27. (Ritter 是 long-term performance 的开山祖师，提到 long-term perf
28、ormance 不能不提 Ritter。另外，他也是 IPO 的大家，对 IPO 感兴趣的可去他的网站看看。)Loughran, T., and Ritter, J. 1995. “The New Issues Puzzle”. Journal of Finance, 23-51. (是上一篇的加强版。)Schultz, P. 2003. “Pseudo Market Timing and the Long-Run Underperformance of IPOs,” Journal of Finance 58, 483-518. (90 年代中期，关于 long-term performan
29、ce measurement 的问题吵得热火朝天，至到现在。)Barber, B., and Lyon, J. 1996. “Detecting Abnormal Operating Performance: The Empirical Power and Specification of Test Statistics”. Journal of Financial Economics 41, 359-99.BankingDiamond, Douglas W., and Dybvig, Philip H. 1983. “Bank Runs, Deposit Insurance,and Liqu
30、idity”, Journal of Political Economy, 91, 401 - 419. (Banking 中的经典，虽然我不是做 banking 的，但认为不可不读 )Diamond, Douglas W. 1997. “Liquidity, Banks, and Markets”, Journal of Political Economy, 105, 928-956.Calomiris, Charles W., and Kahn, Charles. 1991. “The Role of Demandable Debt in Structuring Optimal Banki
31、ng Arrangements”. American Economic Review 81, 497-513.Kashyap, Anil K., Rajan, Raghuram., and Stein, Jeremy C. 2002. “Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-taking”. Journal of Finance 57, 33-73.Allen, Franklin., and Gale, Douglas. 1998. “Optimal Fin
32、ancial Crises”. Journal of Finance, 53, 1245-1284.Allen, Franklin. 2001. “Presidential Address: Do Financial Institutions Matter?”. Journal of Finance, 56, 1165 - 1175.Allen, Franklin., and Santomero, Anthony M. 1998. “The Theory of Financial Intermediation”, Journal of Banking and Finance, 21, 1461
33、-1485.Billett, Matthew T., Flannery, Mark J., and Garfinkel, Jon A. 1995. “The Effect of Lender Identity on a Borrowing Firms Equity Return”. Journal of Finance, 50, 699-718. Behavioral Finance这是 finance 新兴的一个方向。主要是结合 Asset Pricing 和 Corporate Finance 的理论加进心理学的一些东西进行 empirical 方面的研究。其在 Asset Pricing
34、 这个方面主要是 mispricing 的研究，Corporate Finance 这个方面可就多了。这里面的大家当然要属老当益壮的 Richard Thaler, 和后起之秀 Jeffery Wurgler. 大名鼎鼎的 Shleifer也做不少这方面的研究。读了下面的几篇 papers 你应该能感觉到 Behavioral Finance 是做什么的。感兴趣的，自已去他们的 website 把他们的 papers 都读一遍吧。Barberis, Nicholas and Thaler, Richard H. 2003. “A Survey of Behavioral Finance“. H
35、andbook of the Economics of Finance. Baker, Malcolm., Ruback, Richard., and Wurgler, Jeffery. 2004. “Behavioral Corporate Finance: A Survey”. Handbook of Empirical Corporate Finance.Hirshleifer, D. 2001. “Investor Psychology and Asset Pricing”. Journal of Finance, 1533-1597.Fama, E. 1998. “Market Ef
36、ficiency, Long-term Returns, and Behavioral Finance”. Journal of Financial Economics, 283-306. (该文曾获 JFE 大奖。Fama 是个死忠 “Market is efficient” 的人，应此对他的观点要持一定的怀疑态度。)Shleifer, Andrei and Vishny, Robert W. 1997. “The Limits of Arbitrage”, Journal of Finance, 52, 35-55.Malmendier, U., and Tate, G. 2005. “C
37、EO Overconfidence and Corporate Investment”. Journal of Finance, 2661-2700. (这两个人都挺有个性。Malmendier 是个欧洲女孩，一头金发。听说以前是练体操的，难怪身材特像小女孩。加上说话又快，往前面一站就像个高中生。Tate 是个美国帅哥， Wharton 的教授。很儒雅，说话也有板有眼。应该是许多女生的偶像。)Barberis, N., Shleifer, A., and Vishny, R. 1998. “A Model of Investor Sentiment”. Journal of Financial
38、 Economics, 307-343. Baker, M., and Wurgler, J. 2000. “The Equity Share in New Issues and Aggregate Stock Returns”. Journal of Finance 55, 2219-2257. (Wurgler 的处女作，也是这篇文章开始引起人们的注意。)Heaton, J. 2002. “Managerial Optimism and Corporate Finance”. Financial Management, 33-45.Corporate Finance:Introductio
39、n and Overview of Corporate FinanceBrennan, 1995, “Corporate finance over the past 25 years”, Financial Management 24, Summer, 9-22.Hart, O., 1989, “An economists perspective on the theory of the firm”, Columbia Law Review 89, 1757-1774.Williamson, O., 1981, “The modern corporation: origins, evoluti
40、on, attributes”, Journal of Economic Literature 1537-1568.Graham, J. and Harvey, C. 2000. “The Theory and Practice of Corporate Finance: Evidence from the Field”. Journal of Financial Economics 60, 187-244.Corporate Finance:Agency Theory and OwnershipFama, E., and Jensen, M. 1983. “Agency Problems a
41、nd Residual Claims”. Journal of Law and Economics, 327-349.Fama, E., and Jensen, M. 1983. “Separation of Ownership and Control”. Journal of law and economics, 301-325.（美国现代金融 Agency Theory 的开山之作。不过这两篇写得不是很好。非要两篇一起看才看得明白。 ） Fama, E. 1978. “The Effects of a Firms Investment and Financing Decisions on
42、the Welfare of Its Securityholders”. American Economic Review 68, 272-284. (这其实不完全算 Agency theory, 但他用很通俗的英语解释了一个有意思的问题。)Jensen, M., and Meckling, W. 1976. “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,“ Journal of Financial Economics, 305-360. (这么经典的paper 就不用多介绍了吧。)
43、Demsetz. 1983. “The Structure of Ownership and the Theory of the Firm”. Journal of Law and Economics 26, 375-390. (Demsetz 关于 ownership 的看法别具一格。和上面的 Jensen-Meckling 对照着读更有体会。)Jensen, M. 1986. “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”. American Economic Review, 323-329. (在 Co
44、rporate Finance 领域家喻户晓的 paper. 其他 Finance 的人没读过也基本上听说过。 )Myers, S. 1977. “The Determinants of Corporate Borrowing”. Journal of Financial Economics 5, 146-175. (将 agency problem between bondholders and stockholders 与firms investment strategy 联系起来的经典文章。)Parrino, R., and Weisbach, M. 1999. “Measuring I
45、nvestment Distortions Arising from Stockholder-bondholder Conflict”. Journal of Financial Economics 53, 3-42 (也是获奖之作。方法很新颖，有创意，居然能想出用 simulation 来做 corporate finance。不过，如果不是 Weisbach, 估计也不好发。做 research 就是这样，名人尝试新东西叫有创意，不出名的人尝试新东西叫冒险。)Harford, J. 1999. “Corporate Cash Reserves and Acquisitions”. Jour
46、nal of Finance 54, 1969-1997. (Jarrad 也是少年成名，是 Rochester 毕业，JFE 的嫡系部队。大概是JFE 最年轻的 Associate Editor. 目前 corporate finance 领域最出名的年轻俊杰之一。)Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R. 1999. “The Determinants and Implications of Corporate Cash Holdings”. Journal of Financial Economics, 52, 3-4
47、6.Lie, E. 2000. “Excess Funds and Agency Problems: An Empirical Study of Incremental Cash Disbursements”. Review of Financial Studies 13, 219-248.Morck, R., Shleifer, A., and Vishny, R. 1988. “Management Ownership and Market Valuation: An Empirical Analysis”. Journal of Financial Economics, 293-315.
48、Corporate Finance:Information, Investors and Corporate Policy这里面有些不属于 corporate finance 的范畴。他山之石，可以攻玉，知识面广一些对做 research 很有好处。不同领域本来就有交叉，想分很清楚也不太容易。Akerlof, George. 1970. “The market for “lemons”: Qualitative Uncertainty and the Market Mechanism”. Quarterly Journal of Economics, 89, 488-500. (要是让我列个
49、My favorite Top 10 papers, 这篇文章绝对在其中。Akerlof 居然用最最简单的 model, 来把一个最最复杂的理论解释得清清楚楚，难怪能得诺贝尔奖。现在有些人正好相反，用最最复杂的 model, 把一个最最简单的理论解释得晕头转向。这些人其实不应该做 finance, 应该去搞数学或物理。)Ross, S. 1977. “The Determinants of Capital Structure: The Incentive-signaling Approach”. Bell Journal of Economics 8, 23-40. (Ross 的这篇也很经典。提起他大多数人会想起 APT, 其实他对 corporate finance 贡献也很大。这篇很有上面提到的Akerlof 的风格，都是用很简单的 model 阐述一个深奥的理论。 Ross 这个人也很不错，平易近人，很幽默，健谈，没有一点架子，和谁都能见面熟。人格魅力指数：100/100。)Myers, S.C., and Majluf, N.? 1984. “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”. Jou
