实证金融-张峥(1)

课程大纲课程编号：02812280授课对象：金融硕士课程名称：实证金融英文名称：EmpiricalFinance周学时/总学时：3/36学分：2任课教师：刘玉珍、张翼、张峥开课学期：2010－2011第1学期先修课程：金融学概论、证券投资学、公司财务、计量经济学任课教师联系方式：刘玉珍教授光华2楼324，电话：62757699；Email:[e-mail]张翼副教授光华2楼363，电话：62757895；Email:[e-mail]张峥副教授光华2楼372，电话：62767856；Email:[e-mail]辅导、答疑时间：一、课程概述本课程主要通过实证金融学研究文献的讨论，介绍资产定价和公司财务领域的实证研究设计与方法，金融数据的应用与计算分析。课程内容包括资产定价模型的检验、共同基金、公司财务与治理、金融市场与机构、行为金融等等。二、课程目标本课程的主要的培养目标是：通过课程的学习，学生可以了解相关领域的研究进展，独立设计实施一个实证金融的研究项目，并规范地完成论文的写作。三、内容提要及学时分配内容学时上课时间授课教师1概述、论文写作3学时2010年9月9日张峥2实证资产定价－资产定价模型的检验3学时2010年9月16日张峥3实证资产定价－共同基金3学时2010年9月23日张峥4实证资产定价－行为金融3学时2010年9月30日刘玉珍5实证资产定价－市场微结构3学时2010年10月14日刘玉珍6实证公司财务－公司财务3学时2010年10月21日张翼7实证公司财务－证券发行3学时2010年10月28日张翼8实证公司财务－金融中介、银行的作用3学时2010年11月11日张翼9实证公司财务－金融中介、银行的作用3学时2010年11月18日张翼10实证公司财务－行为公司财务3学时2010年11月25日张翼四、阅读材料（根据上课情况，具体内容可能会微调）第一部分：实证资产定价（EmpiricalAssetPricing）**requiredforcourseI.Crosssectionalstockreturnandassetpricingmodel1.**Chen,Long,RobertNovy-Marx,LuZhang,2009,Analternativethree-factormodel,workingpaper2.**Daniel,Kent,andSheridanTitman,1997,Evidenceonthecharacteristicsofcrosssectionalvariationinstockreturns,JournalofFinance52,1–33.3.Davis,James,EugeneF.Fama,andKennethR.French,2000,Characteristics,Covariances,andAverageReturns:1929to1997,JournalofFinance55,389-406.4.**FamaEugeneF.andKennethR.French,1996,MultifactorExplanationsofAssetPricingAnomalies,JournalofFinance51,55-84.5.6.Fama,EugeneF.,andKennethR.French,2008,DissectingAnomalies,JournalofFinance63,1653-1678.7.Lee,C.M.C.andB.Swaminathan,2000,PriceMomentumandTradingVolume,JournalofFinance55,2017-2069.II.Mutualfund8.**Carhart,MarkM.,1997,OnPersistenceinMutualFundPerformance,JournalofFinance52,57-82.9.**Chen,Hsiu-Lang,NarasimhanJegadeesh,andRussWermers,2000,TheValueofActiveMutualFundManagement:AnExaminationoftheStockholdingsandTradesofFundManagers,JournalofFinancialandQuantitativeAnalysis35,343-36810.Fama,EugeneF.andKennethR.French,2009,MutualFundPerformance,workingpaper11.**Frazzini,Andrea,LaurenCohenandChristopherMalloy,2008TheSmallWorldofInvesting:BoardConnectionsandMutualFundReturns,JournalofPoliticalEconomy,116,951-97912.French,KennethR.,2008,PresidentialAddress:TheCostofActiveInvesting,JournalofFinance63,1537-1573.III.BehavioralFinance1.TrondM.DøskelandandHansK.Hvid,DoIndividualInvestorsHaveAsymmetricInformationBasedonWorkExperience?JournalofFinance,forthcoming.2.AmitSeru,TylerShumway,andNoahStoffman,LearningbyTrading,RFSAdvanceAccesspublishedonSeptember20,2009.3.EnrichettaRavinaandPaolaSapienza,WhatDoIndependentDirectorsKnow?EvidencefromTheirTrading,RFSAdvanceAccesspublishedonApril13,20094.JieGan,HousingWealthandConsumptionGrowth:EvidencefromaLargePanelofHouseholds,RFSAdvanceAccesspublishedonFebruary9,2010IV.MarketMicrostruture1.TerrenceHendershot,CharlesM.Jones,andAlbertJ.Menkveld,DoesAlgorithmicTradingImproveLiquidity?2.RichardW.SiasandDavidA.Whidbee,InsiderTradesandDemandbyInstitutionalandIndividualInvestors,RFSAdvanceAccesspublishedonJanuary25,2010.3.AndyPuckettandXuemin(Sterling)Yan,TheInterimTradingSkillsofInstitutionalInvestors,JournalofFinance,forthcoming.4.RandiNæs,JohannesA.Skjeltorp,andBerntArneØdegaard,StockMarketLiquidityandtheBusinessCycle,JournalofFinance,forthcoming.第二部分：实证公司财务（EmpiricalCorporateFinance）**requiredforcourseI.CapitalStructure1.Fischer,E.,R.Heinkel,andJ.Zechner,“DynamicCapitalStructureChoice:TheoryandTests,”JournalofFinance(1989)Vol.44,pp.19-40.2.Fama,Eugene,andKennethFrench,1998,“Taxes,FinancingDecisions,andFirmValue,”JournalofFinance(June1998)Vol.53,pp.819-843.**3.Andrade,Gregor,andKaplan,Steven,“HowCostlyIsFinancial(NotEconomic)Distress?EvidencefromHighlyLeveragedTransactionsThatBecameDistressed,”JournalofFinance(October1998)Vol.53,pp.1443-1493.4.Hovakimian,Armen,GayaneHovakimian,andHassanTehranian,DeterminantsofTargetCapitalStructure:TheCaseofDualDebtandEquityIssues,”JournalofFinancialEconomics(March2004),Vol.71,No.3,pp.517-540.5.Hennessy,ChristopherA.andToniWhited,2004,“DebtDynamics,”JournalofFinance,60,forthcoming.6.Hovakimian,Armen,2005,“AreObservedCapitalStructuresDeterminedbyEquityMarketTiming?”JournalofFinancialandQuantitativeAnalysis,forthcoming.7.Leary,MarkT.,andRoberts,MichaelR.,2004,“DoFirmsRebalanceTheirCapitalStructures?”JournalofFinance,forthcoming.**8.Flannery,Mark,andKasturiRangan,“PartialAdjustmenttowardTargetCapitalStructures”unpublished2005UniversityofFloridaworkingpaper.JournalofFinancialEconomics,forthcoming.**9.Baker,Malcolm,andJeffreyWurgler.MarketTimingandCapitalStructureJournalofFinance57,no.1(February2002):1-32.IISecuritiesIssuance1.LucasandMcDonald,1990,Equityissuesandstockmarketpricedynamics,JournalofFinancialEconomics,PP.3-21**2.Beatty,Randolph,andJayRitter,1986,Investmentbanking,reputation,andtheunderpricingofinitialpublicofferings,JournalofFinancialEconomics15,213-232**3.Benveniste,Lawrence,andPaulSpindt,1989,Howinvestmentbankersdeterminetheofferpriceandallocationofnewissues,JournalofFinancialEconomics,PP.343-624.Aggarwal,Reena,2000,Stabilizationactivitiesbyunderwritersafterinitialpublicoffer