- Preferences, Expected Utility Representation
* H-L Chapter 1
* Ingersoll Chapter 1
* Campbell Chapter 1
- Stochastic Dominance
* H-L Chapter 2
* Campbell Chap 1
* Ingersoll Chapter 5
- Mean Variance Analysis – The Individual’s Problem
* H-L Chapter 3
* Campbell Chap 2
* Ingersoll Chapter 3
- CAPM
* H-L Chapter 4
* Campbell Chap 3
* Ingersoll Chapter 4
* Merton, Robert C, 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance 42, 483-510.
# Fama, Eugene F., and James D. MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607-636.
* Chchrane Chap 12.3
# Shanken, Jay and Guofu Zhou, 2007, Estimating and testing beta pricing models: Alternative methods and their performance in simulations, Journal of Financial Economics 84, 40-86.
- Arrow-Debreu Securities and General Equilibrium Consideration
* H-L Chapter 5
* Ingersoll Chapters 2, 8, 9
- APT
* Ingersoll Chap 7
* Campbell Chap 3
* Cochrane Chap 9.4 (will be discussed later)
* Ross, Stephen A, 1976, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory 13, 341-60.
* Huberman, Gur, 1982, A Simple Approach to Arbitrage Pricing Theory, Journal of Economic Theory 28, 183-91.
* Huberman, Gur, and Zhenyu Wang, 2005, Arbitrage Pricing Theory, in S.N. Durlauf, and L.E. Blume, eds.: The New Palgrave Dictionary of Economics, forthcoming (Palgrave Macmillan).
- Introduction to Dynamic Models and Rational Expectations: Lucas Trees
* Lucas, Robert E, Jr, 1978, Asset Prices in an Exchange Economy, Econometrica 46, 1429-45.
* Campbell Chap 4, Chap 6
* Cochrane Chap 1, Chap 4
* Hansen, Lars Peter, and Kenneth J. Singleton, 1982, Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica 50, 1269-86.
- Factor Pricing Models
* Cochrane Chap 6, Chap 9
* Campbell Chap 3
* Handbook of Finance 1B, Chap 12
* Fama, Eugene F., and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-65.
* Fama, Eugene F., and Kenneth R. French, 1993, Common Risk Factors in the Returns on Stock and Bonds, Journal of Financial Economics 33, 3-56.
* Fama, Eugene F., and Kenneth R. French, 1995, Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance 50, 131-55.
* Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22.
* Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The Cross-Section of Volatility and Expected Returns, Journal of Finance 61, 259-99.
* Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.
* Pastor, Lubos, and Robert F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642-685.
# Goyenko, Ruslan Y., Craig W. Holden, and Charles A. Trzcinka, 2009, Do liquidity measures measure liquidity?, Journal of Financial Economics 92 2, 153-81.
# Harvey, Campbell R., Yan Liu, and Heqing Zhu, 2016, … and the cross-section of expected returns, The Review of Financial Studies 29, 5-68.
# Breeden, Douglas T., Michael R. Gibbons, and Robert H. Litzenberger, 1989, Empirical test of the consumption-oriented capm, The Journal of Finance 44, 231-262. - The Equity Premium Puzzle
* Mehra, Rajnish, and Edward C Prescott, 1985, The Equity Premium: A Puzzle, Journal of Monetary Economics 15, 145-61.
* Rietz, Thomas A., 1988, The Equity Risk Premium: A Solution, Journal of Monetary Economics 22, 117-31.
Mehra, Rajnish, and Edward C. Prescott, 1988, The Equity Risk Premium: A Solution?, Journal of Monetary Economics 22, 133-36.
Barro, Robert J., 2006, Rare Disasters and Asset Markets in the Twentieth Century, Quarterly Journal of Economics 121, 823-66.
* Handbook of Finance 1B, Chap 14 - Introduction to Derivatives (subject to time availability)
* Ingersoll Chapter 14
* Cox and Rubinstein, Chapter 2, 4. - Black-Scholes Formula (subject to time availability)
* Cox and Rubinstein, Chapter 5.
* Black, Fischer, and Myron S. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637-54.
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