*********“十一五”规划教材

《金融市场学》（第六版）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6版），高等教育出版社，2020年12月。教育部面向21世纪教材、“十一五”*********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。

3、教学课件：

    PPT.rar

4、习题答案可向我免费索取（限任课教师）。

5、Further Readings：

1. An Introduction to Investment Theory by Will Goetzmann(一本很好的网络教程）
2. Banks as Monitors of other Banks： Evidence from the Overnight Federal Funds Market.pdf（第2章）
3. Are Treasury Securities Free of Default.pdf（第2章）
4. Liquidity, Asset Prices and Financial Policy.pdf（第3章）
5. Exchange Rate Dynamics Redux.pdf（第4章）
6. Expectations, Bond Prices, and the Term Structure of Interest Rates.pdf（第5章）
7. What Determines Price-Earnings Ratios.pdf(第6章）
8. P/E, P/B and the Present Value of Future Dividends.pdf(第6章）
9. The Dividend Discount Model： A Primer.pdf（第6章）
10. Detecting Spot Price Forecasts In Futures Prices.pdf（第7章）
11. Forward and Futures Prices： Evidence from the Foreign Exchange Markets.pdf（第7章）
12. Swaps： Plain and Fanciful.pdf（第7章）
13. The Efficiency of the Treasury Bill Futures Market, pp. 895-914.pdf（第7章）
14.  Market Incompleteness and Divergences Between Forward and Futures Interest.pdf（第7章）
15.  An Economic Analysis of Interest Rate Swaps.pdf（第7章）
16. “期货市场能否预测未来的现货价格？”，陈蓉、郑振龙，《国际金融研究》，2007年第9期。P70-74。  （第7章）
17. The Pricing of Options and Corporate Liabilities.pdf（第8章）
18. Two-State Option Pricing, pp. 1093-1110.pdf（第8章）
19. 中国可转债定价研究”，《厦门大学学报（哲社版）》，郑振龙、林海，2004年第2期。（第8章）
20. Arbitrage: The Key to Pricing Options.pdf（第8章）
21. Put-Call Parity and Market Efficiency.pdf（第8章）
22. the relation between call and put option prices（第8章）
23. 标准化期权的特征和风险（通俗读物）（第8章）
24. 期权入门.pdf（通俗读物）（第8章）
25. 期权交易策略.pdf（通俗读物）（第8章）
26. The Pricing of Multiclass Commercial Mortgage-Backed Securities.pdf（第9章）
27. Rational Prepayment and the Valuation of Mortgage-Backed Securities.pdf（第9章）
28. Rational Prepayments and the Valuation of Collateralized Mortgage Obligations.pdf（第9章）
29. Prepayment and the Valuation of Mortgage-Backed Securities.pdf（第9章）
30. “利率期限结构研究述评”，林海、郑振龙，《管理科学学报》2007年第2期。第10章）
31. Yield Spreads and Interest Rate Movements A Bird's Eye View.pdf（第10章）
32. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates.pdf（第10章）
33. The Term Structure of Interest Rates A Test of the Expectations Hypothesis.pdf（第10章）
34. The Term Structure of Interest Rates.pdf（第10章）
35. The Changing Behavior of the Term Structure of Interest Rates.pdf（第10章）
36. Asset pricing at the millennium.pdf（第11章）
37. Does the stock Market Overreact（第11章）
38. Further evidence on the risk-return relationship.pdf（第11章）
39. Efficient Capital Markets A Review of Theory and Empirical Work.pdf（第11章）
40. Efficient Market II（第11章）
41. The Cross-Section of Expected Stock Returns.pdf（第11章）
42. On the impossibility of informationally efficient markets.pdf（第11章）
43. The World Price of Covariance Risk.pdf（第11章）
44. The Role of Securities in the Optimal Allocation of Risk-bearing.pdf（第12章）
45. Portfolio Selection.pdf（第12章）
46. The Equity Premium Puzzle and the Riskfree Rate Puzzle.pdf（第13章）
47. The equity premium puzzle.pdf（第13章）
48. The Equity Premium Stock and Bond Returns since 1802.pdf（第13章）
49. Fama and French: The CAPM： Theory and Evidence.pdf（第13章）
50. The Cross-Section of Expected Stock Returns.pdf（第13章）
51. Risk, Return, and Equilibrium Empirical Test（第13章）
52. Cochrane, John H, 1999, “New Facts in Finance” Economic Perspectives Federal Reserve Bank of Chicago 23 (3) 36-58. #6153. （第11、13章）
53. Fama Eugene F. and Kenneth R. French 1996 "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance 51, 55-84.  （第13章）
54. The Conditional CAPM and the Cross-Section of Expected Returns.pdf（第13章）
55. Global Stock Markets in the Twentieth Century.pdf（第13章）
56. Another Look at the Cross-Section of Expected Stock Returns.pdf（第13章）
57. Security Prices, Risk, and Maximal Gains From Diversification.pdf（第13章）
58. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital budgets.pdf（第13章）
59. Equilibrium in a Capital Asset Market.pdf（第13章）
60. On the Cross-Sectional Relation between Expected Returns and Betas.pdf（第13章）
61. The arbitrage theory of capital asset pricing.pdf（第13章）
62. Capital Asset Prices： A Theory of Market Equilibrium under Conditions of Risk.pdf（第13章）
63. The pricing of options and corporate liabilities.pdf（第14章）
64. Assessing Asset Pricing Anomalies.pdf（第14章）
65. Market Efficiency, Long-Term Returns, and Behavioral Finance.pdf（第14章）
66. Behavioral Portfolio Theory.pdf（第14章）
67. Prospect Theory： An Analysis of Decision under Risk.pdf（第14章）

6、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
•    中国金融期货交易所
•    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.
   

•  "How to Solve Simultaneous Linear Equations in Excel Using Solver?" 

   

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

   

• 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.

   

• 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.
                    

• 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.

   

• 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.                

   

• 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.

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

• 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!

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