中国经济与管理研究院金融学文献目录(三)
发布时间:2014-05-30 14:49:48 【 】 浏览:529
 

研究方向4 金融危机

[33] Brunnermeier, Markus K., 2009. Deciphering the Liquidity and Credit Crunch 2007-08. Journal of Economic Perspectives 23(1), 77-100.

[34] Grossman, Sandy and Merton Miller, 1988. Liquidity and Market Structure. Journal of Finance 43, 617-633.

[35] Brunnermeier, Markus K. and Lasse Pedersen, 2009. Market Liquidity and Funding Liquidity. Review of Financial Studie 22(6), 2201-2238.

[36] Genotte, Gerard and Hayne Leland, 1990. Market Liquidity, Hedging and Crashes. American Economic Review 80, 999-1021.

[37] Shleifer, Andrei and Robert W. Vishny, 1992. Liquidation Values and Debt Capacity: A Market Equilibrium Approach. Journal of Finance 47, 1343-1346.

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研究方向5:借贷与宏观经济周期

[38] Bernanke, B. and M. Gertler, 1989. Agency Costs, Net Worth and Business
Fluctuations. American Economic Review 79(1), 14-31.

[39] Kiyotaki, N. and J. Moore, 1997. Credit Cycles. Journal of Political
Economy
105(2), 211-48.

[40] Brunnermeier, M. and Y. Sannikov, 2012. A Macroeconomic Model with a
Financial Sector.
Working Paper Research 236, National Bank of Belgium.

[41] DeMarzo P. and Y. Sannikov, 2006. Optimal Security Design and Dynamic
Capital Structure in a Continuous-Time Agency Model. Journal of Finance 61(6), 2681-2724.

[42] Lamont, Owen, 1995. Corporate Debt-Overhang and Macroeconomic Expectations. American Economic Review 85 (5), 1106-1117.

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研究方向6:资产定价

[43] William F. Sharpe, 1964. Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance 19(3), 425–442.

[44] Robert C. Merton, 1973. An Intertemporal Capital Asset Pricing Model. Econometrica 41(5), 867-887.

[45] Breeden, D., 1979. An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities. Journal of Financial Economics 7, 265-296.

[46] Robert E. Lucas, Jr., 1978. Asset prices in an exchange economy. Econometrica  46 (6), 1429-1445.

[47] LeRoy, S., and R. Porter, 1981. The Present Value Relation: Tests Based on Variance Bounds. Econometrica 49, 555-557.

[48] Shiller, R. J., 1981. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review 71, 421-436.

[49] Jagannathan, R., and Z. Wang, 1996. The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance 51, 3-54.

[50] Bansal, R., and A. Yaron, 2004. Risks for the Long-Run: A Potential Resolution of Asset Pricing Puzzles. Journal of Finance 59(4), 1481-1509.

[51] Black, Fischer and Myron Scholes, 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81(3), 637-654.

[52] Merton, Robert C., 1973. Theory of rational option pricing.Bell Journal of Economics and Management 4(1), 141-183.

[53] Merton, Robert C., 1974. On the pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance 29(2), 449–470.

[54] Rubinstein, Mark, 1976. The valuation of uncertain income streams and the pricing of options.Bell Journal of Economics 7(2), 407-425.

[55] Mehra, R. and E. C. Prescott, 1985. The equity premium: A puzzle. Journal of Monetary Economics 15(2), 145–161.

[56] Campbell, J. Y., 1996. Understanding Risk and Return. Journal of Political Economy 104(2), 298-345.

[57] Campbell, J. Y., and J. H. Cochrane, 1999. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Journal of Political Economy 107, 205-251.

[58] Cochrane, J. H., 1996. A Cross-Sectional Test of an Investment-Base Asset Pricing Model. Journal of Political Economy 104, 572-–621.

[59] Constantinides, G. M., and D. Duffie, 1996. Asset Pricing With Heterogeneous Consumers. Journal of Political Economy 104, 219-240.

[60] Fama, E. F., 1991. Efficient Markets II. Journal of Finance 46(5), 1575–1618.

[61] Fama, E. F., and K. R. French, 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33, 3–-56.

[62] Hansen, L. P., and R. Jagannathan, 1991. Restrictions on Intertemporal Marginal Rates of Substitution Implied by Asset Returns. Journal of Political Economy 99, 225–262.

[63] Mankiw, N. G., and S. P. Zeldes, 1991. The Consumption of Stockholders and Non-stockholders. Journal of Financial Economics 29(1), 97–112.

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