金融界有哪些著名的论文？

文中提到的Paper 的pdf 下载：

感谢外经贸买了那么多数据库...感谢Jstor....

－－－－－－ 2/17 原答案－－－－－

看到上面那么多答案居然没提BS公式的那篇Paper，忍不住试着来答一下。。

我猜题主是想通过读作为学科foundation的这些paper来进行金融入门，曾几何时我也有和楼主相似的想法，并自己做了一点Researching ，也整理出了一点成果，我就试着根据这些Paper为知友们理一理现代金融发展的脉络吧。

(提醒：为了给新手一个金融学发展的直观的感受，我选择了用时间顺序列举Paper的办法，而不是按传统的分 投资学/公司金融 两块（PT-CAPM-EMH-MM-BSM）[3]来列举的。)

－－－－－－

首先，金融的一切一切的Foundation，

（瑞士人）在1738年写的：

Specimen Theoriae Novae de Mensura Sortis," Commentarii Academiae Scientiarum Imperialis Petropolitanae, Tomus V 1738, pp. 175-192.

这篇论文提出了用期望效用衡量风险的新方法，从某种角度上定义了Risk这个现代金融学研究的最本质的东西。

原文是拉丁文，英译(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 数据来自

，写答案时候顺手刷新的，更新日期： 2014/2/17 2:52 am，下同）

－－－－－－

然后？ 黑喂狗！

－－－－－－

1. The birth of finance--Portfolio Theory.

正如Eugene F. Fama ［2］所说：

Finance has its birth in 1952 with the PhD thesis of Harry Markowitz on portfolio theory that he did in the Department of Economics.

所以这篇Paper肯定是逃不开的：

Markowitz, Harry. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91.

Citation:17176

虽然题主把范围限制在了Paper，不过如果感兴趣的话书也可以看看：

Markowitz, Harry M. Portfolio selection: efficient diversification of investments. Vol. 16. Yale University Press, 1970.

Citation:8021

Markowitz把收益和风险这两个在过去原本有点含糊的概念明确为具体的数学概念，相当于指明了金融中的一大块，投资学的研究方向：最大收益，最小方差。奠基石的作用啊。

－－－－－－

2.Foundation of Corporate finance--MM theorem.

一句话概括该定理就是：在理想的市场条件下,公司的价值与财务政策无关。

他们的研究算是真正的给Corporate Finance这门学科奠定了基础。

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

－－－－－－

3.The bridge between risk and return--Capital Assets Pricing Model

CAPM模型从均衡的角度阐述了风险和收益之间的关系，这个模型提供的insight几乎是照亮了以后金融研究的道路，后来的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

－－－－－－

4.How does our market behave? --Efficient Market Theory

我们学习金融理论很多时候都会看到这样的假设：

假设市场有效.....我们得出....

那么市场真的有效吗？

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

－－－－－－

5.The Greatest Financial Theory Ever--Black-Scholes-Merton Model

这个Greatest当然是我这个无名小辈封的，不过Fama也这么说哦［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.

别的theory都是奠定了什么什么基础，BSM Model直接创造了迄今为止可能最赚钱（也最亏钱，衍生品往往是零和博弈）的行业－－金融衍生品行业

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

－－－－－－

6.From theory to Practical--APT

APT因素模型选股，一个学长在CICC就正在做这个。。简单的说该模型就是把一个Return拆成了不同的factor，类似于计量里的多元线性回归。

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，现代金融学的大厦基本构建完毕。

－－－－－－

以上提到的这些人中，大部分都拿过炸药奖，其中：

FRANCO MODIGLIANI -1985

HARRY M. MARKOWITZ -1990

MERTON M. MILLER-1990

WILLIAM F. SHARPE-1990

ROBERT C. MERTON - 1997

MYRON SCHOLES -1997

EUGENE FAMA-2013

－－－－－－

最后提一句，建议知友们平衡好看Original Paper和Explained Material（Textbook, PPT ）之间的关系，Paper作为第一手资料固然好，但是却真的不适合入门，Textbook讲的有条理且浅显易懂，但却不利于我们领略这个理论本来是什么样子的，阻碍了我们进一步理解这些理论。

所以建议知友们可以先看经典的课本入门，然后课本对照Paper学习。

PS:这有1978年后，影响力比较大的finance相关的论文：

Reference

［1］肖欣荣，投资学讲义，对外经济贸易大学

［2］.Eugene F. Fama：A brief history of finance and my life at Chicago

［3］Merton.H.Miller

翻了一下答案，看到了corporate finance的reading list，好赞。所以我只限于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选择，因为一些高引用率的比较老，或者说太经典了，已经被简化为教科书了。

首先是方法的文章，学好方法，用起来放心。然后是factor方面的文章。然后是market efficiency，好多asset pricing的reading list都会涉及，但是也有很多不会讨论，其实没啥问题，感觉只是一个对市场的理解。value and momentum，liquidity，asymmetry和主要的anomaly都是比较重要的，一般的业界量化也会用。最后就是fund方面的文章，我觉得和其他的factor，anomaly文章有一些区别。此外还列了一些教科书。

【写完我发现整段垮掉了...】

NOTE：anomaly方面文章来源自之前课上的reading list（asset pricing. empirical asset pricing, empirical finance），fund方面来源自正在上的课的syllabus（theory of asset pricing。因为老师是做hedge fund的，所以要读一些重要的fund文章。）。另外还有一些是之前自己看过的，觉得不错所以一直记得。

NOTE：这里大部分都是看过的，认为不错列在这里。还有很多看过就忘了，以后再加吧。另外，很多文章都应该有一句话评价，然而要上课去了，我懒得写了，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必读的第一篇论文吧】

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的原始文献。在2015年以前基本每篇文章都得用3factor。2015年以后，应该会改用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.

【战Fama的一篇文章】

Stambaugh, Robert F., and Yu Yuan. "Mispricing factors." The Review of Financial Studies 30.4 (2016): 1270-1315.

【从short of it得到的一个factor构建思路】

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.

【如何选择factor model的文章。在HML，SMB，RMW，CMA，UMD等factor之外，还有一系列AQR的factor，比如HML devil，BAB，QMJ，TSMOM等。这篇文章的意义就在于给出了一个理论方法来指导factor选择。】

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方法的综述，包含了对于FM方法潜在问题的讨论，以及讨论如何解决error-in-variable问题（当然失败了...）。再有就是用GMM方法避免EIV问题。】

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.

【以上为两个基本的综述，可以作为入门】

Amihud, Yakov. "Illiquidity and stock returns: cross-section and time-series effects." Journal of financial markets 5.1 (2002): 31-56.

Pástor, Ľuboš, 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方面的开端了】

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.

【这是一篇涉及方面很多的文章，我觉得文章的intro部分可以算作commonality的一个综述了。】

Goyenko, Ruslan Y., Craig W. Holden, and Charles A. Trzcinka. "Do liquidity measures measure liquidity?." Journal of financial Economics 92.2 (2009): 153-181.

【比较了很多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.

【上课的时候老师讲他们这篇文章是在一次conference上几个人吃饭聊天聊出来的。结果投稿JFE的时候Fung是编辑，说我之前做过这个topic但是没有做出结果，所以我要拒了你们。结果老师检查了一下Fung的code，发现他的时间匹配错了，Lo去argue了一下才发出来...（嗯，我知道这个段子被我讲垮掉了）】

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.

一些还不错的asset pricing教科书

NOTE：题主要求的只是论文，但是我还是加入了一些教科书。因为不懂理论就直接撸论文总觉得有点不实在。之前一直光看paper，最近看看理论发现还是很有帮助的。但是觉得看theory之前至少得知道一些高微的知识，尤其是uncertainty方面。要是想看Duffie，还得知道dynamic programming...OMG

Cochrane, John H. Asset Pricing:(Revised Edition). Princeton university press, 2009.

【这么著名的教材，不读一读不合适吧。用CCAMP开篇，直接得到了SDF，然后围绕SDF展开，感觉有点难，看习惯就好了。】

Back, Kerry. Asset pricing and portfolio choice theory. Oxford University Press, 2010.

【正在看的一本书，我拿它入门，觉得还不错。学过高级微观经济学会更快的上手，因为uncertainty和utility property会熟悉一点。从single period model开篇，基本的no-arbitrage，LOP都还算明白，再迅速跳到dynamic model，感觉还算是跟得上。】

Duffie, Darrell. Dynamic asset pricing theory. Princeton University Press, 2010.

【我还不配看这本书...】

Chi-fu Huang, Robert H. Litzenberger, Foundations for financial economics, North-Holland,1988.

【挺老的一本书，但是讲mean-variance frontier和two-fund separating清楚地不要不要的，超级喜欢这两章的内容。其他部分可能有点老，因此可以用Back，Cochrane替代一下。】

———————以上理论基础————————

Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. The econometrics of financial markets. princeton University press, 1997.

【暂时只看了第一章predictability，发现有点无聊，因为很多数学推导都没有。举例来说就是Lo and MacKinley 1989的文章在书中的推到很少，可能还没有文章说的明白...】

Singleton, Kenneth J. Empirical dynamic asset pricing: model specification and econometric assessment. Princeton University Press, 2009.

Cochrane后半部分

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吗？想不看论文就知道基本套路吗？快入手Bali吧！今天不要998，只要98，就可以抱回家！...嗯，98刀一本的书，我选择在电脑上看pdf...】

———————以上计量方法————————

还有各种各样优秀教材，我一点没看过，就不提了...

以上