金融界有哪些著名的論文？
比如behavioural finance啦,overlapping generation(美國的那個）baby boomer啦，yield curve arbitrage啦這些，或者是Fisher，Sharpe這些人的
最好是英文的（題主要求） 不過有好的中文論文也提一下吧 謝謝
類似問題：經濟學有哪些著名的論文？
文中提到的Paper 的pdf 下載：Dropbox - finance paper
感謝外經貿買了那麼多資料庫...感謝Jstor....
－－－－－－ 2/17 原答案－－－－－
看到上面那麼多答案居然沒提BS公式的那篇Paper，忍不住試著來答一下。。
我猜題主是想通過讀作為學科foundation的這些paper來進行金融入門，曾幾何時我也有和樓主相似的想法，並自己做了一點Researching ，也整理出了一點成果，我就試著根據這些Paper為知友們理一理現代金融發展的脈絡吧。
(提醒：為了給新手一個金融學發展的直觀的感受，我選擇了用時間順序列舉Paper的辦法，而不是按傳統的分 投資學/公司金融 兩塊（PT-CAPM-EMH-MM-BSM）[3]來列舉的。)
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首先，金融的一切一切的Foundation，Daniel Bernoulli （瑞士人）在1738年寫的：
Specimen Theoriae Novae de Mensura Sortis," Commentarii Academiae Scientiarum Imperialis Petropolitanae, Tomus V 1738, pp. 175-192.
這篇論文提出了用期望效用衡量風險的新方法，從某種角度上定義了Risk這個現代金融學研究的最本質的東西。
原文是拉丁文，英譯(1954版)：
Exposition of a New Theory on the Measurement of Risk,Daniel Bernoulli,Econometrica, Vol. 22, No. 1. (Jan., 1954), pp. 23-36.
Citation:1827
（Citation 數據來自Google Scholar，寫答案時候順手刷新的，更新日期： 2014/2/17 2:52 am，下同）
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然後？ 黑喂狗！
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1. The birth of finance--Portfolio Theory.
正如Eugene F. Fama ［2］所說：
Finance has its birth in 1952 with the PhD thesis of Harry Markowitz on portfolio theory that he did in the Department of Economics.
所以這篇Paper肯定是逃不開的：
Markowitz, Harry. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91.
Citation:17176
雖然題主把範圍限制在了Paper，不過如果感興趣的話書也可以看看：
Markowitz, Harry M. Portfolio selection: efficient diversification of investments. Vol. 16. Yale University Press, 1970.
Citation:8021
Markowitz把收益和風險這兩個在過去原本有點含糊的概念明確為具體的數學概念，相當於指明了金融中的一大塊，投資學的研究方向：最大收益，最小方差。奠基石的作用啊。
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2.Foundation of Corporate finance--MM theorem.
一句話概括該定理就是：在理想的市場條件下,公司的價值與財務政策無關。
他們的研究算是真正的給Corporate Finance這門學科奠定了基礎。
Modigliani, Franco, and Merton H. Miller. "The cost of capital, corporation finance and the theory of investment." The American economic review (1958): 261-297.
Citation:12750
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3.The bridge between risk and return--Capital Assets Pricing Model
CAPM模型從均衡的角度闡述了風險和收益之間的關係，這個模型提供的insight幾乎是照亮了以後金融研究的道路，後來的APT,EMH都是建立在此之上。
Sharpe, William F. "Capital asset prices: A theory of market equilibrium under conditions of risk*." The journal of finance 19.3 (1964): 425-442.
Citation:12900
Lintner, J., 1965, The valuation of risk assets and the
selection of risky investments in stock portfolios and capital
budgets, Review of Economics and Statistics, 47:13‐37.
Citation:7660
Mossin, J., 1966, Equilibrium in a capital asset market,
Econometrica, 34: 768‐783.
Citation:3781
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4.How does our market behave? --Efficient Market Theory
我們學習金融理論很多時候都會看到這樣的假設：
假設市場有效.....我們得出....
那麼市場真的有效嗎？
Fama, E. F., 1965, Random walks in stock
market prices, Financial Analysts Journal,
September/October.
Citation:819
Fama, E. F., 1970, Efficient Capital Markets: A
review of theory and empirical work, Journal
of Finance, 25: 383‐417.
Citation:12240
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5.The Greatest Financial Theory Ever--Black-Scholes-Merton Model
這個Greatest當然是我這個無名小輩封的，不過Fama也這麼說哦［2］
The Black-Scholes paper is, in my view, the most important paper in economics of the 20th century. No other paper has to be learned by every single economist getting a PhD and has also created an industry—the derivatives industry.
別的theory都是奠定了什麼什麼基礎，BSM Model直接創造了迄今為止可能最賺錢（也最虧錢，衍生品往往是零和博弈）的行業－－金融衍生品行業
Merton, Robert C. "Theory of rational option pricing." (1971): 141-183.
Citation:4115
Merton, Robert C. "Option pricing when underlying stock returns are discontinuous." Journal of financial economics 3.1 (1976): 125-144.
Citation:8963
Black, F., and M. Scholes, 1973, The pricing of
options and corporate liabilities, Journal of Political
Economy, 81: 637‐654
Citation:24015
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6.From theory to Practical--APT
APT因素模型選股，一個學長在CICC就正在做這個。。簡單的說該模型就是把一個Return拆成了不同的factor，類似於計量里的多元線性回歸。
Ross, S. A., 1976, The arbitrage theory of capital
asset pricing, Journal of Economic Theory, 13: 341‐
360.
Citation:5192
Ross, S. A., 1978, A simple approach to the
valuation of risky streams, Journal of Business, 51:
453‐475.
Citation:520
至此，現代金融學的大廈基本構建完畢。
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以上提到的這些人中，大部分都拿過炸藥獎，其中：
FRANCO MODIGLIANI -1985
HARRY M. MARKOWITZ -1990MERTON M. MILLER-1990
WILLIAM F. SHARPE-1990
ROBERT C. MERTON - 1997
MYRON SCHOLES -1997
EUGENE FAMA-2013
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最後提一句，建議知友們平衡好看Original Paper和Explained Material（Textbook, PPT ）之間的關係，Paper作為第一手資料固然好，但是卻真的不適合入門，Textbook講的有條理且淺顯易懂，但卻不利於我們領略這個理論本來是什麼樣子的，阻礙了我們進一步理解這些理論。
所以建議知友們可以先看經典的課本入門，然後課本對照Paper學習。
PS:這有1978年後，影響力比較大的finance相關的論文：
finance - Google Scholar
Reference
［1］肖欣榮，投資學講義，對外經濟貿易大學
［2］.Eugene F. Fama：A brief history of finance and my life at Chicago
［3］Merton.H.Miller The history of finance
我讀的偏corporate finance，結合文獻課list、專業書籍以及自己總結做一個推薦，感謝授課的諸位老師們。
- Capital Structure
MM理論：無稅MM與有稅MM
- Modigliani, F. and M. Miller,
1958, The Cost of Capital, Corporation Finance and the Theory of Investment, American
Economic Review, 48(3), 261-297. - Modigliani, F. and M. Miller, 1963, Corporate
Income Taxes and the Cost of Capital: A Correction, American Economic
Review, 53(3), 433-443.
權衡理論
- Robichek, A. A., S. C. Myers, 1966. Problems in the theory of optimal capital structure[J]. Journal of Financial and Quantitative Analysis: 1-35.
- DeAngelo, H., and R. W. Masulis, 1980. Optimal capital structure under corporate and personal taxation[J]. Journal of financial Economics, 8(1): 3-29.
融資優序理論
- Myers, Stewart and Nicholas Majluf, 1984, Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 187-221.
擇時理論
- Baker,
Malcolm and Jeffrey Wurgler, 2002, Market timing and capital
structure, Journal of Finance 57, 1-32.
代理理論
- Jensen, M. C., and W. H. Meckling,1976. Theory of the firm: Managerial behavior, agency costs and ownership structure[J]. Journal of financial economics, 3(4): 305-360.
這篇的經典之處在於開代理理論之先河，之後很多財務學問題都圍繞代理問題展開。
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以上為資本結構理論中的經典文章，這個專題比較複雜，還有很多其他的理論，但對於非專業領域的人，讀一讀以上這些絕對已經足夠了。
- Raising Capital
- Rock, K , 1986, Why New Issues
are Underpriced?, Journal of Financial Economics, 15, 187-212.
引入信息不對稱解釋IPO折價
2. Dittmar, Amy and Anjan Thakor,
2007, Why Do Firms Issue Equity? Journal
of Finance
62, 1-54
- Payout Policy
1. Bhattacharya, 1979, Imperfection Information, Dividend Policy, and "the bird in the hand" fallacy, The Bell Journal of Economics
首次將信號理論應用到股利政策的領域中。
- Corporate Investment
Policy
- Fazzari, S., R. G. Hubbard, and
B. Peterson, 1988, Financing constraints and corporate investment, Brookings
Papers on Economic Activity 1, 141-195
- Asset Pricing
1. Markowitz, H., 1952. Portfolio selection. The journal of finance, 7(1): 77-91.
均值-方差投資組合
2. Sharpe, W. F.,1964 . Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3): 425-442.
Markowitz的學生，在老師的基礎上發展出CAPM模型。
3. Malkiel, B. G., and E. F. Fama, 1970. Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2): 383-417.
有效市場假說
4. Black, F., and M. Scholes, 1973. The pricing of options and corporate liabilities. The journal of political economy: 637-654.
期權定價理論
前面這四篇是現代財務理論的五大基礎理論，還有一個是MM理論，在資本結構中已經列出。讀文獻可以先從這五篇讀起。
這三篇是Fama很經典的定價模型，可以看看：
5. Fama, E. F., and
K. R. French, 1992. The Cross-Section of Expected Returns. Journal of Finance,
427-465.
6. Fama, E. F., and
K. R. French, 1993. Common Risk Factors in the Returns on Stocks and Bonds.
Journal of Financial Economics, 33, 3-56.
7. Fama,
E. F. and K. R. French, 1996. Multifactor Explanations of Asset Pricing
Anomalies, Journal of Finance51, 55-84.
- Behavioral Finance
這是我最喜歡的領域！！！
這裡挑幾篇比較新的文獻來介紹吧，都是一個很牛的老師精選出來的百里挑一的好文章。
- Hong,
Harrison, and Marcin Kacperczyk, 2009, The price of sin: The effects of social
norms on markets, Journal of Financial Economics 93, 15-36. - Malmendier,
Ulrike, and Geoffrey Tate, 2005, CEO overconfidence and corporate investment, Journal of Finance 60, 2661–700. Hilary,
Gilles, and Kai Wai Hui, 2009, Does religion matter in corporate decision
making in America?, Journal of Financial Economics 93, 455-473.Kumar,
Alok, Jeremy Page, and Oliver Spalt, 2011, Religious beliefs, gambling attitudes,
and financial market outcomes, Journal
of Financial Economics102, 671-708.Odean,
Terrance, 1998, Are investors reluctant to realize their losses?, Journal of
Finance 53, 1775-1798.
個人覺得去資料庫里下載很麻煩，推薦下載文獻用谷歌學術搜索吧，即便你的學校沒有購買很多的資料庫，或者你已經畢業了，有很多文章在這裡都可以直接下載。
建議如果是入門，還是先讀經典文獻，找到自己感興趣的領域，並利用這一領域的經典文獻繪製知識體系，再去讀前沿文獻，一樣是谷歌學術搜索。如果不知道怎麼判斷好論文，最簡單的方法是找發表在頂級期刊的最新論文，公司金融領域有JF、JFE等等。
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不知不覺竟然過百贊了，而這個答案還是一個沒有完成的答案，也向各位收藏的朋友們道聲抱歉。
最近剛讀到的，諾獎經濟科學評審委員會編的。
Understanding Asset Prices
Nobel Prize Committee
Additional contact information
No 2013-1, Nobel Prize in Economics documents from Nobel Prize Committee
Abstract: The behavior of asset prices is essential for many important decisions, not only for professional investors but also for most people in their daily life. The choice between saving in the form of cash, bank deposits or stocks, or perhaps a single-family house, depends on what one thinks of the risks and returns associated with these different forms of saving. Asset prices are also of fundamental importance for the macroeconomy because they provide crucial information for key economic decisions regarding physical investments and consumption. While prices of financial assets often seem to reflect fundamental values, history provides striking examples to the contrary, in events commonly labeled bubbles and crashes. Mispricing of assets may contribute to financial crises and, as the recent recession illustrates, such crises can damage the overall economy. Given the fundamental role of asset prices in many decisions, what can be said about their determinants?
Downloads: (external link)
http://www.nobelprize.org/nobel_prizes/economic-sc ... omicsciences2013.pdf Full text (application/pdf)
理解資產價格
UNDERSTANDING ASSET PRICES
2013 瑞典國家銀行紀念阿爾弗雷德·諾貝爾經濟學獎的科學背景
瑞典皇家科學院經濟科學獎評審委員會編
勞 佳譯
中文目錄
1 引言3
2 理論背景4
2.1 競爭交易的啟示. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2 隨機折現因子理論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3 短期回報可以預測嗎？ 8
3.1 短期可預測性. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.2 事件研究. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.3 對短期可預測性的後續研究. . . . . . . . . . . . . . . . . . . . . . . . . 12
4 長期可預測性13
4.1 方差比檢驗. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
4.2 股票回報的可預測性. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
4.3 其他資產市場的可預測性. . . . . . . . . . . . . . . . . . . . . . . . . . . 16
5 理性行為者模型中的風險溢價和波動性17
5.1 消費資本資產定價模型(CCAPM) . . . . . . . . . . . . . . . . . . . . . . . 17
5.2 檢驗消費資本資產定價模型(CCAPM) . . . . . . . . . . . . . . . . . . . . 18
5.3 廣義矩方法(GMM) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
5.4 擴展CCAPM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
6 過度波動性與可預測性：行為金融學方法24
6.1 Robert Shiller 與行為金融學. . . . . . . . . . . . . . . . . . . . . . . . . 24
6.2 行為金融學的進一步工作. . . . . . . . . . . . . . . . . . . . . . . . . . . 26
7 什麼決定了不同資產之間預期回報的差異？ 27
7.1 對資本資產定價模型(CAPM) 的早期檢驗. . . . . . . . . . . . . . . . . 28
7.2 CAPM 異象. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
7.3 Fama-French 三因子模型. . . . . . . . . . . . . . . . . . . . . . . . . . . 30
7.4 股票回報橫截面的理性和行為解釋. . . . . . . . . . . . . . . . . . . . . 31
8 對市場實踐的影響32
9 結論34
參考文獻34
中文版下載地址：
金山快盤網頁版快盤
如果時間有限的話 論文都是讀新不讀舊 CAPM MM BS 都是教科書的東西 這種比較遠古的東西沒有讀原文的必要 而且CAPM和MM就是兩個靶子 80年代後中槍無數
如果你不搞研究 那麼完全沒有讀論文的必要
如果你要搞研究 那麼你應該讀大牛們最新的working paper 能偷學到幾個idea就能出些成果
好像跑題了....
唯一推薦的一篇文章，「Multifactor Explanations of Asset Pricing Anomalies」Eugene F. Fama; Kenneth R. French
The Journal of Finance, Vol. 51, No. 1. (Mar., 1996), pp. 55-84.
簡直就是做資產定價實證的模板。
說一些phd level的seminar要經常讀的吧：
先說個最經典的，基本上是過去30年corporate finance的基礎
Jensen and Meckling (1976)
下面這個解釋了為什麼會有market inefficiency出現
Shleifer and Vishny 1997 The Limits of Arbitrage.
下面這個是做governance研究必讀的
Gompers, Ishii and Metrick 2003 Corporate governance and equity prices
做國際研究的要讀LLSV的law and finance literature.
IPO可以讀Ritter的paper, 1991, 1995都很經典
下面的論文是有點老了，基本不會在課堂上正式討論，但經常會作為背景閱讀的Dividend and Capital Structure是兩個很經典的topic,下面兩個人拿了諾獎
Lintner (1956) 關於Dividend的
Modigliani and Miller (1958) 關於 capital structure的，也就是大家耳熟能詳的MM定理
《Prospect Theory: An analysis of decision under risk》, Daniel Kahneman and Amos Tversky
翻了一下答案，看到了corporate finance的reading list，好贊。所以我只限於asset pricing，而且主要是empirical方面的文章，一些classical的theory文章就不提了。另外，我按照topic而不是不按照citation選擇，因為一些高引用率的比較老，或者說太經典了，已經被簡化為教科書了。
首先是方法的文章，學好方法，用起來放心。然後是factor方面的文章。然後是market efficiency，好多asset pricing的reading list都會涉及，但是也有很多不會討論，其實沒啥問題，感覺只是一個對市場的理解。value and momentum，liquidity，asymmetry和主要的anomaly都是比較重要的，一般的業界量化也會用。最後就是fund方面的文章，我覺得和其他的factor，anomaly文章有一些區別。此外還列了一些教科書。
【寫完我發現整段垮掉了...】
NOTE：anomaly方面文章來源自之前課上的reading list（asset pricing. empirical asset pricing, empirical finance），fund方面來源自正在上的課的syllabus（theory of asset pricing。因為老師是做hedge fund的，所以要讀一些重要的fund文章。）。另外還有一些是之前自己看過的，覺得不錯所以一直記得。
NOTE：這裡大部分都是看過的，認為不錯列在這裡。還有很多看過就忘了，以後再加吧。另外，很多文章都應該有一句話評價，然而要上課去了，我懶得寫了，哈哈哈！
Methodology and Factors
Fama and MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 91, 607-636.
【empirical asset pricing 101必讀的第一篇論文吧】
Fama, E. and French, K., 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, pp. 427-465.
Fama Eugene F. and Kenneth R. French, 1993, Common risk factors in the returns on bonds and stocks, Journal of Financial Economics 33, 3-56.
Fama, E. and French, K., 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 47, pp. 427-465.
Fama Eugene F. and Kenneth R. French, 2008, Dissecting Anomalies, Journal of Finance 63, 1653-1678.
Fama, French, 2015, A five factor asset pricing model, JFE.
Fama, Eugene F., and Kenneth R. French. "International tests of a five-factor asset pricing model." Journal of Financial Economics 123.3 (2017): 441-463.
Fama, Eugene F., and Kenneth R. French. "Dissecting anomalies with a five-factor model." The Review of Financial Studies 29.1 (2016): 69-103.
【CRS和time-series的原始文獻。在2015年以前基本每篇文章都得用3factor。2015年以後，應該會改用5factor吧】
Hou, Kewei, Chen Xue, and Lu Zhang, Digesting anomalies: An investment approach, Review of Financial Studies 28 (3), 650-705.
Hou, Kewei, Chen Xue, and Lu Zhang, 2014, A comparison of new factor models. NBER working paper 20682
Hou, Kewei, Chen Xue, and Lu Zhang, 2017, Replicating anomalies.
【戰Fama的一篇文章】
Stambaugh, Robert F., and Yu Yuan. "Mispricing factors." The Review of Financial Studies 30.4 (2016): 1270-1315.
【從short of it得到的一個factor構建思路】
Harvey, Campbell R., Yan Liu, and Heqing Zhu. "… and the cross-section of expected returns." The Review of Financial Studies 29.1 (2016): 5-68.
Barillas, Francisco, and Jay Shanken. "Which alpha?." The Review of Financial Studies 30, no. 4 (2016): 1316-1338.
【如何選擇factor model的文章。在HML，SMB，RMW，CMA，UMD等factor之外，還有一系列AQR的factor，比如HML devil，BAB，QMJ，TSMOM等。這篇文章的意義就在於給出了一個理論方法來指導factor選擇。】
Fama, Eugene F., and Kenneth R. French. "Choosing factors." Browser Download This Paper (2016).
Daniel, K. and S. Titman, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, Journal of Finance 52, 1-33.
Chordia, Tarun, Amit Goyal, and Jay A. Shanken. "Cross-sectional asset pricing with individual stocks: betas versus characteristics." (2015).
Brennan, M., T. Chordia, and A. Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49, 345- 373.
Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang. 2010. 「The Analysis of the Cross-Section of Security Returns.」 Handbook of Financial Econometrics, Vol 2: Applications 2:73.
【CRS方法的綜述，包含了對於FM方法潛在問題的討論，以及討論如何解決error-in-variable問題（當然失敗了...）。再有就是用GMM方法避免EIV問題。】
Market Efficiency
Black, Fischer. "Noise." The journal of finance 41.3 (1986): 528-543.
Lucas Jr, Robert E. "Asset Prices in an Exchange Economy." Econometrica 46.6 (1978): 1429-1445.
Lo, Andrew W., and A. Craig MacKinlay. "Stock market prices do not follow random walks: Evidence from a simple specification test." The review of financial studies 1.1 (1988): 41-66.
Fama, Eugene F., and Kenneth R. French. "Permanent and temporary components of stock prices." Journal of political Economy 96.2 (1988): 246-273.
Richardson, Matthew, and Tom Smith. "A unified approach to testing for serial correlation in stock returns." Journal of Business (1994): 371-399.
Cochrane, John H. "The dog that did not bark: A defense of return predictability." The Review of Financial Studies 21.4 (2007): 1533-1575.
Welch, Ivo, and Amit Goyal. "A comprehensive look at the empirical performance of equity premium prediction." The Review of Financial Studies 21.4 (2007): 1455-1508.
Campbell, John Y., and Samuel B. Thompson. "Predicting excess stock returns out of sample: Can anything beat the historical average?." The Review of Financial Studies 21.4 (2007): 1509-1531.
Value and Momentum
Jegadeesh, Narasimhan and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny. "Contrarian investment, extrapolation, and risk." The journal of finance 49.5 (1994): 1541-1578.
Zhang, Lu, The value premium, Journal of Finance 60 (1), 67-103.
Asness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen. "Value and momentum everywhere." The Journal of Finance 68.3 (2013): 929-985.
Moskowitz, Tobias J., Yao Hua Ooi, and Lasse Heje Pedersen. "Time series momentum." Journal of Financial Economics 104.2 (2012): 228-250.
Daniel, Kent, and Tobias J. Moskowitz. "Momentum crashes." Journal of Financial Economics 122.2 (2016): 221-247.
Novy-Marx, Robert. "Is momentum really momentum?." Journal of Financial Economics 103.3 (2012): 429-453.
Liquidity
Holden, Craig W., Stacey Jacobsen, and Avanidhar Subrahmanyam. "The empirical analysis of liquidity." Foundations and Trends? in Finance 8.4 (2014): 263-365.
Amihud, Yakov, Haim Mendelson, and Lasse Heje Pedersen. "Liquidity and asset prices." Foundations and Trends? in Finance 1.4 (2006): 269-364.
【以上為兩個基本的綜述，可以作為入門】
Amihud, Yakov. "Illiquidity and stock returns: cross-section and time-series effects." Journal of financial markets 5.1 (2002): 31-56.
Pástor, ?ubo?, and Robert F. Stambaugh. "Liquidity risk and expected stock returns." Journal of Political economy 111.3 (2003): 642-685.
Amihud, Yakov, and Haim Mendelson. "Asset pricing and the bid-ask spread." Journal of financial Economics 17.2 (1986): 223-249.
Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. "Commonality in liquidity." Journal of financial economics 56.1 (2000): 3-28.
【算是commonality方面的開端了】
Hameed, Allaudeen, Wenjin Kang, and Shivesh Viswanathan. "Stock market declines and liquidity." The Journal of Finance 65.1 (2010): 257-293.
Karolyi, G. Andrew, Kuan-Hui Lee, and Mathijs A. Van Dijk. "Understanding commonality in liquidity around the world." Journal of Financial Economics 105.1 (2012): 82-112.
【這是一篇涉及方面很多的文章，我覺得文章的intro部分可以算作commonality的一個綜述了。】
Goyenko, Ruslan Y., Craig W. Holden, and Charles A. Trzcinka. "Do liquidity measures measure liquidity?." Journal of financial Economics 92.2 (2009): 153-181.
【比較了很多measure】
Acharya, Viral V., and Lasse Heje Pedersen. "Asset pricing with liquidity risk." Journal of financial Economics 77.2 (2005): 375-410.
Amihud, Yakov, et al. "The illiquidity premium: International evidence." Journal of Financial Economics 117.2 (2015): 350-368.
Da, Zhi, Pengjie Gao, and Ravi Jagannathan. "Impatient trading, liquidity provision, and stock selection by mutual funds." The Review of Financial Studies 24.3 (2010): 675-720.
Teo, Melvyn. "The liquidity risk of liquid hedge funds." Journal of Financial Economics 100.1 (2011): 24-44.
Asymmetry
Harvey, Campbell R., and Akhtar Siddique. "Conditional skewness in asset pricing tests." The Journal of Finance 55.3 (2000): 1263-1295.
Ang, Andrew, and Joseph Chen. "Asymmetric correlations of equity portfolios." Journal of financial Economics 63.3 (2002): 443-494.
Ang, Andrew, Joseph Chen, and Yuhang Xing. "Downside risk." The Review of Financial Studies 19.4 (2006): 1191-1239.
Ang, Andrew, et al. "The cross‐section of volatility and expected returns." The Journal of Finance 61.1 (2006): 259-299.
Hong, Yongmiao, Jun Tu, and Guofu Zhou. "Asymmetries in stock returns: Statistical tests and economic evaluation." The Review of Financial Studies 20.5 (2006): 1547-1581.
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, Robert Stambaugh, Jianfeng Yu, and Yu Yuan, forthcoming on Journal of Finance.
Other important anomalies
Cooper, M., G. Huseyin and M. J. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns, Journal of Finance 63, 1609-1651.
Capital Investment and Stock Returns, Sheridan Titman, John Wei, and Feixue Xie, JFQA, 2004.
Loughran, Tim and Jay Ritter, 1995, The new-issues puzzle, Journal of Finance 50, 23-52.
High idiosyncratic volatility and low returns: International and further U.S. evidence, Andrew Ang, Robert J.Hodrick, Yuhang Xing, Xiaoyan Zhang, JFE 2009.
Novy-Marx, Robert. "The other side of value: The gross profitability premium." Journal of Financial Economics 108.1 (2013): 1-28.
Sloan, R., 1996, Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? Accounting Review 71, 289-315.
Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan. "The short of it: Investor sentiment and anomalies." Journal of Financial Economics 104.2 (2012): 288-302.
Fund
Carhart, Mark M. "On persistence in mutual fund performance." The Journal of finance 52.1 (1997): 57-82.
Kosowski R, Timmermann A, Wermers R, et al. Can mutual fund 「stars」 really pick stocks? New evidence from a bootstrap analysis[J]. The Journal of finance, 2006, 61(6): 2551-2595.
Cremers K J M, Petajisto A. How active is your fund manager? A new measure that predicts performance[J]. The Review of Financial Studies, 2009, 22(9): 3329-3365.
Brown S J, Goetzmann W N. Performance persistence[J]. The Journal of finance, 1995, 50(2): 679-698.
Fama E F, French K R. Luck versus skill in the cross‐section of mutual fund returns[J]. The journal of finance, 2010, 65(5): 1915-1947.
Fung, W., Hsieh, D. A. (1997). Empirical characteristics of dynamic trading strategies: The case of hedge funds. The Review of Financial Studies, 10(2), 275-302.
Fung, W., Hsieh, D. A. (2004). Hedge fund benchmarks: A risk-based approach. Financial Analysts Journal, 60(5), 65-80.
Griffin, John M., and Jin Xu. "How smart are the smart guys? A unique view from hedge fund stock holdings." The Review of Financial Studies 22.7 (2009): 2531-2570.
Cao C, Chen Y, Liang B, et al. Can hedge funds time market liquidity?[J]. Journal of Financial Economics, 2013, 109(2): 493-516.
【上課的時候老師講他們這篇文章是在一次conference上幾個人吃飯聊天聊出來的。結果投稿JFE的時候Fung是編輯，說我之前做過這個topic但是沒有做出結果，所以我要拒了你們。結果老師檢查了一下Fung的code，發現他的時間匹配錯了，Lo去argue了一下才發出來...（嗯，我知道這個段子被我講垮掉了）】
Cao C, Goldie B A, Liang B, et al. What is the nature of hedge fund manager skills? Evidence from the risk-arbitrage strategy[J]. Journal of Financial and Quantitative Analysis, 2016, 51(3): 929-957.
Cao, C., Farnsworth, G., Liang, B., Lo, A. W. (2016). Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform. Management Science.
Cao, Charles, et al. "Hedge fund holdings and stock market efficiency." The Review of Asset Pricing Studies (2014).
Cao, C., Chen, Y., Goetzmann, W. N., Liang, B. (2016). The role of hedge funds in the security price formation process.
一些還不錯的asset pricing教科書
NOTE：題主要求的只是論文，但是我還是加入了一些教科書。因為不懂理論就直接擼論文總覺得有點不實在。之前一直光看paper，最近看看理論發現還是很有幫助的。但是覺得看theory之前至少得知道一些高微的知識，尤其是uncertainty方面。要是想看Duffie，還得知道dynamic programming...OMG
Cochrane, John H. Asset Pricing:(Revised Edition). Princeton university press, 2009.
【這麼著名的教材，不讀一讀不合適吧。用CCAMP開篇，直接得到了SDF，然後圍繞SDF展開，感覺有點難，看習慣就好了。】
Back, Kerry. Asset pricing and portfolio choice theory. Oxford University Press, 2010.
【正在看的一本書，我拿它入門，覺得還不錯。學過高級微觀經濟學會更快的上手，因為uncertainty和utility property會熟悉一點。從single period model開篇，基本的no-arbitrage，LOP都還算明白，再迅速跳到dynamic model，感覺還算是跟得上。】
Duffie, Darrell. Dynamic asset pricing theory. Princeton University Press, 2010.
【我還不配看這本書...】
Chi-fu Huang, Robert H. Litzenberger, Foundations for financial economics, North-Holland,1988.
【挺老的一本書，但是講mean-variance frontier和two-fund separating清楚地不要不要的，超級喜歡這兩章的內容。其他部分可能有點老，因此可以用Back，Cochrane替代一下。】
———————以上理論基礎————————
Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. The econometrics of financial markets. princeton University press, 1997.
【暫時只看了第一章predictability，發現有點無聊，因為很多數學推導都沒有。舉例來說就是Lo and MacKinley 1989的文章在書中的推到很少，可能還沒有文章說的明白...】
Singleton, Kenneth J. Empirical dynamic asset pricing: model specification and econometric assessment. Princeton University Press, 2009.
Cochrane後半部分
Bali, Turan G., Robert F. Engle, and Scott Murray. Empirical asset pricing: the cross section of stock returns. John Wiley Sons, 2016.
【想快速上手EAP嗎？想不看論文就知道基本套路嗎？快入手Bali吧！今天不要998，只要98，就可以抱回家！...嗯，98刀一本的書，我選擇在電腦上看pdf...】
———————以上計量方法————————
還有各種各樣優秀教材，我一點沒看過，就不提了...
以上
去年諾獎得主Fama合著的兩篇《The Cross-Section of Expected Stock Returns》（1992）和《Risk, Return, and Equilibrium: Empirical Tests》（1973），關於CAPM的經典。
Kyle A.S. Continuous auctions of insider trading. Econometrica 1985; 53(6):1315-1336
市場微結構理論大牛，未來基本要拿炸藥獎。
問國外讀研的朋友要金融課程outline就可以了，老師讓看的基本都是該課經典paper
私以為，從survey article 開始讀要省力一些。
比如做consumption based asset pricing，可以讀下面兩篇綜述：
1.campbell 1999 寫的Handbook of the economics of finance， ch13「consumption based asset pricing」
2. Ludvigson 的 「Advances in consumption based asset pricing: empirical tests」
還有campbell Mackinlay and Lo寫的教材也是可以當做survey來讀的。能被這些教材cite的paper都是好paper。
其他的小領域都有各自的survey article。找一找就有了。
Jurnal of Finance自誕生以來引用次數最高的50篇文章
由美國金融學會主辦的學術雜誌《金融學雜誌》（Journal Of Finance），主要刊載金融理論及投資、貨幣、銀行、保險和金融市場等方面的文章。該刊目前由美國出版商Wiley-Blackwell代美國金融學會出版。2008年影響因子：4.018，在ISI 同類48 本期刊中排名第1，是金融領域同時也是經濟領域被引用最多的期刊之一。
自1946年創刊以來，《金融學雜誌》發表了眾多廣受關注的論文，其中一些可謂經久不衰，對金融理論和金融實務產生了重要影響。日前，該刊編輯特意篩選了《金融學雜誌》自誕生以來引用次數最高的前50篇文章，供諸位讀者參閱。
Harry Markowitz發表於1952年3月刊的論文《證券組合選擇》，後來成了證券組合管理理論的基石；1961年，William Vickrey發表於該雜誌的文章，對拍賣做了經典的分析。一年後，William F. Sharpe發表了《資本資產價格：風險條件下的市場均衡理論》一文，與Lintner等人的研究，共同發現了資本資產定價模型；1970年5月，Eugene F. Fama發表了《有效市場：理論與經驗研究的評論》，正式提出了有效市場假說；四年後，Robert C. Merton發表了《企業債務的定價》，用期權定價模型解決了企業的定價問題；世紀末，Andrei Shleifer在該刊發表了對公司治理的研究，此文至今仍被大量引用……
現在，讓我們一起看看那些學術論文吧。
1) Portfolio Selection
Harry Markowitz
Volume 7, Issue 1
March 1952
2) Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk
William F. Sharpe
Volume 19, Issue 3
September 1964
3) Efficient Capital Markets: Review Of Theory And Empirical Work
Eugene F. Fama
Volume 25, Issue 2
May 1970
4) The Cross-Section Of Expected Stock Returns
Eugene F. Fama, Kenneth R. French
Volume 47, Issue 2
June 1992
5) Counterspeculation, Auctions, And Competitive Sealed Tenders
William Vickrey
Volume 16, Issue 1
March 1961
6) A Survey Of Corporate Governance
Andrei Shleifer, Robert W. Vishny
Volume 52, Issue 2
June 1997
7) Legal Determinants Of External Finance
Rafael La Porta, Florencio Lopez-De-Silanes, Andrei Shleifer, Robert W. Vishny
Volume 52, Issue 3
July 1997
8) Corporate Ownership Around The World
Rafael La Porta, Florencio Lopez-De-Silanes, Andrei Shleifer
Volume 54, Issue 2
April 1999
9) On the Pricing Of Corporate Debt: The Risk Structure Of Interest Rates
Robert C. Merton
Volume 29, Issue 2
May 1974
10) Financial Ratios, Discriminant Analysis And Prediction Of Corporate Bankruptcy
Edward I. Altman
Volume 23, Issue 4
September 1968
11) The Modern Industrial Revolution, Exit, And The Failure Of Internal Control-Systems
Michael C. Jensen
Volume 48, Issue 3
July 1993
12) On Persistence In Mutual Fund Performance
Mark M. Carhart
Volume 52, Issue 1
March 1997
13) On The Relation Between The Expected Value And The Volatility Of The Nominal Excess Return On Stocks
Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle
Volume 48, Issue 5
December 1993
14) Returns To Buying Winners And Selling Losers: Implications For Stock Market Efficiency
Narasimhan Jegadeesh, Sheridan Titman
Volume 48, Issue 1
March 1993
15) Informational Asymmetries, Financial Structure, And Financial Intermediation
Hayne E. Leland, David H. Pyle
Volume 32, Issue 2
May 1977
16) The Pricing Of Options On Assets With Stochastic Volatilities
John Hull, Alan White
Volume 42, Issue 2
June 1987
17) Efficient Capital Markets: II
Eugene F. Fama
Volume 46, Issue 5
December 1991
18) Does The Stock Market Overreact?
Werner F. M. De Bondt, Richard Thaler
Volume 40, Issue 3
July 1985
19) Multifactor Explanations Of Asset Pricing Anomalies
Eugene F. Fama, Kenneth R. French
Volume 51, Issue 1
March 1996
20) The Capital Structure Puzzle
Stewart C. Myers
Volume 39, Issue 3
July 1984
21) The Performance Of Mutual Funds In Period 1945-1964
Michael C. Jensen
Volume 23, Issue 2
May 1968
22) Debt And Taxes
Merton H. Miller
Volume 32, Issue 2
May 1977
23) What Do We Know About Capital Structure? Some Evidence From International Data
Raghuram G. Rajan, Luigi Zingales
Volume 50, Issue 5
December 1995
24) The Benefits Of Lending Relationships: Evidence From Small Business Data
Mitchell A. Petersen, Raghuram G. Rajan
Volume 49, Issue 1
March 1994
25) Measuring And Testing The Impact Of News On Volatility
Robert F. Engle, Victor K. Ng
Volume 48, Issue 5
December 1993
26) Investor Psychology And Security Market Under- And Overreactions
Kent Daniel, David Hirshleifer, Avanidhar Subrahmanyam
Volume 53, Issue 6
December 1998
27) Contrarian Investment, Extrapolation, And Risk
Josef Lakonishok, Andrei Shleifer, Robert W. Vishny
Volume 49, Issue 5
December 1994
28) A Simple Model Of Capital Market Equilibrium With Incomplete Information
Robert C. Merton
Volume 42, Issue 3
July 1987
29) Insiders And Outsiders: The Choice Between Informed And Arms-Length Debt
Raghuram G. Rajan
Volume 47, Issue 4
September 1992
30) Why Does Stock Market Volatility Change Over Time?
G. William Schwert
Volume 44, Issue 5
September 1989
31) The Determinants Of Capital Structure Choice
Sheridan Titman, Roberto Wessels
Volume 43, Issue 1
March 1988
32) Inferring Trade Direction From Intraday Data
Charles M.C. Lee, Mark J. Ready
Volume 46, Issue 2
June 1991
33) The New Issues Puzzle
Tim Loughran, Jay R. Ritter
Volume 50, Issue 1
March 1995
34) The Limits Of Arbitrage
Andrei Shleifer, Robert W. Vishny
Volume 52, Issue 1
March 1997
35) Noise
Fischer Black
Volume 41, Issue 3
July 1986
36) Investor Protection And Corporate Valuation
Rafael La Porta, Florencio Lopez-De-Silanes, Andrei Shleifer, Robert Vishny
Volume 57. Issue 3
June 2002
37) The Theory Of Capital Structure
Milton Harris, Artur Raviv
Volume 46, Issue 1
March 1991
38) The Long-Run Performance Of Initial Public Offerings
Jay R. Ritter
Volume 46, Issue 1
March 1991
39) Initial Public Offerings And Underwriter Reputation
Richard Carter, Steven Manaster
Volume 45, Issue 4
September 1990
40) Dividend Policy Under Asymmetric Information
Merton H. Miller, Kevin Rock
Volume 40, Issue 4
September 1985
41) A Simple Implicit Measure Of The Effective Bid-Ask Spread In An Efficient Market
Richard Roll
Volume 39, Issue 4
September 1984
42) Empirical Performance Of Alternative Option Pricing Models
Gurdip Bakshi, Charles Cao, Zhiwu Chen
Volume 52, Issue 5
December 1997
43) Compensation And Incentives: Practice vs. Theory
George P. Baker, Michael C. Jensen, Kevin J. Murphy
Volume 43, Issue 3
July 1988
44) Are Investors Reluctant To Realize Their Losses?
Terrance Odean
Volume 53, Issue 5
October 1998
45) Size And Book-To-Market Factors In Earnings And Returns
Eugene F. Fama, Kenneth R. French
Volume 50, Issue 1
March 1995
46) Security Prices, Risk, And Maximal Gains From Diversification
John Lintner
Volume 20, Issue 4
December 1965
47) An Empirical Comparison Of Alternative Models Of The Short-Term Interest-Rate
K. C. Chan, G. Andrew Karolyi, Francis A. Longstaff, Anthony B. Sanders
Volume 47, Issue 3
July 1992
48) Risk Management Coordinating Corporate Investment And Financing Policies
Kenneth A. Froot, David S. Scharfstein, Jeremy C. Stein
Volume 48, Issue 5
December 1993
49) Disentangling The Incentive And Entrenchment Effects Of Large Shareholdings
Stijn Claessens, Simeon Djankov, Joseph P. H. Fan, Larry H. P. Lang
Volume 57, Issue 6
December 2002
50) Valuing Corporate Securities: Some Effects Of Bond Indenture Provisions
Fischer Black, John C. Cox
Volume 31, Issue 2
May 1976
----引自人大經濟論壇
自問自答，剛開始讀美國金融體系的時候，寫格林斯潘的一篇Understanding the Greenspan Standard
《A General Equilibrium Approach to Monetary Theory》(1969) James Tobin 其中提出了Tobin-Q理論
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※論文可以用通俗易懂有趣幽默的語言寫嗎？為什麼大部分論文的行文都是枯燥的？
※哪些學術論文中藏著彩蛋？
※你在發表理科學術文章過程中有哪些經驗值得借鑒？