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Capital asset pricing model and related studies
[編集]Modern portfolio theory and capital asset pricing model (CAPM)
-- mean-variance analysis and fundamental results
- Markowitz, Harry M. (1952), “Portfolio Selection”, The Journal of Finance 7 (1): 77-91, doi:10.1111/j.1540-6261.1952.tb01525.x, JSTOR 2975974
- Tobin, James (1958), “Liquidity Preference as Behavior Towards Risk”, Review of Economic Studies 25 (2): 65-86, doi:10.2307/2296205, JSTOR 2296205
- Merton, Robert C. (1972), “An Analytic Derivation of the Efficient Portfolio Frontier”, Journal of Financial and Quantitative Analysis 7 (4): 1851-1872, doi:10.2307/2329621, JSTOR 2329621
-- capital asset pricing model (CAPM)
- Treynor, Jack L. (1961), “Market Value, Time, and Risk”, Unpublished manuscript dated 8/8/61 No. 95-209.
- Treynor, Jack L. (1962), “Toward a Theory of Market Value of Risky Assets”, Unpublished manuscript. Subsequently published as Chapter 2 of Korajczyk & (1999).
- Sharpe, William F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, The Journal of Finance 19 (3): 425-442, doi:10.1111/j.1540-6261.1964.tb02865.x, JSTOR 2977928
- Lintner, John (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, The Review of Economics and Statistics 47 (1): 13-37, doi:10.2307/1924119, JSTOR 1924119
- Mossin, Jan (1966), “Equilibrium in a Capital Asset Market”, Econometrica 34 (4): 768-783, doi:10.2307/1910098, JSTOR 1910098
-- measures of the efficiency of investment
- Treynor, Jack L. (1965), “How to Rate Management of Investment Funds”, Harvard Business Review 43 (1): 63-75
- Sharpe, William F. (1966), “Mutual Fund Performance”, The Journal of Business 39 (1): 119-138, JSTOR 2351741
- Jensen, Micheal C. (1968), “The Performance of Mutual Funds in the Period 1945-1964”, The Journal of Finance 23 (2): 389-416, doi:10.1111/j.1540-6261.1968.tb00815.x, JSTOR 2325404
- Treynor, Jack L.; Black, Fischer (1973), “How to Use Security Analysis to Improve Portfolio Selection”, The Journal of Business 46 (1): 66-86, JSTOR 2351280
- Sharpe, William F. (1994), “The Sharpe Ratio”, The Journal of Portfolio Management 21 (1): 49-58, doi:10.3905/jpm.1994.409501
-- early empirical researches of CAPM
- Black, Fischer; Jensen, Micheal C.; Scholes, Myron (1972), “The Capital Asset Pricing model: Some Empirical Tests”, in Jensen, Micheal C., Studies in the Theory of Capital Markets, Praeger
- Fama, Eugene F.; MacBeth, James D. (1973), “Risk, Return and Equilibrium: Empirical Tests”, Journal of Political Economy 81 (3): 607-636, doi:10.1086/260061, JSTOR 1831028
-- zero-beta CAPM
- Black, Fischer (1972), “Capital Market Equilibrium with Restricted Borrowing”, The Journal of Business 45 (3): 444-455, JSTOR 2351499
Market anomalies
-- size anomaly
- Banz, Rolf W. (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics 9 (1): 3-18, doi:10.1016/0304-405X(81)90018-0
-- value anomaly
- Ball, Ray (1978), “Anomalies in Relationships between Securities' Yields and Yield-surrogates”, Journal of Financial Economics 6 (2-3): 103-126, doi:10.1016/0304-405X(78)90026-0
- Stattman, Dennis (1980), “Book Values and Stock Returns”, The Chicago MBA: A Journal of Selected Papers 4 (1): 25-45
- Rosenberg, Barr; Reid, Kenneth; Lanstein, Ronald (1985), “Persuasive Evidence of Market Inefficiency”, The Journal of Portfolio Management 11 (3): 9-16, doi:10.3905/jpm.1985.409007
- Chan, Louis K. C.; Hamao, Yasushi; Lakonishok, Josef (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance 46 (5): 1739-1764, doi:10.1111/j.1540-6261.1991.tb04642.x, JSTOR 2328571
-- momentum anomaly
- Jegadeesh, Narasimhan; Titman, Sheridan (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, The Journal of Finance 48 (1): 65-91, doi:10.1111/j.1540-6261.1993.tb04702.x, JSTOR 2328882
Post CAPM
-- intertemporal capital asset pricing model (ICAPM)
- Merton, Robert C. (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica 41 (5): 867-887, doi:10.2307/1913811, JSTOR 1913811
- Fama, Eugene (1996), “Multifactor Portfolio Efficiency and Multifactor Asset Pricing”, Journal of Financial and Quantitative Analysis 31 (4): 441-465, doi:10.2307/2331355, JSTOR 2331355
-- arbitrage pricing theory (APT)
- Ross, Stephen A. (1976), “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory 13 (3): 341-360, doi:10.1016/0022-0531(76)90046-6
- Roll, Richard; Ross, Stephen A. (1980), “An Empirical Investigation of the Arbitrage Pricing Theory”, The Journal of Finance 35 (5): 1073-1103, doi:10.1111/j.1540-6261.1980.tb02197.x, JSTOR 2327087
- Huberman, Gur (1982), “A Simple Approach to Arbitrage Pricing Theory”, Journal of Economic Theory 28 (1): 183-191, doi:10.1016/0022-0531(82)90098-9
- Dybvig, Philip H. (1983), “An Explicit Bound on Individual Assets' Deviations from APT Pricing in a Finite Economy”, Journal of Financial Economics 12 (4): 483-496, doi:10.1016/0304-405X(83)90045-4
- Grinblatt, Mark; Titman, Sheridan (1983), “Factor Pricing in a Finite Economy”, Journal of Financial Economics 12 (4): 497-507, doi:10.1016/0304-405X(83)90046-6
- Chen, Nai-Fu; Roll, Richard; Ross, Stephen A. (1986), “Economic Forces and the Stock Market”, The Journal of Business 59 (3): 383-403, JSTOR 2352710
-- Roll's critique
- Roll, Richard (1977), “A Critique of the Asset Pricing Theory's Tests Part I: On Past and Potential Testability of the Theory”, Journal of Financial Economics 4 (2): 129-176, doi:10.1016/0304-405X(77)90009-5
-- Fama-French three factor model
- Fama, Eugene F.; French, Kenneth R. (1992), “The Cross-section of Expected Stock Returns”, The Journal of Finance 47 (2): 427-465, doi:10.1111/j.1540-6261.1992.tb04398.x, JSTOR 2329112
- Black, Fischer (1993), “Beta and Return”, The Journal of Portfolio Management 20 (1): 8-18, doi:10.3905/jpm.1993.409462
- Fama, Eugene F.; French, Kenneth R. (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33 (1): 3-56, doi:10.1016/0304-405X(93)90023-5
-- After Fama-French three factor model
- Lakonishok, Josef; Shleifer, Andrei; Vishny, Robert W. (1994), “Contrarian Investment, Extrapolation, and Risk”, The Journal of Finance 49 (5): 1541-1578, doi:10.1111/j.1540-6261.1994.tb04772.x, JSTOR 2329262
- Fama, Eugene F.; French, Kenneth R. (1995), “Size and Book-to-market Factors in Earnings and Returns”, The Journal of Finance 50 (1): 131-155, doi:10.1111/j.1540-6261.1995.tb05169.x, JSTOR 2329241
- Fama, Eugene F.; French, Kenneth R. (1996), “Multifactor Explanations of Asset Pricing Anomalies”, The Journal of Finance 51 (1): 55-84, doi:10.1111/j.1540-6261.1996.tb05202.x, JSTOR 2329302
- Carhart, Mark M. (1997), “On Persistence in Mutual Fund Performance”, The Journal of Finance 52 (1): 57-82, doi:10.1111/j.1540-6261.1997.tb03808.x, JSTOR 2329556
- Griffin, John M. (2002), “Are the Fama and French Factors Global or Country Specific?”, The Review of Financial Studies 15 (3): 783-803, doi:10.1093/rfs/15.3.783
- Fama, Eugene F.; French, Kenneth R. (2014), “Dissecting Anomalies with a Five-factor Model”, Unpublished working paper. University of Chicago and Dartmouth College
- Fama, Eugene F.; French, Kenneth R. (2015), “A Five-factor Asset Pricing Model”, Journal of Financial Economics 116 (1): 1-22, doi:10.1016/j.jfineco.2014.10.010
Efficient market hypothesis
[編集]Early results
- Mandelbrot, Benoît B. (1963), “The Variation of Certain Speculative Prices”, The Journal of Business 36 (4): 394-419, JSTOR 2350970
- Samuelson, Paul A. (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review 6 (2): 41-49
Fama's researches
- Fama, Eugene F. (1963), “Mandelbrot and the Stable Paretian Hypothesis”, The Journal of Business 36 (4): 420-429, JSTOR 2350971
- Fama, Eugene F. (1965), “The Behavior of Stock Market Prices”, The Journal of Business 38 (1): 34-105, JSTOR 2350752
- Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance 25 (2): 383-417, doi:10.1111/j.1540-6261.1970.tb00518.x, JSTOR 2329556
- Fama, Eugene F. (1991), “Efficient Capital Markets: II”, The Journal of Finance 46 (5): 1575-1617, doi:10.1111/j.1540-6261.1991.tb04636.x, JSTOR 2328565
Shiller's challenges
- Shiller, Robert J. (1984), “Stock Prices and Social Dynamics”, Carnegie Rochester Conference Series on Public Policy 1984 (2): 457-510, doi:10.2307/2534436, JSTOR 2534436
- Campbell, John Y.; Shiller, Robert J. (1988), “Stock Prices, Earnings, and Expected Dividends”, The Journal of Finance 43 (3): 661-676, doi:10.1111/j.1540-6261.1988.tb04598.x, JSTOR 2328190
- Campbell, John Y.; Shiller, Robert J. (1988), “The Dividend-price Ratio and Expectations of Future Dividends and Discount Factors”, The Review of Financial Studies 1 (3): 195-228, doi:10.1093/rfs/1.3.195
Microfounded models
[編集]Classic results
- Arrow, Kenneth J. (1951), “Alternative Approaches to the Theory of Choice in Risk-Taking Situations”, Econometrica 19 (4): 404-437, doi:10.2307/1907465, JSTOR 1907465
- Pratt, John W. (1964), “Risk Aversion in the Small and in the Large”, Econometrica 32 (1/2): 122-136, doi:10.2307/1913738, JSTOR 1913738
The equity premium puzzle and related topics
- Mehra, Rajnish; Prescott, Edward C. (1985), “The Equity Premium: A Puzzle”, Journal of Monetory Economics 15 (2): 145-161, doi:10.1016/0304-3932(85)90061-3
- Weil, Philippe (1989), “The Equity Premium Puzzle and the Risk-free Rate Puzzle”, Journal of Monetary Economics 24 (3): 401-421, doi:10.1016/0304-3932(89)90028-7
- Hansen, Lars P.; Jagannathan, Ravi (1991), “Implications of Security Market Data for Models of Dynamic Economies”, Journal of Political Economy 99 (2): 225-262, doi:10.1086/261749, JSTOR 2937680
- Mehra, Ranjish (2008), “The Equity Premium Puzzle: A Review”, Foundations and Trends in Finance 2 (1): 1–81, doi:10.1561/0500000006 2015年12月30日閲覧。
The excess volatility puzzle
- Shiller, Robert J. (1979), “The Volatility of Long Term Interest Rates and Expectations Models of the Term Structure”, Journal of Political Economy 87 (6): 1190-1219, doi:10.1086/260832, JSTOR 1833329
- Shiller, Robert J. (1981), “Do Stock Prices Move too Much to Be Justified by Subsequent Changes in Dividends?”, The American Economic Review 71 (3): 421-436, JSTOR 1802789
CCAPM
- Rubinstein, Mark (1976), “The Valuation of Uncertain Income Streams and the Pricing of Options”, The Bell Journal of Economics 7 (2): 407-425, doi:10.2307/3003264, JSTOR 3003264
- Lucas, Jr., Robert E. (1978), “Asset Prices in an Exchange Economy”, Econometrica 46 (6): 1429-1445, doi:10.2307/1913837, JSTOR 1913837
- Breeden, Douglas T. (1979), “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics 7 (3): 265-296, doi:10.1016/0304-405X(79)90016-3
-- Empirical failure of CCAPM
- Hansen, Lars P.; Singleton, Kenneth J. (1982), “Generalized Instrumental Variable Estimation of Nonlinear Rational Expectations Models”, Econometrica 50 (5): 1269-1286, doi:10.2307/1911873, JSTOR 1911873
- Hansen, Lars P.; Singleton, Kenneth J. (1983), “Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns”, Journal of Political Economy 91 (2): 249-265, doi:10.1086/261141, JSTOR 1832056
- Mankiw, Gregory N.; Shapiro, Matthew D. (1986), “Risk and Return: Consumption Beta Versus Market Beta”, The Review of Economics and Statistics 68 (3): 452-469, doi:10.2307/1926022, JSTOR 1926022
-- New type CCAPM
-- -- Habit formation
- Constantinides, George M. (1990), “Habit Formation: A Resolution of the Equity Premium Puzzle”, Journal of Political Economy 98 (3): 519-543, doi:10.1086/261693, JSTOR 2937698
- Abel, Andrew B. (1990), “Asset Prices under Habit Formation and Catching Up with the Joneses”, The American Economic Review: Papers and Proceedings 80 (2): 38-42, JSTOR 2006539
- Campbell, John Y.; Cochrane, John H. (1999), “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior”, Journal of Political Economy 107 (2): 205-251, doi:10.1086/250059, JSTOR 10.1086/250059
-- -- Epstein–Zin preference
- Kreps, David M.; Porteus, Evan L. (1978), “Temporal Resolution of Uncertainty and Dynamic Choice Theory”, Econometrica 46 (1): 185-200, doi:10.2307/1913656, JSTOR 1913656
- Epstein, Larry G.; Zin, Stanley E. (1989), “Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework”, Econometrica 57 (4): 937–969, doi:10.2307/1913778, JSTOR 1913778
- Weil, Philippe (1989), “The Equity Premium Puzzle and the Risk-free Rate Puzzle”, Journal of Monetary Economics 24 (3): 401-421, doi:10.1016/0304-3932(89)90028-7
- Weil, Philippe (1990), “Nonexpected Utility in Macroeconomics”, The Quarterly Journal of Economics 105 (1): 29-42, doi:10.2307/2937817, JSTOR 2937817
- Bansal, Ravi; Yaron, Amir (2004), “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles”, The Journal of Finance 59 (4): 1481-1509, doi:10.1111/j.1540-6261.2004.00670.x, JSTOR 3694869
-- -- Rare disaster models
- Rietz, Thomas (1988), “The Equity Risk Premium A Solution”, Journal of Monetary Economics 22 (1): 117–131, doi:10.1016/0304-3932(88)90172-9
- Mehra, Rajnish; Prescott, Edward C. (1988), “The Equity Risk Premium: A Solution?”, Journal of Monetory Economics 22 (1): 133-136, doi:10.1016/0304-3932(88)90173-0
- Barro, Robert J. (2006), “Rare Disasters and Asset Markets in the Twentieth Century”, The Quarterly Journal of Economics 121 (3): 823-866, doi:10.1162/qjec.121.3.823, JSTOR 25098810 2015年12月30日閲覧。
- Gabaix, Xabier (2012), “Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance”, The Quarterly Journal of Economics 127 (2): 645-700, doi:10.1093/qje/qjs001
-- -- Incomplete market models
- Constantinides, George M.; Duffie, Darrell (1996), “Asset Pricing with Heterogeneous Consumers”, Journal of Political Economy 104 (2): 219-240, doi:10.1086/262023, JSTOR 2138925
- Brav, Alon; Constantinides, George M.; Geczy, Christopher C. (2002), “Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence”, Journal of Political Economy 110 (4): 793-824, doi:10.1086/340776, JSTOR 10.1086/340776
- Constantinides, George M.; Donaldson, John B.; Mehra, Rajnish (2002), “Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle”, The Quarterly Journal of Economics 117 (1): 269-296, doi:10.1162/003355302753399508, JSTOR 2696488
-- -- Non-risk based explanations
- Bansal, Ravi; Coleman II, Wilbur John (1996), “A Monetary Explanation of the Equity Premium, Term Premium, and Risk-free Rate Puzzles”, Journal of Political Economy 104 (6): 1135-1171, doi:10.1086/262056, JSTOR 2138936
- McGrattan, Ellen R.; Prescott, Edward C. (2003), “Average Debt and Equity Returns: Puzzling?”, The American Economic Review: Papers and Proceedings 93 (2): 392-397, doi:10.1257/000282803321947407, JSTOR 3132260
Financial econometrics
[編集]Generalized method of moments (GMM)
- Hansen, Lars P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators”, Econometrica 50 (4): 1029-1054, doi:10.2307/1912775, JSTOR 1912775
Co-integration
- Engle, Robert F.; Granger, Clive W. J. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica 55 (2): 251-276, doi:10.2307/1913236, JSTOR 1913236
ARCH and GARCH models
-- ARCH model
- Engle, Robert F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica 50 (4): 987-1007, doi:10.2307/1912773, JSTOR 1912773
-- GARCH model
- Bollerslev, Tim (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics 31 (3): 307-327, doi:10.1016/0304-4076(86)90063-1
-- -- EGARCH model
- Nelson, Daniel B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica 59 (2): 347-370, doi:10.2307/2938260, JSTOR 2938260
-- -- GJR GARCH model
- Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. (1993), “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, The Journal of Finance 48 (5): 1779-1801, doi:10.1111/j.1540-6261.1993.tb05128.x, JSTOR 2329067
-- -- Heston-Nandi model
- Heston, Steven L.; Nandi, Saikat (2000), “A Closed-form GARCH Option Valuation Model”, The Review of Financial Studies 13 (3): 585-625, doi:10.1093/rfs/13.3.585
-- multivariate GARCH model
- Engle, Robert F.; Kroner, Kenneth F. (1995), “Multivariate Simultaneous Generalized ARCH”, Econometric Theory 11 (1): 122-150, doi:10.1017/S0266466600009063
- Bollerslev, Tim (1990), “Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized Arch Model”, The Review of Economics and Statistics 72 (3): 498-505, doi:10.2307/2109358, JSTOR 2109358
- Engle, Robert F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”, Journal of Business and Economic Statistics 20 (3): 339-350, doi:10.1198/073500102288618487
Markov regime switching models
- Hamilton, James D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica 57 (2): 357-384, doi:10.2307/1912559, JSTOR 1912559
Market micro-structure models
- Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul (2003), “Modeling and Forecasting Realized Volatility”, Econometrica 71 (2): 579-625, doi:10.1111/1468-0262.00418, JSTOR 3082068
Behavioral finance
[編集]Information frictions
- Aumann, Robert J. (1976), “Agreeing to Disagree”, The Annals of Statistics 4 (6): 1236-1239, JSTOR 2958591
- Grossman, Sanford J; Stiglitz, Joseph E (1980), “On the Impossibility of Informationally Efficient Markets”, The American Economic Review 70 (3): 393-408, JSTOR 1805228
- Milgrom, Paul R.; Stokey, Nancy (1982), “Information, Trade and Common Knowledge”, Journal of Economic Theory 26 (1): 17-27, doi:10.1016/0022-0531(82)90046-1
Psychological biases
- Kahneman, Daniel; Tversky, Amos (1979), “Prospect Theory: An Analysis of Decision under Risk”, Econometrica 47 (2): 263-292, doi:10.2307/1914185, JSTOR 1914185
- Benartzi, Shlomo; Thaler, Richard H. (1995), “Myopic Loss Aversion and the Equity Premium Puzzle”, The Quarterly Journal of Economics 110 (1): 73-92, doi:10.2307/2118511, JSTOR 2118511
- Barberis, Nicholas C.; Shleifer, Andrei; Vishny, Robert W. (1998), “A Model of Investor Sentiment”, Journal of Financial Economics 49 (3): 307-343, doi:10.1016/S0304-405X(98)00027-0
Limits to arbitrage
- Shleifer, Andrei; Vishny, Robert W. (1997), “The Limits of Arbitrage”, The Journal of Finance 52 (1): 35-55, doi:10.1111/j.1540-6261.1997.tb03807.x, JSTOR 2329555
- Brunnermeier, Markus K.; Pedersen, Lasse H. (2009), “Market Liquidity and Funding Liquidity”, The Review of Financial Studies 22 (6): 2201-2238, doi:10.1093/rfs/hhn098
Ambiguity aversion
-- Ellsberg paradox
- Ellsberg, Daniel (1961), “Risk, Ambiguity, and the Savage Axioms”, The Quarterly Journal of Economics 75 (4): 643–669, doi:10.2307/1884324, JSTOR 1884324
-- maximin expected utility
- Gilboa, Itzhak; Schmeidler, David (1989), “Maxmin Expected Utility with Non-unique Prior”, Journal of Mathematical Economics 18 (2): 141–153, doi:10.1016/0304-4068(89)90018-9
- Epstein, Larry G; Wang, Tan (1994), “Intertemporal Asset Pricing under Knightian Uncertainty”, Econometrica 62 (2): 283-322, doi:10.2307/2951614, JSTOR 2951614
- Epstein, Larry G; Schneider, Martin (2003), “Recursive Multiple-priors”, Journal of Economic Theory 113 (1): 1-31, doi:10.1016/S0022-0531(03)00097-8
- Chen, Zengjing; Epstein, Larry G (2002), “Ambiguity, Risk, and Asset Returns in Continuous Time”, Econometrica 70 (4): 1403-1443, doi:10.1111/1468-0262.00337, JSTOR 3082003
-- non-additive measure
- Schmeidler, David (1989), “Subjective Probability and Expected Utility without Additivity”, Econometrica 57 (3): 571-587, doi:10.2307/1911053, JSTOR 1911053
- Tversky, Amos; Kahneman, Daniel (1992), “Advances in Prospect Theory: Cumulative Representation of Uncertainty”, Journal of Risk and Uncertainty 5 (4): 297-323, doi:10.1007/BF00122574
-- empirical literature
- Camerer, Colin F.; Weber, Martin (1992), “Recent Developments in Modeling Preferences: Uncertainty and Ambiguity”, Journal of Risk and Uncertainty 5 (4): 325-370, doi:10.1007/BF00122575
- Fox, Craig R.; Tversky, Amos (1995), “Ambiguity Aversion and Comparative Ignorance”, The Quarterly Journal of Economics 110 (3): 585-603, doi:10.2307/2946693, JSTOR 2946693
- Hsu, Ming; Bhatt, Meghana; Adolphs, Ralph; Tranel, Daniel; Camerer, Colin F. (2005), “Neural Systems Responding to Degrees of Uncertainty in Human Decision-Making”, Science 310 (5754): 1680-1683, doi:10.1126/science.1115327
- Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. (2015), “Does Ambiguity Matter? Estimating Asset Pricing Models with A Multiple-Priors Recursive Utility”, Journal of Financial Economics 115 (2): 361-382, doi:10.1016/j.jfineco.2014.10.003
Mathematical finance and financial engineering
[編集]Black - Scholes model
- Black, Fischer; Scholes, Myron (1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81 (3): 637-654, doi:10.1086/260062, JSTOR 1831029
- Merton, Robert C. (1973), “Theory of rational option pricing”, The Bell Journal of Economics and Management Science 4 (1): 141-183, JSTOR 3003143
The fundamental theorems of asset pricing
- Harrison, J. Michael; Kreps, David M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economic Theory 20 (3): 381-408, doi:10.1016/0022-0531(79)90043-7
- Harrison, J. Michael; Pliska, Stanley R. (1981), “Martingales and stochastic integrals in the theory of continuous trading”, Stochastic Processes and their Applications 11 (3): 215-260, doi:10.1016/0304-4149(81)90026-0
- Harrison, J. Michael; Pliska, Stanley R. (1983), “A stochastic calculus model of continuous trading: complete markets”, Stochastic Processes and their Applications 15 (3): 313-316, doi:10.1016/0304-4149(83)90038-8
Merton's problem
- Merton, Robert. C. (1969), “Lifetime Portfolio Selection under Uncertainty: the Continuous-Time Case”, The Review of Economics and Statistics 51 (3): 247–257, doi:10.2307/1926560, JSTOR 1926560
- Merton, Robert. C. (1971), “Optimum consumption and portfolio rules in a continuous-time model”, Journal of Economic Theory 3 (4): 373–413, doi:10.1016/0022-0531(71)90038-X
Option pricing models
- Merton, Robert C. (1976), “Option pricing when underlying stock returns are discontinuous”, Journal of Financial Economics 3 (1-2): 125-144, doi:10.1016/0304-405X(76)90022-2
- Heston, Steven L. (1993), “A closed-form solution for options with stochastic volatility with applications to bond and currency options”, The Review of Financial Studies 6 (2): 327-343, doi:10.1093/rfs/6.2.327
Default-free bonds
- Cox, John C.; Ingersoll, Jr., Jonathan E.; Ross, Stephen A. (1985), “A Theory of the Term Structure of Interest Rates”, Econometrica 53 (2): 385-407, doi:10.2307/1911242, JSTOR 1911242
Defaultable bonds and credit derivatives
- Duffie, Darrell; Singleton, Kenneth J. (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies 12 (4): 687-720, doi:10.1093/rfs/12.4.687
Variance derivatives
- Carr, Peter; Madan, Dilip (2001), “Towards a theory of volatility trading”, in Jouini, Elyès; Cvitanic, Jaksa; Musiela, Marek, Option Pricing, Interest Rates and Risk Management, Handbooks in Mathematical Finance, pp. 458-476, doi:10.1017/CBO9780511569708.013, ISBN 9780521792370
- Carr, Peter; Wu, Liuren (2006), “A tale of two indices”, The Journal of Derivatives 13 (3): 13-29, doi:10.3905/jod.2006.616865
- Carr, Peter; Wu, Liuren (2009), “Variance risk premiums”, The Review of Financial Studies 22 (3): 1311-1341, doi:10.1093/rfs/hhn038
- Bollerslev, Tim; Gibson, Michael; Zhou, Hao (2011), “Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities”, Journal of Econometrics 160 (1): 235-245, doi:10.1016/j.jeconom.2010.03.033
Coherent risk measures
- Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999), “Coherent Measures of Risk”, Mathematical Finance 9 (3): 203-228, doi:10.1111/1467-9965.00068
- Acerbi, Carlo; Tasche, Dirk (2002), “On the Coherence of Expected Shortfall”, Journal of Banking and Finance 26 (7): 1487-1503, doi:10.1016/S0378-4266(02)00283-2
- Delbaen, Freddy (2002), “Coherent Risk Measures on General Probability Spaces”, in Sandmann, Klaus; Schönbucher, Philip J; Sondermann, Dieter, Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, Springer Berlin Heidelberg, pp. 1-337, doi:10.1007/978-3-662-04790-3_1, ISBN 9783642077920
- Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin (2007), “Coherent Multiperiod Risk Adjusted Values and Bellman's Principle”, Annals of Operations Research 152 (1): 5-22, doi:10.1007/s10479-006-0132-6
Corporate finance
[編集]- Modiliani, Franco; Miller, Merton H. (1958), “The cost of capital, corporation finance and the theory of investment”, The American Economic Review 48 (3): 261-297, JSTOR 1809766
Textbooks
[編集]Handbooks
- Constantinides, George M.; Harris, Milton; Stulz, René M., eds. (2003), Handbook of the Economics of Finance 1, Elsevier, ISBN 0444513620, ISBN 0444513639.
- Ferson, Wayne E. (2003), “Tests of multifactor pricing models, volatility bounds and portfolio performance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 743-802, doi:10.1016/S1574-0102(03)01021-5, ISBN 9780444513632
- Myers, Stewart C. (2003), “Financing of corporations”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 215-253, doi:10.1016/S1574-0102(03)01008-2, ISBN 9780444513625
- Whaley, Robert E. (2003), “Derivatives”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1129-1206, doi:10.1016/S1574-0102(03)01028-8, ISBN 9780444513632
- Campbell, John Y. (2003), “Consumption-based asset pricing”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 803-887, doi:10.1016/S1574-0102(03)01022-7, ISBN 9780444513632
- Mehra, Rajnish; Prescott, Edward C. (2003), “The equity premium in retrospect”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 889-938, doi:10.1016/S1574-0102(03)01023-9, ISBN 9780444513632
- Barberis, Nicholas C.; Thaler, Richard H. (2003), “A survey of behavioral finance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1053-1128, doi:10.1016/S1574-0102(03)01027-6, ISBN 9780444513632
- Dybvig, Philip H.; Ross, Stephen A. (2003), “Arbitrage, state prices and portfolio theory”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 605-637, doi:10.1016/S1574-0102(03)01019-7, ISBN 9780444513632
Micro economics
- Mas-Colell, Andreu; Whinston, Michael Dennis; Green, Jerry R (1995), Microeconomic Theory, Oxford University Press, ISBN 9780195102680
Financial economics
- Korajczyk, Robert A., ed. (1999), Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics, London: Risk Books, ISBN 899332367{{ISBN2}}のパラメータエラー: 無効なISBNです。
- 池田昌幸『金融経済学の基礎』朝倉書店〈ファイナンス講座〉、2000年。ISBN 9784254545524。
- Brunnermeier, Markus K. (2001), Asset pricing under asymmetric information: Bubbles, crashes, technical analysis, and herding, Oxford University Press, ISBN 9780198296980
- Cochrane, John H. (2005), Asset Pricing (2 ed.), Princeton, NJ: Princeton University Press, ISBN 9780691121376
Mathematical finance
- Øksendal, Bernt (2003), Stochastic differential equations (6 ed.), Springer-Verlag Berlin Heidelberg, ISBN 9783540047582
- Shreve, Steven E. (2004), Stochastic calculus for finance II: Continuous-time models, New York: Springer, ISBN 9780387401010
- Jeanblanc, Monique; Yor, Marc; Chesney, Marc (2009), Mathematical Methods for Financial Markets, Springer-Verlag London, doi:10.1007/978-1-84628-737-4, ISBN 9781852333768
Not to sort
[編集]- Fox, Justin (2013), “What we've learned from the financial crisis”, Harvard Business Review 2013 (11): 94-101
- “Scientific Background on the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2013 UNDERSTANDING ASSET PRICES” (PDF). The economic sciences prize committee of the royal Swedish academy of sciences (2013年10月14日). 2015年5月26日閲覧。
- Becker, Gary S.; Barro, Robert J. (1988), “A Reformulation of the Economic Theory of Fertility”, The Quarterly Journal of Economics 103 (1): 1-25, doi:10.2307/1882640, JSTOR 1882640
- Kydland, Finn E.; Prescott, Edward C. (1982), “Time to Build and Aggregate Fluctuations”, Econometrica 50 (6): 1345-1370, doi:10.2307/1913386, JSTOR 1913386
- Lucas, Jr., Robert E (2003), “Macroeconomic Priorities”, The American Economic Review 93 (1): 1–14, doi:10.1257/000282803321455133, JSTOR 3132159
- 竹原 均 (2013年10月21日). “「実証ファイナンス」の偉大なイノベーター、ファーマ教授:日経ビジネスオンライン”. 日経ビジネスオンライン. 2015年5月27日閲覧。