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Elton, E. J., and M. J. Gruber. 1995. Modern portfolio theory and investment management. New York: John Wiley & Sons.

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 theorys 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.

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Глава 5. ТЕОРИЯ И МОДЕЛИ ОЦЕННИ ОПЦИОНОВ

Black, Е, and М. 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. С. Option pricing when the underlying stock returns are discontinuous. Journal of Financial Economics 3:125-144.

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 ofPoфlio Management 9:372.

Banz, R. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9:3-18.

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 8c 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, е., 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. Murphys law and market anomahes. Journal of Portfolio Management 25:53-69.

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

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

Fama, E. E, 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. Home-wood 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 seUing 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

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