数量金融前沿之资产定价
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上课时间：周二晚上9-11节 嘉庚2-203 1、教材：1)John Cochrane, Asset Pricing, Princeton Press, 2005. 2)Claus Munk， Financial Asset Pricing Theory, Oxford University press,2013 2、typos.pdf(最新的勘误表，2005.10） 1）第一章：资产定价重要理论与方法.pdf 1）第一章：AP1（S2020）.pdf 2）第二章：AP2（S2020）.pdf Macro-Finance.pdf B.more on stochastic discount factors.pdf C.conditioning information and multifactor model.pdf D.Handen and Jagannathan bounds.pdf
本课程2017年课件：（由于当时课时较多，所以以下课件内容更多，有兴趣的同学可以看） 阅读： A. continuous_time_review.pdf（相关知识） B. time_series_book.pdf（相关知识） C.关于效用理论，请看John Compbellutilitytheorynotes091505.pdf D.John Compbell关于随机贴现因子的讲义sdfnotes101005.pdf
阅读：
3）Information Ambiguity Explains Asset PricingAnomalies An Expectile CAPM Approach.pptx 胡韡博士论文全文 hw.pdf ) 投稿论文：VCAPM_RFS_13012014_paper.pdf 4）Discount Rate.ppt (讲座） 阅读： Discount Rate.pdf (John Cochrane,JOF) 5）第三章：AP3.pptx AP3.pdf （2013.10.29更新） 阅读：
7）第五章：AP5.pptx AP5.pdf （2013.10.29更新） 阅读： Estimation and Evaluation of Conditional Asset Pricing Models.pdf 12)第10－13章:GMM.pdf 13)第十四章：AP14.pdf 14)第十五章：AP15.pdf 15)第十六章：AP16.pdf 16）第十七章：AP17.ppt 17)第十八章：AP18.ppt 18） Econometric specification of stochastic discount factor models.ppt Econometric specification of stochastic discount factor models.pdf（新） 19）Decomposition of Stochastic Discount Factor and their Volatility Bound.ppt 20）AP19-1.pptx AP19-1.pdf AP19-2.pptx AP19-2.pdf 20）第20、20章：新金融理论与事实 new facts.ppt new facts.pdf 21)讲座：金融市场与经济 asset pricing.ppt（新） 主讲：郑振龙 A.asset pricing at the millennium.pdf. B.Financial Markets and the Real Economy Revised August 2005. This review will introduce a volume by the same title in the Edward Elgar series "The International Library of Critical Writings in Financial Economics" edited by Richard Roll. Everything you wanted to know, but didn’t have time to read, about equity premium, consumption-based models, investment-based models, general equilibrium in asset pricing, labor income and idiosyncratic risk. New version (Aug 2005) is more self-contained and better for reading if you don’t have the volume articles in hand. C.关于效用理论，请看John Compbellutilitytheorynotes091505.pdf D.John Compbell关于随机贴现因子的讲义sdfnotes101005.pdf E.John Compbell关于组合选择与资产定价的讲义portfoliochoicenotes092605.pdf F.John Compbell关于现值关系的讲义presentvaluenotes101805.pdf G.John Compbell开列的阅读清单Ec2723 Readings Fall 2005 H.Mehra：the equity premium_why is a puzzle.pdf 2) Predictable returns and volatility in the time series and cross section A. Facts New Facts in Finance Asset Pricing Ch. 20, 21. Jung, Geeman, and Robert H. Shiller, 2002, “One Simple Test of Samuelson’s Dictum for the Stock Market” NBER Working paper 9348 Cohen, Randolph, Christopher Polk and Tuomo Vuolteenaho, 2002, “The Value Spread” forthcoming Journal of Finance Cochrane, John H. and Monika Piazzesi “Bond Risk Premia” Manuscript, University of Chicago and UCLA Ribiero, Ruy “Predictable dividends and returns” Manuscript, University of Chicago Lamont, Owen, 1998, “Earnings and Expected Returns,” Journal of Finance 53 B. Models and explanations Lettau, Martin and Syney Ludvigson, 2001, “Resurrecting the (C)CAPM.” Journal of Political Economy 109: 1238-1287 Breannan, Michael, Yihong Xia and Ashley Wang, 2002 Intertemporal Capital Asset Pricing and theFama-French Three-Factor Model Manuscript UCLA and Wharton. Gomes, Joao, Leonid Kogan and Lu Zhang, “Equilibrium Cross Section of Returns” Forthcoming, Journal of Political Economy Menzly, Lior, Jesus Santos and Pietro Veronesi, 2002, “The time series of the cross section of asset prices” Manuscript University of Chicago Longstaff Francis, and Monika Piazzesi 2002, “Corporate Earnings and the Equity Premium” Manuscript, UCLA
A. Classics Ingersoll, Jonathan E. Jr., Theory of Financial Decision Making Ch. 4 Mean variance portfolio analysis, Ch 11 Discrete Time Intertemporal Portfolio Selection Ch. 13 Continuous Time Portfolio Selection Duffie, Darrell, Dynamic Asset Pricing Theory. Ch8 (1st ed) or Chn 9 (3d ed) Optimal Portfolio and Consumption Choice (I hope these cover the classic references, more simply than the originals: Merton, Robert C. 1971, Optimum Consumption and Portfolio Rules in a Continuous-Time Model, Journal of Economic Theory 3, 373-413 Cox, John C. and Chi-Fu Huang, Optimal Consumption and Portfolio Policies when Asset Prices follow a Diffusion Process Journal of Economic Theory, 49, 33-83. If not, we’ll read the originals too. ) Cuoco, Domenico, 1997. “Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income,” Journal of Economic Theory v72, n1 (January), 33-73. B. A simple linear quadratic approximation. Fama, Eugene F. 1996, “Multifactor portfolio efficiency and multifactor asset pricing,” Journal of Financial and Quantitative Analysis, 31 441-465 Cochrane, John, “Portfolio Advice for a Multifactor World” Economic Perspectives Federal Reserve Bank of Chicago 23 (3) 59-78 (1999) (Revision of NBER Working Paper 7170) C. Campbell’s approach to computing Merton problems Campbell, John Y. and Luis M. Viceira 1999, Consumption and Portfolio Decisions when Expected Returns are Time Varying” Quarterly Journal of Economics, 114, 433-495 Campbell, John Y. and Luis M. Viceira, 2000, Consumption and Portfolio Decisions when Expected Returns are Time Varying: Erratum" September Cambpell, John Y, Yeung Lewis Chan and Luis Viceira, 2003, "A Multivariate Model of Strategic Asset Allocation" NBER Working Paper No. 8566, October 2001, forthcoming Journal of Financial Economics, January 2003 D. Miscellanious new portfolio theory Barberis, Nicholas, 2000, Investing for the Long Run when Returns are Predictable", Journal of Finance, February. Heaton, John, and Deobrah Lucas 2000, “Portfolio Chioce in the Presence of Background Risk” The Economic Journal 110, 1-26 Mitchell, Mark and Todd Pulvino, 2001, “Characteristics of Risk and Return in Risk Arbitrage” Journal of Finance LVI 2135-2176 5) Liquidity and short sales constraints A. Facts Lamont, Owen and Richard Thaler, “Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs” Forthcoming Journal of Political Economy Ofek, Eli and Matthew Richardson, “DotCom Mania: the Rise and Fall of Internet Stock Prices” forthcoming Journal of Finance Cochrane, John H., “Stock as Money: Convenience Yield and the Tech-Stock Rollercoaster” NBER working paper 8987 Longstaff, Francis, 2002, “The flight to liquidity premium in US Treasury Bond Prices,” NBER working paper 9312 Wurgler, Jeffrey, and Ekaterina Zhurasvkaya, 2002, “Does Arbitrage Flatten the Demand Curve for Stocks?” Journal of Business 75 583-608. Pastor, Lubos and Robert Stambaugh, “Liquidity Risk and Expected Stock Returns,” Forthcoming Journal of Political Economy B. Models Harrison, J. Michael and David Kreps 1978, “Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations” Quarterly Journal of Economics 92 323-336. Duffie, Darrell, Nicolae Garleanu and Lasse Pedersen 2001, “Securities Lending Shorting and Pricing,” Journal of Financial Economics, Forthcoming. Scheinkman, Jose and Wei Xiong, “Overconfidence and Speculative Bubbles,” Manuscript, Princeton University 6）lecture notes for empirical finance 7) paper topic for phd students 8）其他论文:
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