FINANCIAL ECONOMICS (金融经济学大纲)(2)

Part VII. OTHER TOPICS (*)

For example:

1. Financial Structure and Risk Sharing

2. Endogenous Risk and Financial Innovations

3. Globalization and Stock Exchange Competition

(*) Some of these topics may be covered if time allows.

READING LIST

*Abel, Andrew B., “Asset prices under habit formation and catching up with the Joneses,” American Economic Review Papers and Proceedings, Vol. 80, No. 2, May 1990, pp. 38-42.

Aiyagari, S. Rao and Mark Gertler. “Asset Returns With Transactions Costs And Uninsured Individual

Risk,” Journal of Monetary Economics, 1991, 27(3), 311-332.

*Allais, Maurice “Le Comportement de l’Homme Rationnel devant le Risque: Critiques des Postulats et

Axioms de l’Ecole Americaine,” Econometrica 21, 503-546.

Allen, F. and D. Gale, 1994, “Limited Market Participation and Volatility of Asset Prices,” American

Economic Review 84, 4, 933-955.

*Attanasio, O. P. and G. Weber, 1995, “Is Consumption Growth Consistent with Intertemporal

Optimization? Evidence from the Consumer Expenditure Survey,” Journal of Political Economy, 103, 6, 1121-1157.

Bakshi, G., and Z. Chen, 1994, “Baby Boom, Population Aging, and Capital Markets,” Journal of Business,

67, 165-202.

*Bakshi, G., and Z. Chen, 1996, “The Spirit of Capitalism,” American Economic Review, March, 133-157.

*Brav, A. and C. Geczy, 1996, “An Empirical Resurrection of the Simple Consumption CAPM with Power

Utility,” working paper, University of Chicago.

Burnside, C., 1994, “Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models,” Journal of

Business and Economic Statistics, 1994, 12, 1, 57-79.

Barberis, Nicholas, “Investing for the long run when returns are predictable,” University of Chicago, Center for Research on Security Prices, working paper, No. 439, 1997.

Barberis, Nicholas, 1996, “How Big Are Hedging Demands? Evidence from Long-Horizon Asset

Allocation,” unpublished paper, Harvard University, Cambridge, MA.

*Barberis, N., Huang, M. and J. Santos, 1999, “Prospect Theory and Asset Prices,” Forthcoming QJE.

*Barsky, Robert B., Miles S. Kimball, F. Thomas Juster, and Matthew D. Shapiro, “Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement survey,” Quarterly Journal of Economics, May 1997.

*Basak, S. and D. Cuoco, 1997, “An Equilibrium Model with Restricted Stock Market Participation,”

Rodney L. White Center for Financial Research, Working Paper 001-97.

*Baxter, Marianne, and Jermann, Urban. “The International Diversification Puzzle Is Worse than You Think.” American Economic Review, March 1997, 87(1), pp. 170-80.

*Benartzi, S. and R. Thaler, “Myopic Loss Aversion and the Equity Premium Puzzle,” Quarterly Journal of

Economics 110, 75-92.

*Blanchard, O. J., 1993, “Movements in the Equity Premium,” Brookings Papers on Economic Activity, 2,

1993, 75-138.

*Bertaut, Carol C. “Who Holds Stock in the U.S.?: An Empirical Investigation,” University of Maryland,

Revised December 1992.

*Blume, Marshall E., and Stephen P. Zeldes, “The Structure of Stockownership in the U.S.”, Manuscript,

The Wharton School, University of Pennsylvania, March 1993.

Bodie, Zvi, Robert C. Merton and William F. Samuelson. “Labor Supply Flexibility and Portfolio Choice In

A Life Cycle Model,” Journal of Economic Dynamics and Control, 1992, v16 (3/4), 427-450.

Breeden, Douglas T. “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment

Opportunities.” Journal of Financial Economics 7 (September 1979): 265-96.

Campbell, John Y., “Stock returns and the term structure,” Journal of Financial Economics, Vol. 18, June 1987, pp. 373-399.

*________, “Understanding risk and return,” Journal of Political Economy, Vol. 104, April 1996, pp. 298 -345.

________. “A Variance Decomposition for Stock Returns.” Economic Journal 101 (March 1991): 157-79.

________. “Intertemporal Asset Pricing without Consumption Data,” American Economic Review, vol. 83,

no. 3, 487-512.

________. “Asset Prices, Consumption and the Business Cycle,” paper prepared from the Handbook on

Macroeconomics, edited by J. B. Taylor and M. Woodford.

*Campbell, John Y., and Cochrane, John H. “By Force of Habit: A Consumption-Based Explanation of

Aggregate Stock Market Behavior.” December 1999.

*Campbell, John Y., and Mankiw, N. Gregory. “Consumption, Income, and Interest Rates: Reinterpreting

the Time Series Evidence.” In NBER Macroeconomics Annual 1989, edited by Olivier J. Blanchard and Stanley Fischer. Cambridge, Mass.: MIT Press, 1989.

*Campbell, John Y., and Shiller, Robert J. “Stock Prices, Earnings, and Expected Dividends.” Journal of

Finance 43 (July 1988): 661-76.

Campbell, John Y., and Robert J. Shiller, “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,” Review of Financial Studies, Vol. 1, 1988, pp. 195-227.

*Campbell, J. Y., A. W. Lo and A. C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton

University Press, Princeton, N.J.

Campbell, J. Y. and L. M. Viceira, 1996, “Consumption and Portfolio Decisions When Expected Returns

are Time Varying,” NBER Working Paper 5857. Forthcoming QJE 2000.

*Campbell, J. Y. and L. M. Viceira, 1997, “Who Should Buy Long-Term Bond …… 此处隐藏：5116字，全部文档内容请下载后查看。喜欢就下载吧 ……