2018年春季-金融大数据与量化分析-参考论文
- Asset pricing
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Fama, E.F.,French,K.R.,1993.Common risk factors in the returns on stocks and bonds， Journal of Financial Economics 33,3–56.
Fama, E.F.,French,K.R.,1997.Industry costs of equity，Journal of Financial Economics 43, 153–193.
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Fama, E.F.,French,K.R.,2008.Dissecting anomalies，Journal of Finance 63, 1653–1678.
Fama, E.F.,MacBeth,J.D.,1973.Risk, return, and equilibrium:empirical tests，Journal of Political Economy 81,607–636.
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Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
Markowitz, Harry, 1959, Portfolio Selection: Efficient Diversification of Investments (Wiley, New York).
Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
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Shiller, Robert J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421--436.
- Behavior finance
Aisyah Abdul-Rahman, Ahmad Azam Sulaiman, Noor Latifah Hanim Mohd Said, Does financing structure affects bank liquidity risk?, Pacific-Basin Finance Journal, 2017, ,
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Tobias Broer, Securitization bubbles: Structured finance with disagreement about default risk, Journal of Financial Economics, Volume 127, Issue 3, 2018, Pages 505-518,
Nicholas Barberis, Richard Thaler, Chapter 18 A survey of behavioral finance, Handbook of the Economics of Finance, Elsevier, Volume 1, Part B, 2003, Pages 1053-1128,
Felix Zhiyu Feng, Jianyu Lu, Jing Wang, Productivity and liquidity management under costly financing, Journal of Corporate Finance, 2017, ,
Babajide Fowowe, Access to finance and firm performance: Evidence from African countries, Review of Development Finance, Volume 7, Issue 1, 2017, Pages 6-17,
Muhammad Kaleem Khan, Ying He, Umair Akram, Suleman Sarwar, Financing and monitoring in an emerging economy: Can investment efficiency be increased?, China Economic Review, Volume 45, 2017, Pages 62-77,
Greg Filbeck, Victor Ricciardi, Harold R. Evensky, Steve Z. Fan, Hunter M. Holzhauer, Andrew Spieler, Behavioral finance: A panel discussion, Journal of Behavioral and Experimental Finance, Volume 15, 2017, Pages 52-58,
Kwangmin Park, SooCheong (Shawn) Jang, Pecking order puzzle: Restaurant firms’ unique financing behaviors, International Journal of Hospitality Management, Volume 70, 2018, Pages 99-109,
Meir Statman, Behavioral finance: Finance with normal people, Borsa Istanbul Review, Volume 14, Issue 2, 2014, Pages 65-73,
Ben Branch, Institutional economics and behavioral finance, Journal of Behavioral and Experimental Finance, Volume 1, 2014, Pages 13-16,
Jay R Ritter, Behavioral finance, Pacific-Basin Finance Journal, Volume 11, Issue 4, 2003, Pages 429-437,
George M. Frankfurter, Elton G. McGoun, Douglas E. Allen, The prescriptive turn in behavioral finance, The Journal of Socio-Economics, Volume 33, Issue 4, 2004, Pages 449-468,
David Nawrocki, Fred Viole, Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review, Journal of Behavioral and Experimental Finance, Volume 2, 2014, Pages 10-17,
