国家级“十一五”规划教材

《金融市场学》（第三版）主页

主持人：郑振龙

欢迎批评、指正： zlzheng@xmu.edu.cn

1、张亦春、郑振龙、林海主编，《金融市场学》（第3版），高等教育出版社，2008年3月。教育部面向21世纪教材、“十一五”国家级规划教材。本教材于2008年9月被评为国家精品教材。

2、《金融市场学》软件。

4、教学课件：

   new_01.ppt

   new_02.ppt

   new_03.ppt

   new_04.ppt

   new_05.ppt

   new_06.ppt

   new_07.ppt

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   new_11.ppt

   NEW_12.ppt

   new_13.ppt

   new_14.ppt

5、习题答案可向我免费索取（限任课教师）。

6、Further Readings：

• 中国股市的深层思考
• An Introduction to Investment Theory by Will Goetzmann(一本很好的网络教程）
• Fama and French: The CAPM： Theory and Evidence.pdf
• Cochrane, John H, 1999, “New Facts in Finance” Economic Perspectives Federal Reserve Bank of Chicago 23 (3) 36-58. #6153.
• Fama Eugene F. and Kenneth R. French 1996 "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance 51, 55-84.  #7716
• Schwert, G. William, "Anomalies and Market Efficiency," Chapter 15, Handbook of the Economics of Finance, eds. George Constantinides, Milton Harris, and René Stulz, North-Holland, pp. 937-972. (Published version of #9608)
• Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82. #1549
• Davis, James, L., 2001, “Mutual Fund Performance and Manager Style” Financial Analysts Journal. 57, 19-27
• Carhart, Mark M., Ron Kaniel, David K. Musto and Adam V. Reed, 2002 “Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds” Journal of Finance LVII (2) 661-691
• Fung, William, and David Hsieh, 1999,  “A Primer on Hedge Funds,” Journal of Empirical Finance, 6 309-331.
• Mitchell, Mark and Todd Pulvino, 2001, “The characteristics of risk and return in risk arbitrage” Journal of Finance 56, 2135-2176 #8448.
• Long-Term Capital Management LLP (A) Harvard Business School Case N9-200-007 1999.
• Dor, Arik Ben and Jagannathan, Ravi,  “Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis.” NBER working paper 9111
• Asness, Cifford, Robert Krail and John Liew, 2001, Do hedge funds hedge? Journal of Portfolio Management, 28 (Fall) 6-19.
• Agarwal, Vikas and Narayan Naik, 2004, “Risk and Portfolio Decisions Involving Hedge Funds”Review of Financial Studies 17: 63 - 98.
• Brown, Stephen J., William Goetzmann, Bing Liang, 2003, “Fees on Fees in Funds of Funds’’ NBER Working Paper 9464
• Lamont Owen, and Richard Thaler 2003, "Can the Market Add and Subtract?: Mispricing in Tech-Stock Carve-Outs" Journal of Political Economy 111: 227-268
• Cochrane, John H., "Stock as Money: Convenience Yield and the Tech-Stock Bubble" in William C. Hunter, George G. Kaufman and Michael Pomerleano, Eds., Asset Price Bubbles Cambridge: MIT Press 2003 (previously NBER working paper 8987 )
• Jones, Charles and Owen Lamont, 2002, “Short Sales Constraints and Stock Returns,” Journal of Financial Economics 66, 207-239.
• Lamont, Owen, and Jeremy C Stein, "Aggregate Short Interest and Market Valuations"  American Economic Review, May 2004
• Lamont, Owen, (2004) “Go Down Fighting: Short Sellers vs. Firms” Manuscript, Yale University
• Asquith, Paul, Parag. A. Pathak, and Jay Ritter (2004) “Short Interest and Stock Returns” NBER working paper 10434.
• Krishnamurthy, Arvind, 2002, “The Bond-Old Bond Spread” Journal of Financial Economics 66, 463-506 2002.
• Mitchell, Mark, Todd Pulvino and Erik Stafford, 2004 “`Price Pressure around Mergers,” Journal of Finance 59 (1) 31-63. 
• Cochrane, John H. and Monika Piazzesi, "Bond Risk Premia" Manuscript, Univeristy of Chicago.
• Cochrane, John H. 1999, “Portfolio Advice for a Multifactor World” Economic Perspectives Federal Reserve Bank of Chicago 23 (3) 59-78. #6156
• Carhart_funds_jf.pdf
• Fama_French_multifactor_explanations.pdf
• Goetzman_fund_fee_w9464.pd.pdf
• Jagannathan_Fund_styles_NBERwp9111.pdf
• Lamont_stein_aggregate_short_AER.pdf
• Schwert_anomalies.pdf
• agarwal_naik_hedge_rfs_published.pdf
• asness_crail_liew_hedge_funds_hedge_JPM.pdf
• asquith_et_al_NBERw10434.pdf
• carhart_leaning_for_tape_JF.pdf
• cochrane_new_facts.pdf
• cochrane_piazzesi_bond_risk_premia.pdf
• cochrane_portfolio_advice.pdf
• cochrane_stock_as_money.pdf
• davis_james_mutual_fund_style_FAJ.pdf
• hsieh-fung hedge fund primer JEF.pdf
• krishnamurthy_bond_spread_jfe.pdf
• lamont and thaler add and subtract jpe.pdf
• lamont_go_down_fighting.pdf
• lamont_jones_short_sales_and_stock_returns_JFE.pdf
• mitchell pulvino characteristics of risk and return JF.pdf
• mitchell_price_pressure_JF.pdf

7、相关链接：

•    世界主要交易所
•    中国证监会
•    上海证券交易所
•    深圳证券交易所
•    中国证券网
•    全景网络
•    中国证券报
•    中国债券信息网
•   

• Yahoo Finance: Allows downloading past prices of stocks, bonds, and exchange traded options in Excel spreadsheet. We will use it to track prices, download data, and for researching. You may create your own portfolio and track them in (almost) real time. Here is an example calculation of the adjusted close prices of a security using our own Chicago GSB CRSP standard.
   

• US Treasury (here you can get information on all US savings bonds, such as, T-Bills, Notes, and Bonds) determines the virtually riskfree T-Bill rates via auction in TreasuryDirect (or, alternatively, here) web site. Recent T-Bill prices and rates can be found here. You may download T-Bill, Note, and Bond auction history since 1980 from here. Here is their explanation of "How do Treasury Convert the Price for a Bill to a Discount Rate?" Do you agree with their calculation method?
   

• University of Chicago Business and Economics Resource Center: Allows online access to almost all important finance and economic research journals and other publications. Here are the instructions for setting-up the browser proxy to access the online articles from outside of uchicago.edu domain. Here is the web page of Center for Research in Security Prices (CRSP) in Chicago GSB.
   

• Here is an online note on "How to Solve Linear Equations in Excel?" Here is another online note.
   

• Here is a tutorial on "How to Use Excel Solver?". Here is another one. Here is an Example. Another tutorial.
   

• Here is a tutorial on "How to Use LINEST of Excel" for Linear Regression.
   

• Here is an Excel VBA tutorial by Bob McDonald from Northwestern Kellogg. Kellogg's TEKcamp have many more technology related resources. Here is a tutorial on SPSS from Kellogg.
   

• Wondering which stocks are there in S&P-500 Index? Check out here!
   

• Here is another excellent MBA level online notes on Investments.
   

• What is the difference between APR and APY? Read here: note-1, note-2, note-3, note-4.
   

• Here is a note on stock beta and alpha. Another note on CAPM and beta.
   

• Articles on Beta from BARRA: pdf, newsletter-1, newsletter-2.
   

• How Merrill Lynch Online defines Alpha and Beta?
   

• Princeton University library maintains this list of sources for financial data.
   

• Here is an interview with Professor Eugene Fama from DFA's library.
   

• Professor J. Huston McCulloch's web page on Term Structure.
   

• Download Fed Rates from Fed's web page. Here is a definition of Fed Rate.
   

• A Collection of Finance Related Scandals: Interesting and informative readings. Business ethics and demerits of creative accountings are the major issues in today's corporate world.
   

• Invstopedia.com: A very good free resource on practical side of investments. The free articles on the university section are must readings for prospective traders and marketers. A note on "Outstanding Shares and Float".
   

• riskglossary.com is a great (probably the best) resource on technical details. Here are links on Volatility and Volatility Skew.
   

• Investorhome.com: Although its not been updated for long, but still this is a great portal for a lot of information regarding financial world. The page on stock market anomalies is perhaps the best in the web. Among the whole content, other informative pages are on mutual funds, venture capital, day trading.
   

• PMpublishing has a lot of old volatility skew patterns in all markets. Not updated for long.
   

• Argmax: An up-to-date web page of economics news, data, and analysis. Informative for researching on current economic trend in US.
   

• A Bunch of Financial Calculators: Sometimes useful.
   

• Bankrate: Current and (almost) best available rates in all type of debt securities.
   

• Jstor and SSRN: Research journal and other article archive in finance and economics. You need to set-up the browser proxy to access (most of) the papers.
   

• Do you know that almost all ground breaking ideas of finance were discovered by the economists of the University of Chicago? Here is a link to the University of Chicago Nobel Laureates.
   

• Online Text on Investment Theory: By Professor William N. Goetzmann of Yale School of Management. A great reading for our class.
   

• Java Applets for bond valuation, options valuation, and mean-variance efficient frontier from CeReFiM.
   

• How to Read WSJ Tables? From Professor Wiilliam J. Trainor Jr.'s web page at Western Kentucky University. This is not the best presentation, but it covers almost all liquid instruments (stocks, bonds, mutual funds, options, and futures).
   

• Finance Resources on the Web: A well organized portal maintained by Professor Ian Giddy at Stren School, NYU.
   

• CNN Money: A well-versed source for current financial and economic news. Other sources for financial data are: NYSE, Bloomberg, Value Line etc. Yahoo! Finance and NYSE shows stock beta.
   

• Who am I? Click here to find out your computer's IP Address and Host Name. PC Pitshop can test your computer's performance. CNet's Bandwidth Meter can test your internet connection.
   

• Goldman Sachs, Capital Market Strategies Group: Goldman Sachs was the most research friendly firm on Wall Street. The paper on efficient frontier shows how Goldman uses financial economic ideas/theory and analytics for their investment decisions. Browse the links on viewpoints, case studies, research, and books for more information.
   

• Federally Insured Savings Network: Quotes (almost) best available rates of CDs and other debt securities.
   

• Ken French's web page: May download data for Fama-French factors.
   

• WR Hambrecht + Co: (Almost) only place where individual investors may bid for (and buy) available new IPO offerings. Keep an eye here if Google offers its well-advertised IPO to individual investors.
   

• GloriaMundi.org: A place dedicated to teach "all about Value-at-Risk".
   

• iVolatility: A place for option traders. A good collection (portal) of useful practical information (and readings) for investors dealing with exchange traded derivatives.
   

• This web site posts almost current implied volatility smile pattern observed in various options markets. In past, they used to update the pattern everyday, but now, it seems, they are lagging behind.

   

• The web page of Derivatives Week is an excellent resource for up-to-date information on all types of over-the-counter financial instruments market including job opportunities.
   

• Official web page of Nobel Prize. Here you may bid on the prospective prize winners!
   

• CEOExpress: A portal for CEOs.
   

• Fool.com: Another informative portal for individual investors.
   

• Want to research about Credit Card rates and rebates? Web pages of cardweb and the forums on creditcardgoodies.com are some good places to start. You can calculate your FICO score here from bankrate.com and here directly from myFICO.com.

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