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论文作者:www.51lunwen.org论文属性:文献综述 Literature Review登出时间:2013-07-25编辑:tinkle点击率:7046
论文字数:4797论文编号:org201307251128368379语种:英语 English地区:英国价格:$ 286
关键词:Stock marketEfficient Market Hypothesis英国纽卡斯尔大学硕士Literature review
摘要:英国纽卡斯尔大学硕士Literature review:Testing the Efficient Market Hypothesis in Stock market
英国纽卡斯尔大学硕士Literature review:Testing the Efficient Market Hypothesis in Stock market
The core issue of finance is to study the efficiency of the allocation of capital and assets. Financial markets are the main channel to complete the allocation. The most famous insight of modern finance was “Portfolio Selection” published on Journal of Finance in 1952. With the help of statistical techniques, Markowitz put forward the mean-variance portfolio theory, which is widely used in the practical portfolio decisions. The pioneering use of mathematical statistical methods to describe the behavior of investors in financial markets by Markowitz, laid the foundation for the assets pricing model. The mean-variance portfolio theory has become an important milestone in the modern portfolio theory. In the 1950s, Modigliani and Miller derived the supply curve of securities through company’s financing-revenue decision-making, thus they proposed the MM Theorem. Given certain assumptions, they suggested that a company's capital structure choice cannot create value for the company. Their conclusions formed the theoretical framework of modern corporate finance. Then in the 1960s, Sharpe and Lintner put forward the capital asset pricing model (CAPM), based on the work of Markowitz, and Ross et al. brought out the arbitrage pricing theory (APT), which formed the theoretical framework to study prices in capital market. In the 1970s, Fama proposed Efficient Market Hypothesis (EMH), and provided the empirical test of price movements in financial market. Black, Scholes and Merton put forward the Black-Scholes model on the basis of the MM theorem and the capital asset pricing model, leading to the emergence of a large number of financial derivative products. In the 1980s, Ross, Grossman, Stiglitz, and Jensen, brought the game theory and information Economics model into the financial markets, which has become an increasingly important part of modern financial system.
金融学的核心问题是研究资本和资产的配置效率。金融市场来完成配置的主渠道。现代金融的最著名的观点是“投资组合”发表在财经杂志1952。统计技术的帮助,Markowitz提出的均值方差资产组合理论,被广泛应用在实际投资决策。数理统计方法的开拓性用来描述投资者的行为在金融市场投资的资产定价模型,奠定了基础。将均值方差资产组合理论已成为现代投资组合理论的一个重要的里程碑。在50年代,莫迪利亚尼和米勒衍生证券的供给曲线通过公司的融资收入的决策,因此他们提出的MM定理。基于一定的假设,他们认为,企业资本结构的选择并不能为公司创造价值。他们的结论构成了现代公司财务理论框架。在20世纪60年代,夏普和林德纳提出的资本资产定价模型(CAPM),基于Markowitz和罗斯等人的工作。提出了套利定价理论(APT),形成了研究资本市场价格的理论框架。在上世纪70年代,Fama提出的有效市场假说(EMH),并提供了对金融市场价格变动的实证检验。黑色,斯科尔斯和Merton提出Black斯科尔斯模型对MM定理为基础,以资本资产定价模型,导致大量金融衍生产品的出现。在上世纪80年代,罗斯,格罗斯曼,斯蒂格利茨,和延森,把博弈论和信息经济学模型在金融市场,已成为现代金融体系的一个日益重要的组成部分。
1. Basic concept and forms of market efficiency
2. Literature review of the efficient market theory
3. Literature review of empirical test of Efficient Market Hypothesis
References
Ahmet, B. and Nusret, C., 1999. Do Markets Overreact? International Evidence. Journal of Banking and Finance, 23(7), pp.1121–1144
Allen, F. and Gorton, G., 1999. Churning Bubbles. Rev本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。