Behavioral Finance

这是finance新兴的一个方向。主要是结合Asset Pricing 和Corporate Finance的理论加进心理学的一些东西进行empirical 方面的研究。其在Asset Pricing 这个方面主要是mispricing 的研究，Corporate Finance这个方面可就多了。这里面的大家当然要属老当益壮的Richard Thaler, 和后起之秀Jeffery Wurgler. 大名鼎鼎的Shleifer也做不少这方面的研究。读了下面的几篇papers你应该能感觉到Behavioral Finance 是做什么的。感兴趣的，自已去他们的website把他们的papers都读一遍吧。

Barberis, Nicholas and Thaler, Richard H. 2003. "A Survey of Behavioral Finance". Handbook of the Economics of Finance.

Baker, Malcolm., Ruback, Richard., and Wurgler, Jeffery. 2004. “Behavioral Corporate Finance: A Survey”. Handbook of Empirical Corporate Finance.

Hirshleifer, D. 2001. “Investor Psychology and Asset Pricing”. Journal of Finance, 1533-1597.

Fama, E. 1998. “Market Efficiency, Long-term Returns, and Behavioral Finance”. Journal of Financial Economics, 283-306. (该文曾获JFE大奖。Fama 是个死忠 “Market is efficient” 的人，应此对他的观点要持一定的怀疑态度。)

Shleifer, Andrei and Vishny, Robert W. 1997. “The Limits of Arbitrage”, Journal of Finance, 52, 35-55.

Malmendier, U., and Tate, G. 2005. “CEO Overconfidence and Corporate Investment”. Journal of Finance, 2661-2700. (这两个人都挺有个性。Malmendier 是个欧洲女孩，一头金发。听说以前是练体操的，难怪身材特像小女孩。加上说话又快，往前面一站就像个高中生。Tate 是个美国帅哥，Wharton的教授。很儒雅，说话也有板有眼。应该是许多女生的偶像。)

Barberis, N., Shleifer, A., and Vishny, R. 1998. “A Model of Investor Sentiment”. Journal of Financial Economics, 307-343.

Baker, M., and Wurgler, J. 2000. “The Equity Share in New Issues and Aggregate Stock Returns”. Journal of Finance 55, 2219-2257. (Wurgler的处女作，也是这篇文章开始引起人们的注意。)

Heaton, J. 2002. “Managerial Optimism and Corporate Finance”. Financial Management, 33-45.

Corporate Finance:

Introduction and Overview of Corporate Finance

Brennan, 1995, “Corporate finance over the past 25 years”, Financial Management 24, Summer, 9-22.

Hart, O., 1989, “An economist’s perspective on the theory of the firm”, Columbia Law Review 89, 1757-1774.

Williamson, O., 1981, “The modern corporation: origins, evolution, attributes”, Journal of Economic Literature 1537-1568.

Graham, J. and Harvey, C. 2000. “The Theory and Practice of Corporate Finance: Evidence from the Field”. Journal of Financial Economics 60, 187-244.

Corporate Finance:

    Agency Theory and Ownership

Fama, E., and Jensen, M. 1983. “Agency Problems and Residual Claims”. Journal of Law and Economics, 327-349.

Fama, E., and Jensen, M. 1983. “Separation of Ownership and Control”. Journal of law and economics, 301-325.（美国现代金融Agency Theory 的开山之作。不过这两篇写得不是很好。非要两篇一起看才看得明白。）

Fama, E. 1978. “The Effects of a Firm’s Investment and Financing Decisions on the Welfare of Its Securityholders”. American Economic Review 68, 272-284. (这其实不完全算Agency theory, 但他用很通俗的英语解释了一个有意思的问题。)

Jensen, M., and Meckling, W. 1976. "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure," Journal of Financial Economics, 305-360. (这么经典的paper 就不用多介绍了吧。)

Demsetz. 1983. “The Structure of Ownership and the Theory of the Firm”. Journal of Law and Economics 26, 375-390. (Demsetz关于ownership的看法别具一格。和上面的Jensen-Meckling对照着读更有体会。)

Jensen, M. 1986. “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”. American Economic Review, 323-329. (在Corporate Finance领域家喻户晓的paper. 其他Finance的人没读过也基本上听说过。)

Myers, S. 1977. “The Determinants of Corporate Borrowing”. Journal of Financial Economics 5, 146-175. (将agency problem between bondholders and stockholders 与firm’s investment strategy 联系起来的经典文章。)

Parrino, R., and Weisbach, M. 1999. “Measuring Investment Distortions Arising from Stockholder-bondholder Conflict”. Journal of Financial Economics 53, 3-42 (也是获奖之作。方法很新颖，有创意，居然能想出用simulation来做corporate finance。不过，如果不是Weisbach, 估计也不好发。做research 就是这样，名人尝试新东西叫有创意，不出名的人尝试新东西叫冒险。)

Harford, J. 1999. “Corporate Cash Reserves and Acquisitions”. Journal of Finance 54, 1969-1997. (Jarrad 也是少年成名，是Rochester毕业，JFE的嫡系部队。大概是JFE最年轻的Associate Editor. 目前corporate finance领域最出名的年轻俊杰之一。)

Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R. 1999. “The Determinants and Implications of Corporate Cash Holdings”. Journal of Financial Economics, 52, 3-46.

Lie, E. 2000. “Excess Funds and Agency Problems: An Empirical Study of Incremental Cash Disbursements”. Review of Financial Studies 13, 219-248.

Morck, R., Shleifer, A., and Vishny, R. 1988. “Management Ownership and Market Valuation: An Empirical Analysis”. Journal of Financial Economics, 293-315.

Corporate Finance:

    Information, Investors and Corporate Policy

这里面有些不属于corporate finance 的范畴。他山之石，可以攻玉，知识面广一些对做research很有好处。不同领域本来就有交叉，想分很清楚也不太容易。

Akerlof, George. 1970. “The market for “lemons”: Qualitative Uncertainty and the Market Mechanism”. Quarterly Journal of Economics, 89, 488-500. (要是让我列个My favorite Top 10 papers, 这篇文章绝对在其中。Akerlof 居然用最最简单的model, 来把一个最最复杂的理论解释得清清楚楚，难怪能得诺贝尔奖。现在有些人正好相反，用最最复杂的model, 把一个最最简单的理论解释得晕头转向。这些人其实不应该做finance, 应该去搞数学或物理。)

Ross, S. 1977. “The Determinants of Capital Structure: The Incentive-signaling Approach”. Bell Journal of Economics 8, 23-40. (Ross的这篇也很经典。提起他大多数人会想起APT, 其实他对corporate finance 贡献也很大。这篇很有上面提到的Akerlof的风格，都是用很简单的model阐述一个深奥的理论。Ross这个人也很不错，平易近人，很幽默，健谈，没有一点架子，和谁都能见面熟。人格魅力指数：100/100。)

Myers, S.C., and Majluf, N.? 1984. “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have”. Journal of Financial Economics, 187-221. (影响很大的一篇文章。后来的IPO underpricing 和 Pecking order theory 等等许多都基于此。可以说对corporate finance 各个领域都有影响。）

Hart, O. 2001. “Financial Contracting”. Journal of Economic Literature 39, 1079-1100.

Thakor. 1989. “Strategic Issues in Financial Contracting: An Overview”. Financial Management, 39-58.

Spence, Michael. 1973. “Job market signaling”. Quarterly Journal of Economics, 87, 355-74.

Rothschild, Michael., and Stiglitz, Joseph. 1976. “Equilibrium in Competitive Insurance Markets: an Essay on the Economics of Imperfect Information”. Quarterly Journal of Economics, 90, 629-649.

Grossman, Sanford., and Stiglitz, Joseph E. 1980. “On the Impossibility of Informationally Efficient Markets”. American Economic Review, 70, 393-408.

Merton, Robert C. 1987. “A Simple Model of Capital Market Equilibrium with Incomplete Information”. Journal of Finance, 483-510.

Corporate Finance:

Capital Structure, Financing Decisions, Investment and Taxes

Miller, M., and Modigliani, F. 1958.“The Cost of Capital, Corporation Finance, and the Theory of Investment”. American Economic Review, 261-297. (什么，没读过？你洗洗睡吧。少数几篇做Finance而获诺贝尔经济学奖的大作，不读不行。)

Miller, M., and Modigliani, F. 1963. “Corporate Income Taxes and the Cost of Capital: A Correction”. American Economic Review, 433-443. (这是他们AER1958大作的续篇。那篇大作中有一处错误，但当时没有什么人能看得懂这篇划时代的巨作，就像爱因斯坦当年发表相对论一样。直到5年后被他们自己发现，才有了这篇文章。不过，原文的结论不受影响，所以他们才在30几年后得了诺贝尔奖。)

Harris, M. and A. Raviv. 1991. “The Theory of Capital Structure”. Journal of Finance, 297-368. (MM之后capital structure基本上被做烂了，文章数量只能用汗牛充栋来形容。看这篇review paper 能让你少看不少papers.)

Baker, M., and Wurgler, J. 2002. “Market Timing and Capital Structure”, Journal of Finance, 1-32. (一篇很有创意的文章，算是behavioral corporate finance 最有代表性的佳作。该文引起很大争议，到今天批它的文章恐怕只有用过江之鲫来形容。到不是这俩人对头多，只是这篇文章影响太大，批它比批一篇不出名的文章更容易引起人们的兴趣，和方舟子打假有点相似。)

Frank, M., and Goyal, V. 2003. “Testing the Pecking Order Theory of Capital Structure”, Journal of Financial Economics 67, 217-248. (很有名的一篇paper, 虽然我不太喜欢。该文曾获JFE的奖，是近年来在capital structure这个领域有影响的文章。)

Mehrotra, V., Mikkelson, M., and Partch, M. 2003. “The Design of Financial Policies in Corporate Spin-offs”. Review of Financial Studies 16, 1359-1388. (Idea有新意。Mikkelson 曾报怨这篇paper被under appreciated。)

Berger, P., Ofek, E., and Yermack, D. 1997. “Managerial Entrenchment and Capital Structure Decisions”. Journal of Finance, 1411-1437.

Masulis, R., 1980. “The Effects of Capital Structure Change on Security Prices: A Study of Exchange Offers”. 1980. Journal of Financial Economics, 139-178.

Chemmanur, T., and Paolo, F. 1999. “A Theory of the Going-Public Decision”. Review of Financial Studies 12, 249-279.

Dunbar, C. 1995. “The Use of Warrants as Underwriter Compensation in Initial Public Offerings”. Journal of Financial Economics 38, 59-78.

DeAngelo, H., and Masulis, R. 1980. “Optimal Capital Structure under Corporate and Personal Taxation”. Journal of Financial Economics 8, 3-29.

Miller, M. 1977. “Debt and Taxes”. Journal of Finance 32, 261-275.

Graham, J. 2000. “How Big are the Tax Benefits of Debt?”. Journal of Finance 55, 1901-1941. (Graham 是个很能想很有创意的人。本来这个topic都被做烂了，但他能想出一些个很新奇很有创造性的方法去做。佩服ing. )

Graham, J. 2003. “Taxes and Corporate Finance: A Review”. Review of Financial Studies 16, 1075-1129.

Kaplan, S., and Stromberg, P. 2003. “Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts”. Review of Economic Studies, 285-315.

Andrade, G., and Kaplan, G. 1998. “How Costly is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions that Became Distressed”. Journal of Finance 53, 1443-1493. (题目是不是不好懂？Kaplan的一贯风格是用data来轰炸你，弄得你晕头转向。看过这篇就有体会了。)

Kaplan, S., and Zingales, L. 1997. “Do Financing Constraints Explain Why Investment Is Correlated With Cash Flow?”. Quarterly Journal of Economics, 169-215. (Cash flow sensitivity 的争论就是他们搞起来的。)

Gertner, R., and Scharfstein, D. 1991. “A Theory of Workouts and the Effects of Reorganization Law”. Journal of Finance 46, 1189-1222.

Froot, K., Scharfstein, D., and Stein, J. 1993. “Risk Management: Coordinating Corporate Investment and Financing Policies”. Journal of Finance 48, 1629-1658.

Fama, E., and French, K. 2005. “Financing Decisions: Who Issues Stock”. Journal of Financial Economics, 549-582.

Fama, E., and French, K. 2002. "Testing Tradeoff and Pecking Order Predictions about Dividends and Debt". Review of Financial Studies, 1-37. (读Fama-French的文章有时候并不一定因为是篇好文，只是因为别人都读。)

Corporate Finance:

    Corporate Governance

Shleifer, A., and Vishny, R. 1997. “A Survey of Corporate Governance”. Journal of Finance, 737- 783. (做corporate governance 的如何能够不读这篇paper. Corporate governance 这个词就是他们定义出来的。)

La Porta, R., Lopez-de-Silanes, F., Shleifer, A., and Vishny, R. 2000. “Investor Protection and Corporate Governance”. Journal of Financial Economics, 3-27.

Brickley, J., Coles, J., and Terry,R. 1994. “Outside Directors and the Adoption of Poison Pills”. Journal of Financial Economics 35, 371-390.

Byrd, J., and Hickman, K. 1992. “Do Outside Directors Monitor Managers? Evidence from Tender Offer Bids”. Journal of Financial Economics 32, 195-222.

Core, J., Holthausen, R., and Larcker, D. 1999. “Corporate Governance, Chief Executive Officer Compensation, and Firm Performance”. Journal of Financial Economics 51, 371-406.

Cotter, J., Shivdasani, A., and Zenner, M. 1997. “Do Independent Directors Enhance Target Shareholders Wealth During Tender Offers?”. Journal of Financial Economics 43, 195-218.

Harford, J. 2003. “Takeover Bids and Target Directors’ Incentives: The Impact of a Bid on Directors’ Wealth and Board Seats”. Journal of Financial Economics, 51-83.

Denis, D., and Sarin, A. 1999. “Ownership and Board Structures in Publicly Traded Corporations”. Journal of Financial Economics 52, 187-224.

Del Guercio, D., Dann, L., and Partch, Megan. 2003. “Governance and Boards of Directors in Close-end Investment Companies”. Journal of Financial Economics 69, 111-152.

Gompers, P., Ishii, J., and Metrick, A. 2003. “Corporate Governance and Equity Prices”. Quarterly Journal of Economics 118, 107-155. (这篇文章也有些争议，不过现在是被引用得越来越多了。)

Hermalin, B., and Weisbach, M. 1988. “The Determinants of Board Composition”. RAND Journal of Economics 19, 589-606.

Hermalin, B., and Weisbach, M. 2003. “Boards of Directors as an Endogenously Determined Institution: a Survey of the Economic Literature”. Federal Reserve Bank at New York, Economic policy review, April 2003. (一篇survey paper，虽然不是发表在学术期刊上，但值得一读。)

Jensen, M. 1993. “The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems”. Journal of Finance, 831-880. (记得是Jensen在某一年的讲话，读一下吧。)

Mikkelson, W., and Partch, M. 1997. “The Decline of Takeovers and Disciplinary Managerial Turnover”. Journal of Financial Economics 44, 205-228. (1997年获JFE大奖的文章。觉得还是挺有创意的。)

Weisbach, M. 1988. “Outside Directors and CEO Turnover”. Journal of Financial Economics 20, 431-460. (最早的一篇研究board composition 对corporate policy影响。)

Yermack, D. 1996. “Higher Market Valuation of Companies with a Small Board of Directors”. Journal of Financial Economics 40, 185-211. (最早研究board size对firm value的影响。Yermack很会充分利用data，他用这套数据写了好几篇文章。)

Shivdasani, A., and Yermack, D. 1999. “CEO Involvement in the Selection of New Board Member: an Empirical Analysis”. Journal of Finance 54, 1829-1853.

Yermack, D. 2004. “Remuneration, Retention, and Reputation Incentives for Outside Directors”. Journal of Finance 59, 2281-2308.

Rosenstein, S., and Wyatt, J. 1997. “Inside Directors, Board Effectiveness, and Shareholder Wealth”. Journal of Financial Economics 44, 229-248.

Shivdasani, Anil. 1993. “Board Composition, Ownership Structure and Hostile Takeovers”. Journal of Accounting and Economics, 167–198. (忘了这篇文章为什么有名，好像是找到了关于busy directors 的什么，引起后来的争论。)

Fich, E., and Shivdasani, A. 2006. “Are Busy Boards Effective Monitors”. Journal of Finance, 689-724. (Shivdasani 是个印度人，但英语说得基本上没什么口音。应该什么时候把他请过来教一教如何练口语。)

Ferris, S., Jagannathan, M., and Pritchard, A. 2003. “Too Busy to Mind the Business? Monitoring by Directors with Multiple Board Appointments”. Journal of Finance, 1087-1112.

Vafeas, Nikos. 1999. “Board Meeting Frequency and Firm Performance”. Journal of Financial Economics, 113–142. (这是一篇典型的data mining的文章。其实hypothesis一点都不make sense, 但结果够噱头，就可在JFE上发。我们从中要学到的是先要看data, 如果结果够interesting, 再来写文章。)

Perry, Tod., and Peyer, Urs. 2005. “Board Seat Accumulation by Executives: A Shareholder's Perspective”. Journal of Finance, 2083–2123. (算是the board of directors 比较新的研究了。忘了好在哪里。)

Corporate Finance:

    Mergers and Acquisitions

Mitchell, M. And Mulherin, J. 1996. “The Impact of Industry Shocks on Takeover and Restructuring Activity”. Journal of Financial Economics, 193-229. (这篇很经典，提出了M&A几个原因之一。)

Shleifer, A. and Vishny, R. 2003. “Stock Market Driven Acquisitions". Journal of Financial Economics, 295-311. (现代M&A理论中很有名的一篇，也和behavioral finance 沾边。但我觉得model并不很好反映他们的理论。Model 说的其实是mispricing driven acquisitions, 而他们想表达的意思应该比这广。)

Jensen, M., and Ruback, R. 1983. “The Market for Corporate Control: The Scientific Evidence”. Journal of Financial Economics, 5-50. (关于M&A最早，也是被研究的最多的观点 –The market for corporate control. )

Harford, J. 2005. “What Drives Merger Waves?”. Journal of Financial Economics, 529-560.

Jarrell, G.A., Brickley, J. and Netta, J. 1988. “The Market for Corporate control: The Empirical Evidence Since 1980.”? Journal of Economic Perspectives, 2:49-68.

Travlos, Nickolaos. 1987. “Corporate Takeover Bids, Methods of Payment, and Bidding Firm’s Stock Returns”. Journal of Finance 42, 943-963.

Stulz, R. 1988. “Managerial Control of Voting Rights: Financial Policies and the Market for Corporate Control”. Journal of Financial Economics, 25-54. (我觉得还不错，但现在好像引用的少了。不过就冲Rene Stulz的大名，也值得一读。)

Healy, Paul., Palepu, Krishna., and Ruback, Richard. 1992. “Does Corporate Performance Improve after Mergers?”. Journal of Financial Economics 31, 135-175.

Halpern, Paul. 1982. “Corporate Acquisitions: A Theory of Special Cases? A Review of Event Studies Applied to Acquisitions”. Journal of Finance 38, 297-317.

Fuller, K., Netter, J., and Stegemoller, M. 2002. “What do Returns to Acquiring Firms Tell Us? Evidence from Firms That Make Many Acquisitions”. Journal of Finance, 1763-1793.

Ecobo, Espen. 1983. “Horizontal Mergers, Collusion, and Stockholder Wealth”. Journal of Financial Economics 11, 241-273.

Roll, Richard. 1983. “The Hubris Hypothesis of Corporate Takeovers”. Journal of Business 59, 197-216. (都知道Roll对Asset Pricing 的贡献，却不知他对behavioral corporate finance 也有独到的眼光。)

Fama, E., Fisher, L., Jensen, M., and Roll, Richard. 1969. “The Adjustment of Stock Prices to New Information”. International Economic Review 1, 1-21. (Event studies 的始作俑者。)

Dodd, P., and Warner, J. 1983. “On Corporate Governance: a Study of Proxy Contests”. Journal of Financial Economics 11, 401 - 438. (Event studies 的名篇，不过到今天event studies 已经不是什么了不起的事，大家也渐渐的不引用这些文章了, 直接做就行了。下面三篇也是同样情况。)

Brown, Stephen., and Warner, Jerold. 1980. “Measuring Security Price Performance”. Journal of Financial Economics 8, 205-285.

Brown, Stephen., and Warner, Jerold. 1985. “Using Daily Stock Returns: The Case of Event Studies”. Journal of Financial Economics 14, 3-32.

MacKinlay, C. 1997. “Event Studies in Economics and Finance”. Journal of Economic Literature 35, 13-39.

Dann, L.Y., and DeAngelo, H. 1983. “Standstill Agreements, Privately Negotiated Stock Repurchases and the Market for Corporate Control”. Journal of Financial Economics, 275-300.

Martin, K., and McConnell, J. 1991. “Corporate Performance, Corporate Takeovers, and Management Turnover”. Journal of finance, 671-687.

Kaplan, S., and Weisbach, M. 1992. “The Success of Acquisitions: Evidence from Diverstitures”. Journal of Finance 47, 107-138.

Kaplan, S. 1989. “The Effects of Management Buyouts on Operating Performance and Value”. Journal ofFinancial Economics 24, 217-254. (Kaplan就是搞这个起家的。他也带动了研究MBO的潮流。)

Kaplan, S., and Stein, J. 1990. “How Risky is the Debt in Highly Leveraged Transactions?”. Journal of Financial Economics, 215-246. (LBO也是他的最爱。)

下面几篇我都不太了解，都比较早了。有空就翻翻吧。

Agarwal, A., Jaffe, J., and Mandelker, G. 1992. “The Post-Merger Performance of Acquiring Firms: A Re-examination of an Anomaly.”? The Journal of Finance, 1605-1621.

Opler, T., and Titman, S. 1993. “The Determinants of Leveraged Buyout Activity: Free Cash Flow vs. Financial Distress Costs”. The Journal of Finance, 1985-1999.

Comment, R. and Schwert, G. 1995. Poison or Placebo? Evidence on the Deterrence and Wealth Effects of Modern Antitakeovers Measures”, Journal of Financial Economics, 3-43.