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Syllabus: Ph.D.

Seminar on Theory of Finance I


Fall Semester 2009
Professor: An-Sing Chen
Phone: 34201
Mobile:093566505
!his is the 1
st
Ph"#" le$el %o&rse in the theor' of finan%e" As s&%h (e (ill fo%&s on
the asset )ri%ing literat&re" *ss&es relate+ to mar,et anomalies- effi%ient mar,ets-
e.)e%te+ ret&rns- )re+i%tabilit'- an+ basi% o)tion )ri%ing theor' (ill also be +is%&sse+"
Pa)ers an+ to)i%s +is%&sse+ in this %o&rse form the basis for 50/ of the !heor' of
Finan%e * Ph"#" 0&alifier e.ams"
1ra+ing: one mi+term test 30/- %lass )arti%i)ation an+ +is%&ssion 0/"
Pa)ers 2ist:
Shar)e- 3illiam F"- 1964- Ca)ital asset )ri%es4 a theor' of mar,et e0&ilibri&m &n+er
%on+itions of ris,- Journal of Finance 19, 425-442"
Chen- 5ai-f&- 6i%har+ 6oll- an+ Ste)hen A" 6oss- 1976- 8%onomi% for%es an+ the sto%,
mar,et- 9o&rnal of :&siness 56- 373-403"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- 1992- <!he Cross-Se%tion of 8.)e%te+
Sto%, 6et&rns<- Journal of Finance 47 =2>: 42?465"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- 1993- <Common 6is, Fa%tors in the 6et&rns
on Sto%,s an+ :on+s-< Journal of Financial Economics 33 =1>: 3?56"
Carhart- Mar, M"- 199- @An Persisten%e in M&t&al F&n+ Performan%e"B 9o&rnal of
Finan%e 52- no" 1 =Mar%h>: 5-72"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- (or,ing )a)er- @ !he Ca)ital Asset Pri%ing
Mo+el: !heor' an+ 8$i+en%eB" !&%, :&siness S%hool 3or,ing Pa)er 5o" 03-26"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =2006>- <!he Cal&e Premi&m an+ the CAPM-B
Journal of Finance 61- 2163-2175"
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Fama- 8&gene F" an+ ;enneth 6" Fren%h- =2006>- <Profitabilit'- *n$estment- an+ A$erage
6et&rns-B Journal of Financial Economics 72- 491-517"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =200>- <#isagreement- !astes- an+ Asset
Pri%ing-B Journal of Financial Economics 73- 66-679"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =200>- @Migration-B Financial Analysts
Journal- 63- n&mber 3 =Ma'D9&ne>- 47-57" A(ar+e+ a 1raham an+ #o++ S%roll b' the
e+itorial boar+ of the Eo&rnal"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =200>- <!he Anatom' of Cal&e an+ 1ro(th
Sto%, 6et&rns-B Financial Analysts Journal- 63- n&mber 3 =5o$ember>- 44-54" A(ar+e+ a
1raham an+ #o++ S%roll b' the e+itorial boar+ of the Eo&rnal"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =2007>- @#isse%ting Anomalies-B Journal of
Finance- 63- A&g&st- 1653-167"
Fama- 8&gene F" an+ ;enneth 6" Fren%h- =2007>- <A$erage 6et&rns- :DM- an+ Share
*ss&es-B Journal of Finance- 63- #e%ember- 291-2995"
Fahn- 9" an+ Fang'ong 2ee- 2006- Giel+ S)rea+s as Alternati$e 6is, Fa%tors for
SiHe an+ :oo,-to-Mar,et- 9o&rnal of Finan%ial an+ I&antitati$e Anal'sis- Col 41- no"
2- 245-269"
Fo&- ;- 200- *n+&str' *nformation #iff&sion an+ the 2ea+-lag 8ffe%t in Sto%,
6et&rns- !he 6e$ie( of Finan%ial St&+ies- $ol 20- n4- 1113-1137"
Fong- F"- 3alter !oro&s- an+ 6ossen Cal,ano$- 200- #o in+&stries lea+ sto%,
mar,etsJ- 9o&rnal of Finan%ial 8%onomi%s 73- 36?396
Mar0&ering- 3essel an+ Marno Cerbee,- 2004- !he 8%onomi% Cal&e of Pre+i%ting Sto%,
*n+e. 6et&rns an+ Colatilit'- 9o&rnal of Finan%ial an+ I&antitati$e Anal'sis- Col" 39- 5A" 2-
9&ne- 40-429"
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