Инвестиционная оценка. Инструменты и методы оценки любых активов

Fama, E. F. 1965. The behavior of stock market prices. Journal of Business 38:34-105.

Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work.

Journal of Finance 25:383–417.

Fama, E. F., and K. R. French. 1988. Permanent and temporary components of stock prices. Journal of Political Economy 96:246–273.

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

Fama, E. F., and M. Blume. 1966. Filter rules and stock market trading profits.

Journal of Business 39:226–241.

Gibbons, M. R., and P. Hess. 1981. Day of the week effects and asset returns.

Journal of Business 54:579–596.

Gultekin, M. N., and B. N. Gultekin. 1983. Stock market seasonality: International evidence. Journal of Financial Economics 12:469–481.

Haugen, R. A. 1990. Modern investment theory. Englewood Cliffs, NJ: Prentice Hall.

Haugen, R. A., and Lakonishok, J. 1988. The incredible January effect. Homewood IL: Dow Jones-Irwin.

Jaffe, J. 1974. Special information and insider trading. Journal of Business 47:410–428.

Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48(1):65–91.

Jegadeesh, N., and S. Titman. 2001. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56(2):699–720.

Jennergren, L. P. 1975. Filter tests of Swedish share prices. In International Capital Markets, 55–67. New York: North-Holland.

Jennergren, L. P., and P. E. Korsvold. 1974. Price formation in the Norwegian and Swedish stock markets – Some random walk tests. Swedish Journal of Economics 76:171–185.

Jensen, M. 1968. The performance of mutual funds in the period 1945-64. Journal of Finance 2:389–416.

Jensen, M., and G. A. Bennington. 1970. Random walks and technical theories, some additional evidence. Journal of Finance 25:469–482.

Kaplan, R. S., and R. Roll. 1972. Investor evaluation of accounting information: Some empirical evidence. Journal of Business 45:225–257.

Keim, D. 1983. Size related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics 12.

McConnell, J. J., and C. J. Muscarella. 1985. Corporate capital expenditure decisions and the market value of the firm. Journal of Financial Economics 14:399–422.

Michaely, R., and K. L. Womack. 1999. Conflict of interest and the credibility of underwriter analyst recommendations. Review of Financial Studies 12:653–686.

Niederhoffer, V., and M. F. M. Osborne. 1966. Market making and reversal on the stock exchange. Journal of the American Statistical Association 61:891–916.

Peters, E. E. 1991. Chaos and order in the capital markets. New York: John Wiley & Sons.

Pradhuman, S. 2000. Small cap dynamics. Princeton, NJ: Bloomberg Press. Praetz, P. D. 1972. The distribution of share price changes. Journal of Business 45(l):49–55.

Reinganum, M. R. 1983. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss effects. Journal of Financial Economics 12.

Rendleman, R. J., C. P. Jones, and H. A. Latene. 1982. Empirical anomalies based on unexpected earnings and the importance of risk adjustments. Journal of Financial Economics 10:269–287.

Richards, R. M., and J. D. Martin. 1979. Revisions in earnings forecasts: How much response? Journal of Portfolio Management 5:47–52.

Ritter, J., and N. Chopra. 1989. Portfolio rebalancing and the turn of the year effect. Journal of Finance 44:149–166.

Roll, R. 1983. Vas ist das? Journal of Portfolio Management 9:18–28.

Roll, R. 1984. A simple implicit measure of the bid-ask spread in an efficient market. Journal of Finance 39:1127–1139.

Rosenberg, B., K. Reid, and R. Lanstein. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management 11:9-17.

Seyhun, H. N. 1998. Investment intelligence from insider trading. Cambridge, MA: MIT Press.

Shiller, R. 1999. Irrational exuberance. Princeton, NJ: Princeton University Press.

Sunder, S. 1973. Relationship between accounting changes and stock prices: Problems of measurement and some empirical evidence. In Empirical Research in Accounting: Selected Studies 1-45. Toronto: Lexington.

Sunder, S. 1975. Stock price and risk related accounting changes in inventory valuation. Accounting Review 305–315.

Womack, K. 1996. Do brokerage analysts’ recommendations have investment value?

Journal of Finance 51:137–167.

Woodruff, C. S., and A. J. Senchack, Jr. 1988. Intradaily price-volume adjustments of NYSE stocks to unexpected earnings. Journal of Finance 43(2):467–491.

Глава 7. БЕЗРИСКОВЫЕ СТАВКИ И ПРЕМИИ ЗА РИСК

Altman, E. I. 1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 23:589–609.

Altman, E. I., and V. Kishore. 2000. The default experience of U.S. bonds. Working paper. Salomon Center, New York University.