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1、凯程考研辅导班，中国最强的考研辅导机构，http://www.kaichengschool.com考研就找凯程考研，学生满意，家长放心，社会认可！金融研究生必读书目和经典文献-金融市场学金融市场学金融市场学理论作者出处发展1、随机游走模型Kendall,Osborn,ArnoldMoore2、有效率市场假说(Efficientmarkethypothesis)EugeneFamaEugeneFama，“EfficientCapitalMarket:aReviewofTheoryandEmpiricalWork”,JournalofFinance,May19703、规模效
2、应（或小公司效应）RolfBanzBanz,R.1981,“Therelationshipbetweenreturnandmarketvalueofcommonstock”,JournalofFinancialEconomics9:3-18小公司效应在一月份的前两个星期最为明显，见DonaldKeim,“SizeRelatedAnomaliesandStockReturnSeasonality:FutureEmpiricalEvidence”,JournalofFinancialEconomics,June1983;MarshallBlume,RobertStambau
3、gh,“BiasesinComputedReturns:anApplicationtoSizeEffect”,JournalofFinancialEconomics,August1983.4、流动性效应Amihud&Mendelson5、账面价值/市场价值比率效应EugeneFama,KennethFrenchEugeneFama,KennethFrench,“TheCrossSectionofExpectedStockReturns”,JournalofFinance,June1992.6、逆转效应（过度反应）DeBondt,ThalerDeBondt,Thaler,
4、“DoestheStockMarketOveract?”JournalofFinance,(40)19857、动力效应N.Jegadeesh,S.Titman,N.Jegadeesh,S.Titman,“ReturntoBuyingWinnersandSellingLosers:ImplicationsforStockMarketEfficiency”,JournalofFinance,(48)19938、股权溢价之谜米拉，普雷斯科特Mehra,R.andPrescott,E.1985.“Theequitypremium:apuzzle.”JournalofMoneta
5、ryEconomics15(2)9、Grossman-Stiglitz悖论Grossman,Sanford,J.andStiglitz,J.EGrossman,Sanford,J.andStiglitz,J.E.,1980,,“OntheImpossibilityofInformationallyEfficientMarkets”,AmericanEconomicReview70,393-40810、现代组合理论 HarryMarkowitz, HarryMarkowitz,“PortfolioSelection”,JournalofFinance,March1952
6、11、资本资产定价模型（CAPM）威廉?夏普Sharpe,W.F.1964,“Capitalassetprices:atheoryofmarketequilibrumunderconditionsrisk”,JournalofFinance19,September 1.放松了关于所有资产都可以市场化的假设，推导出存在非市场化资产情况下的资产定价公式。DavidMayers,“NonmarketableAssetsandCapitalMarketEquilibriumunderUncertainty”,InStudierintheTheoryofCapitalMarket
7、s,ed.MichaelJensen,NewYork:Praeger.2.多因素的资本资产定价模型RobertMerton,“AnIntertemporalCapitalAssetPricingModel”,Econometrica,1973.3.以消费为导向的资本资产定价模型BreedenD.,“AnIntertemporalAssetPricingModelwithStochasticConsumptionandInvestmentOpportunities”,JournalofFinancialEconomics,凯程考研，考研机构
