美国金融学年会(
金融学国际前沿研究二十年之变迁——历届美国金融学年会主席发言综述
摘要
参考文献
摘要
1 Acharya V V, Lochstoer L A, Ramadorai T. Limits to arbitrage and hedging: Evidence from commodity markets[J].Journal of Financial Economics, 2013, 109(2): 441-465. DOI:10.1016/j.jfineco.2013.03.003
2 Acharya V V, Pedersen L H.Asset pricing with liquidity risk[J].Journal of Financial Economics, 2005, 77(2): 375-410. DOI:10.1016/j.jfineco.2004.06.007
3 Adrian T, Etula E, Muir T. Financial intermediaries and the cross-section of asset returns[J].Journal of Finance, 2014, 69(6):2557-2596. DOI:10.1111/jofi.12189
4 Agarwal V, Jiang W, Tang Y, et al.Uncovering hedge fund skill from the portfolio holdings they hide [J].Journal of Finance, 2013, 68(2): 739-783. DOI:10.1111/jofi.12012
5 Allen F. Presidential address: Do financial institutions matter?[J].Journal of Finance, 2001, 56(4):1165-1175. DOI:10.1111/0022-1082.00361
6 Bae K H, Goyal V K. Creditor rights, enforcement, and bank loans[J].Journal of Finance, 2009, 64(2): 823-860. DOI:10.1111/j.1540-6261.2009.01450.x
7 Beber A, Pagano M.Short-selling bans around the world: Evidence from the 2007-09 crisis[J].Journal of Finance, 2013, 68(1):343-381. DOI:10.1111/j.1540-6261.2012.01802.x
8 Becker T A, Shabani R. Outstanding debt and the household portfolio[J].Review of Financial Studies, 2010, 23(7): 2900-2934. DOI:10.1093/rfs/hhq023
9 Bekaert G, Harvey C R, Lundblad C. Liquidity and expected returns: Lessons from emerging markets[J].Review of Financial Studies, 2007, 20(6): 1783-1831. DOI:10.1093/rfs/hhm030
10 Bergstresser D, Chalmers J M, Tufano P. Assessing the costs and benefits of brokers in the mutual fund industry[J].Review of Financial Studies, 2009, 22(10): 4129-4156. DOI:10.1093/rfs/hhp022
11 Bessembinder H. Trade execution costs and market quality after decimalization[J].Journal of Financial and Quantitative Analysis, 2003, 38(4): 747-777. DOI:10.2307/4126742
12 Bessembinder H, Coughenour J F, Seguin P J, et al. Mean reversion in equilibrium asset prices:Evidence from the futures term structure[J].Journal of Finance, 1995, 50(1): 361-375. DOI:10.1111/j.1540-6261.1995.tb05178.x
13 Boehmer E, Jones C M, Zhang X Y. Shackling short sellers:The 2008 shorting ban[J].Review of Financial Studies, 2013, 26(6): 1363-1400. DOI:10.1093/rfs/hht017
14 Brav A, Heaton J B. Competing theories of financial anomalies[J].Review of Financial Studies, 2002, 15(2): 575-606. DOI:10.1093/rfs/15.2.575
15 Brockman P, Chung D Y, Yan X S. Block ownership, trading activity, and market liquidity[J].Journal of Financial and Quantitative Analysis, 2009, 44(6): 1403-1426. DOI:10.1017/S0022109009990378
16 Brogaard J, Hendershott T, Riordan R. High-frequency trading and price discovery[J].Review of Financial Studies, 2014, 27(8): 2267-2306. DOI:10.1093/rfs/hhu032
17 Busse J A, Goyal A, Wahal S. Performance and persistence in institutional investment management[J].Journal of Finance, 2010, 65(2): 765-790. DOI:10.1111/j.1540-6261.2009.01550.x
18 Calvet L E, Campbell J Y, Sodini P. Down or out: Assessing the welfare costs of household investment mistakes[J].Journal of Political Economy, 2007, 115(5): 707-747. DOI:10.1086/524204
19 Calvet L E, Sodini P. Twin picks:Disentangling the determinants of risk-taking in household portfolios [J].Journal of Finance, 2014, 69(2): 867-906. DOI:10.1111/jofi.12125
20 Campbell J Y. Household finance[J]. Journal of Finance, 2006, 61(4): 1553-1604. DOI:10.1111/j.1540-6261.2006.00883.x
21 Campbell J Y, Cocco J F.A model of mortgage default[J].Journal of Finance, 2015, 70(4):1495-1554. DOI:10.1111/jofi.2015.70.issue-4
22 Campello M, Chen L, Zhang L. Expected returns, yield spreads, and asset pricing tests[J].Review of Financial Studies, 2008, 21(3): 1297-1338. DOI:10.1093/rfs/hhn011
23 Chaboud A P, Chiquoine B, Hjalmarsson E, et al. Rise of the machines: Algorithmic trading in the foreign exchange market[J].Journal of Finance, 2014, 69(5): 2045-2084. DOI:10.1111/jofi.12186
24 Chang E C, Tang D Y, Zhang M B. Suitability checks and household investments in structured products[J].Journal of Financial and Quantitative Analysis, 2015, 50(3): 597-622. DOI:10.1017/S0022109015000265
25 Chava S, Purnanandam A. Is default risk negatively related to stock returns?[J].Review of Financial Studies, 2010, 23(6): 2523-2559. DOI:10.1093/rfs/hhp107
26 Chen H L, Pennacchi G.Does prior performance affect a mutual fund's choice of risk? Theory and further empirical evidence[J].Journal of Financial and Quantitative Analysis, 2009, 44(4): 745-775. DOI:10.1017/S002210900999010X
27 Chen L, Da Z, Zhao X. What drives stock price movements?[J].Review of Financial Studies, 2013, 26(4): 841-876. DOI:10.1093/rfs/hht005
28 Chen J, Hong H, Jiang W, et al. Outsourcing mutual fund management:Firm boundaries, incentives, and performance[J].Journal of Finance, 2013, 68(2): 523-558. DOI:10.1111/jofi.12006
29 Chen L, Lesmond D A, Wei J. Corporate yield spreads and bond liquidity [J].Journal of Finance, 2007, 62(1): 119-149. DOI:10.1111/j.1540-6261.2007.01203.x
30 Chordia T, Huh S, Subrahmanyam A. Theory-based illiquidity and asset pricing[J].Review of Financial Studies, 2009, 22(9): 3629-3668. DOI:10.1093/rfs/hhn121
31 Cochrane J H. Presidential address:Discount rates[J]. Journal of Finance, 2011, 66(4): 1047-1108. DOI:10.1111/j.1540-6261.2011.01671.x
32 Constantinides G M. Rational asset prices[J]. Journal of Finance, 2002, 57(4): 1567-1591. DOI:10.1111/1540-6261.00471
33 Constantinides G M, Donaldson J B, Mehra R. Junior can't borrow: A new perspective on the equity premium puzzle[J].Quarterly Journal of Economics, 2002, 117(1): 269-296. DOI:10.1162/003355302753399508
34 Cumming D, Johan S, Li D. Exchange trading rules and stock market liquidity[J].Journal of Financial Economics, 2011, 99(3): 651-671. DOI:10.1016/j.jfineco.2010.10.001
35 Dammon R M, Spatt C S, Zhang H H. Optimal consumption and investment with capital gains taxes[J]. Review of Financial Studies, 2001, 14(3): 583-616. DOI:10.1093/rfs/14.3.583
36 Dammon R M, Spatt C S, Zhang H H. Optimal asset location and allocation with taxable and tax-deferred investing[J]. Journal of Finance, 2004, 59(3):999-1037. DOI:10.1111/j.1540-6261.2004.00655.x
37 Davis S J, Kubler F, Willen P. Borrowing costs and the demand for equity over the life cycle[J].Review of Economics and Statistics, 2006, 88(2): 348-362. DOI:10.1162/rest.88.2.348
38 DeBondt W F, Thaler R. Does the stock market overreact?[J].Journal of Finance, 1985, 40(3): 793-805. DOI:10.1111/j.1540-6261.1985.tb05004.x
39 De Roon F A, Nijman T E, Veld C. Hedging pressure effects in futures markets[J].Journal of Finance, 2000, 55(3): 1437-1456. DOI:10.1111/0022-1082.00253
40 Dewatripont M, Maskin E. Credit and efficiency in centralized and decentralized economies[J].Review of Economic Studies, 1995, 62(4): 541-555. DOI:10.2307/2298076
41 Diamond D W. Presidential address:Committing to commit:Short-term debt when enforcement is costly [J]. Journal of Finance, 2004, 59(4): 1447-1479. DOI:10.1111/j.1540-6261.2004.00669.x
42 Dimmock S G, Kouwenberg R, Mitchell O S, et al. Ambiguity aversion and household portfolio choice puzzles: Empirical evidence[J].Journal of Financial Economics, 2016, 119(3): 559-577. DOI:10.1016/j.jfineco.2016.01.003
44 Duesenberry J S. Income, saving, and the theory of consumer behavior[M]. Cambridge:Harvard University Press, 1949.
45 Duffie D. Presidential address:Asset price dynamics with slow-moving capital[J]. Journal of Finance, 2010, 65(4): 1237-1267. DOI:10.1111/j.1540-6261.2010.01569.x
46 Easton P D. PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital [J].Accounting Review, 2004, 79(1): 73-95. DOI:10.2308/accr.2004.79.1.73
47 Eleswarapu V R, Venkataraman K. The impact of legal and political institutions on equity trading costs: A cross-country analysis[J].Review of Financial Studies, 2006, 19(3): 1081-1111. DOI:10.1093/rfs/hhj026
48 Elton E J. Presidential address:Expected return, realized return, and asset pricing tests[J]. Journal of Finance, 1999, 54(4): 1199-1220. DOI:10.1111/0022-1082.00144
49 Faccio M, Lang L H. The ultimate ownership of Western European corporations[J].Journal of Financial Economics, 2002, 65(3): 365-395. DOI:10.1016/S0304-405X(02)00146-0
50 Fama E F, French K R. Luck versus skill in the cross-section of mutual fund returns[J].Journal of Finance, 2010, 65(5): 1915-1947. DOI:10.1111/j.1540-6261.2010.01598.x
51 Fama E F, Gibbons M R. A comparison of inflation forecasts[J].Journal of Monetary Economics, 1984, 13(3): 327-348. DOI:10.1016/0304-3932(84)90036-9
52 Fleckenstein M, Longstaff F A, Lustig H. The TIPS-Treasury bond puzzle[J].Journal of Finance, 2014, 69(5): 2151-2197. DOI:10.1111/jofi.12032
53 Foucault T, Kadan O, Kandel E. Liquidity cycles and make/take fees in electronic markets[J].Journal of Finance, 2013, 68(1): 299-341. DOI:10.1111/j.1540-6261.2012.01801.x
54 French K R. Presidential address: The cost of active investing[J]. Journal of Finance, 2008, 63(4): 1537-1573. DOI:10.1111/j.1540-6261.2008.01368.x
55 Gaudecker H, Vom M. How does household portfolio diversification vary with financial literacy and financial advice?[J].Journal of Finance, 2015, 70(2): 489-507. DOI:10.1111/jofi.12231
56 Gennaioli N, Rossi S. Contractual resolutions of financial distress[J].Review of Financial Studies, 2013, 26(3): 602-634. DOI:10.1093/rfs/hhs129
57 Gennaioli N, Shleifer A, Vishny R.Money doctors[J].Journal of Finance, 2015, 70(1):91-114. DOI:10.1111/jofi.12188
58 Gibson R, Schwartz E S. Stochastic convenience yield and the pricing of oil contingent claims[J].Journal of Finance, 1990, 45(3): 959-976. DOI:10.1111/j.1540-6261.1990.tb05114.x
59 Gourinchas P O, Parker J A. Consumption over the life cycle[J].Econometrica, 2002, 70(1): 47-89. DOI:10.1111/ecta.2002.70.issue-1
60 Green R C. Presidential address: Issuers, underwriter syndicates, and aftermarket transparency[J]. Journal of Finance, 2007, 62(4): 1529-1550. DOI:10.1111/j.1540-6261.2007.01250.x
61 Green R C, Hollifield B, Schürhoff N. Dealer intermediation and price behavior in the aftermarket for new bond issues[J].Journal of Financial Economics, 2007, 86(3): 643-682. DOI:10.1016/j.jfineco.2006.10.004
62 Green R C, Li D I, Schürhoff N. Price discovery in illiquid markets: Do financial asset prices rise faster than they fall?[J].Journal of Finance, 2010, 65(5): 1669-1702. DOI:10.1111/j.1540-6261.2010.01590.x
64 Gruber M J. Another puzzle:The growth in actively managed mutual funds[J]. Journal of Finance, 1996, 51(3): 783-810. DOI:10.1111/j.1540-6261.1996.tb02707.x
65 Guercio D D, Reuter J. Mutual fund performance and the incentive to generate alpha[J].Journal of Finance, 2014, 69(4): 1673-1704. DOI:10.1111/jofi.12048
66 Harvey C R, Liu Y, Zhu H.… and the cross-section of expected returns[J].Review of Financial Studies, 2016, 29(1): 5-68. DOI:10.1093/rfs/hhv059
67 Hasbrouck J. Trading costs and returns for US equities: Estimating effective costs from daily data[J].Journal of Finance, 2009, 64(3): 1445-1477. DOI:10.1111/j.1540-6261.2009.01469.x
68 He Z, Xiong W. Delegated asset management, investment mandates, and capital immobility[J].Journal of Financial Economics, 2013, 107(2): 239-258. DOI:10.1016/j.jfineco.2012.08.010
70 Kacperczyk M, Nieuwerburgh S V, Veldkamp L. Time-varying fund manager skill[J].Journal of Finance, 2014, 69(4): 1455-1484. DOI:10.1111/jofi.12084
71 Kokkonen J, Suominen M. Hedge funds and stock market efficiency[J].Management Science, 2015, 61(12): 2890-2904. DOI:10.1287/mnsc.2014.2037
72 Kornai J. Resource-constrained versus demand-constrained systems[J].Econometrica, 1979, 47(4): 801-819. DOI:10.2307/1914132
73 La Porta R, Lopez-De-Silanes F, Shleifer A. Corporate ownership around the world[J].Journal of Finance, 1999, 54(2): 471-517. DOI:10.1111/0022-1082.00115
74 Lau S T, Ng L, Zhang B. The world price of home bias[J].Journal of Financial Economics, 2010, 97(2): 191-217. DOI:10.1016/j.jfineco.2010.04.002
75 Leland H E. Agency costs, risk management, and capital structure[J]. Journal of Finance, 1998, 53(4): 1213-1243. DOI:10.1111/0022-1082.00051
76 Leuz C, Oberholzer-Gee F. Political relationships, global financing, and corporate transparency: Evidence from Indonesia[J].Journal of Financial Economics, 2006, 81(2): 411-439. DOI:10.1016/j.jfineco.2005.06.006
77 Li H, Wang J, Wu C, et al.Are liquidity and information risks priced in the treasury bond market?[J].Journal of Finance, 2009, 64(1): 467-503. DOI:10.1111/j.1540-6261.2008.01439.x
78 Linnainmaa J T. Why do (some) households trade so much?[J].Review of Financial Studies, 2011, 24(5): 1630-1666. DOI:10.1093/rfs/hhr009
79 Liu W. A liquidity-augmented capital asset pricing model[J].Journal of Financial Economics, 2006, 82(3): 631-671. DOI:10.1016/j.jfineco.2005.10.001
81 McLean D R, Pontiff J. Does academic research destroy stock return predictability[J].Journal of Finance, 2016, 71(1):5-32. DOI:10.1111/jofi.2016.71.issue-1
82 Mehra R, Prescott E C. The equity premium: A puzzle[J].Journal of Monetary Economics, 1985, 15(2): 145-161. DOI:10.1016/0304-3932(85)90061-3
83 Merton R C. Optimum consumption and portfolio rules in a continuous-time model[J].Journal of Economic Theory, 1971, 3(4): 373-413. DOI:10.1016/0022-0531(71)90038-X
84 Merton R C. An intertemporal capital asset pricing model[J].Econometrica, 1973, 41(5): 867-887. DOI:10.2307/1913811
85 O'Hara M. Presidential address: Liquidity and price discovery[J]. Journal of Finance, 2003, 58(4): 1335-1354. DOI:10.1111/1540-6261.00569
86 Parker J A. The reaction of household consumption to predictable changes in social security taxes[J].American Economic Review, 1999, 89(4): 959-973. DOI:10.1257/aer.89.4.959
87 Parrino R, Weisbach M S. Measuring investment distortions arising from stockholder-bondholder conflicts[J].Journal of Financial Economics, 1999, 53(1): 3-42. DOI:10.1016/S0304-405X(99)00015-X
88 Pastor L, Stambaugh R F. Costs of equity capital and model mispricing[J].Journal of Finance, 1999, 54(1): 67-121. DOI:10.1111/0022-1082.00099
89 Pastor L, Stambaugh R F. Liquidity risk and expected stock returns[J].Journal of Political Economy, 2003, 111(3): 642-685. DOI:10.1086/374184
90 Puckett A, Yan X S. The interim trading skills of institutional investors[J].Journal of Finance, 2011, 66(2): 601-633. DOI:10.1111/j.1540-6261.2010.01643.x
91 Qian J, Strahan P E. How laws and institutions shape financial contracts: The case of bank loans[J].Journal of Finance, 2007, 62(6): 2803-2834. DOI:10.1111/j.1540-6261.2007.01293.x
92 Quah J K, Strulovici B. Discounting, values, and decisions[J].Journal of Political Economy, 2013, 121(5): 896-939. DOI:10.1086/673867
93 Rajan R G. Presidential address: The corporation in finance[J]. Journal of Finance, 2012, 67(4):1173-1217. DOI:10.1111/j.1540-6261.2012.01745.x
94 Rajan R G, Zingales L Z. The firm as a dedicated hierarchy: A theory of the origins and growth of firms[J].Quarterly Journal of Economics, 2001, 116(3): 805-851. DOI:10.1162/00335530152466241
95 Routledge B R, Seppi D J, Spatt C S. Equilibrium forward curves for commodities[J].Journal of Finance, 2000, 55(3): 1297-1338. DOI:10.1111/0022-1082.00248
96 Ryder H E, Heal G M. Optimal growth with intertemporally dependent preferences[J].Review of Economic Studies, 1973, 40(1): 1-31. DOI:10.2307/2296736
97 Schultz P. The market for new issues of municipal bonds: The roles of transparency and limited access to retail investors[J].Journal of Financial Economics, 2012, 106(3): 492-512. DOI:10.1016/j.jfineco.2012.07.004
98 Schwartz E S. The stochastic behavior of commodity prices: Implications for valuation and hedging[J]. Journal of Finance, 1997, 52(3): 923-973. DOI:10.1111/j.1540-6261.1997.tb02721.x
99 Shiller R J, Fischer S, Friedman B M. Stock prices and social dynamics[J].Brookings Papers on Econo-mic Activity, 1984, 1984(2): 457-510. DOI:10.2307/2534436
100 Souleles N S. The response of household consumption to income tax refunds[J].American Economic Review, 1999, 89(4): 947-958. DOI:10.1257/aer.89.4.947
101 Stambaugh R F. Presidential address: Investment noise and trends[J]. Journal of Finance, 2014, 69(4): 1415-1453. DOI:10.1111/jofi.12174
102 Stein J C. Presidential address: Sophisticated investors and market efficiency[J]. Journal of Finance, 2009, 64(4): 1517-1548. DOI:10.1111/j.1540-6261.2009.01472.x
103 Stoll H R. Presidential address:Friction[J]. Journal of Finance, 2000, 55(4): 1479-1514. DOI:10.1111/0022-1082.00259
104 Stulz R M. The limits of financial globalization[J]. Journal of Finance, 2005, 60(4): 1595-1638. DOI:10.1111/j.1540-6261.2005.00775.x
105 Sun Z, Wang A, Zheng L. The road less traveled: Strategy distinctiveness and hedge fund performance[J].Review of Financial Studies, 2012, 25(1): 96-143. DOI:10.1093/rfs/hhr092
106 Sundaresan S M. Intertemporally dependent preferences and the volatility of consumption and wealth[J].Review of Financial Studies, 1989, 2(1): 73-89. DOI:10.1093/rfs/2.1.73
107 Titman S. Financial markets and investment externalities[J]. Journal of Finance, 2013, 68(4):1307-1329. DOI:10.1111/jofi.12072
108 Ye P. The value of active investing:Can active institutional investors remove excess comovement of stock returns?[J].Journal of Financial and Quantitative Analysis, 2012, 47(3): 667-688. DOI:10.1017/S0022109012000099
109 Zingales L. Presidential address: Does finance benefit society?[J]. Journal of Finance, 2015, 70(4):1327-1363. DOI:10.1111/jofi.2015.70.issue-4
引用本文
陆蓉, 王策. 金融学国际前沿研究二十年之变迁——历届美国金融学年会主席发言综述[J]. 财经研究, 2016, 42(10): 108–139.
导出参考文献,格式为:
下一篇:中国上市公司控制权转移的动机研究