Инвестиционная оценка. Инструменты и методы оценки любых активов

Fama, E. F., and K. R. French. 1992. The cross-section of expected returns. Journal of Finance 47:427–466.

Jensen, M. C. 1969. Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of Business 42:167–247.

Kothari, S. P., and J. Shanken. 1995. In defense of beta. Journal of Applied Corporate Finance 8(l):53–58.

Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47:13–37. Markowitz, H. M. 1991. Foundations of portfolio theory. Journal of Finance 46(2):469–478.

Roll, R. 1977. A critique of the asset pricing theory’s tests: Part I: On past and potential testability of theory. Journal of Financial Economics 4:129–176.

Ross, S. A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3):341–360.

Seyhun, H. N. 1986. Insiders’ profits, costs of trading and market efficiency. Journal of Financial Economics 16:189–212.

Sharpe, W. F 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19:425–442.

Weston, J. F., and T. E. Copeland. 1992. Managerial finance. Forth Worth: Dry-den Press.

Глава 5. ТЕОРИЯ И МОДЕЛИ ОЦЕНКИ ОПЦИОНОВ

Black, F., and M. Scholes. 1972. The valuation of option contracts and a test of market efficiency. Journal of Finance 27:399–417.

Cox, J. C., and M. Rubinstein. 1985. Options markets. Upper Saddle River, NJ: Prentice Hall.

Cox, J. C., and S. A. Ross. 1976. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3:145–166.

Cox, J. C., S. A. Ross, and M. Rubinstein. 1979. Option pricing: A simplified approach. Journal of Financial Economics 7:229–264.

Geske, R. 1979. The valuation of compound options. Journal of Finance 7:63–82. Hull, J. C. 1999. Options, futures and other derivatives. Upper Saddle River, NJ: Prentice Hall.

Hull, J. C. 1995. Introduction to futures and options markets. Upper Saddle River, NJ: Prentice Hall.

Merton, R. C. 1973. The theory of rational option pricing. Bell Journal of Economics 4(1):141–183.

Merton, R. C. Option pricing when the underlying stock returns are discontinuous.

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Глава 6. РЫНОЧНАЯ ЭФФЕКТИВНОСТЬ – ОПРЕДЕЛЕНИЕ, ТЕСТЫ И ОБОСНОВАНИЯ

Alexander, S. S. 1964. Price movements in speculative markets: Trends or random walks? In The Random Character of Stock Market Prices. Cambridge, MA: MIT Press.

Arbel, A., and P. J. Strebel. 1983. Pay attention to neglected stocks. Journal of Porfolio Management 9:37–42.

Banz, R. 1981. The relationship between return and market value of common stocks.

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Basu, S. 1977. The investment performance of common stocks in relation to their price-earnings: A test of the efficient market hypothesis. Journal of Finance 32:663–682.

Basu, S. 1983. The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics 12:129–156.

Bernstein, R. 1995. Style investing. New York: John Wiley & Sons.

Capaul, C., I. Rowley, and W. F. Sharpe. 1993. International value and growth stock returns. Financial Analysts Journal 49:27–36.

Carhart, M. M. 1997. On the persistence of mutual fund performance. Journal of Finance 52:57–82.

Chambers, A. E., and S. H. Penman. 1984. Timeliness of reporting and the stock price reaction to earnings announcements. Journal of Accounting Research 22:21–47.

Chan, L. K., Y. Hamao, and J. Lakonishok. 1991. Fundamentals and stock returns in Japan. Journal of Finance 46:1739–1789.

Chan, S. H., J. Martin, and J. Kensinger. 1990. Corporate research and development expenditures and share value. Journal of Financial Economics 26:255–276.

Conrad, J. 1989. The price effect of option introduction. Journal of Finance 44:487–498.

Cootner, P. H. 1961. Common elements in futures markets for commodities and bonds. American Economic Review 51(2):173–183.

Cootner, P. H. 1962. Stock prices: Random versus systematic changes. Industrial Management Review 3:24–45.

Damodaran, A. 1989. The weekend effect in information releases: A study of earnings and dividend announcements. Review of Financial Studies 2:607–623.

DeBondt, W. F. M., and R. Thaler. 1985. Does the stock market overreact? Journal of Finance 40:793–805.

DeBondt, W. F. M., and R. Thaler. 1987. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 42:557–581.

Dimson, E., and P. R. Marsh. 1984. An analysis of brokers’ and analysts’ unpublished forecasts of UK stock returns. Journal of Finance 39:1257–1292.

Dimson, E., and P. R. Marsh. 1986. Event studies and the size effect: The case of UK press recommendations. Journal of Financial Economics 17:113–142.

Dimson, E., and P. R. Marsh. 2001. Murphy’s law and market anomalies. Journal of Portfolio Management 25:53–69.