证券投资实证研究-重点文献导读-(第二版)

第1章　有效资本市场理论、行为金融学与证券投资研究综述
　1.1前言
　1.2有效资本市场假说
　1.3投资异象的出现及其对有效资本市场理论的挑战
　1.4套利成本与市场有效性
　1.5套利风险与市场有效性
　1.6行为金融学：错误定价为什么会发生？
　1.7结论
第2章　有效资本市场假说
　2.1本章　概述
　2.2知识在社会中的利用
　hayek,f.a..1945.the use of knowledge in society.americaneconomic review 35：519530
　2.3有效资本市场：ⅱ
　fama, eugene. 1991.efficient capital markets:ⅱ.journal offinance 46:15751617
　2.4期望股票回报的横截面分析
　fama, e., french, k.. 1992. the cross?section of expected stockreturns.journal of finance 47: 427466
　2.5股票和债券回报中的共同风险因素
　fama, e., french, k.. 1993. common risk factors in the returnson stocks and bonds.journal of financial economics 33:356
　附录
　中国证券市场fama?french三因素
　计算过程说明
第3章　投资异象的出现及其对有效资本市场假说的挑战
　3.1本章　概述
　3.2普通股的股票回报和市场价值之间的关系
　banz, rolf.1981. the relationship between return and marketvalue of common stocks.journal of financial economics 9:318
　3.3盈余收益、市场价值与回报之间的关系：基于纽
　约股票市场的进一步论证
　basu,s..1983.the relationship between earnings yield,marketvalue and return for nyse common stocks: further evidence.journalof financial economics 12: 129156
　3.4市场真的过度反应了吗？
　debondt, w., and r. thaler. 1985.does the stock marketoverreact? journal of finance 40:793805
　3.5“买进赢者，卖出输者”的回报：对市场有效性的挑战
　jegadeesh, n. and s. titman.1993.returns to buying winners andselling losers: implications for stock market efficiency.journal offinance 48:6591
　3.6盈余公告后的价格漂移：反应滞后还是风险溢价？
　bernard, victor l., and jacob k.thomas, 1990.post?earnings?announcement drift: delayed price response or riskpremium? journal of accounting and economics 13:305341
　3.7股票价格是否完全反映了应计项目和现金流中关
　于未来盈余的信息？
　sloan, richard. g.. 1996. do stock prices fully reflectinformation in accruals and cash flows about future earnings? theaccounting review 71:289315
　3.8会计稳健性、盈余质量和股票回报
　penman, s. and x. zhang.2002.accounting conservatism, thequality of earnings, and stock returns. the accounting review 77:237264
　3.9资产规模增长与股票横截面回报
　cooper m.j., h.gulen, and m. schill.2008.asset growthand thecross?section of stock returns.the journal of finance 63:16091651
　3.10中国上市公司股票横截面回报预测性研究
　cakici, n., k. chan, and k. topyan. 2011. cross?sectional stockreturn predictability in china.香港科技大学工作论文
第4章　套利成本与市场有效性
　4.1本章　概述
　4.2估计交易成本的一种新方法
　lesmond, d., ogden, j., trzcinka, c.. 1999. a new estimate oftransaction costs.review of financial studies 12: 11131141
　4.3套利成本：来自封闭式基金的证据
　pontiff, j.. 1996. costly arbitrage: evidence from closed endfunds. quarterly journal of economics111:11351152
　4.4股票借贷市场
　d?avolio, g.. 2002. the market for borrowing stocks.journal offinancial economics 66: 271306
　4.5卖空限制与股票回报
　jones, charles, and owen lamont.2002. short sale constraintsand stock returns.journal of financial economics 66: 207239
　4.6观念差异和横截面股票回报
　diether, k., c.malloy and a.scherbina. 2002. differences ofopinion and the crosssection of stock returns.journal of finance57: 21132141
第5章　套利风险与市场有效性
　5.1本章　概述
　5.2投资者情绪与封闭式基金折价之谜
　lee, c.m.c., a.shleifer, and r.thaler. 1991. investor sentimentand the closed?end fund puzzle.journal of finance 56: 75109
　5.3套利是否使得股票的需求曲线趋于水平呢？
　wurgler, jeffrey, and katia zhuravskaya. 2002. does arbitrageflatten demand curves for stocks? the journal of business 75:583608
　5.4套利风险与b/m异象
　ali, ashiq, lee?seok hwang, and mark trombley. 2003. arbitragerisk and the book?to?market anomaly.journal of financial economics69: 355373
　5.5套利风险与盈余报告后的漂移
　mendenhall, r..2004. arbitrage risk and post?earningsannouncement drift.journal of business 77:875894
　5.6为什么套利不能阻止应计异象的存在？特质风险
　和套利成本的作用
　mashruwala, christina, shivaram rajgopal, and terry shevlin.2006. why is the accrual anomaly not arbitraged away? the role ofidiosyncratic risk and transaction costs. journal of accounting andeconomics 42: 333
第6章　行为金融学：错误定价为什么会发生？
　6.1本章　概述
　6.2市场有效与会计研究：对于s.p.kothari“会计领
　域资本市场研究”的讨论
　lee, charles m.c.. 2001.market efficiency and accountingresearch: a discussion of “capital market research in accounting”by s.p.kothari.journal of accounting and economics 31:233253
　6.3反转投资策略、推断和风险
　lakonishok, j., a.shleifer, and r.w.vishny. 1994. contrarianinvestment, extrapolation, and risk.journal of finance49:15411578
　6.4信息不确定性与股票的预期回报
　jiang, guohua, charles m.c.lee, and grace zhang.2005.information uncertainty and expected returns. review ofaccounting studies, v10, no.2/3, 185221
　6.5投资者情绪与股票的横截面回报
　baker, malcolm, and jeffrey wurgler. 2005. investor sentimentand the cross?section of stock returns.journal of finance lxi:16451678
　6.6过早卖出盈利股而过久持有亏损股的倾向：理论
　和证据
　shefrin, hersh, and meir statman.1985. the disposition to sellwinners too early and ride losers too long: theory andevidence.journal of finance 40: 777790
第7章　投资策略设计中的统计问题：如何正确衡量股票的回报
　7.1本章　概述
　7.2发现股票长期超额回报：检验统计量功效与设
　定的经验证据
　barber, brad, and john lyon. 1997. detecting long?run abnormalstock returns: the empirical power and specification of teststatistics.journal of financial economics 43: 341372
　7.3检验股票长期超额回报的优化方法
　barber, brad, john lyon, and c. tsai. 1999. improved methodsfor tests of long?run abnormal stock returns.journal of finance 54:165201
第8章　证券投资研究未来展望
　8.1投资策略研究的成果
　8.2投资策略研究对金融投资界的指导作用
　8.3投资策略研究面临的问题
　8.4投资策略研究的新动力
　8.5中国资本市场投资研究