實證金融-張崢

1、.：.；課 程 大 綱課程編號：02812280授課對象：金融碩士課程稱號：實證金融英文稱號：Empirical Finance周學時/總學時：3/36學 分：2任課教師：劉玉珍、張翼、張崢開課學期：20212021第1學期 先修課程：金融學概論、證券投資學、公司財務(wù)、計量經(jīng)濟學 任課教師聯(lián)絡(luò)方式：劉玉珍教授光華2樓324，：62757699；: HYPERLINK mailto: 張翼副教授光華2樓363，：62757895；: HYPERLINK mailto: zhangyigsm.pku

2、.edu張崢副教授光華2樓372，：62767856；: HYPERLINK mailto: 輔導、答疑時間：一、課程概述本課程主要經(jīng)過實證金融學研討文獻的討論，引見資產(chǎn)定價和公司財務(wù)領(lǐng)域的實證研討設(shè)計與方法，金融數(shù)據(jù)的運用與計算分析。課程內(nèi)容包括資產(chǎn)定價模型的檢驗、共同基金、公司財務(wù)與治理、金融市場與機構(gòu)、行為金融等等。二、課程目的本課程的主要的培育目的是：經(jīng)過課程的學習，學生可以了解相關(guān)領(lǐng)域的研討進展，獨立設(shè)計實施一個實證金融的研討工程，并規(guī)范地完成論文的寫作。三、內(nèi)容提要及學時分配內(nèi)容學時上課時間授課教師1概述、論文

3、寫作3學時2021年9月9日張崢2實證資產(chǎn)定價資產(chǎn)定價模型的檢驗3學時2021年9月16日張崢3實證資產(chǎn)定價共同基金3學時2021年9月23日張崢4實證資產(chǎn)定價行為金融3學時2021年9月30日劉玉珍5實證資產(chǎn)定價市場微構(gòu)造3學時2021年10月14日劉玉珍6實證公司財務(wù)公司財務(wù)3學時2021年10月21日張翼7實證公司財務(wù)證券發(fā)行3學時2021年10月28日張翼8實證公司財務(wù)金融中介、銀行的作用3學時2021年11月11日張翼9實證公司財務(wù)金融中介、銀行的作用3學時2021年11月18日張翼10實證公司財務(wù)行為公司財務(wù)3學時2021年11月25日張翼四、閱讀資料根據(jù)上課情況，詳細內(nèi)容能夠會微

4、調(diào)第一部分：實證資產(chǎn)定價Empirical Asset Pricing*required for courseI. Cross sectional stock return and asset pricing model *Chen, Long, Robert Novy-Marx, Lu Zhang, 2021, An alternative three-factor model, working paper*Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional v

5、ariation in stock returns, Journal of Finance 52, 133.Davis, James, Eugene F. Fama, and Kenneth R. French, 2000, Characteristics, Covariances, and Average Returns: 1929 to 1997, Journal of Finance 55, 389-406.*Fama Eugene F. and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anom

6、alies, Journal of Finance 51, 55-84.Fama, Eugene F., and Kenneth R. French, 2021, Dissecting Anomalies, Journal of Finance 63, 1653-1678. Lee, C. M. C. and B. Swaminathan, 2000, Price Momentum and Trading Volume, Journal of Finance 55, 2021-2069.II. Mutual fund *Carhart, Mark M., 1997, On Persistenc

7、e in Mutual Fund Performance, Journal of Finance 52, 57-82.*Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ Wermers, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis 35, 343-368Fama, Euge

8、ne F. and Kenneth R. French, 2021, Mutual Fund Performance, working paper*Frazzini, Andrea, Lauren Cohen and Christopher Malloy, 2021 The Small World of Investing: Board Connections and Mutual Fund Returns, Journal of Political Economy, 116, 951-979French, Kenneth R., 2021, Presidential Address: The

9、 Cost of Active Investing, Journal of Finance 63, 1537-1573.III. Behavioral FinanceTrond M. Dskeland and Hans K. Hvid, HYPERLINK /journal/forth_abstract.asp?ref=639 Do Individual Investors Have Asymmetric Information Based on Work Experience? Journal of Finance, forthcoming. Amit Seru, Tyl

10、er Shumway, and Noah Stoffman, Learning by Trading, RFS Advance Access published on September 20, 2021.Enrichetta Ravina and Paola Sapienza, What Do Independent Directors Know? Evidence from Their Trading, RFS Advance Access published on April 13, 2021 Jie Gan, Housing Wealth and Consumption Growth:

11、 Evidence from a Large Panel of Households, RFS Advance Access published on February 9, 2021 IV. Market MicrostrutureTerrence Hendershot, Charles M. Jones, and Albert J. Menkveld, HYPERLINK /afa/forthcoming/6130p.pdf t _blank Does Algorithmic Trading Improve Liquidity?Richard W. Sias and D

12、avid A. Whidbee, Insider Trades and Demand by Institutional and Individual Investors, RFS Advance Access published on January 25, 2021.Andy Puckett and Xuemin (Sterling) Yan, HYPERLINK /journal/forth_abstract.asp?ref=637 The Interim Trading Skills of Institutional Investors, Journal of Fin

13、ance, forthcoming.Randi Ns, Johannes A. Skjeltorp, and Bernt Arne degaard, HYPERLINK /afa/forthcoming/6765p.pdf t _blank Stock Market Liquidity and the Business Cycle, Journal of Finance, forthcoming.第二部分：實證公司財務(wù)Empirical Corporate Finance*required for courseI. Capital Structure 1. Fischer,

14、 E., R. Heinkel, and J. Zechner, “Dynamic Capital Structure Choice: Theory and Tests, Journal of Finance (1989) Vol. 44, pp. 19-40.2. Fama, Eugene, and Kenneth French, 1998, “Taxes, Financing Decisions, and Firm Value, Journal of Finance (June 1998) Vol. 53, pp. 819-843.*3. Andrade, Gregor, and Kapl

15、an, Steven, “How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed, Journal of Finance (October 1998) Vol. 53, pp. 1443-1493.4. Hovakimian, Armen, Gayane Hovakimian, and Hassan Tehranian, Determinants of Target Capital Structure: The Case

16、 of Dual Debt and Equity Issues, Journal of Financial Economics (March 2004), Vol. 71, No. 3, pp. 517-540.5. Hennessy, Christopher A. and Toni Whited, 2004, “Debt Dynamics, Journal of Finance, 60, forthcoming.6. Hovakimian, Armen, 2005, “Are Observed Capital Structures Determined by Equity Market Ti

17、ming? Journal of Financial and Quantitative Analysis, forthcoming.7. Leary, Mark T., and Roberts, Michael R., 2004, “Do Firms Rebalance Their Capital Structures? Journal of Finance, forthcoming.*8. Flannery, Mark, and Kasturi Rangan, “Partial Adjustment toward Target Capital Structures unpublished 2

18、005 University of Florida working paper. Journal of Financial Economics, forthcoming.*9.Baker, Malcolm, and Jeffrey Wurgler. Market Timing and Capital Structure Journal of Finance 57, no. 1 (February 2002): 1-32.II Securities Issuance1.Lucas and McDonald, 1990, Equity issues and stock market price d

19、ynamics, Journal of Financial Economics, PP. 3-21 *2.Beatty, Randolph, and Jay Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics 15, 213-232*3. Benveniste, Lawrence, and Paul Spindt, 1989, How investment bankers determine t

20、he offer price and allocation of new issues, Journal of Financial Economics, PP. 343-62 4.Aggarwal, Reena, 2000, Stabilization activities by underwriters after initial public offerings, Journal of Finance, Vol. 55, 1075-1103*5.Loughran, Tim, and Jay Ritter, 1995, The new issues puzzle, Journal of Fi

21、nance, Vol.1 , No. 1, pp. 23-516.Baker, Malcolm, and Jeffrey Wurgler, 2000, The equity share in new issues and aggregate stock returns, Journal of Finance, Vol. 55, No. 5, 2219-57*7.Herzel, M., Smith, R.L., 1993. Market discounts and shareholder gains for placing equity privately. Journal of Finance

22、 48, 459485.8. JOSEPH AHARONY, Jevons Lee, T.J. Wong, Financial packaging of IPO firms in China, HYPERLINK JavaScript:WinOpen(); Journal of Accounting Research, Vol. 38, No. 1, Spring 2000III Financial Intermediation, Banks in Capital Markets, and Liquidity Constraints1. Stein, Jeremy C., “Agency, I

23、nformation and Corporate Investment, chapter in Constantinides, Harris, and Stulzs 2003 North-Holland Handbook of the Economics of Finance.2. Diamond, Douglas W., Financial Intermediation and Delegated Monitoring, Review of Economic Studies (1984), pp. 393-414.3. Rajan, Raghuram, Insiders and Outsid

24、ers: The Choice between Informed and Arms Length Debt, Journal of Finance (September 1992) Vol. 47, No. 4, pp. 7-1400.* 4. Petersen, Mitchell A. and Raghuran Rajan, The Benefits of Lending Relationships: Evidence from Small Business Data, Journal of Finance (March 1994) Vol. 49, No. 1, pp. 3-37.5. F

25、azzari, S., G. Hubbard, and B. Petersen, Financing Constraints and Corporate Investment, Brookings Papers on Economic Activity (1988) pp. 141-195.*6.Lummer, S., McConnell, J., 1989. Further evidence on the bank lending process and the capital market response to bank loan agreements. Journal of Finan

26、cial Economics 25, 99122.* 7. Houston, Joel, Chris James, and David Marcus, Capital Market Frictions and the Role of Internal Capital Markets in Banking, Journal of Financial Economics (November 1997) Vol. 46, No. 2, pp. -164.* 8. Baker, Malcolm, Jeremy C. Stein, and Jeffrey Wurgler, “When Does the

27、Market Matter? Stock Prices and the Investment of Equity-Dependent Firms, Quarterly Journal of Economics (August 2003) Vol. 118, pp. 969-1006. Japan:* 9. Gibson, Michael S., “Can Bank Health Affect Investment? Evidence from Japan, Journal of Business (July 1995), Vol. 68, No. 3, pp. 281-308.10.Morck

28、, R., Nakamura, M., Shivdasani, A., 2000. Banks, ownership structure, and firm value in Japan. Journal of Business 73, 539567.*11.Weinstein, D., Yafeh, Y., 1998. On the costs of a bank-centered financial system: Evidence from the changing main bank relations in Japan. Journal of Finance 53, 635672.E

29、ast Asia:12. K.C. John Wei, Yi Zhang, 2021, Ownership Structure, Cash Flow, and Corporate Investment: Evidence from East Asian Economies Before the Financial Crisis, Journal of Corporate Finance, 2021, volume 14, issue 2China:13. Lihui, Tian, Saul Estrin, 2007, Debt finaning, soft budget constraints, and goverbment ownership: evidence from China, Economics of Transition, 15(3)14. Xiaochi Lin, Yi Zhang, and Ning Zhu, 2021, Does Bank Ownership Increase Firm Value? Evidence from China, Journal of International Money and Finance, volume 2