参考文献表

これは授業の概要を伝えるための仮の文献表です．理論と実証と２つの分類をしましたが，タイトルを見て判断しただけです．内容をチェックして再分類する可能性があります．１，２週間以内によりよい文献表に改定する予定です．

４月１８日の授業では 西川俊作編（1995）「経済学とファイナンス」東洋経済新報社 の257ページから262ページの説明を捕捉する形で家計の金融行動をまとめることにしました．

A.　利子率と貯蓄

  1. Hansen, Lars Peter and Singleton, Kenneth J. (1983) "Stochastic Consumption, Risk Aversion and the Temporal Behavior of Asset Returns." Journal of Political Economy. 91: 249-265.
  2. Hall, Robert E. (1988) "Intertemporal Substitution in Consumption." Journal of Political Economy. 96: 339-357.
  3. Summers, Lawrence H. (1981) " Capital Taxation and Accumulation in a Life Cycle Growth Model." American Economic Review. 71: 533-544.

B.　CAPM

  1. Lintner, John (1965) "The Valuation of Risky Assets and the Selection of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. " Review of Economics and Statistics 47: 13-37.
  2. Sharp, William F. (1964) "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance. 19: 425-442.
  3. Mossin, Jan (1966) "Equilibrium in a Capital Asset Market." Econometrica 34: 768-783.

C.　Consumption CAPM とProduction CAPM：理論

  1. Bakshi, G. S. and Chen, Z. (1996) "The Spirit of Capitalism and Stock-Market Prices." American Economic Review. 86: 133-157.
  2. Breeden, D.T. (1979) "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities." Journal of Financial Economics 7: 265-296.
  3. Epstein, L. G. and Zin, S. E. (1991) "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework." Journal of Political Economy 99: 263-286.
  4. Hall, R. E. (1978) "Stochastic Implication of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence." Journal of Political Economy 86: 971-87.
  5. Kasa, K. (1997) "Consumption Based versus Production Based Models of International Equity Markets." Journal of Inetenational Money and Finance 16: 653-680.
  6. Lucas, R. E. (1978) "Asset Prices in an Exchange Economy." Econometrica 46: 1426-1446.
  7. Mankiw, N. G and Zeldes, S. P. (1991) "The Consumption of Stockholders and Non-Stockholders." Journal of Financial Economics 40: 677-689.
  8. Merton, Robert C. (1973) "An Intertemporal Capital Asset Pricing Model." Econometrica 41: 867-887.
  9. Rubinstein, Mark (1976) "The Valuation of Uncertain Income Streams and the Pricing of Options." Bell Journal of Economics 7: 407-425.
  10. Restoy, F. and Rockinger, G. M. (1994) "On Stock Market Returns and Returns on Investment." Journal of Finance 49: 543-556.

D.　Consumption CAPM とProduction CAPMの実証：危険プレミアムパズル

  1. 羽森茂之 (1996) 『消費者行動と日本の資産市場』　 東京:　東洋経済新報社.
  2. Cochrane, J. H. (1991) "Production-Based Asset Pricing Model." Journal of Finance 46: 207-234.
  3. Cochrane, J. H. and Hansen, Lars Peter (1992) "Asset Pricing Explorations for Macroeconomics." NBER Macroeconomics Annual 7: 115-165.
  4. Cochrane, J. H. (1996) "A Cross-Sectional Test of an Investment-Based Asset Pricing Model." Journal of Political Economy 104: 572-621.
  5. Constantinides, George M. (1990) "Habit Formation: A Resolution of the Equity Premium Puzzle." Journal of Political Economy 98: 519-543.
  6. Epstein, L. G. and Zin, S. E. (1991) "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." Journal of Political Economy 99: 263-286.
  7. Hansen, L. P. and Singleton, K. (1982) "Generalized Instrumental Variables Estimation of Nonlinear Expectations Models." Econometrica 50: 1269-1286.
  8. Hansen, L. P. and Singleton, K. (1984) "Errata." Econometrica 52: 267-268.
  9. Hori, K. (1997) "Japanese Stock Returns and Investment: A Test of Production Based Asset Pricing Model." Japan and the World Economy 9: 37-56.
  10. Kocherlakota, N. R. (1990) "On Tests of Representative Consumer Asset Pricing Models." Journal of Monetary Economics 26: 285-304.
  11. Kocherlakota, N. R. (1996) "The Equity Premium: It's Still a Puzzle." Journal of Economic Literature 34: 42-71.
  12. Mankiw, N. Gregory (1986) "The Equity Premium and Concentration of Aggregate Shocks." Journal of Financial Economics 17: 211-219.
  13. Mankiw, N. Gregory and Zeldes, Stephen P. (1991) "The Consumption of Stockholders and Nonstockholders." Journal of Financial Economics 29:97-112.
  14. Mehra, R. and Prescott, E. C. (1985) "The Equity Premium: A Puzzle." Journal of Monetary Economics 15: 145-61.
  15. Nakano, K. and Saito, M. (1998) "Consumption: Asset Pricing in Japan." Journal of the Japanese and International Economics 12: 151-166.
  16. Pagan, A. (1996) "The Econometrics of Financial Markets." Journal of Empirical Finance 3: 15-102. Survey.
  17. Weil, Philippe (1989) "The Equity Premium Puzzle and the Risk-Free Rate Puzzle." Journal of Monetary Economics 24: 401-421.
  18. Hansen, Lars P. and Ravi Jagannathan (1991) "Implications of Security Market Data for Models of Dynamic Economies." Journal of Political Economy 99: 225-262.