如何學習公司金融？

金融學、公司金融參考閱讀書目和論文（強烈推薦）

這是我學校一位教授（美國博士）介紹給我的參考書目(下面注釋為該教授所寫），主要是金融方面的，側重Corporate
Finance，不是簡單的羅列，裡面基本都是有價值的文章。主要提供給想做學術的朋友，做學術讀大量的文章肯定是必須的，不是非學術所必須。

如果大家喜歡，麻煩頂一下，謝謝！

Books

Fama, Eugene. 1976. 「Foundations of Finance」. New York: Basic Books. ( 個人認為是最經典的書。寫得好，講得很清晰，有條不紊，讀起來有意思。特別是基礎不太好的同學，不可不讀。)

Fama, Eugene., and Miller, Merton. 1972. 「The Theory of Finance」. Holt, Rinehart and Winston. (又是一本Fama的書。也很經典，但沒什麼印象了。)

Campbell, J., Lo, A., and MacKinlay, A.
1997. 「The Econometrics of Financial Markets」. Princeton: PrincetonUniversity
Press.

Cochrane, John, 2001. 「Asset Pricing」. Princeton: PrincetonUniversity
Press. (這就是號稱「平生不讀Cochrane,
自稱Finance 也枉然」的Cochrane的大作。其實，你要是不做Asset Pricing，看懂前幾個Chapters足夠了。不太明白為什麼這本書在中國這麼火，莫非中國學生都做Asset
pricing? 希望不要弄得又像大鍊鋼鐵一樣的結果。)

R. Haugen. 「Modern Investment Theory」. Upper Saddle RiverNJ: Prentice-Hall, Inc. （有一定難度的書，不知道現在出到幾版了。）

Elton, E., and Gruber, M. 1995. 「Modern Portfolio Theory and
Investment Analysis」, 5th Edition. New York:
John Wiley Sons, Inc. (也不太容易。)

Smith, C. 1990. 「The Modern Theory of Corporate
Finance」.
2nd-edition. McGraw-Hill. (對做corporate finance比較有用。這本書其實就是收錄了比較早和比較經典的corporate finance方面的文章。有點像「XX文摘精華版」。現在價值不是很大，因為其中收錄的許多文章後面的List里都有。)

Asset
Pricing, Long-term Performance and Market Efficiency

（這個我不在行，揀我知道的寫。）

Cochrane, John. 「New Facts in Finance」. Federal Reserve Bank of Chicago. (這是個通俗易讀版。適合想要了解一下這個area, 又不想讀很多數學的人。)

Breeden, Douglas T. 1979. 「An Intertemporal Asset Pricing
Model with Stochastic Consumption and Investment Opportunities」. Journal of Financial Economics 7,
265-296. (看不懂數學沒有關係，關鍵是看懂intuition.)

Merton, Robert. 1973. 「An Intertemporal Capital Asset
Pricing Model」.
Econometrica 41, 265-296. (這篇也一樣，注重模型的intuition.)

Ross, S. 1976, 「The Arbitrage Theory of
Capital Asset Pricing,」 Journal of Economic Theory 13, 341-360.

Sharpe, W. 1964. 「Capital Asset Prices: A
Theory of Market Equilibrium Under Conditions of Risk」. Journal of Finance 19,
425-442.

Black, F. 1972. "Capital Market
Equilibrium with Restricted Borrowing," Journal of Business 45, 444-455.

Fama, E. 1991. 「Efficient Capital Markets: II」. Journal of Finance 46, 1575-1617.
(很長一篇文章，內容又多，當時讀得挺痛苦。)

Fama, E. 1970. 「Efficient Capital Markets:
A Review of Theory and Empirical Work」. Journal of Finance, 383-417.

Chordia, Tarun., and Swaminathan,
Bhaskaran. 2000. 「Trading Volume and Cross-autocorrelations in Stock Returns」.
Journal of Finance 55, 913-935.

Narasimhan, Jegadeesh., and Titman, Sheridan. 2001.
「Profitability of Momentum Strategies: An Evaluation of Alternative
Explanations」. Journal of Finance 56, 699-720.

Fama, E. and MacBeth, J. 1973. 「Risk, Return, and Equilibrium: Empirical
Tests」.Journal of
Political Economy 91, 607-636. (大名鼎鼎的Fama-MacBeth regression 的出處。不過，Economists 好像並不買這個帳，覺得這種方法不make econometric sense. 吾也深有同感也。現在panel data等等都這麼發達了，幹嘛還死抱這種econometrics上面並不先進的方法不放呢？)

Chen, N., Roll, R., and Ross, S. 1986. 「Economic Forces and the Stock
Market: Testing the APT and Alternative Asset Pricing Theories」. Journal of Business 59, 383-403.
(說是叫testing
APT, 其實更像testing
CAPM. 很有名的，看了就知道。)

Fama, E. and French, K. 1989. 「Business
Conditions and Expected Returns on Stocks and Bonds」. Journal of Financial
Economics 25, 23-50.

Fama, E. and French, K. 1992. 「The
Cross-Section of Expected Stock Returns」. Journal of Finance 47,? 427-465.

Fama, E. and French, K. 1993. 「Common Risk Factors in the Returns
on Stocks and Bonds」. Journal of Financial Economics 33, 3-56. (這三篇是Fama-French 的經典三部曲。Three-factor model,
five-factor model 就是由此而來。Pontiff 曾經抱怨過，他在Rochester當學生的時候曾想過做個類似的paper, 但老師們告訴他 「You can』t, because there is no theory...」 直到看到Fama-French的paper, 才感嘆到，「只要人有名，有沒有theory並不重要啊」。)

Kothari, S.P., Shanken, J., and Sloan, R.
1995. 「Another Look at the Cross-Section of Expected Stock Returns」. Journal of
Finance 50, 185-224.

Lakonishok, J., Shleifer, A., and Vishny,
R. 1994. 「Contrarian Investment, Extrapolation, and Risk」. Journal of Finance
49, 1541-1578.

Chan, L., Jegadeesh, N., and Lakonishok, J.
1995. 「Evaluating the Performance of Value Versus Glamour Stocks: The Impact of
Selection Bias」. Journal of Financial Economics 38, 269-296.

Lo, A. W., and MacKinlay, A. 1990.
「Data-Snooping Biases in Tests of Financial Asset Pricing Models」. Review of
Financial Studies, 3, 431-467.

Lewellen J. 1999. "The Time-Series
Relations among Expected Returns". Journal of Financial Economics 54,
5-43. (Lewellen 是個美國帥哥, 在MIT做得不錯。為人比較能和人交往，presentation 做得很好，屬於那種交流表達能力都很出色的人。)

Lewellen J., and Shanken, J. 2002. 「Learning,
Asset-Pricing Tests, and Market Efficiency」. Journal of Finance, 1113-1145.

Miller, Edward. 1977. 「Risk, Uncertainty,
and Divergence of Opinion」. Journal of Finance 32, 11651-1168.

Jones, Charles M., and Lamont, Owen. 2002.
「Short Sales Constraints and Stock Returns」. Journal of Financial Economics,
207-239.

Chen, Joseph., Hong, H., and Stein, J.
2002. 「Breadth of Ownership and Stock Returns」 Journal of Financial Economics,
171-205.

Dechow, Patricia., Hutton, A., Muelbroek,
L., and Sloan, R. 2001. 「Short Sellers, Fundamental Analysis, and Stock Returns」. Journal of Financial Economics
61, 77-106. (Dechow 和Sloan都是做Accounting的。據說因為合作得太多，兩人走到了一起。)

Dichev, Ilia D., and Piotroski, J. 2001.
「The Long-run Stock Returns Following Bond Ratings Changes」. Journal of Finance
56, 173-203.

Ikenberry, David., and Ramnath, Sundaresh.
2002, 「Underreaction to Self-selected News Events: The Case of Stock-splits」.
Review of Financial Studies 15, 489-526.

Titman, Sheridan. 2002. 「Discussion of 『Underreaction
to Self-selected News Events: The Case of Stock-splits」. Review of Financial
Studies 15, 527-531.

Lakonishok, J., and Smidt, S. 1988. 「Are
Seasonal Anomalies Real? A Ninety-Year Perspective」. Review of Financial
Studies 1, 403-427.

Lo, A., and MacKinlay, C. 1988. 「Stock
Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification
Test」. Review of Financial Studies 1, 41-66.

Keim, D., and Stambaugh, R. 1986.
「Predicting Returns in the Stock and Bond Markets」. Journal of Financial
Economics 17, 357-390.

Ferson, W., and Harvey, C. 1991. 「The
Variation of Economic Risk Premiums」. Journal of Political Economy 99, 385-415.

Conrad, J., and Kaul, G. 1988, 「Time
Variation in Expected Returns」. Journal of Business, 409-426.

Loughran, T., and Ritter, J. 1996,
「Long-Term Market Overreaction: The Effect of Low-Priced Stocks」. Journal of
Finance, 1959-1970.

Boudoukh, J., Richardson, M., and Whitelaw, R. 1994. 「A
Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock
Returns」. Review of Financial Studies, 539-573.

Jegadeesh, Narasimhan., and Titman, Sheridan. 1993, 「Returns
to Buying Winners and Selling Losers: Implications for Stock Market
Efficiency」. Journal of Finance 48, 65-91.

Daniel, K., and Titman, S. 1997. 「Evidence
of the Characteristics of Cross Sectional Variation in Stock Returns」. Journal
of Finance, 1-33.

Jegadeesh, N., and Titman, S. 2001.
"Profitability of Momentum Strategies: An Evaluation of Alternative
Explanations". Journal of Finance 56, 699-720.

Lakonishok, J., Shleifer, A., and Vishny,
R. 1994. 「Contrarian Investment, Extrapolation, and Risk」. Journal of Finance
49, 1541-1578.

Grinblatt, M., and Titman, S. 1989.
「Portfolio Performance Evaluation: Old Issues and New Insights」. Review of
Financial Studies 2, 393-422.

Brown, S., Goetzmann, W., Ibbotson, R., and
Ross, S. 1992. 「Survivorship Bias in Performance Studies」. Review of Financial
Studies 5, 553-580.

Fama, Eugene., and French, Kenneth. 1996.
「Multifactor Explanations of Asset-pricing Anomalies」. Journal of Finance 51,
55-84.

Breeden, D., Gibbons, M., and Litzenberger,
R. 1989. 「Empirical Tests of the Consumption Oriented CAPM」. Journal of Finance
44, 231-262.

Chan, K. C., Chen, N., and Hsieh, D. 1985.
「An Exploratory Investigation of the Firm Size Effect」. Journal of Financial
Economics 14, 451-471.

Amihud, Y., and Mendelson, H. 1986. 「Asset
Pricing and the Bid-Ask Spread」. Journal of Financial Economics 17, 223-249.

Ritter, J. 1991. 「The Long-Run Performance of Initial
Public Offerings」. Journal of
Finance, 3-27. (Ritter 是long-term performance的開山祖師，提到long-term performance不能不提Ritter。另外，他也是IPO的大家，對IPO感興趣的可去他的網站看看。)

Loughran, T., and Ritter, J. 1995. 「The New Issues Puzzle」. Journal of Finance, 23-51. (是上一篇的加強版。)

Schultz, P. 2003. 「Pseudo Market Timing and the
Long-Run Underperformance of IPOs,」 Journal of Finance 58, 483-518. (90年代中期，關於long-term performance measurement的問題吵得熱火朝天，至到現在。)

Barber, B., and Lyon, J. 1996. 「Detecting
Abnormal Operating Performance: The Empirical Power and Specification of Test
Statistics」. Journal of Financial Economics 41, 359-99.

Banking

Diamond, Douglas W., and Dybvig, Philip H.
1983. 「Bank Runs,
Deposit Insurance,and Liquidity」, Journal of Political Economy, 91, 401 - 419. (Banking中的經典，雖然我不是做banking的，但認為不可不讀)

Diamond, Douglas
W. 1997. 「Liquidity, Banks, and Markets」, Journal of Political Economy, 105,
928-956.

Calomiris, Charles W., and Kahn, Charles.
1991. 「The Role of Demandable Debt in Structuring Optimal Banking
Arrangements」. American Economic Review 81, 497-513.

Kashyap, Anil K., Rajan, Raghuram., and
Stein, Jeremy C. 2002. 「Banks as Liquidity Providers: An Explanation for the
Coexistence of Lending and Deposit-taking」. Journal of Finance 57, 33-73.

Allen, Franklin., and Gale, Douglas. 1998. 「Optimal Financial Crises」. Journal of
Finance, 53, 1245-1284.

Allen, Franklin. 2001. 「Presidential Address: Do
Financial Institutions Matter?」. Journal of Finance, 56, 1165 - 1175.

Allen, Franklin., and Santomero, Anthony M.
1998. 「The Theory of Financial Intermediation」, Journal of Banking and Finance,
21, 1461-1485.

Billett, Matthew T., Flannery, Mark J., and
Garfinkel, Jon A. 1995. 「The Effect of Lender Identity on a Borrowing Firm"s
Equity Return」. Journal of Finance, 50, 699-718.

Behavioral
Finance

這是finance新興的一個方向。主要是結合Asset Pricing 和Corporate Finance的理論加進心理學的一些東西進行empirical 方面的研究。其在Asset Pricing 這個方面主要是mispricing 的研究，Corporate Finance這個方面可就多了。這裡面的大家當然要屬老當益壯的Richard
Thaler, 和後起之秀Jeffery
Wurgler. 大名鼎鼎的Shleifer也做不少這方面的研究。讀了下面的幾篇papers你應該能感覺到Behavioral Finance 是做什麼的。感興趣的，自已去他們的website把他們的papers都讀一遍吧。

Barberis, Nicholas and Thaler, Richard H.
2003. "A Survey of Behavioral Finance". Handbook of the Economics of
Finance.

Baker, Malcolm., Ruback, Richard., and
Wurgler, Jeffery. 2004. 「Behavioral Corporate Finance: A Survey」. Handbook of
Empirical Corporate Finance.

Hirshleifer, D. 2001. 「Investor Psychology
and Asset Pricing」. Journal of Finance, 1533-1597.

Fama, E. 1998. 「Market Efficiency, Long-term
Returns, and Behavioral Finance」. Journal of Financial Economics, 283-306. (該文曾獲JFE大獎。Fama 是個死忠 「Market is efficient」 的人，應此對他的觀點要持一定的懷疑態度。)

Shleifer, Andrei and Vishny, Robert W.
1997. 「The Limits of Arbitrage」, Journal of Finance, 52, 35-55.

Malmendier, U., and Tate, G. 2005. 「CEO Overconfidence and Corporate
Investment」. Journal of
Finance, 2661-2700. (這兩個人都挺有個性。Malmendier 是個歐洲女孩，一頭金髮。聽說以前是練體操的，難怪身材特像小女孩。加上說話又快，往前面一站就像個高中生。Tate 是個美國帥哥，Wharton的教授。很儒雅，說話也有板有眼。應該是許多女生的偶像。)

Barberis, N., Shleifer, A., and Vishny, R.
1998. 「A Model of Investor Sentiment」. Journal of Financial Economics, 307-343.

Baker, M., and Wurgler, J. 2000. 「The Equity Share in New Issues and
Aggregate Stock Returns」. Journal of Finance 55, 2219-2257. (Wurgler的處女作，也是這篇文章開始引起人們的注意。)

Heaton, J. 2002. 「Managerial Optimism and
Corporate Finance」. Financial Management, 33-45.

Corporate
Finance:

Introduction
and Overview of Corporate Finance

Brennan, 1995, 「Corporate finance over the
past 25 years」, Financial Management 24, Summer, 9-22.

Hart, O., 1989, 「An economist』s perspective
on the theory of the firm」, Columbia Law Review 89, 1757-1774.

Williamson, O., 1981, 「The modern
corporation: origins, evolution, attributes」, Journal of Economic Literature
1537-1568.

Graham, J. and Harvey, C. 2000. 「The Theory
and Practice of Corporate Finance: Evidence from the Field」. Journal of
Financial Economics 60, 187-244.

Corporate
Finance:

Agency Theory and Ownership

Fama, E., and Jensen, M. 1983. 「Agency
Problems and Residual Claims」. Journal of Law and Economics, 327-349.

Fama, E., and Jensen, M. 1983. 「Separation of Ownership and Control」. Journal of law and economics,
301-325.（美國現代金融Agency
Theory 的開山之作。不過這兩篇寫得不是很好。非要兩篇一起看才看得明白。）

Fama, E. 1978. 「The Effects of a Firm』s Investment and Financing
Decisions on the Welfare of Its Securityholders」. American Economic Review 68, 272-284. (這其實不完全算Agency theory, 但他用很通俗的英語解釋了一個有意思的問題。)

Jensen, M., and Meckling, W. 1976.
"Theory of the Firm: Managerial Behavior, Agency Costs and Ownership
Structure," Journal of Financial Economics, 305-360. (這麼經典的paper 就不用多介紹了吧。)

Demsetz. 1983. 「The Structure of Ownership and the
Theory of the Firm」. Journal of Law and Economics 26, 375-390. (Demsetz關於ownership的看法別具一格。和上面的Jensen-Meckling對照著讀更有體會。)

Jensen, M. 1986. 「Agency Costs of Free Cash Flow,
Corporate Finance, and Takeovers」. American Economic Review, 323-329. (在Corporate Finance領域家喻戶曉的paper. 其他Finance的人沒讀過也基本上聽說過。)

Myers, S. 1977. 「The Determinants of Corporate
Borrowing」. Journal of
Financial Economics 5, 146-175. (將agency problem between bondholders and stockholders 與firm』s investment strategy 聯繫起來的經典文章。)

Parrino, R., and Weisbach, M. 1999. 「Measuring Investment Distortions
Arising from Stockholder-bondholder Conflict」. Journal of Financial Economics 53, 3-42 (也是獲獎之作。方法很新穎，有創意，居然能想出用simulation來做corporate finance。不過，如果不是Weisbach, 估計也不好發。做research 就是這樣，名人嘗試新東西叫有創意，不出名的人嘗試新東西叫冒險。)

Harford, J. 1999. 「Corporate Cash Reserves and
Acquisitions」. Journal of
Finance 54, 1969-1997. (Jarrad 也是少年成名，是Rochester畢業，JFE的嫡系部隊。大概是JFE最年輕的Associate Editor. 目前corporate finance領域最出名的年輕俊傑之一。)

Opler, T., Pinkowitz, L., Stulz, R., and
Williamson, R. 1999. 「The Determinants and Implications of Corporate Cash
Holdings」. Journal of Financial Economics, 52, 3-46.

Lie, E. 2000. 「Excess Funds and Agency
Problems: An Empirical Study of Incremental Cash Disbursements」. Review of
Financial Studies 13, 219-248.

Morck, R., Shleifer, A., and Vishny, R.
1988. 「Management Ownership and Market Valuation: An Empirical Analysis」.
Journal of Financial Economics, 293-315.

Corporate
Finance:

Information, Investors and Corporate Policy

這裡面有些不屬於corporate
finance 的範疇。他山之石，可以攻玉，知識面廣一些對做research很有好處。不同領域本來就有交叉，想分很清楚也不太容易。

Akerlof, George. 1970. 「The market for 「lemons」: Qualitative Uncertainty and the
Market Mechanism」. Quarterly
Journal of Economics, 89, 488-500. (要是讓我列個My favorite Top 10 papers, 這篇文章絕對在其中。Akerlof 居然用最最簡單的model, 來把一個最最複雜的理論解釋得清清楚楚，難怪能得諾貝爾獎。現在有些人正好相反，用最最複雜的model, 把一個最最簡單的理論解釋得暈頭轉向。這些人其實不應該做finance, 應該去搞數學或物理。)

Ross, S. 1977. 「The Determinants of Capital
Structure: The Incentive-signaling Approach」. Bell Journal of Economics 8, 23-40. (Ross的這篇也很經典。提起他大多數人會想起APT, 其實他對corporate finance 貢獻也很大。這篇很有上面提到的Akerlof的風格，都是用很簡單的model闡述一個深奧的理論。Ross這個人也很不錯，平易近人，很幽默，健談，沒有一點架子，和誰都能見面熟。人格魅力指數：100/100。)

Myers, S.C., and Majluf, N.? 1984. 「Corporate Financing and
Investment Decisions When Firms Have Information That Investors Do Not Have」. Journal of Financial Economics,
187-221. (影響很大的一篇文章。後來的IPO
underpricing 和 Pecking
order theory 等等許多都基於此。可以說對corporate
finance 各個領域都有影響。）

Hart, O. 2001. 「Financial Contracting」.
Journal of Economic Literature 39, 1079-1100.

Thakor. 1989. 「Strategic Issues in Financial Contracting: An Overview」. Financial
Management, 39-58.

Spence, Michael. 1973. 「Job market
signaling」. Quarterly Journal of Economics, 87, 355-74.

Rothschild, Michael., and Stiglitz, Joseph.
1976. 「Equilibrium in Competitive Insurance Markets: an Essay on the Economics
of Imperfect Information」. Quarterly Journal of Economics, 90, 629-649.

Grossman, Sanford., and Stiglitz, Joseph E.
1980. 「On the Impossibility of Informationally Efficient Markets」. American
Economic Review, 70, 393-408.

Merton, Robert C. 1987. 「A Simple Model of
Capital Market Equilibrium with Incomplete Information」. Journal of Finance,
483-510.

Corporate
Finance:

Capital
Structure, Financing Decisions, Investment and Taxes

Miller,
M., and Modigliani, F. 1958.「The Cost of Capital, Corporation
Finance, and the Theory of Investment」. American
Economic Review, 261-297. (什麼，沒讀過？你洗洗睡吧。少數幾篇做Finance而獲諾貝爾經濟學獎的大作，不讀不行。)

Miller, M., and Modigliani, F. 1963. 「Corporate Income Taxes and the Cost
of Capital: A Correction」. American Economic Review, 433-443. (這是他們AER1958大作的續篇。那篇大作中有一處錯誤，但當時沒有什麼人能看得懂這篇劃時代的巨作，就像愛因斯坦當年發表相對論一樣。直到5年後被他們自己發現，才有了這篇文章。不過，原文的結論不受影響，所以他們才在30幾年後得了諾貝爾獎。)

Harris, M. and A. Raviv. 1991. 「The Theory of Capital Structure」. Journal of Finance, 297-368. (MM之後capital structure基本上被做爛了，文章數量只能用汗牛充棟來形容。看這篇review
paper 能讓你少看不少papers.)

Baker, M., and Wurgler, J. 2002. 「Market Timing and Capital Structure」, Journal of Finance, 1-32. (一篇很有創意的文章，算是behavioral corporate
finance 最有代表性的佳作。該文引起很大爭議，到今天批它的文章恐怕只有用過江之鯽來形容。到不是這倆人對頭多，只是這篇文章影響太大，批它比批一篇不出名的文章更容易引起人們的興趣，和方舟子打假有點相似。)

Frank, M., and Goyal, V. 2003. 「Testing the Pecking Order Theory of
Capital Structure」, Journal of
Financial Economics 67, 217-248. (很有名的一篇paper, 雖然我不太喜歡。該文曾獲JFE的獎，是近年來在capital
structure這個領域有影響的文章。)

Mehrotra, V., Mikkelson, M., and Partch, M.
2003. 「The Design of
Financial Policies in Corporate Spin-offs」. Review of Financial Studies 16, 1359-1388. (Idea有新意。Mikkelson 曾報怨這篇paper被under appreciated。)

Berger, P., Ofek, E., and Yermack, D. 1997.
「Managerial Entrenchment and Capital Structure Decisions」. Journal of Finance,
1411-1437.

Masulis, R., 1980. 「The Effects of Capital
Structure Change on Security Prices: A Study of Exchange Offers」. 1980. Journal
of Financial Economics, 139-178.

Chemmanur, T., and Paolo, F. 1999. 「A
Theory of the Going-Public Decision」. Review of Financial Studies 12, 249-279.

Dunbar, C. 1995. 「The Use of Warrants as
Underwriter Compensation in Initial Public Offerings」. Journal of Financial
Economics 38, 59-78.

DeAngelo, H., and Masulis, R. 1980.
「Optimal Capital Structure under Corporate and Personal Taxation」. Journal of
Financial Economics 8, 3-29.

Miller, M. 1977. 「Debt and Taxes」. Journal
of Finance 32, 261-275.

Graham, J. 2000. 「How Big are the Tax Benefits of
Debt?」. Journal of
Finance 55, 1901-1941. (Graham 是個很能想很有創意的人。本來這個topic都被做爛了，但他能想出一些個很新奇很有創造性的方法去做。佩服ing. )

Graham, J. 2003. 「Taxes and Corporate
Finance: A Review」. Review of Financial Studies 16, 1075-1129.

Kaplan, S., and Stromberg, P. 2003.
「Financial Contracting Theory Meets the Real World: An Empirical Analysis of
Venture Capital Contracts」. Review of Economic Studies, 285-315.

Andrade, G., and Kaplan, G. 1998. 「How Costly is Financial (Not
Economic) Distress? Evidence from Highly Leveraged Transactions that Became
Distressed」. Journal of
Finance 53, 1443-1493. (題目是不是不好懂？Kaplan的一貫風格是用data來轟炸你，弄得你暈頭轉向。看過這篇就有體會了。)

Kaplan, S., and Zingales, L. 1997. 「Do Financing Constraints Explain
Why Investment Is Correlated With Cash Flow?」. Quarterly Journal of Economics, 169-215. (Cash flow sensitivity 的爭論就是他們搞起來的。)

Gertner, R., and
Scharfstein, D. 1991. 「A Theory of Workouts and the
Effects of Reorganization Law」. Journal of Finance 46, 1189-1222.

Froot, K., Scharfstein, D., and Stein, J.
1993. 「Risk Management: Coordinating Corporate Investment and Financing
Policies」. Journal of Finance 48, 1629-1658.

Fama, E., and French, K. 2005. 「Financing
Decisions: Who Issues Stock」. Journal of Financial Economics, 549-582.

Fama, E., and French, K. 2002.
"Testing Tradeoff and Pecking Order Predictions about Dividends and
Debt". Review of Financial Studies, 1-37. (讀Fama-French的文章有時候並不一定因為是篇好文，只是因為別人都讀。)

Corporate Finance:

Corporate Governance

Shleifer, A., and Vishny, R. 1997. 「A Survey of Corporate Governance」. Journal of Finance, 737- 783. (做corporate governance 的如何能夠不讀這篇paper. Corporate governance
這個詞就是他們定義出來的。)

La Porta, R.,
Lopez-de-Silanes, F., Shleifer, A., and Vishny, R. 2000. 「Investor Protection
and Corporate Governance」. Journal of Financial Economics, 3-27.

Brickley, J., Coles, J., and Terry,R. 1994.
「Outside Directors and the Adoption of Poison Pills」. Journal of Financial
Economics 35, 371-390.

Byrd, J., and Hickman, K. 1992. 「Do Outside
Directors Monitor Managers? Evidence from Tender Offer Bids」. Journal of
Financial Economics 32, 195-222.

Core, J., Holthausen, R., and Larcker, D.
1999. 「Corporate Governance, Chief Executive Officer Compensation, and Firm
Performance」. Journal of Financial Economics 51, 371-406.

Cotter, J., Shivdasani, A., and Zenner, M.
1997. 「Do Independent Directors Enhance Target Shareholders Wealth During
Tender Offers?」. Journal of Financial Economics 43, 195-218.

Harford, J. 2003. 「Takeover Bids and Target
Directors』 Incentives: The Impact of a Bid on Directors』 Wealth and Board
Seats」. Journal of Financial Economics, 51-83.

Denis, D., and Sarin, A. 1999. 「Ownership
and Board Structures in Publicly Traded Corporations」. Journal of Financial
Economics 52, 187-224.

Del Guercio, D., Dann, L., and Partch,
Megan. 2003. 「Governance and Boards of Directors in Close-end Investment
Companies」. Journal of Financial Economics 69, 111-152.

Gompers, P., Ishii, J., and Metrick, A.
2003. 「Corporate
Governance and Equity Prices」. Quarterly Journal of Economics 118, 107-155. (這篇文章也有些爭議，不過現在是被引用得越來越多了。)

Hermalin, B., and Weisbach, M. 1988. 「The
Determinants of Board Composition」. RAND Journal of Economics 19, 589-606.

Hermalin, B., and Weisbach, M. 2003. 「Boards of Directors as an
Endogenously Determined Institution: a Survey of the Economic Literature」. Federal Reserve Bank at New York,
Economic policy review, April 2003. (一篇survey paper，雖然不是發表在學術期刊上，但值得一讀。)

Jensen, M. 1993. 「The Modern Industrial Revolution,
Exit, and the Failure of Internal Control Systems」. Journal of Finance, 831-880. (記得是Jensen在某一年的講話，讀一下吧。)

Mikkelson, W., and Partch, M. 1997. 「The Decline of Takeovers and
Disciplinary Managerial Turnover」. Journal of Financial Economics 44, 205-228. (1997年獲JFE大獎的文章。覺得還是挺有創意的。)

Weisbach, M. 1988. 「Outside Directors and CEO Turnover」. Journal of Financial Economics
20, 431-460. (最早的一篇研究board
composition 對corporate
policy影響。)

Yermack, D. 1996. 「Higher Market Valuation of
Companies with a Small Board of Directors」. Journal of Financial Economics 40, 185-211. (最早研究board size對firm value的影響。Yermack很會充分利用data，他用這套數據寫了好幾篇文章。)

Shivdasani, A., and Yermack, D. 1999. 「CEO
Involvement in the Selection of New Board Member: an Empirical Analysis」.
Journal of Finance 54, 1829-1853.

Yermack, D. 2004. 「Remuneration, Retention,
and Reputation Incentives for Outside Directors」. Journal of Finance 59,
2281-2308.

Rosenstein, S., and Wyatt, J. 1997. 「Inside
Directors, Board Effectiveness, and Shareholder Wealth」. Journal of Financial
Economics 44, 229-248.

Shivdasani, Anil. 1993. 「Board Composition, Ownership
Structure and Hostile Takeovers」. Journal of Accounting and Economics, 167–198. (忘了這篇文章為什麼有名，好像是找到了關於busy directors 的什麼，引起後來的爭論。)

Fich, E., and Shivdasani, A. 2006. 「Are Busy Boards Effective Monitors」. Journal of Finance, 689-724.
(Shivdasani 是個印度人，但英語說得基本上沒什麼口音。應該什麼時候把他請過來教一教如何練口語。)

Ferris, S., Jagannathan, M., and Pritchard,
A. 2003. 「Too Busy to Mind the Business? Monitoring by Directors with Multiple
Board Appointments」. Journal of Finance, 1087-1112.

Vafeas, Nikos. 1999. 「Board Meeting Frequency and Firm
Performance」. Journal of
Financial Economics, 113–142. (這是一篇典型的data
mining的文章。其實hypothesis一點都不make sense, 但結果夠噱頭，就可在JFE上發。我們從中要學到的是先要看data, 如果結果夠interesting, 再來寫文章。)

Perry, Tod., and Peyer, Urs. 2005. 「Board Seat Accumulation by
Executives: A Shareholder"s Perspective」. Journal of Finance, 2083–2123. (算是the board of directors 比較新的研究了。忘了好在哪裡。)

Corporate Finance:

Mergers and Acquisitions

Mitchell, M. And Mulherin, J. 1996. 「The Impact of Industry Shocks on
Takeover and Restructuring Activity」. Journal of Financial Economics, 193-229. (這篇很經典，提出了MA幾個原因之一。)

Shleifer, A. and Vishny, R. 2003. 「Stock Market Driven
Acquisitions". Journal of Financial Economics, 295-311. (現代MA理論中很有名的一篇，也和behavioral finance 沾邊。但我覺得model並不很好反映他們的理論。Model 說的其實是mispricing driven acquisitions,
而他們想表達的意思應該比這廣。)

Jensen, M., and Ruback, R. 1983. 「The Market for Corporate Control:
The Scientific Evidence」. Journal of Financial Economics, 5-50. (關於MA最早，也是被研究的最多的觀點 –The market for corporate control. )

Harford, J. 2005. 「What Drives Merger
Waves?」. Journal of Financial Economics, 529-560.

Jarrell, G.A., Brickley, J. and Netta, J.
1988. 「The Market for Corporate control: The Empirical Evidence Since 1980.」?
Journal of Economic Perspectives, 2:49-68.

Travlos, Nickolaos. 1987. 「Corporate
Takeover Bids, Methods of Payment, and Bidding Firm』s Stock Returns」. Journal of
Finance 42, 943-963.

Stulz, R. 1988. 「Managerial Control of Voting
Rights: Financial Policies and the Market for Corporate Control」. Journal of Financial Economics,
25-54. (我覺得還不錯，但現在好像引用的少了。不過就沖Rene Stulz的大名，也值得一讀。)

Healy, Paul., Palepu, Krishna., and Ruback,
Richard. 1992. 「Does Corporate Performance Improve after Mergers?」. Journal of
Financial Economics 31, 135-175.

Halpern, Paul. 1982. 「Corporate
Acquisitions: A Theory of Special Cases? A Review of Event Studies Applied to
Acquisitions」. Journal of Finance 38, 297-317.

Fuller, K., Netter, J., and Stegemoller, M.
2002. 「What do Returns to Acquiring Firms Tell Us? Evidence from Firms That
Make Many Acquisitions」. Journal of Finance, 1763-1793.

Ecobo, Espen. 1983. 「Horizontal Mergers,
Collusion, and Stockholder Wealth」. Journal of Financial Economics 11, 241-273.

Roll, Richard. 1983. 「The Hubris Hypothesis of Corporate
Takeovers」. Journal of
Business 59, 197-216. (都知道Roll對Asset Pricing
的貢獻，卻不知他對behavioral
corporate finance 也有獨到的眼光。)

Fama, E., Fisher, L., Jensen, M., and Roll,
Richard. 1969. 「The
Adjustment of Stock Prices to New Information」. International Economic Review 1, 1-21. (Event studies 的始作俑者。)

Dodd, P., and Warner, J. 1983. 「On Corporate Governance: a Study of
Proxy Contests」. Journal of
Financial Economics 11, 401 - 438. (Event studies 的名篇，不過到今天event studies 已經不是什麼了不起的事，大家也漸漸的不引用這些文章了, 直接做就行了。下面三篇也是同樣情況。)

Brown, Stephen., and Warner, Jerold. 1980.
「Measuring Security Price Performance」. Journal of Financial Economics 8,
205-285.

Brown, Stephen., and Warner, Jerold. 1985.
「Using Daily Stock Returns: The Case of Event Studies」. Journal of Financial
Economics 14, 3-32.

MacKinlay, C. 1997. 「Event Studies in
Economics and Finance」. Journal of Economic Literature 35, 13-39.

Dann, L.Y., and DeAngelo, H. 1983.
「Standstill Agreements, Privately Negotiated Stock Repurchases and the Market
for Corporate Control」. Journal of Financial Economics, 275-300.

Martin, K., and McConnell, J. 1991.
「Corporate Performance, Corporate Takeovers, and Management Turnover」. Journal
of finance, 671-687.

Kaplan, S., and Weisbach, M. 1992. 「The
Success of Acquisitions: Evidence from Diverstitures」. Journal of Finance 47,
107-138.

Kaplan, S. 1989. 「The Effects of Management Buyouts
on Operating Performance and Value」. Journal ofFinancial Economics 24, 217-254. (Kaplan就是搞這個起家的。他也帶動了研究MBO的潮流。)

Kaplan, S., and Stein, J. 1990. 「How Risky is the Debt in Highly
Leveraged Transactions?」. Journal of Financial Economics, 215-246. (LBO也是他的最愛。)

下面幾篇我都不太了解，都比較早了。有空就翻翻吧。

Agarwal, A., Jaffe, J., and Mandelker, G.
1992. 「The Post-Merger Performance of Acquiring Firms:
A Re-examination of an Anomaly.」? The Journal of Finance, 1605-1621.

Opler, T., and Titman, S. 1993. 「The
Determinants of Leveraged Buyout Activity: Free Cash Flow vs. Financial
Distress Costs」. The Journal of Finance, 1985-1999.

Comment, R. and Schwert, G. 1995. Poison or
Placebo? Evidence on the Deterrence and Wealth Effects of Modern Antitakeovers
Measures」, Journal of Financial Economics, 3-43.

Corporate Finance:

Payout
Policy

Payout policy 本身並沒什麼有趣的，一般都是和Agency theory,
Information asymmetry (Signaling) 或Mispricing 結合在一起才有意思。

Allen, F., and Michaelly, R. 2003. 「Payout Policy」. Chapter 7, 337-430, in Handbook
of the Economics of Finance, Edited by Constantindes et al, Elsevier North
Holland. (這是篇review
paper，看了就對這個領域有個大概的印象。)

Fama, E., and French, K. 2001. 「Disappearing Dividends: Changing
Firm Characteristics or Lower Propensity to Pay?」. Journal of Financial Economics 60, 3-43. (Fama又一篇獲獎之作，也很是有名。)

Baker, Malcolm., and Wurgler, Jeffrey.
2004. "A Catering Theory of Dividends". Journal of Finance,
1125-1165. (Payout policy 和Behavioral finance結合的代表作。)

Baker, Malcolm., and Wurgler, Jeffrey.
2004. "Appearing and Disappearing of Dividends: The Link to Catering
Incentives". Journal of Financial Economics, 271-288. (感覺不如上面那篇JF。搞什麼嘛，簡直就是overkill.)

Miller, M., and Rock, K. 1985. 「Dividend Policy under Asymmetric
Information」. Journal of
Finance, 1031-1051. (翻一下，記住結論即可。)

Benartzi, S., Michaely, R., and Thaler, R.
1997. 「Do Changes in
Dividends Signal the Future or the Past?」. Journal of Finance, 1007-1033. (關於dividend signaling 的爭論就一直沒停過, 實在是讓人感到有些疲勞。)

Litner, J. 1956. 「Distribution of Incomes of
Corporations among Dividends, Retained Earnings and Taxes,」 American Economic Review, 97-113. （大概是第一個研究這個方面的paper，其model至到今天還在被用。）

Grullon, G., and Michaely, R. 2002. 「Dividends, Share Repurchases and
the Substitution Hypothesis」. Journal of Finance 62, 1649-1684. (這兩人原系師徒。這篇paper寫的不是很好，但還算有名。)

Vermaelen, T. 1981. 「Common Stock Repurchases and Market
Signaling: An Empirical Study」. Journal of Financial Economics, 139-183. (老文了。本來也被引用得不怎麼多，但近年來人氣很旺，不知何故。讀讀吧。)

Dann, L. 1981. 「Common Stock Repurchases: An
Analysis of Returns to Bondholders and Stockholders」. Journal of Financial Economics 9,
113-138. (老Larry也是有些點背，本來這篇paper比上面Vermaelen的那篇要引用的多，但不知何故近來少有人引用。)

Easterbrook, Frank. 1984. 「Two Agency-cost Explanations of
Dividends」. American
Economic Review, 650-659. （該人系lawyer出身，因此很遭某些人排斥。）

Fenn, G., and Liang, N. 2001. 「Corporate
Payout Policy and Managerial Stock Incentives」. Journal of Financial Economics
60, 45-72.

Bhattacharya, S. 1979. 「Imperfect Information, Dividend
Policy, and "The Bird in the Hand Fallacy"」. Bell Journal of Economics 10, 259-270. (一篇老文，很多人引用。翻翻就可以了。)

Guay, Wayne., and Harford, J. 2000. 「The Cash-Flow Permanence and
Information Content of Dividend Increases vs. Repurchases」. Journal of Financial Economics
57, 385-415.? (Guay是accounting 里的青年才俊，在Wharton做的不錯. 和Harford以前讀書時是同學，據說網球打得很好。)

Jagannathan, M., Stephens, C., and Weisbach,
M. 2000. 「Financial
Flexibility and the Choice between Dividends and Stock Repurchases」. Journal of Financial Economics
57, 355-384. (和上面那篇paper講的是差不多的意思。這篇明顯有些趕工的痕迹。大概是為了搶著發表。這兩篇最後都在同一本雜誌的同一期上發了，要是不搶，讓上面那篇先發，這篇就發不了了。)

DeAngelo, H., DeAngelo, L., and Skinner, D.
1996. 「Reversal of
Fortune, Dividend Signaling and the Disappearance of Sustained Earnings Growth」. Journal of Financial Economics
40, 341-371. (又是一篇signaling 的paper。DeAngelo兩人對dividends情有獨鍾，大部分文章都和dividends 有關。感興趣的可以去他們網頁看看，這裡就不多舉了。)

Kahle, K. 2002. 「When a Buyback isn』t a
Buyback: Open-market Repurchases and Employee Options」. Journal of Financial
Economics 63, 235-261.

Stephens, C., and Weisbach, M. 1998.
「Actual Share Reacquisitions in Open-market Repurchase Programs」. Journal of
Finance 55, 313-334.

Ikenburry, D., Lakonishock, J. and
Vermaelen, T. 1995. 「Market Underreaction to Open Market Stock Repurshases」.
Journal of Financial Economics, 405-435.

Healy, P. and Palepu, K. 1988. 「Earnings
Information Conveyed by Dividend Initiations and Omissions」. Journal of
Financial Economics, 149-175.

Michaely, R., Thaler, R., and Womack, K.
1995. 「Piece Reactions to Dividend Intention and Omissions: Overreaction or
Drift?」.? Journal of Finance, 573-608.

John, K., and Williams, J. 1985. 「Dividends, Dilution, and Taxes: a
Signaling Equilibrium」. Journal of Finance 40, 1053-1070. (老文，翻一下，記住結論即可。)

Grullon, Gustavo., Michaely, Roni. 2004.
「The Information Content of Share Repurchase Programs」. Journal of Finance,
651-680.

Elton, E., and Gruber, M. 1970. 「Marginal Stockholders』 Tax Rates and the Clientele Effect」. Review of Economics and
Statistics 52, 68-74. (比較早的一篇關於clientele effects和dividends的文章。現在這種文章海量了，感興趣的自己搜好了。)

International Finance

這個我不太了解，推薦幾篇我知道的吧。其實說穿了基本上也就是用international data來驗證已有的theory, 不會去做些什麼匯率之類啦，跨國銀行之類啦，FDI等等。在美國，上面提到的那些東西可都是屬於經濟系(Economics), 和金融(Finance)不怎麼沾邊。

Doidge, C. 2004. 「US Cross-listing and the Private
Benefits of Control: Evidence from Dual Class Firms」. Journal of Financial Economics,
519-554. (Craig 是加拿大帥哥，當年為了女友，毅然選擇了去U of Toronto. 他應該是近幾年來Ohio State 所畢業的最出色的學生之一。當年他選擇這個dissertation topic 是冒了風險的，因為不是所有人對international data都是那麼相信的。有句話怎麼說的, 「Great
achievements involve great risk」. )

Doidge, C., Karolyi, C., and Stulz, R.
2004. 「Why are Foreign Firms that are Listed in the US Worth More?」. Journal of
Financial Economics, 205-238.

La Porta, R.,
Lopez-de-Silanes, F., and Shleifer, A. 1999. 「Corporate Ownership around the
World」. Journal of Finance, 471-517.

La Porta, R.,
Lopez-de-Silanes, F., Shleifer, A., and Vishny, R. 2000. 「Agency Problems and
Dividend Policies around the World」. Journal of Finance, 1-33.

Morck, R., Yeung, B., and Wu, W. 2000. 「The
Information Content of Stock Markets: Why Do Emerging markets Have Synchronous
Stock Price Movements?」. Journal of Financial Economics, 2000, 58, 215-260.

Mutual Funds

Johnson, Woodrow. 2003. 「Predictable Investment Horizons and
Wealth Transfers among Mutual Fund Shareholders」. 2004. Journal of Finance, 1979-2012. （Columbia 畢業的，和去Connell的那個中國女孩是同學。人很聰明，很有才華，但對學生很一般般。個人認為此文是econometrics 技巧在finance papers中的最完美應用之一篇經典。）

Chan, Louis K. C., Chen, Hsiu-Lang., and
Lakonishok, Josef. 2002. 「On Mutual Fund Investment Styles」. Review of
Financial Studies, 1407-1437.

Hendricks, D., Patel. J., and Zeckhauser,
R. 1993. 「Hot Hands in Mutual Funds: Short-run Persistence of Relative
Performance, 1974-1988」.
Journal of Finance 48, 93-130.

Grinblatt, M., and Titman, T. 1993.
「Performance Measurement without Benchmarks: An

Examination of Mutual Fund Returns」.
Journal of Business 66, 47-68.

Carhart, Mark. 1997. 「On Persistence in Mutual Fund
Performance」. Journal of
Finance 52, 57-82. (Chicago 畢業的，好像是Fama的高足。該文是第一個提出survivorship
bias的，非常之經典。)

Del Guercio, D. 1996. "The Distorting
Effect of the Prudent-Man Laws on Institutional Equity Investors," Journal
of Financial Economics 40, 31-62. (Diane 對學生比較負責，願意花很多時間指導學生。為人也很smooth，年輕時是美女，穿著也很有品。)

Coval, Joshua D., and Moskowitz, T. 1999.
「Home Bias at Home: Local Equity Preference in Domestic Portfolios」. Journal of
Finance 54, 2045-2073.

Gompers, Paul., and Metrick, A. 2001.
「Institutional Investors and Equity Prices」. Quarterly Journal of Economics,
229-259.

Jensen, Michael. 1968. 「The Performance of
Mutual Funds in the Period 1945-1964」.

Journal of Finance, 23, 389-416. (Mutual
funds 最早也是最有名的經典之一。Jensen』s Alpha 總該聽說過吧？就是源自此處。)

Zheng, Lu. 1999. 「Is Money Smart? A Study of Mutual
Fund Investors" Fund Selection Ability」. Journal of Finance, 54, 901-933. (中國美女的大作，推一下。她是Yale畢業的，後來去了Michigan.
這篇文章好像得了個獎。)

Edelen, Roger. 1999. 「Investor Flows and the Assessed
Performance of Open-end Mutual Funds」. Journal of Financial Economics 53, 439-466. (也很經典。好像就是他引起了flow 和 performance之間的熱潮。)

Edelen, Roger., and Warner, J. 2001.
「Aggregate Price Effects of Institutional Trading: a Study of Mutual Fund Flow
and Market Returns」. Journal of Financial Economics, 59, 195-220.

Brown, Keith C., Harlow, W., and Starks, L.
1996. 「Of Tournaments and Temptations: An Analysis of Managerial Incentives in
the Mutual Fund Industry」. Journal of Finance, 51, 85-110.

Chalmers, John., Roger, Edelen., and
Kadlec, G. 2001. 「On the Perils
of? Financial Intermediaries Setting Security Prices: the Mutual Fund Wild Card
Option」. Journal of
Finance, 2209-2236. (算是近幾年來mutual funds里比較有名的一篇。題目很古怪，其實就是說各個地方trading時間上的差異導致managers有機可乘。

Chevalier, Judith., and Ellison, G. 1999.
「A Career Concerns of Mutual Fund Managers」. Quarterly Journal of Economics
114, 389-432.

Falkenstein, Eric G. 1996. 「Preferences for
Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings」. Journal
of Finance, 111-135.

Warther, Vincent A. 1995. 「Aggregate Mutual
Fund Flows and Security Returns」. Journal of Financial Economics, 209-235.

Sirri, Erik., and Tufano, P. 1998. 「Costly
Search and Mutual Fund Flows」. Journal of Finance 53, 1589-1622.

Gruber, Martin. 1996. 「Another Puzzle: the
Growth in Actively Managed Mutual Funds.」 Journal of Finance 51, 783-810.

Reuter, J. 2006. 「Are IPO Allocations for Sale?
Evidence from Mutual Funds」. Journal of Finance, 2289-2324. (Jon畢業於MIT，大概是我見過的人當中最聰明的一個，雖然他現在還不怎麼有名。為人超好, 非常非常nice， 也很正直。個人認為Jon是個很值得結交的人。如有機會當他學生，一定要選他當committee member. 好人指數：100/100。)

Market Microstructure

Kyle, Albert S. 1985. 「Continuous Auctions
and Insider Trading」. Econometrica, 53, 1315-1335.

Glosten, Lawrence., and Milgrom, P. 1985.
「Bid, Ask and Transcation Prices in a Dealer Market with Heterogenously
Informed Traders」. Journal of Financial Economics, 14, 71-100.

O"Hara, Maureen. 2003. 「Presidential
Address: Liquidity and Price Discovery」. Journal of Finance, 58, 1335-1354.

Madhavan, A. 2002. 「Market Microstructure:
A Practitioner"s Guide」. Financial Analysts Journal, 58, 28-42.

Harriss, J. H., and Schultz, P. 1998. 「The
Trading Profits of SOES Bandits」. Journal of Financial Economics, 50, 39-62.

Harris, Lawrence and Hasbrouck, J. 1996.
「Market vs. Limit Orders: The Superdot Evidence on Order Submission Strategy」.
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