资产定价理论经典paper总结

AssetPricingTheory(A)IntroductionandBasicModelsCochrane,JohnH.(2001)Chapter1,2&21.Breeden,DouglasT.(1979)“AnIntertemporalAssetPricingModelwithStochasticConsumptionandInvestmentOpportunities,”JournalofFinancialEconomics,7,265-296.*Campbell,JohnY.(2000)“AssetPricingintheNewMillenium,”JournalofFinance,55,1515-1567.**Lucas,RobertE.(1978)“AssetPricesinanExchangeEconomy,Econometrica,46,1429-1446.Rubinstein,Mark(1976)“TheValuationofUncertainIncomeStreamsandthePriceofOptions,”BellJournalofEconomics,7,407-425.*Sundaresan,S.(2000)“ContinuousTimeMethodsinFinance:AReviewandanAssessment,55:1569-1622.(B)HabitFormationAbel,AndrewB.(1990)“AssetPricesUnderHabitFormationandCatchingUpwiththeJones.”AmericanEconomicReview,80,38-42.**Campbell,JohnY.andJohnH.Cochrane(1999)“ByForceofHabit:AConsumptionBasedExplanationofAggregateStockMarketBehavior.”JournalofPoliticalEconomy,107,205-251.*Chan,LewisandLeonidKogan(2002)“CatchingUpwiththeJoneses:HeterogeneousPreferencesandtheDynamicsofAssetPrices,”JournalofPoliticalEconomy,110,1255-1285.Constantinides,George(1990)“HabitFormation:AResolutionoftheEquityPremiumPuzzle,”JournalofPoliticalEconomy98,519-543.*Detemple,JeromeandF.Zapatero(1991)“AssetPricesinanExchangeEconomywithHabitFormation,”Econometrica59,1633-1657.**Epstein,LarryG.andStanleyZin(1989)“Substitution,RiskAversionandtheTemporalBehaviorofAssetReturns,”JournalofPoliticalEconomy,99,263-286.*Ferson,WayneandGeorgeConstantinides(1991)“HabitPersistenceandDurabilityinAggregateConsumption:EmpiricalTests.”JournalofFinancialEconomics,29,199-240.Weil,Phillipe(1989)“TheEquityPremiumPuzzleandtheRiskFreeRatePuzzle,”JournalofMonetaryEconomics,24,401-421.(C)LongRunRisk*Bansal,R.,R.Gallant,andG.Tauchen(2007)“RationalPessimism,RationalExuberance,andAssetPricingModels,”ReviewofEconomicStudies,forthcoming.**Bansal,RaviandAmirYaron(2005)“RisksfortheLongRun:APotentialResolutionofAssetPricingPuzzles,”JournalofFinance.Beeler,J.,andJ.Y.Campbell(2009)“TheLong-RunRisksModelandAggregateAssetPrices:AnEmpiricalAssessment,”WorkingPaperHarvardUniversity.(D)Heterogeneity*Basak,S.,2000,“AModelofDynamicEquilibriumAssetPricingwithHeterogeneousBeliefsandExtraneousRisk,”JournalofEconomicDynamicsandControl,24,63-95.Brav,Alon,GeorgeConstantinides,andChristopherGeczy(2002)“AssetPricingwithHeterogeneousConsumersandLimitedParticipation:EmpiricalEvidence,”JournalofPoliticalEconomy,August.**Buraschi,A.andA.Jiltsov,2006.Modeluncertaintyandoptionmarketswithheterogeneousbeliefs,JournalofFinance61,2841-2897.Constantinides,GeorgeandDarrellDuffie(1996)“AssetPricingwithHeterogeneousConsumers,”JournalofPoliticalEconomy,104,219-240.**Croitoru,BenjaminandLeiLu(2010)“AssetPricinginaMonetaryEconomywithHeterogeneousBeliefs,”Workingpaper*Harrison,J.Michael,andDavidM.Kreps(1978)“Speculativeinvestorbehaviorinastockmarketwithheterogeneousexpectations,”QuarterlyJournalofEconomics93,323–336.*Xiong,WeiandHongjunYan(2010),“Heterogeneousexpectationsandbondmarkets,”ReviewofFinancialStudies(E)Incompleteinformationandlearning*Detemple,J.(1986),Assetpricinginaproductioneconomywithincompleteinformation,JournalofFinance41,383-392.Gennotte,G.(1986),“Optimalportfoliochoiceunderincompleteinformation,JournalofFinance41,733-746.*Veronesi,Pietro.(1999),“Stockmarketoverreactiontobadnewsingoodtimes:Arationalexpectationsequilibriummodel,ReviewofFinancialStudies12,975-1007.**Veronesi,Pietro.andLubosPastor(2003),“StockValuationandLearningaboutProfitability,”JournalofFinance,58,**Veronesi,Pietro.andLubosPastor(2009),“LearninginFinancialMarkets,”(surveyarticle),AnnualReviewofFinancialEconomics,1,361--381(F)HousingLustig,HannoandStijnVanNieuwerburgh(2005)“HousingCollateral,ConsumptionInsuranceandRiskPremia,”JournalofFinance,vol.60(3),1167-1219.**Piazzesi,Monika,MartinSchneider,andSelaleTuzel(2007)“Housing,Consumption,andAssetPrices,JournalofFinancialEconomics,83,March,531-569.(G)Behaviorfinance*Barberis,Nicholas,AndreiShleifer,andRobertW.Vishny,1998,Amodelofinvestorsentiment,JournalofFinancialEconomics49,307–343.Berrada,T.,2008.Boundedrationalityandassetpricingwithintermediateconsumption,ReviewofFinance.*Daniel,KentD.,DavidHirshleifer,andAvanidharSubrahmanyam,1998,Investorpsychologyandsecuritymarketunder-andover-reactions,JournalofFinance53,1839–1885.Dumas,B.,A.KurshevandR.Uppal,2009.Equilibriumportfoliostrategiesinthepresenceofsentimentriskandexcessvolatility,JournalofFinance64,579-629.Harrison,J.Michael,andDavidM.Kreps,1978,Speculativeinvestorbehaviorinastockmarketwithheterogeneousexpectations,QuarterlyJournalofEconomics93,323–336.*Hong,Harrison,andJeremyC.Stein,1999,Aunifiedtheoryofunderreaction,momentumtradingandoverreactioninassetmarkets,JournalofFinance54,2143–2184.Hong,Harrison,JeremyC.Stein,andJialinYu(2007)“SimpleForecastsandParadigmShifts”JournalofFinance**Lu,Lei,2010,“AssetPricingandWelfareAnalysiswithBoundedRationalInvestors,”TheFinancialReview45Peng,Lin,andWeiXiong,2006,Investorattention,overconfidenceandcategorylearning,JournalofFinancialEconomics80,563–602.**Scheinkman,Jose,andWeiXiong,2003,Overconfi