参考书目贝多广，1995，《证券经济理论》，上海人民出版社。
陈共，1994，《证券学》，中国人民大学出版社。
黄亚钧,1996,《现代投资银行的业务和经营》，立信会计出版社。
江其务，1990,《中国金融改革与发展》，福建人民出版社。
林海，2001，“中国股票市场价格波动率的实证研究”，厦门大学硕士论文。
马克思，1975,《资本论》，人民出版社。
斯蒂格利茨，1997,《经济学》，中国人民大学出版社。
屠光绍主编，2000,《交易体制：原理与变革》，上海人民出版社。
郑振龙，1992,“纽约证交所的特种会员制度及其借鉴”，《国际金融研究》，第2期，17-19。
郑振龙，1996,《各国股票市场比较研究》，中国发展出版社。
Amihud,Yakov,Jesper C,Bent,and Haim Mendelson,1992,“Further Evidence on the Risk- Return Relationship,” Working Paper,Graduate School of Business,Stanford University.
Amihud,Yakov,and Haim Mendelson,1986,“Asset Pricing and the Bid-Ask Spread”,Journal of Financial Economics 17,pp.223-49.
Bachelier,L.1900,“Theory of speculation”,in Cootner,P.(ed),The random character of stock market prices,MIT press.
Black,Fischer,1972,“Capital Market Equilibrium with Restricted Borrowing”,Journal of Business,July.
——，1976,“The Pricing of Commodity Contracts”，Journal of Financial Economics 3,pp.167—79.
Black,Fischer,Michael C,Jensen,and Myron Scholes,1972,“The Capital Asset Pricing Model,Some Empirical Tests,” in Michael C.Jensen (ed.),Studies in the Theories of Capital Markets,Praeger,New York.
Black，F.,and M,Scholes，1973，“The Pricing of Options and Corporate Liabilities”，Journal of Political Economy 81，pp.637—59.
Bodie,Zvi,Alex Kane and Alan J,Marcus,2002,Investments,5th ed.,McGraw-Hill.
Campbell,J.Y.,1999,“Asset prices,consumption,and the business cycle”,in John Taylor and Michael Woodford (eds.),Handbook of Macroeconomics,Vol,1,North-Holland,Amsterdam.
——,2000,“Asset Pricing at the Millennium,” Journal of Finance 55,pp.1515-68.
Chen,N.,R,Roll,and S,Ross,1986,“Economic Forces and the stock Market,” Journal of Business 59,pp,383-403.
Chordia,Tarun,Richard Roll and Subrahmanyam,2000,“Commonality in Liquidity”,Journal of Financial Economics 56,pp.3-28.
Cornell,Bradford and Marc R,Reinganum,1981,“Forward and Futures Prices,Evidence from the Foreign Exchange Markets”,Journal of Finance 36,Dec..
Cowles,A.，1933,“Can stock market forecasters forecast?” Econometrica 1,pp,309-24.
Cox，J.C.,J.E.Ingersoll，and S.A.Ross，1981,“The Relationship between Forward Prices and Future Prices”，Journal of Financial Economics，pp.321—46.
DeBondt,W,F,M.,and Thaler,R.,1985,“Does the stock market overact?” Journal of Finance 40,pp.793-805.
——,1987,“Further evidence on investor overreaction and stock market seasonality”,Journal of Finance 42,pp,557-81.
Engle,Robert F.,1982,“Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K,Inflation,” Econometrics 50,pp.987-1008.
Fabozzi,Frank J.,2000,Bond Markets,Analysis and Strategies,4th ed.,Prentice Hall.
Fama E.，1970,“Efficient capital market,a review of theory and empirical work”,Journal of Finance 25,pp.383-417.
——，1991，“Efficient Markets II,” Journal of Finance 46,pp,1575-1618.
——,1981,"Stock Returns,Real Activity,Inflation,and Money",American Economic Review,September.
Fama,Eugene F.,and Kenneth French,1992,“The Cross Section of Expected Stock Returns,” Journal of Finance 47,pp.427-66,
——，1993,“Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics,Vol,33,No,1,February,pp,3-56.
——，1995,“Size and book-to-market factors in earnings and returns,” Journal of Finance,Vol,50,No.1,March,pp,131-155.
——,1996,“Multifactor explanations of asset-pricing anomalies,” Journal of Finance,Vol,51,No,1,March,pp,55-84。
——,2002,“The Equity Premium”,Journal of Finance 57,pp.637-59.
Fama，E.,and J,MacBeth,1973，“Risk,Return and Equilibrium,Empirical Test,” Journal of Political Economy 81，pp.607-36.
Feldstein,Martin,1980,"Inflation and the Stock Market",American Economic Review,December.
Fisher，Lawrence,and James H,Lorie,1970,“Some Studies of Variability of returns on Investment in Common Stocks,” Journal of Business 43.
Francis,J.C.,1986,Investments,Analysis and Management,4th edition,McGraw-Hill Book Company.
Friedman,M.,1953,“The Case for Flexible Exchange Rates,” In Essays in Positive Economics,Chicago,University of Chicago Press.
Froot,K,A,and Dabora,E.,1999,“How are stock prices affected by the location of trade”,Journal of Financial Economics 53,pp.189-216.
Fuller,R.J.,and Hsia,C.C.,“A Simplified Model for Estimating Stock Prices of Growth Firms”,Financial Analysts Journal,May-June,1984.
Gordon，M,J.，1962，The Investment,Financing and Valuation of the Corporation,Irwin,Homewood.
Gowland,D.,1990,The Regulation Of Financial Market in The 1990s,Edward Elgar Publishing Limited.
Grossman,Sanford J.,and Joseph E,Stiglitz,1980,“On the Impossibility of Informationally Efficient Markets,” American Economic Review 71,pp.393-408.
Hamada,R.,1972,“The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks”,Journal of Finance 27,May.
Harvey,C.R.,1991,“The world price of covariance risk”,Journal of Finance 46,pp.111-57.
Haugen,Robert A.,2002,Modern Investment Theory,5th ed.,Prentice Hall.
Heaton,John,and Deborah Lucas,1997,“Portfolio choice and asset prices,The importance of entrepreneurial risk,” Northwestern University,manuscript.
Hube,Karen，“Time for Investing’s Four-Letter Word”,The Wall Street Journal,January 1,1998.
Hull，J.C.，Options，Futures,and Derivative Securities,5th ed.,Prentice Hall，2002.
Jaganathan,Ravi,and Zhenyu Wang,1996,“The Conditional CAPM and the Cross-Section of Expected Returns,” Journal of Finance 51,pp.3-54.
Jorion,Philippe,and William N,Goetmann,1999,“Global Stock Markets in the Twentieth Century,” Journal of Finance 54,pp.1015-44.
Kabir,R.,1990,Security Market Regulation,An empirical investigation of trading suspension and insider trading restriction,Datawyse Publishing House,Maastricht.
Kandel,Schmuel and Robert F.Stambaugh,1987,“On Correlations and Inferences about Mean-Variance Efficiency,” Journal of Financial Economics 18,pp.61-90.
——，1989,“A Mean-Variance Framework for the tests of Asset Pricing Models,” Review of Financial Studies 2,pp125-56.
——，1995,“Portfolio Inefficiency and the Cross-Section of Expected Return,” Journal of Finance 50,pp,185-224.
Kothari,S,P.,J,Shanken,and Richard G,Sloan,1994,“Another Look at the Cross Section of Stock Returns,” Journal of Finance 49,pp.101-21.
Lintner,J.，1965,“Security Prices,Risk and Maximal Gains from Diversification,” Journal of Finance 20.pp.587-615.
——，1965,“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets,” Review of Economics and Statistics,February,pp.13-37,
——,1969,“The Aggregation of Investor’s Diverse Judgements and Preferences in Purely Competitive Security Markets,” Journal of Financial and Quantitative Analysis.
Macaulay,F.R.,1938,,Some Theoretic Problems Suggested by the Movement of Interest Rates,Bond Yields and Stock Prices in the United States Since 1856”,National Bureau of Economic Research,Columbia,New York.
Malkiel,B.G.,1962,“Expectations,Bond Prices,and the Term Structure of Interest Rates”,Quarterly Journal of Economics,pp.197-218.
——,1992,“Efficient market hypothesis”,in Newman P.,M,Milgate,and J,Eatwell (ed.),The New Palgrave Dictionary of Money and finance,Micmillan,London.
——,1996,A Random Walk Down Street,6th ed.,New York,W,W,Norton.
Markowitz,Harry M.，1952,“Portfolio Selection”,Journal of Finance 7,pp.77-91.
Mehra,Rajnish,and Edward Prescott,1985,“The Equity Premium Puzzle,” Journal of Monetary Economics 15,pp.145-61.
Merton,R.,1973,“An Intertemporal Capital Asset Pricing Model,” Econometrica,September,pp.867-888.
Miller,M.,and F,Modigliani,1961,"Dividend Policy,Growth and the Valuation of Shares",Journal of Business,
Miller,Merton,and Myron Scholes,1972,“Rate of Return in Relation to Risk,A Reexamination of Some Recent Findings,” in Michael C,Jensen (ed.),Studies in the Theories of Capital Markets,Praeger,New York.
Modigliani,Franco,and Richard Cohn,1979,"Inflation,Rational Valuation,and the Market",Financial Analysts Journal,March-April.
Modigliani,F.,and M,Miller,1958,"The Cost of Capital,Corporation Finance,and the Theory of Investment",American Economic Review,June.
Molodovsky，N.，1965,“Common Stock Valuation——Principles,Tables and Applications”,Financial Analysts Journal,March-April.
Mossin,J,1966,“Equilibrium in a Capital Market,” Econometrica,October,pp.768-83.
Pagan,Adrian,and G,William Schwert,1990,“Alternative Models for Conditional Stock Volatility,” Journal of Econometrics 45,pp.267-90.
Reiss,A.J.,Jr.,1980,“Selecting Strategies of Social Control Over Organizational Life”,in Enforcing Regulation,edited by K,Hawkins & J.M,Thomas,Kluwer-Nijhoff.
Roberts,H.,1967,“Statistical Versus Clinical Prediction of the Stock Market,” unpublished manuscript,Center for Research in Security Prices,University of Chicago.
Roll,R.,1977,“A Critique of Asset Pricing Theory,Part I,On the Past and Potential Testability of the Theory,” Journal of Financial Economics,March,pp.129-76.
Roll,R,and Stephen A,Ross,1994,“On the Cross-Sectional Relation between Expected Return and Betas,” Journal of Finance 49,pp.101-21,
Ross，Stephen A.,1976,“The Arbitrage Theory of Capital Asset Pricing”，Journal of Economic Theory 13,pp.341-60.
Samueslon,P.，1965,“Proof that properly anticipated prices fluctuate randomly”,Industrial management review 6,pp.41-49.
——，1970,“The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means,Variances and Higher Moments,” Review of Economic Studies 37.
Sharpe,W.,1964,“Capital Asset Prices,” Journal of Finance 19,September,pp.425-42,
Sharpe,W.,Gordon J,Alexander,and Jeffery V,Bailey,1999,Investments,6th edition,Englewood,NJ,Prentice Hall.
Stigler,G.J.,1971,“The Theory of Economic Regulation”,Bell Journal of Economics and Management Science,Volume 2.
Thompson,J.,1976,“Sources of Systematic Risk in Common Stocks”,Journal of Business,April.
Viscusi,W.K.,Vernon,J.M.,Harrington,J.E.,Jr.,1992,Economics of Regulation and Antitrust,D.C,Heath and Company.
Wagner,W.,and S,Lau,1971,“The Effect of Diversification on Risks,” Financial Analyst Journal,pp.48-53.
Williams，J.B.，1938,The Theory of Investment Value,Harvard,Cambridge,Mass..
Yakov Amihud and Haim Mendelson,1991,“Liquidity,Asset Prices and Financial Policy”,Financial Analysts Journal 47,pp.56-66.
陈共，1994，《证券学》，中国人民大学出版社。
黄亚钧,1996,《现代投资银行的业务和经营》，立信会计出版社。
江其务，1990,《中国金融改革与发展》，福建人民出版社。
林海，2001，“中国股票市场价格波动率的实证研究”，厦门大学硕士论文。
马克思，1975,《资本论》，人民出版社。
斯蒂格利茨，1997,《经济学》，中国人民大学出版社。
屠光绍主编，2000,《交易体制：原理与变革》，上海人民出版社。
郑振龙，1992,“纽约证交所的特种会员制度及其借鉴”，《国际金融研究》，第2期，17-19。
郑振龙，1996,《各国股票市场比较研究》，中国发展出版社。
Amihud,Yakov,Jesper C,Bent,and Haim Mendelson,1992,“Further Evidence on the Risk- Return Relationship,” Working Paper,Graduate School of Business,Stanford University.
Amihud,Yakov,and Haim Mendelson,1986,“Asset Pricing and the Bid-Ask Spread”,Journal of Financial Economics 17,pp.223-49.
Bachelier,L.1900,“Theory of speculation”,in Cootner,P.(ed),The random character of stock market prices,MIT press.
Black,Fischer,1972,“Capital Market Equilibrium with Restricted Borrowing”,Journal of Business,July.
——，1976,“The Pricing of Commodity Contracts”，Journal of Financial Economics 3,pp.167—79.
Black,Fischer,Michael C,Jensen,and Myron Scholes,1972,“The Capital Asset Pricing Model,Some Empirical Tests,” in Michael C.Jensen (ed.),Studies in the Theories of Capital Markets,Praeger,New York.
Black，F.,and M,Scholes，1973，“The Pricing of Options and Corporate Liabilities”，Journal of Political Economy 81，pp.637—59.
Bodie,Zvi,Alex Kane and Alan J,Marcus,2002,Investments,5th ed.,McGraw-Hill.
Campbell,J.Y.,1999,“Asset prices,consumption,and the business cycle”,in John Taylor and Michael Woodford (eds.),Handbook of Macroeconomics,Vol,1,North-Holland,Amsterdam.
——,2000,“Asset Pricing at the Millennium,” Journal of Finance 55,pp.1515-68.
Chen,N.,R,Roll,and S,Ross,1986,“Economic Forces and the stock Market,” Journal of Business 59,pp,383-403.
Chordia,Tarun,Richard Roll and Subrahmanyam,2000,“Commonality in Liquidity”,Journal of Financial Economics 56,pp.3-28.
Cornell,Bradford and Marc R,Reinganum,1981,“Forward and Futures Prices,Evidence from the Foreign Exchange Markets”,Journal of Finance 36,Dec..
Cowles,A.，1933,“Can stock market forecasters forecast?” Econometrica 1,pp,309-24.
Cox，J.C.,J.E.Ingersoll，and S.A.Ross，1981,“The Relationship between Forward Prices and Future Prices”，Journal of Financial Economics，pp.321—46.
DeBondt,W,F,M.,and Thaler,R.,1985,“Does the stock market overact?” Journal of Finance 40,pp.793-805.
——,1987,“Further evidence on investor overreaction and stock market seasonality”,Journal of Finance 42,pp,557-81.
Engle,Robert F.,1982,“Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K,Inflation,” Econometrics 50,pp.987-1008.
Fabozzi,Frank J.,2000,Bond Markets,Analysis and Strategies,4th ed.,Prentice Hall.
Fama E.，1970,“Efficient capital market,a review of theory and empirical work”,Journal of Finance 25,pp.383-417.
——，1991，“Efficient Markets II,” Journal of Finance 46,pp,1575-1618.
——,1981,"Stock Returns,Real Activity,Inflation,and Money",American Economic Review,September.
Fama,Eugene F.,and Kenneth French,1992,“The Cross Section of Expected Stock Returns,” Journal of Finance 47,pp.427-66,
——，1993,“Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics,Vol,33,No,1,February,pp,3-56.
——，1995,“Size and book-to-market factors in earnings and returns,” Journal of Finance,Vol,50,No.1,March,pp,131-155.
——,1996,“Multifactor explanations of asset-pricing anomalies,” Journal of Finance,Vol,51,No,1,March,pp,55-84。
——,2002,“The Equity Premium”,Journal of Finance 57,pp.637-59.
Fama，E.,and J,MacBeth,1973，“Risk,Return and Equilibrium,Empirical Test,” Journal of Political Economy 81，pp.607-36.
Feldstein,Martin,1980,"Inflation and the Stock Market",American Economic Review,December.
Fisher，Lawrence,and James H,Lorie,1970,“Some Studies of Variability of returns on Investment in Common Stocks,” Journal of Business 43.
Francis,J.C.,1986,Investments,Analysis and Management,4th edition,McGraw-Hill Book Company.
Friedman,M.,1953,“The Case for Flexible Exchange Rates,” In Essays in Positive Economics,Chicago,University of Chicago Press.
Froot,K,A,and Dabora,E.,1999,“How are stock prices affected by the location of trade”,Journal of Financial Economics 53,pp.189-216.
Fuller,R.J.,and Hsia,C.C.,“A Simplified Model for Estimating Stock Prices of Growth Firms”,Financial Analysts Journal,May-June,1984.
Gordon，M,J.，1962，The Investment,Financing and Valuation of the Corporation,Irwin,Homewood.
Gowland,D.,1990,The Regulation Of Financial Market in The 1990s,Edward Elgar Publishing Limited.
Grossman,Sanford J.,and Joseph E,Stiglitz,1980,“On the Impossibility of Informationally Efficient Markets,” American Economic Review 71,pp.393-408.
Hamada,R.,1972,“The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks”,Journal of Finance 27,May.
Harvey,C.R.,1991,“The world price of covariance risk”,Journal of Finance 46,pp.111-57.
Haugen,Robert A.,2002,Modern Investment Theory,5th ed.,Prentice Hall.
Heaton,John,and Deborah Lucas,1997,“Portfolio choice and asset prices,The importance of entrepreneurial risk,” Northwestern University,manuscript.
Hube,Karen，“Time for Investing’s Four-Letter Word”,The Wall Street Journal,January 1,1998.
Hull，J.C.，Options，Futures,and Derivative Securities,5th ed.,Prentice Hall，2002.
Jaganathan,Ravi,and Zhenyu Wang,1996,“The Conditional CAPM and the Cross-Section of Expected Returns,” Journal of Finance 51,pp.3-54.
Jorion,Philippe,and William N,Goetmann,1999,“Global Stock Markets in the Twentieth Century,” Journal of Finance 54,pp.1015-44.
Kabir,R.,1990,Security Market Regulation,An empirical investigation of trading suspension and insider trading restriction,Datawyse Publishing House,Maastricht.
Kandel,Schmuel and Robert F.Stambaugh,1987,“On Correlations and Inferences about Mean-Variance Efficiency,” Journal of Financial Economics 18,pp.61-90.
——，1989,“A Mean-Variance Framework for the tests of Asset Pricing Models,” Review of Financial Studies 2,pp125-56.
——，1995,“Portfolio Inefficiency and the Cross-Section of Expected Return,” Journal of Finance 50,pp,185-224.
Kothari,S,P.,J,Shanken,and Richard G,Sloan,1994,“Another Look at the Cross Section of Stock Returns,” Journal of Finance 49,pp.101-21.
Lintner,J.，1965,“Security Prices,Risk and Maximal Gains from Diversification,” Journal of Finance 20.pp.587-615.
——，1965,“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets,” Review of Economics and Statistics,February,pp.13-37,
——,1969,“The Aggregation of Investor’s Diverse Judgements and Preferences in Purely Competitive Security Markets,” Journal of Financial and Quantitative Analysis.
Macaulay,F.R.,1938,,Some Theoretic Problems Suggested by the Movement of Interest Rates,Bond Yields and Stock Prices in the United States Since 1856”,National Bureau of Economic Research,Columbia,New York.
Malkiel,B.G.,1962,“Expectations,Bond Prices,and the Term Structure of Interest Rates”,Quarterly Journal of Economics,pp.197-218.
——,1992,“Efficient market hypothesis”,in Newman P.,M,Milgate,and J,Eatwell (ed.),The New Palgrave Dictionary of Money and finance,Micmillan,London.
——,1996,A Random Walk Down Street,6th ed.,New York,W,W,Norton.
Markowitz,Harry M.，1952,“Portfolio Selection”,Journal of Finance 7,pp.77-91.
Mehra,Rajnish,and Edward Prescott,1985,“The Equity Premium Puzzle,” Journal of Monetary Economics 15,pp.145-61.
Merton,R.,1973,“An Intertemporal Capital Asset Pricing Model,” Econometrica,September,pp.867-888.
Miller,M.,and F,Modigliani,1961,"Dividend Policy,Growth and the Valuation of Shares",Journal of Business,
Miller,Merton,and Myron Scholes,1972,“Rate of Return in Relation to Risk,A Reexamination of Some Recent Findings,” in Michael C,Jensen (ed.),Studies in the Theories of Capital Markets,Praeger,New York.
Modigliani,Franco,and Richard Cohn,1979,"Inflation,Rational Valuation,and the Market",Financial Analysts Journal,March-April.
Modigliani,F.,and M,Miller,1958,"The Cost of Capital,Corporation Finance,and the Theory of Investment",American Economic Review,June.
Molodovsky，N.，1965,“Common Stock Valuation——Principles,Tables and Applications”,Financial Analysts Journal,March-April.
Mossin,J,1966,“Equilibrium in a Capital Market,” Econometrica,October,pp.768-83.
Pagan,Adrian,and G,William Schwert,1990,“Alternative Models for Conditional Stock Volatility,” Journal of Econometrics 45,pp.267-90.
Reiss,A.J.,Jr.,1980,“Selecting Strategies of Social Control Over Organizational Life”,in Enforcing Regulation,edited by K,Hawkins & J.M,Thomas,Kluwer-Nijhoff.
Roberts,H.,1967,“Statistical Versus Clinical Prediction of the Stock Market,” unpublished manuscript,Center for Research in Security Prices,University of Chicago.
Roll,R.,1977,“A Critique of Asset Pricing Theory,Part I,On the Past and Potential Testability of the Theory,” Journal of Financial Economics,March,pp.129-76.
Roll,R,and Stephen A,Ross,1994,“On the Cross-Sectional Relation between Expected Return and Betas,” Journal of Finance 49,pp.101-21,
Ross，Stephen A.,1976,“The Arbitrage Theory of Capital Asset Pricing”，Journal of Economic Theory 13,pp.341-60.
Samueslon,P.，1965,“Proof that properly anticipated prices fluctuate randomly”,Industrial management review 6,pp.41-49.
——，1970,“The Fundamental Approximation Theorem of Portfolio Analysis in Terms of Means,Variances and Higher Moments,” Review of Economic Studies 37.
Sharpe,W.,1964,“Capital Asset Prices,” Journal of Finance 19,September,pp.425-42,
Sharpe,W.,Gordon J,Alexander,and Jeffery V,Bailey,1999,Investments,6th edition,Englewood,NJ,Prentice Hall.
Stigler,G.J.,1971,“The Theory of Economic Regulation”,Bell Journal of Economics and Management Science,Volume 2.
Thompson,J.,1976,“Sources of Systematic Risk in Common Stocks”,Journal of Business,April.
Viscusi,W.K.,Vernon,J.M.,Harrington,J.E.,Jr.,1992,Economics of Regulation and Antitrust,D.C,Heath and Company.
Wagner,W.,and S,Lau,1971,“The Effect of Diversification on Risks,” Financial Analyst Journal,pp.48-53.
Williams，J.B.，1938,The Theory of Investment Value,Harvard,Cambridge,Mass..
Yakov Amihud and Haim Mendelson,1991,“Liquidity,Asset Prices and Financial Policy”,Financial Analysts Journal 47,pp.56-66.
