FINANCIAL ECONOMICS (金融经济学大纲)(4)

*Kocherlakota, Narayanna R., “The Equity Premium: It’s Still a Puzzle,” Journal of Economic Literature, Vol. 34, March 1996, pp. 42-71.

Kocherlakota, Narayana R. “On Tests of Representative Consumer Asset Pricing Models.” Journal of

Monetary Economics 26 (October 1990): 285-304.

*Laibson, David I. “Golden Eggs and Hyperbolic Discounting,” Quarterly Journal of Economics 112, 1997, 443-477.

Lintner, John. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and

Capital Budgets.” Review of Economics and Statistics 47 (February 1965): 13-37.

Lucas, Deborah J., “Asset Pricing with Undiversifiable Income Risk and Short-Sale Constraints: Deepening

the Equity Premium Puzzle,” Journal of Monetary Economics, Vol. 34, December 1994, pp. 325-341.

*Lucas, Robert E., “Asset Prices in an Exchange Economy.” Econometrica 46, November 1978, 1429-45.

*Luttmer, Erzo G.J. “Asset Pricing in Economies with Frictions.” Econometrica, 1996.

*Luttmer, Erzo G.J. “What Level of Fixed Costs Can Reconcile Consumption and Stock Returns?” Journal

of Political Economy, forthcoming, 2000.

*Machina, Mark J. “Choice Under Uncertainty: Problems Solved and Unsolved,” Journal of Economic

Perspectives 1, 1987, 121-154.

Mankiw, N. Gregory, and Shapiro, Matthew D. “Risk and Return: Consumption Beta versus Market Beta.”

Review of. Economics and Statistics. 68 (August 1986): 452-59.

Mankiw, N. Gregory, “The Equity Premium and the Concentration of Aggregate Shocks,” Journal of Financial Economics, Vol. 17, September 1986, pp. 211-219.

*Mankiw, N. Gregory, and Stephen P. Zeldes, “The Consumption of Stockholders and Non-stockholders,” Journal of Financial Economics, Vol. 29, March 1991, pp. 97-112.

Mayers, David. “Nonmarketable Assets and Capital Market Equilibrium under Uncertainty.” In Studies in

the Theory of Capital Markets, edited by Michael C. Jensen. New York: Praeger, 1972.

*Mehra, Rajnish, and Edward Prescott, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, Vol. 15, March 1985, pp. 145-161.

*Melamed, N. and K.M. Lim, 2001. “Prospect Theory and Asset Allocation,” mimeo, Brown University.

Merton, R. C., 1969, “Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case,” Review of Economics and Statistics, 51, 247-257.

Merton, Robert C., “An Intertemporal Capital Asset Pricing Model,” Econometrica, Vol. 41, September 1973, pp. 867-887.

*Merton, R. C. (1971) “Optimum Consumption an Portfolio Rules in a Continuous-Time Model.” Journal

of Economic Theory 3, 373-413.

Ogaki, Masao. “Generalized Method of Moments: Econometric Applications.” In Econometrics, edited by

G. S. Maddala, C. R. Rao, and H. D. Vinod. Handbook of Statistics, vol. 11. Amsterdam: North-Holland, 1993.

Newey, Whitney K. and Kenneth D. West, 1987, “A Simple, Positive Semi-Definite, Heteroskedasticity and

Autocorrelation Cinsistent Covariance Matrix,” Econometrica 55, 703-708

*Palacios-Huerta, I. “An Empirical Analysis of the Risk Properties of Human Capital Assets,” American Economic Review, forthcoming, 2002.

________. 2000, “What Determines the Size of the Human Capital Premium?,” Mimeo, Brown University.

________. 1999, “The Aversion to the Sequential Resolution of Uncertainty,” Journal of Risk and Uncertainty 18, 1999, 249-69.

________. 2001, “The Human Capital of Stockholders and the International Diversification Puzzle,” Journal of International Economics, forthcoming.

Poterba, James, and Lawrence J. Summers, “Mean Reversion in Stock Prices: Evidence and Implications,” Journal of Financial Economics, Vol. 22, October 1988, pp. 27-59.

Porterba, J. M. and A. A. Samwick, “Stock Ownership Patterns, Stock Market Fluctuations, and

Consumption,” Brookings Papers on Economic Activity, 1995:2, 295-372.

*Rabin, Matthew, 1998, “Psychology and Economics,” Journal of Economics Literature 36, 11-46.

*Rabin M. and J. Scharg, 1999, “First Impressions Matter: A Model of Confirmatory Bias,” Quarterly Journal of Economics 114, 37-82.

*Rietz, Thomas A., “The Equity Risk Premium: A Solution,” Journal of Monetary Economics, Vol. 22, July 1988, pp. 117-131.

*Roll, Richard R. “A Critique of the Asset Pricing Theory’s Tests: Part I: On Past and Potential Testability

of the Theory.” Journal of. Financial Economics 4 (March 1977): 129-76.

Roll, Richard R., and Ross, Stephen A. “An Empirical Investigation of the Arbitrage Pricing Theory.”

Journal of Finance 35 (December 1980): 1073-1103.

Ross, Stephen A. “The Arbitrage Theory of Capital Asset Pricing.” Journal of Economic Theory 13

(December 1976): 341-60.

*Samuelson, Paul A. “Risk and Uncertainty: A Fallacy of the Large Numbers,” Scientia 98, 108-163.

*Scheinkman, Jose A., and Weiss, Laurence. “Borrowing Constraints and Aggregate Economic Activity.”

Econometrica 54 (January 1986): 23-45.

Sharpe, William. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.”

Journal of Finance 19 (September 1964): 425-42.

*Shiller, Robert J., “Consumption, Asset Markets, and Macroeconomic Fluctuations,” Carnegie Rochester Conference Series on Public Policy, Vol. 17, Autumn 1982, pp. 203-238.

Sundaresan, Suresh M. “Intertemporally Dependent Preferences and the Volatility of Consumption and

Wealth.” Review Financ …… 此处隐藏：3939字，全部文档内容请下载后查看。喜欢就下载吧 ……