1、1高级公司金融课程大纲教师：陈国进教授 T A: 张贻军 博士生 Office hours : 周二上午 8:00-10:00一、课程目的1、以实证研究为主，熟练掌握 SAS 软件，运用 SAS 软件做公司金融和资本市场的实证研究。2、通过公司金融和资本市场经典文献的阅读提高研究和写作能力，发表学术论文。二、教材和参考资料1, Using SAS in Financial Research.(SAS) 2, Copeland, Weston and Shastri, Financial Theory and Corporate Policy, 4 th Edition.(CWS) （ch.
2、15,16,17,18, ）3, Campbell, Lo and MacKinlay (1997), Econometrics of Financial Markets (ch4)4, Reading list三、要求1，文献的讲解2，课堂讨论3，课堂作业4, 期末论文写作（期中提交初稿，期末提交定稿，达到可发表水平）三、课程目录、指定文献和时间安排1、资产定价(第 12 周)1) SASCh.3, DeBondt and Thaler(1985)2) SASCh.4 Fama，E.F, and J.Macbeth, 1973, the cross section of expected s
3、tock returns, Journal of Finance 47(2), P427-465.3) Fama and French(1992,1993)4) Jagadeesh and Titman(1993): Momentum5) Cahart(1997):momentum2、资本结构(第 34 周)1) CWSch.15（陈国进）2）DeAngelo and Masulis,1980，JFE.3）Mayers, 1984, JOF.4)Fama, Eugene F. and Kenneth French, 2002, Testing Trade-Off and Pecking Ord
4、erPredictions about Dividends and Debt, Review of Financial Studies 15, 1-33.5)Baker,M., and Wurgler,J.,2002,Market timing and capital structure, Journal of 23、股利政策（第 56 周）1) CWSch.16 （陈国进）2) Baker，M.,and Wurgler,J.,2004, A catering theory of dividends, Journal of Finance 59,P1125-11653) DeAhgelo, D
5、eAngelo and Skinner, Are Dividend Disappearing？4) Allen and Michaely, 2002,Payout Policy, North Holland Handbook of Economics.5) Chapter 5(Using SAS in Financial Research)4、财务估价（第 78 周）1) Campbell, J.Y. and R.J. Shiller, 1988, The Dividend-price Ratio and Expectations of Future Dividends and Discoun
6、t Factors, Review of Financial Studies, 1,P195228.2) Campbell, J.Y., 1991, A Variance Decomposition for Stock Returns, Economic Journal, 101,P157179.3) Vuolteenaho, Tuomo, 2002, What drives firm-level stock returns?, Journal of Finance 57 P233-264.4) Chapter 7/9(Using SAS in Financial Research5、投资组合
7、与基金管理（第 9-10 周）1) Brown,S.J., and Goetzmann,W.N.,1997,Mutual fund style ,Journal fo Financial Economics 43，P373-3992) Chapter 6(Using SAS in Financial Research)6、行为金融与行为公司财务（第 10-11 周）1) Fama,E.,1998.Market efficiency, long-term returns and behavioral finance, Journal of financial economics 49,P283-
8、306.2) Baker,M.,Ruback,R.,and Wurgler,J.2006.Behavioral corporate finance:a survey. In the handbook of corporate finance: empirical corporate finance ,edited by Espen Eckbo.New York:Elsevier/North Holland.3) Chapter 2/3(Using SAS in Financial Research ) 7、公司治理与公司财务（第 12-13 周）1) Shleifer,A.,and Vishn
9、y,R.W.,1997, A survey of corporate governance,Journal of Finance 52,P737-7832) LLSV, 1997, Law and Finance, JPE3) Chapter 8(Using SAS in Financial Research)8、金融市场微观结构（第 14-15 周）31) Madhavan，A.，2000，Market microstructure： a survey，Journal of Financial Markets 3,P205-2582) Hasbrouck,J.1991.Measuring the information content of stock trades ,Journal of Finance 46,P179-207.3) Chapter 10(Using SAS in Financial Research)
