金融経済学 (Japanese Wikipedia)

Analysis of information sources in references of the Wikipedia article "金融経済学" in Japanese language version.

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doi.org

Ferson, Wayne E. (2003), “Tests of multifactor pricing models, volatility bounds and portfolio performance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 743-802, doi:10.1016/S1574-0102(03)01021-5, ISBN 9780444513632
Myers, Stewart C. (2003), “Financing of corporations”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 215-253, doi:10.1016/S1574-0102(03)01008-2, ISBN 9780444513625
Markowitz, Harry M. (1952), “Portfolio selection”, The Journal of Finance 7 (1): 77-91, doi:10.1111/j.1540-6261.1952.tb01525.x
Tobin, James (1958), “Liquidity preference as behavior towards risk”, Review of Economic Studies 25 (2): 65-86, doi:10.2307/2296205
Sharpe, William F. (1964), “Capital asset prices: A theory of market equilibrium under conditions of risk”, The Journal of Finance 19 (3): 425-442, doi:10.1111/j.1540-6261.1964.tb02865.x
Ross, Stephen A. (1976), “The arbitrage theory of capital asset pricing”, Journal of Economic Theory 13 (3): 341-360, doi:10.1016/0022-0531(76)90046-6
Whaley, Robert E. (2003), “Derivatives”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1129-1206, doi:10.1016/S1574-0102(03)01028-8, ISBN 9780444513632
Harrison, J. Michael; Kreps, David M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economic Theory 20 (3): 381-408, doi:10.1016/0022-0531(79)90043-7
Harrison, J. Michael; Pliska, Stanley R. (1981), “Martingales and stochastic integrals in the theory of continuous trading”, Stochastic Processes and their Applications 11 (3): 215-260, doi:10.1016/0304-4149(81)90026-0
Harrison, J. Michael; Pliska, Stanley R. (1983), “A stochastic calculus model of continuous trading: complete markets”, Stochastic Processes and their Applications 15 (3): 313-316, doi:10.1016/0304-4149(83)90038-8
Milgrom, Paul R.; Stokey, Nancy (1982), “Information, trade and common knowledge”, Journal of Economic Theory 26 (1): 17-27, doi:10.1016/0022-0531(82)90046-1
Shiller, Robert J. (1984), “Stock prices and social dynamics”, Carnegie Rochester Conference Series on Public Policy 1984 (2): 457-510, doi:10.2307/2534436
Campbell, John Y.; Shiller, Robert J. (1988), “Stock prices, earnings, and expected dividends”, The Journal of Finance 43 (3): 661-676, doi:10.1111/j.1540-6261.1988.tb04598.x
Campbell, John Y.; Shiller, Robert J. (1988), “The dividend-price ratio and expectations of future dividends and discount factors”, The Review of Financial Studies 1 (3): 195-228, doi:10.1093/rfs/1.3.195
Jensen, Micheal C. (1968), “The performance of mutual funds in the period 1945-1964”, The Journal of Finance 23 (2): 389-416, doi:10.1111/j.1540-6261.1968.tb00815.x
Roll, Richard (1977), “A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory”, Journal of Financial Economics 4 (2): 129-176, doi:10.1016/0304-405X(77)90009-5
Banz, Rolf W. (1981), “The relationship between return and market value of common stocks”, Journal of Financial Economics 9 (1): 3-18, doi:10.1016/0304-405X(81)90018-0
Rosenberg, Barr; Reid, Kenneth; Lanstein, Ronald (1985), “Persuasive evidence of market inefficiency”, The Journal of Portfolio Management 11 (3): 9-16, doi:10.3905/jpm.1985.409007
Chan, Louis K. C.; Hamao, Yasushi; Lakonishok, Josef (1991), “Fundamentals and stock returns in Japan”, The Journal of Finance 46 (5): 1739-1764, doi:10.1111/j.1540-6261.1991.tb04642.x
Fama, Eugene F.; French, Kenneth R. (1992), “The cross-section of expected stock returns”, The Journal of Finance 47 (2): 427-465, doi:10.1111/j.1540-6261.1992.tb04398.x
Ball, Ray (1978), “Anomalies in relationships between securities' yields and yield-surrogates”, Journal of Financial Economics 6 (2-3): 103-126, doi:10.1016/0304-405X(78)90026-0
Fama, Eugene F.; French, Kenneth R. (1993), “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics 33 (1): 3-56, doi:10.1016/0304-405X(93)90023-5
Jegadeesh, Narasimhan; Titman, Sheridan (1993), “Returns to buying winners and selling losers: Implications for stock market efficiency”, The Journal of Finance 48 (1): 65-91, doi:10.1111/j.1540-6261.1993.tb04702.x
Fama, Eugene F.; French, Kenneth R. (1996), “Multifactor explanations of asset pricing anomalies”, The Journal of Finance 51 (1): 55-84, doi:10.1111/j.1540-6261.1996.tb05202.x
Carhart, Mark M. (1997), “On persistence in mutual fund performance”, The Journal of Finance 52 (1): 57-82, doi:10.1111/j.1540-6261.1997.tb03808.x
Mehra, Rajnish; Prescott, Edward C. (1985), “The equity premium: A puzzle”, Journal of Monetory Economics 15 (2): 145-161, doi:10.1016/0304-3932(85)90061-3
Mehra, Rajnish; Prescott, Edward C. (2003), “The equity premium in retrospect”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 889-938, doi:10.1016/S1574-0102(03)01023-9, ISBN 9780444513632
Weil, Philippe (1989), “The equity premium puzzle and the risk-free rate puzzle”, Journal of Monetory Economics 24 (3): 401-421, doi:10.1016/0304-3932(89)90028-7
Brunnermeier, Markus K.; Pedersen, Lasse H. (2009), “Market liquidity and funding liquidity”, The Review of Financial Studies 22 (6): 2201-2238, doi:10.1093/rfs/hhn098
Bollerslev, Tim (1986), “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics 31 (3): 307?327, doi:10.1016/0304-4076(86)90063-1
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul (2003), “Modeling and forecasting realized volatility”, Econometrica 71 (2): 579-625, doi:10.1111/1468-0262.00418
Barberis, Nicholas C.; Thaler, Richard H. (2003), “A survey of behavioral finance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1053-1128, doi:10.1016/S1574-0102(03)01027-6, ISBN 9780444513632
Benartzi, Shlomo; Thaler, Richard H. (1995), “Myopic loss aversion and the equity premium puzzle”, The Quarterly Journal of Economics 110 (1): 73-92, doi:10.2307/2118511
Barberis, Nicholas C.; Shleifer, Andrei; Vishny, Robert W. (1998), “A model of investor sentiment”, Journal of Financial Economics 49 (3): 307-343, doi:10.1016/S0304-405X(98)00027-0
Shleifer, Andrei; Vishny, Robert W. (1997), “The limits of arbitrage”, The Journal of Finance 52 (1): 35-55, doi:10.1111/j.1540-6261.1997.tb03807.x

hbr.org

Fox, Justin (2013), “What we've learned from the financial crisis”, Harvard Business Review 2013 (11): 94-101

jstor.org

Modiliani, Franco; Miller, Merton H. (1958), “The cost of capital, corporation finance and the theory of investment”, American Economic Review 48 (3): 261-297, JSTOR 1809766, https://jstor.org/stable/1809766
Lintner, John (1965), “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”, The Review of Economics and Statistics 47 (1): 13-37, JSTOR 1924119, https://jstor.org/stable/1924119
Mossin, Jan (1966), “Equilibrium in a capital asset market”, Econometrica 34 (4): 768-783, JSTOR 1910098, https://jstor.org/stable/1910098
Black, Fischer (1972), “Capital market equilibrium with restricted borrowing”, The Journal of Business 45 (3): 444-455, JSTOR 2351499, https://jstor.org/stable/2351499
Sharpe, William F. (1966), “Mutual fund performance”, The Journal of Business 39 (1): 119-138, JSTOR 2351741, https://jstor.org/stable/2351741
Merton, Robert C. (1973), “An intertemporal capital asset pricing model”, Econometrica 41 (5): 867-887, JSTOR 1913811, https://jstor.org/stable/1913811
Black, Fischer; Scholes, Myron (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy 81 (3): 637-654, JSTOR 1831029, https://jstor.org/stable/1831029
Merton, Robert C. (1973), “Theory of rational option pricing”, The Bell Journal of Economics and Management Science 4 (1): 141-183, JSTOR 3003143, https://jstor.org/stable/3003143
Aumann, Robert J. (1976), “Agreeing to disagree”, The Annals of Statistics 4 (6): 1236-1239, JSTOR 2958591, https://jstor.org/stable/2958591
Mandelbrot, Benoît B. (1963), “The variation of certain speculative prices”, The Journal of Business 36 (4): 394-419, JSTOR 2350970, https://jstor.org/stable/2350970
Fama, Eugene F. (1963), “Mandelbrot and the stable Paretian hypothesis”, The Journal of Business 36 (4): 420-429, JSTOR 2350971, https://jstor.org/stable/2350971
Fama, Eugene F. (1965), “The behavior of stock market prices”, The Journal of Business 38 (1): 34-105, JSTOR 2350752, https://jstor.org/stable/2350752
Fama, Eugene F.; MacBeth, James D. (1973), “Risk, return and equilibrium: Empirical tests”, Journal of Political Economy 81 (3): 607-636, JSTOR 1831028, https://jstor.org/stable/1831028
Hansen, Lars P. (1982), “Large sample properties of generalized method of moments estimators”, Econometrica 50 (4): 1029-1054, JSTOR 1912775, https://jstor.org/stable/1912775
Hansen, Lars P.; Singleton, Kenneth J. (1982), “Generalized instrumental variable estimation of nonlinear rational expectations models”, Econometrica 50 (5): 1269-1286, JSTOR 1911873, https://jstor.org/stable/1911873
Hansen, Lars P.; Jagannathan, Ravi (1991), “Implications of security market data for models of dynamic economies”, Journal of Political Economy 99 (2): 225-262, JSTOR 2937680, https://jstor.org/stable/2937680
Shiller, Robert J. (1979), “The volatility of long term interest rates and expectations models of the term structure”, Journal of Political Economy 87 (6): 1190-1219, JSTOR 1833329, https://jstor.org/stable/1833329
Shiller, Robert J. (1981), “Do stock prices move too much to be justified by subsequent changes in dividends?”, The American Economic Review 71 (3): 421-436, JSTOR 1802789, https://jstor.org/stable/1802789
Engle, Robert F.; Granger, Clive W. J. (1987), “Co-integration and error correction: representation, estimation, and testing”, Econometrica 55 (2): 251-276, JSTOR 1913236, https://jstor.org/stable/1913236
Engle, Robert F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”, Econometrica 50 (4): 987-1007, JSTOR 1912773, https://jstor.org/stable/1912773
Hamilton, James D. (1989), “A new approach to the economic analysis of nonstationary time series and the business cycle”, Econometrica 57 (2): 357-384, JSTOR 1912559, https://jstor.org/stable/1912559

ssrn.com

papers.ssrn.com

Black, Fischer; Jensen, Micheal C.; Scholes, Myron (1973), “The capital asset pricing model: Some empirical tests”, in Jensen, Micheal C., Studies in the theory of capital markets, Praeger