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课 程 大 纲

课程编号：02812280 授课对象：金融硕士
课程名称：实证金融 英文名称：Empirical Finance
周学时/总学时：3/36 学 分：2
任课教师：刘玉珍、张翼、张峥 开课学期：2010－2011第1学期
先修课程：金融学概论、证券投资学、公司财务、计量经济学

任课教师联系方式：
刘玉珍教授 光华2楼324，电话：62757699；Email: [e-mail].
张翼副教授 光华2楼363，电话：62757895；Email: [e-mail].
张峥副教授 光华2楼372，电话：62767856；Email: [e-mail].
辅导、答疑时间：

一、课程概述

本课程主要通过实证金融学研究文献的讨论，介绍资产定价和公司财务领域的实证研究设计与方法，金融数据的应用与计算分析。课程内容包括资产定价模型的检验、共同基金、公司财务与治理、金融市场与机构、行为金融等等。

二、课程目标

本课程的主要的培养目标是：通过课程的学习，学生可以了解相关领域的研究进展，独立设计实施一个实证金融的研究项目，并规范地完成论文的写作。

三、内容提要及学时分配

内容
学时
上课时间
授课教师
1
概述、论文写作
3学时
2010年9月9日
张峥
2
实证资产定价－资产定价模型的检验
3学时
2010年9月16日
张峥
3
实证资产定价－共同基金
3学时
2010年9月23日
张峥
4
实证资产定价－行为金融
3学时
2010年9月30日
刘玉珍
5
实证资产定价－市场微结构
3学时
2010年10月14日
刘玉珍
6
实证公司财务－公司财务
3学时
2010年10月21日
张翼
7
实证公司财务－证券发行
3学时
2010年10月28日
张翼
8
实证公司财务－金融中介、银行的作用
3学时
2010年11月11日
张翼
9
实证公司财务－金融中介、银行的作用
3学时
2010年11月18日
张翼
10
实证公司财务－行为公司财务
3学时
2010年11月25日
张翼

四、阅读材料
（根据上课情况，具体内容可能会微调）

第一部分：实证资产定价（Empirical Asset Pricing）

**required for course

I. Cross sectional stock return and asset pricing model

1. **Chen, Long, Robert Novy-Marx, Lu Zhang, 2009, An alternative three-factor model, working paper

2. **Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1–33.

3. Davis, James, Eugene F. Fama, and Kenneth R. French, 2000, Characteristics, Covariances, and Average Returns: 1929 to 1997, Journal of Finance 55, 389-406.

4. **Fama Eugene F. and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84.
5.
6. Fama, Eugene F., and Kenneth R. French, 2008, Dissecting Anomalies, Journal of Finance 63, 1653-1678.

7. Lee, C. M. C. and B. Swaminathan, 2000, Price Momentum and Trading Volume, Journal of Finance 55, 2017-2069.

II. Mutual fund

8. **Carhart, Mark M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.

9. **Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ Wermers, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis 35, 343-368

10. Fama, Eugene F. and Kenneth R. French, 2009, Mutual Fund Performance, working paper

11. **Frazzini, Andrea, Lauren Cohen and Christopher Malloy, 2008 The Small World of Investing: Board Connections and Mutual Fund Returns, Journal of Political Economy, 116, 951-979

12. French, Kenneth R., 2008, Presidential Address: The Cost of Active Investing, Journal of Finance 63, 1537-1573.

III. Behavioral Finance

1. Trond M. Døskeland and Hans K. Hvid, Do Individual Investors Have Asymmetric Information Based on Work Experience? Journal of Finance, forthcoming.

2. Amit Seru, Tyler Shumway, and Noah Stoffman, Learning by Trading, RFS Advance Access published on September 20, 2009.

3. Enrichetta Ravina and Paola Sapienza, What Do Independent Directors Know? Evidence from Their Trading, RFS Advance Access published on April 13, 2009

4. Jie Gan, Housing Wealth and Consumption Growth: Evidence from a Large Panel of Households, RFS Advance Access published on February 9, 2010

IV. Market Microstruture

1. Terrence Hendershot, Charles M. Jones, and Albert J. Menkveld, Does Algorithmic Trading Improve Liquidity?

2. Richard W. Sias and David A. Whidbee, Insider Trades and Demand by Institutional and Individual Investors, RFS Advance Access published on January 25, 2010.

3. Andy Puckett and Xuemin (Sterling) Yan, The Interim Trading Skills of Institutional Investors, Journal of Finance, forthcoming.

4. Randi Næs, Johannes A. Skjeltorp, and Bernt Arne Ødegaard, Stock Market Liquidity and the Business Cycle, Journal of Finance, forthcoming.

第二部分：实证公司财务（Empirical Corporate Finance）

**required for course

I. Capital Structure

1. Fischer, E., R. Heinkel, and J. Zechner, “Dynamic Capital Structure Choice: Theory and Tests,” Journal of Finance (1989) Vol. 44, pp. 19-40.

2. Fama, Eugene, and Kenneth French, 1998, “Taxes, Financing Decisions, and Firm Value,” Journal of Finance (June 1998) Vol. 53, pp. 819-843.

**3. Andrade, Gregor, and Kaplan, Steven, “How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed,” Journal of Finance (October 1998) Vol. 53, pp. 1443-1493.

4. Hovakimian, Armen, Gayane Hovakimian, and Hassan Tehranian, Determinants of Target Capital Structure: The Case of Dual Debt and Equity Issues,” Journal of Financial Economics (March 2004), Vol. 71, No. 3, pp. 517-540.

5. Hennessy, Christopher A. and Toni Whited, 2004, “Debt Dynamics,” Journal of Finance, 60, forthcoming.

6. Hovakimian, Armen, 2005, “Are Observed Capital Structures Determined by Equity Market Timing?” Journal of Financial and Quantitative Analysis, forthcoming.

7. Leary, Mark T., and Roberts, Michael R., 2004, “Do Firms Rebalance Their Capital Structures?” Journal of Finance, forthcoming.

**8. Flannery, Mark, and Kasturi Rangan, “Partial Adjustment toward Target Capital Structures” unpublished 2005 University of Florida working paper. Journal of Financial Economics, forthcoming.

**9.Baker, Malcolm, and Jeffrey Wurgler. "Market Timing and Capital Structure" Journal of Finance 57, no. 1 (February 2002): 1-32.

II Securities Issuance

1.Lucas and McDonald, 1990, Equity issues and stock market price dynamics, Journal of Financial Economics, PP. 3-21

**2.Beatty, Randolph, and Jay Ritter, 1986, Investment banking, reputation, and the underpricing of initial public offerings, Journal of Financial Economics 15, 213-232

**3. Benveniste, Lawrence, and Paul Spindt, 1989, How investment bankers determine the offer price and allocation of new issues, Journal of Financial Economics, PP. 343-62

4.Aggarwal, Reena, 2000, Stabilization activities by underwriters after initial public offerings, Journal of Finance, Vol. 55, 1075-1103

**5.Loughran, Tim, and Jay Ritter, 1995, The new issues puzzle, Journal of Finance, Vol.1 , No. 1, pp. 23-51
6.Baker, Malcolm, and Jeffrey Wurgler, 2000, The equity share in new issues and aggregate stock returns, Journal of Finance, Vol. 55, No. 5, 2219-57

**7.Herzel, M., Smith, R.L., 1993. Market discounts and shareholder gains for placing equity privately. Journal of Finance 48, 459–485.

8. JOSEPH AHARONY, Jevons Lee, T.J. Wong, Financial packaging of IPO firms in China, Journal of Accounting Research, Vol. 38, No. 1, Spring 2000

III Financial Intermediation, Banks in Capital Markets, and Liquidity Constraints

1. Stein, Jeremy C., “Agency, Information and Corporate Investment,” chapter in Constantinides, Harris, and Stulz’s 2003 North-Holland Handbook of the Economics of Finance.
2. Diamond, Douglas W., "Financial Intermediation and Delegated Monitoring," Review of Economic Studies (1984), pp. 393-414.

3. Rajan, Raghuram, "Insiders and Outsiders: The Choice between Informed and Arm's Length Debt," Journal of Finance (September 1992) Vol. 47, No. 4, pp. 1367-1400.

** 4. Petersen, Mitchell A. and Raghuran Rajan, "The Benefits of Lending Relationships: Evidence from Small Business Data," Journal of Finance (March 1994) Vol. 49, No. 1, pp. 3-37.

5. Fazzari, S., G. Hubbard, and B. Petersen, "Financing Constraints and Corporate Investment," Brookings Papers on Economic Activity (1988) pp. 141-195.

**6.Lummer, S., McConnell, J., 1989. Further evidence on the bank lending process and the capital market response to bank loan agreements. Journal of Financial Economics 25, 99–122.

** 7. Houston, Joel, Chris James, and David Marcus, "Capital Market Frictions and the Role of Internal Capital Markets in Banking," Journal of Financial Economics (November 1997) Vol. 46, No. 2, pp. 135-164.

** 8. Baker, Malcolm, Jeremy C. Stein, and Jeffrey Wurgler, “When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms,” Quarterly Journal of Economics (August 2003) Vol. 118, pp. 969-1006.

Japan:
** 9. Gibson, Michael S., “Can Bank Health Affect Investment? Evidence from Japan,” Journal of Business (July 1995), Vol. 68, No. 3, pp. 281-308.

10.Morck, R., Nakamura, M Shivdasani, A., 2000. Banks, ownership structure, and firm value in Japan. Journal of Business 73, 539–567.

**11.Weinstein, D., Yafeh, Y., 1998. On the costs of a bank-centered financial system: Evidence from the changing main bank relations in Japan. Journal of Finance 53, 635–672.

East Asia:
12. K.C. John Wei, Yi Zhang, 2008, Ownership Structure, Cash Flow, and Corporate Investment: Evidence from East Asian Economies Before the Financial Crisis, Journal of Corporate Finance, 2008, volume 14, issue 2

China:
13. Lihui, Tian, Saul Estrin, 2007, Debt finaning, soft budget constraints, and goverbment ownership: evidence from China, Economics of Transition, 15(3)

14. Xiaochi Lin, Yi Zhang, and Ning Zhu, 2009, Does Bank Ownership Increase Firm Value? Evidence from China, Journal of International Money and Finance, volume 28, issue 4

15. Wei Luo, Yi Zhang, and Ning Zhu, 2010, Bank ownership and executive perquisites, working paper

IV. Behavioral Corporate Finance

**1. Shefrin, H.M. and M. Statman, "Explaining Investor Preference for Cash Dividends," Journal of Financial Economics (June 1984), Vol. 13, No. 2, pp. 253-282.

**2. Loughran, Tim, and Jay R. Ritter, “Why Don’t Issuers Get Upset About Leaving Money on the Table in IPOs?” Review of Financial Studies, (2002) Vol. 15, No. 2, pp. 413-443.

** 3. Edelen, Roger, and Greg Kadlec, “Issuer Surplus and the Partial Adjustment of IPO Prices to Public Information,” Journal of Financial Economics (2004), forthcoming.

4. Baker, Malcolm, Richard S. Ruback, and Jeffrey Wurgler, “Behavioral Corporate Finance: A Survey,” in North-Holland’s Handbook of Corporate Finance: Empirical Corporate Finance, edited by B. Espen Eckbo.

五、课程学习要求及课堂纪律规范

1. 选课学生分为27个讨论小组，每组3人；本课程安排27篇实证研究文献的阅读，学生必须认真阅读文献，每个讨论小组书写并提交阅读报告；

2. 本课程共安排9次课堂讨论，每次讨论3篇实证研究文献，每篇文献由一个讨论小组宣讲。

六、学生成绩评定办法

课堂讨论和阅读报告： 30％
期末考试（闭卷）： 70％