金融界有哪些著名的论文

作者：liu **
链接：http://www.zhihu.com/question/**/answer/**
来源：知乎
著作权归作者所有。商业转载请联系作者获得授权，非商业转载请注明出处。我猜题主是想通过读作为学科foundation的这些**来进行金融入门，曾几何时我也有和楼主相似的想法，并自己做了一点researching，也整理出了一点成果，我就试着根据这些**为知友们理一理现代金融发展的脉络吧。(提醒：为了给新手一个金融学发展的直观的感受，我选择了用时间顺序列举**的办法，而不是按传统的分 投资学/公司金融 两块（pt-capm-emh-mm-bsm）[3]来列举的。首先，金融的一切一切的foundation，daniel bernoulli（瑞士人）在1738年写的：
specimen theoriae novae de mensura sort**,"commentarii academiae scientiarum imperial** petropolitanae,tomus v 1738,pp.175-192.
这篇论文提出了用期望效用衡量风险的新方法，从某种角度上定义了r**k这个现代金融学研究的最本质的东西。原文是拉丁文，英译(1954版)：
exposition of a new theory on the measurement of r**k,daniel bernoulli,econometrica,vol.22,no.1.(jan.,1954),pp.23-36.
citation:1827
（citation 数据来自google scholar，写答案时候顺手刷新的，更新日期：2014/2/17 2:52 am，下同）
然后？黑喂狗！1.the birth of finance-portfolio theory.
正如eugene f.fama［2］所说：
finance has its birth in 1952 with the phd thes** of harry markowitz on portfolio theory that he did in the department of economics.
所以这篇**肯定是逃不开的：
markowitz,harry."portfolio selection*."the journal of finance 7.1(1952):77-91.
citation:17176
虽然题主把范围限制在了**，不过如果感兴趣的话书也可以看看：
markowitz,harry m.portfolio selection:efficient diversification of investments.vol.16.yale university press,1970.
citation:8021
markowitz把收益和风险这两个在过去原本有点含糊的概念明确为具体的数学概念，相当于指明了金融中的一大块，投资学的研究方向：最大收益，最小方差。奠基石的作用啊。2.foundation of corporate finance-mm theorem.
一句话概括该定理就是：在理想的市场条件下,公司的价值与财务政策无关。他们的研究算是真正的给corporate finance这门学科奠定了基础。modigliani,franco,and merton h.miller."the cost of capital,corporation finance and the theory of investment."the american economic review(1958):261-297.
citation:12750
3.the bridge between r**k and return-capital assets pricing model
capm模型从均衡的角度阐述了风险和收益之间的关系，这个模型提供的insight几乎是照亮了以后金融研究的道路，后来的apt,emh都是建立在此之上。sharpe,william f."capital asset prices:a theory of market equilibrium under conditions of r**k*."the journal of finance 19.3(1964):425-442.
citation:12900
lintner,j.,1965,the valuation of r**k assets and the
selection of r**ky investments in stock portfolios and capital
budgets,review of economics and stat**tics,47:13‐37.
citation:7660
mossin,j.,1966,equilibrium in a capital asset market,
econometrica,34:768‐783.
citation:3781
4.how does our market beh**e?efficient market theory
我们学习金融理论很多时候都会看到这样的假设：
假设市场有效.我们得出.
那么市场真的有效吗？fama,e.f.,1965,random walks in stock
market prices,financial analysts journal,
september/october.
citation:819
fama,e.f.,1970,efficient capital markets:a
review of theory and empirical work,journal
of finance,25:383‐417.
citation:12240
5.the greatest financial theory ever-black-scholes-merton model
这个greatest当然是我这个无名小辈封的，不过fama也这么说哦［2］
the black-scholes ** **,in my view,the most important ** in economics of the 20th century.no other ** has to be learned by every single econom**t getting a phd and has also created an industry—the derivatives industry.
别的theory都是奠定了什么什么基础，bsm model直接创造了迄今为止可能最赚钱（也最亏钱，衍生品往往是零和博弈）的行业－金融衍生品行业
merton,robert c."theory of rational option pricing."(1971):141-183.
citation:4115
merton,robert c."option pricing when underlying stock returns are d**continuous."journal of financial economics 3.1(1976):125-144.
citation:8963
black,f.,and m.scholes,1973,the pricing of
options and corporate liabilities,journal of political
economy,81:637‐654
citation:24015
6.from theory to practical-apt
apt因素模型选股，一个学长在cicc就正在做这个。简单的说该模型就是把一个return拆成了不同的factor，类似于计量里的多元线性回归。ross,s.a.,1976,the arbitrage theory of capital
asset pricing,journal of economic theory,13:341‐
360.
citation:5192
ross,s.a.,1978,a simple approach to the
valuation of r**ky streams,journal of business,51:
453‐475.
citation:520
至此，现代金融学的大厦基本构建完毕。以上提到的这些人中，大部分都拿过**奖，其中：
franco modigliani-1985
harry m.markowitz-1990
merton m.miller-1990
william f.sharpe-1990
robert c.merton-1997
myron scholes-1997
eugene fama-2013
最后提一句，建议知友们平衡好看original **和explained material（textbook,ppt）之间的关系，**作为第一手资料固然好，但是却真的不适合入门，textbook讲的有条理且浅显易懂，但却不利于我们领略这个理论本来是什么样子的，阻碍了我们进一步理解这些理论。所以建议知友们可以先看经典的课本入门，然后课本对照**学习。ps:这有1978年后，影响力比较大的finance相关的论文：
finance-google scholar
reference
［1］肖欣荣，投资学讲义，对外经济贸易大学
［2］.eugene f.fama：a brief h**tory of finance and my life at chicago
［3］merton.h.miller the h**tory of finance
编辑于 2014-09-23
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我读的偏corporate finance，结合文献课l**t、专业书籍以及自己总结做一个推荐，感谢授课的诸位老师们。capital structure mm理论：无税mm与有税mmmodigliani,f.and m.miller,
1958,the cost of capital,corporation finance and the theory of invest…
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我读的偏corporate finance，结合文献课l**t、专业书籍以及自己总结做一个推荐，感谢授课的诸位老师们。capital structure
mm理论：无税mm与有税mm
modigliani,f.and m.miller,
1958,the cost of capital,corporation finance and the theory of investment,american
economic review,48(3),261-297.
modigliani,f.and m.miller,1963,corporate
income taxes and the cost of capital:a correction,american economic
review,53(3),433-443.
权衡理论
robichek,a.a.,s.c.myers,1966.problems in the theory of optimal capital structure[j].journal of financial and quantitative analys**:1-35.
deangelo,h.,and r.w.masul**,1980.optimal capital structure under corporate and personal taxation[j].journal of financial economics,8(1):3-29.
融资优序理论
myers,stewart and nicholas majluf,1984,corporate financing and investment dec**ions when firms h**e **rmation that investors do not h**e,journal of financial economics 13,187-221.
择时理论
baker,
malcolm and jeffrey wurgler,2002,market timing and capital
structure,journal of finance 57,1-32.
代理理论
jensen,m.c.,and w.h.meckling,1976.theory of the firm:managerial beh**ior,agency costs and ownership structure[j].journal of financial economics,3(4):305-360.
这篇的经典之处在于开代理理论之先河，之后很多财务学问题都围绕代理问题展开。以上为资本结构理论中的经典文章，这个专题比较复杂，还有很多其他的理论，但对于非专业领域的人，读一读以上这些绝对已经足够了。ra**ing capital
rock,k,1986,why new **sues
are underpriced?journal of financial economics,15,187-212.
引入信息不对称解释ipo折价
2.dittmar,amy and anjan thakor,
2007,why do firms **sue equity?journal
of finance
62,1-54
payout policy
1.bhattacharya,1979,imperfection **rmation,dividend policy,and"the bird in the hand"fallacy,the bell journal of economics
首次将信号理论应用到股利政策的领域中。corporate investment
policy
fazzari,s.,r.g.hubbard,and
b.peterson,1988,financing constraints and corporate investment,brookings
**s on economic activity 1,141-195
asset pricing
1.markowitz,h.,1952.portfolio selection.the journal of finance,7(1):77-91.
均值-方差投资组合
2.sharpe,w.f.,1964.capital asset prices:a theory of market equilibrium under conditions of r**k.the journal of finance,19(3):425-442.
markowitz的学生，在老师的基础上发展出capm模型。3.malkiel,b.g.,and e.f.fama,1970.efficient capital markets:a review of theory and empirical work.the journal of finance,25(2):383-417.
有效市场假说
4.black,f.,and m.scholes,1973.the pricing of options and corporate liabilities.the journal of political economy:637-654.
期权定价理论
前面这四篇是现代财务理论的五大基础理论，还有一个是mm理论，在资本结构中已经列出。读文献可以先从这五篇读起。这三篇是fama很经典的定价模型，可以看看：
5.fama,e.f.,and
k.r.french,1992.the cross-section of expected returns.journal of finance,
427-465.
6.fama,e.f.,and
k.r.french,1993.common r**k factors in the returns on stocks and bonds.
journal of financial economics,33,3-56.
7.fama,
e.f.and k.r.french,1996.multifactor explanations of asset pricing
anomalies,journal of finance51,55-84.
beh**ioral finance
这是我最喜欢的领域！这里挑几篇比较新的文献来介绍吧，都是一个很牛的老师精选出来的百里挑一的好文章。hong,
harr**on,and marcin kacperczyk,2009,the price of sin:the effects of social
norms on markets,journal of financial economics 93,15-36.
malmendier,
ulrike,and geoffrey tate,2005,ceo overconfidence and corporate investment,journal of finance 60,2661–700.
hilary,
gilles,and kai wai hui,2009,does religion matter in corporate dec**ion
making in america?journal of financial economics 93,455-473.
kumar,
alok,jeremy page,and oliver spalt,2011,religious beliefs,gambling attitudes,
and financial market outcomes,journal
of financial economics102,671-708.
odean,
terrance,1998,are investors reluctant to realize their losses?journal of
finance 53,1775-1798.
个人觉得去数据库里下载很麻烦，推荐下载文献用谷歌学术搜索吧，即便你的学校没有购买很多的数据库，或者你已经毕业了，有很多文章在这里都可以直接下载。建议如果是入门，还是先读经典文献，找到自己感兴趣的领域，并利用这一领域的经典文献绘制知识体系，再去读前沿文献，一样是谷歌学术搜索。如果不知道怎么判断好论文，最简单的方法是找发表在顶级期刊的最新论文，公司金融领域有jf、jfe等等。