管理科学与工程学院投资学专业博士研究生主文献库(二)
发布时间:2014-05-30 15:13:11 【 】 浏览:439
 

二、英文文献

1. Campbell, J., A. Lo and C. MacKinlay, 1997, "Chapter 1: Introduction" in The Econometrics of Financial Markets. Focus on Sections 1.1 to 1.4

2. Fama, E., 1976, Foundations of Finance. New York: Basic Books.

3. Fama, E., 1965, "The Behavior of Stock Prices," Journal of Business 38, 34-105.

4. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 2: Predictability of Asset Returns" in The Econometrics of Financial Markets.

5. Conrad, J. and G. Kaul, 1988, "Time Variation in Expected Returns," Journal of Business, 409-426.

6. Lo, A. and C. MacKinlay, 1988, "Stock Market Prices Do Not Follow Random Walks: Evidence from Simple Specification Test," Review of Financial Studies 1, 41-66.

7. Fama, E. and K. French, 1988, "Dividend Yields and Expected Stock Returns," Journal of Financial Economics 22, 3-26.

8. Fama, E. and K. French, 1989, "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics 25, 23-50.

9. Keim, D. and R. Stambaugh, 1986, "Predicting Returns in the Stock and Bond Markets," Journal of Financial Economics 17, 357-390.

10. Merton, R., 1980, "On Estimating the Expected Return on the Market," Journal of Financial Economics 8, 323-362.

11. Jarque, C. and A. Bera, 1980, “Efficient Tests for Normality, Heteroskedasticity, and Serial Independence or Regression residuals,” Economic Letters 6, 255-259

11. Autoregressive Conditional Heteroskedasticity With Estimates of the Variance ofUKInflation Econometrica 50 (1982): 987-1008 (ARCH)

12. Bollerslev, T., 1986, "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," Review of Economics and Statistics 69, 542-547. (GARCH: Also in Journal of Econometrics)

13. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 12: Nonlinearities in Financial Data" in The Econometrics of Financial Markets. Sections 12.1 and 12.2 only.

14. French, K., Schwert, W. and R. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics 19, 3-30.

15. Hamao Y., R. Masulis and V. Ng, 1990, "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies 3, 281-307.

16. Andersen, T., T. Bollerslev, F. Diebold, and H. Ebens, 2001, “The Distribution of Realized Stock Return Volatility” Journal of Financial Economics 61, 43-76.

17. Andersen T.G. and T. Bollerslev, 1997, “Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High-Frequency Returns,” Journal of Finance 52, 975-1005

18. Karpoff, J., 1987, "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis 22, 109-126.

94.Clark, P.K., 1973, “A Subordinate Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica 41, 135-155

19. Gallant, R., Rossi, P. and G. Tauchen, 1992, "Stock Prices and Volume," Review of Financial Studies 5, 199-242.

20. Llorente, G., R. Michaely, G. Saar and J. Wang, 2002, “Dynamic Volume-Return Relation of Individual Stocks” Review of Financial Studies 15, 1005-1048.

21. Tauchen, G. and M. Pitts, 1983, "The Price Variability-Volume Relationship on Speculative Markets," Econometrica 51, 485-505.

22. Andersen, T., 1996, "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance 51, 169-203.

23. Jones, C., G. Kaul and M. Lipson, “Transactions, Volume and Volatility,” Review of Financial Studies 7, 631-651.

24. Campbell, J., Grossman, S. and J. Wang, 1993, "Trading Volume and Serial Correlation," Quarterly Journal of Economics 108, 905-939.

25. Gervais, S., R. Kaniel and D. Mingelgrin, 2001, “The High Volume Return Premium” Journal of Finance 56, 877-920.

26. Harris, L., 1987, "Transactions Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis 22, 127-141.

27. Lo, A. and J. Wang, 2000, “Trading Volume: Definitions, Data Analysis and Implications of Portfolio Theory” Review of Financial Studies 13, 257-300.

28. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 5: The Capital Asset Pricing Model" in The Econometrics of Financial Markets.

29. Fama, E. and K. French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance 47, 427-465.

30. M., 1982, "Multivariate Tests of Financial Models: A New Approach," Journal of Financial Economics 10, 3-27.

31. Bollerslev, T., R. Engle and J. Wooldridge, 1988, "A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy 96, 116-131.

32.Harvey, C., 1989, "Time Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24, 289-317.

33. Chan, K.C., N. Chen and D. Hsieh, 1985, "An Exploratory Investigation of the Firm Size Effect," Journal of Financial Economics 14, 451-471.

34. Chen, N., 1983, "Some Empirical Tests of Arbitrage Pricing," Journal of Finance 38, 1393-1414.

35. Chen, N., Roll, R. and S. Ross, 1986, "Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories," Journal of Business 59, 383-403.

36. Roll, R. and S. Ross, 1980, "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance 35, 1073-1103.

37. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 6: Multifactor Pricing Models" in The Econometrics of Financial Markets.

38. Chen, N., 1983, "Some Empirical Tests of Arbitrage Pricing," Journal of Finance 38, 1393-1414.

39. Chen, N., Roll, R. and S. Ross, 1986, "Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories," Journal of Business 59, 383-403.

40. Roll, R. and S. Ross, 1980, "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of  Finance 35, 1073-1103.

41. Goyal, A., and P. Santa-Clara, 2003, “Idiosyncratic Risk Matters!” Journal of Finance 58, 975-1008.

41. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 8: Intertemporal Equilibrium Models" in The Econometrics of Financial Markets.

42. Fama, E., 1976, Foundations of Finance.New York: Basic Books. Chapter 5.

43. Fama, E., 1970, "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance 25, 383-417.

44. Fama, E., 1991, "Efficient Capital Markets: II," Journal of Finance 46, 1575-1617.

45. Campbell, J., A. Lo and C. MacKinlay, 1993, "Chapter 7: Present Value Relations" in The Econometrics of Financial Markets.

46. Campbell, J. and R. Shiller, 1987, "Co-integration and Tests of Present Value Models," Journal of Political Economy 95, 1062-1088.

47. Campbell, J., A. Lo and C. MacKinlay, "Chapter 3: Market Microstructure" in The Econometrics of Financial Markets.

48. O’Hara, M., 2003, “Presidential Address: Liquidity and Price Discovery,” Journal of Finance 58, 1335-1354.

49. Acharya, V., and L. Pedersen, 2005, “Asset Pricing with Liquidity Risk,” Journal of Financial Economics 77(2), 375-410.

50. Amihud, Y. and H. Mendelson, 1987, "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance 42, 533-553.

51. Chordia, R., R. Roll, A. Subrahmanyam, 2000, “Commonality in liquidity” Journal of Financial Economics 56, 3-27.

23. Chordia, T., R. Roll and A. Subrahmanyam, 2002, “Order Imbalance, Liquidity and Market Returns,” Journal of Financial Economics 65, 111-130.

52. Cohen, K., Maier, S., Schwartz, R. and D. Whitcomb, 1986, The Microstructure of Securities Markets.New Jersey: Prentice-Hall.

53. Foster, D. andS. Viswanathan, 1993, "Variations in Trading Volume, Return Volatility and Trading Costs," Journal of Finance 48, 187-211.

54. Hasbrouck, J., 1988, "Trades, Quotes, Inventories and Information," Journal of Financial Economics 22, 229-252.

55. Hasbrouck, J., 1991, "Measuring the Information Content of Stock Trades," Journal of Finance 46, 176-208.

56. Hasbrouck, J. and T. Ho, 1987, "Order Arrival, Quote Be
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