特整理金融领域著名论文，帮助金融学习者深入学习金融，这些著名论文奠定了金融框架、经济学研究，对于 CFA学习，也有独到的帮助。
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为大家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，Daniel Bernoulli （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Google Scholar，写答案时候顺手刷新的，更新日期： 2014/2/17 2:52 am，下同） 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，大部分都拿过大奖，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，建议金融学习者平衡好看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。所以建议金融学习者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： finance - Google Scholar 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 The history of finance 列举金融届著名论文干货，供金融深入学习者参考： Capital Structure MM理论：无税MM与有税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. 权衡理论 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. 融资优序理论 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. 择时理论 Baker, Malcolm and Jeffrey Wurgler, 2002, Market timing and capital structure, Journal of Finance 57, 1-32. 代理理论 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. Raising Capital Rock, K , 1986, Why New Issues are Underpriced?, Journal of Financial Economics, 15, 187-212. Dittmar, Amy and Anjan Thakor, 2007, Why Do Firms Issue Equity? Journal of Finance 62, 1-54 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 Markowitz, H., 1952. Portfolio selection. The journal of finance, 7(1): 77-91. 均值-方差投资组合 Sharpe, W. F.,1964 . Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3): 425-442. 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. 有效市场假说 Black, F., and M. Scholes, 1973. The pricing of options and corporate liabilities. The journal of political economy: 637-654. 期权定价理论 Fama, E. F., and K. R. French, 1992. The Cross-Section of Expected Returns. Journal of Finance, 427-465. 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. Fama, E. F. and K. R. French, 1996. Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance51, 55-84. Behavioral Finance 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. 各位考生， CFA三级备考已经开始，为了方便各位考生能更加系统地掌握考试大纲的重点知识，帮助大家充分备考，体验实战，高顿网校开通了全免费的CFA题库（包括精题真题和全真模考系统），题库里附有详细的答案解析，学员可以通过多种题型加强练习，通过针对性地训练与模考，对学习过程进行全面总结。关注微信公众号：一起学CFA 更多CFA资讯一手掌握 !
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发表于 2015-10-19 15:12:14
