Pustaka Keuangan

Book

Fama & French Papers

 

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics33(1), 3-56.

Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance47(2), 427-465.

Fama, E. F. (1980). Agency Problems and the Theory of the Firm. The journal of political economy, 288-307.

Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 607-636.

Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics25(1), 23-49.

Fama, E. F. (1965). The behavior of stock-market prices. Journal of business, 34-105.

Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics22(1), 3-25.

Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics5(2), 115-146.

Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance51(1), 55-84.

Fama, E. F. (1991). Efficient capital markets: II. The journal of finance,46(5), 1575-1617.

Fama, E. F., & Jensen, M. C. (1983). Agency problems and residual claims. Journal of law and Economics, 327-349.

Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of financial economics49(3), 283-306.

Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review10(1), 1-21.

Fama, E. F., & French, K. R. (1988). Permanent and temporary components of stock prices. The Journal of Political Economy, 246-273.

Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance50(1), 131-155.

Fama, E. F., & French, K. R. (2002). Testing trade‐off and pecking order predictions about dividends and debt. Review of financial studies15(1), 1-33.

Fama, E. F., & French, K. R. (2001). Disappearing dividends: changing firm characteristics or lower propensity to pay?. Journal of Financial economics,60(1), 3-43.

Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives18, 25-46.

Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680-692.

Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance45(4), 1089-1108.

Fama, E. F. (1975). Short-term interest rates as predictors of inflation. The American Economic Review, 269-282.

Fama, E. F. (1995). Random walks in stock market prices. Financial analysts journal51(1), 75-80.

Fama, E. F., & Jensen, M. C. (1985). Organizational forms and investment decisions. Journal of financial Economics14(1), 101-119.

Fama, E. F., & French, K. R. (2002). The equity premium. The Journal of Finance57(2), 637-659.

Fama, E. F., & Blume, M. E. (1966). Filter rules and stock-market trading.Journal of business, 226-241.

Fama, E. F. (1963). Mandelbrot and the stable Paretian hypothesis. Journal of Business, 420-429.

Fama, E. F., & French, K. R. (2008). Dissecting anomalies. The Journal of Finance63(4), 1653-1678.

Fama, E. F., & French, K. R. (1998). Taxes, financing decisions, and firm value. The Journal of Finance53(3), 819-843.

Fama, E. F. (1977). Risk-adjusted discount rates and capital budgeting under uncertainty. Journal of Financial Economics5(1), 3-24.

Fama, E. F., & Gibbons, M. R. (1984). A comparison of inflation forecasts.Journal of Monetary Economics13(3), 327-348.

Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics25(1), 59-76.

Fama, E. F., & French, K. R. (2005). Financing decisions: who issues stock?. Journal of financial economics76(3), 549-582.

Fama, E. F., & French, K. R. (2000). Forecasting Profitability and Earnings*.The Journal of Business73(2), 161-175.

Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross‐section of mutual fund returns. The Journal of Finance65(5), 1915-1947.

Fama, E. F., & Roll, R. (1968). Some properties of symmetric stable distributions. Journal of the American Statistical Association63(323), 817-836.

Fama, E. F., & French, K. R. (2006). The value premium and the CAPM.The Journal of Finance61(5), 2163-2185.

Fama, E. F. (1978). The effects of a firm’s investment and financing decisions on the welfare of its security holders. The American Economic Review, 272-284.

Fama, E. F., & French, K. R. (1988). Business cycles and the behavior of metals prices. The Journal of Finance43(5), 1075-1093.

Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics105(3), 457-472.

Fama, E. F. (1984). Term premiums in bond returns. Journal of Financial economics13(4), 529-546.

Fama, E. F. (1986). Term premiums and default premiums in money markets. Journal of Financial Economics17(1), 175-196.

Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of Financial Economics82(3), 491-518.

Fama, E. F. (1997). Market efficiency, long-term returns, and behavioral finance. Long-Term Returns, and Behavioral Finance (February 1997).

Fama, E. F., & French, K. R. (2007). Disagreement, tastes, and asset prices. Journal of Financial Economics83(3), 667-689.

Fama, E. F. (1990). Contract costs and financing decisions. Journal of Business, S71-S91.

Fama, E. F., & French, K. R. (2007). The anatomy of value and growth stock returns. Financial Analysts Journal63(6), 44-54.

Fama, E. F. (2006). The behavior of interest rates. Review of Financial Studies19(2), 359-379.

Fama, E. F., & French, K. R. (2008). Average returns, B/M, and share issues. The Journal of Finance63(6), 2971-2995.

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model.Journal of Financial Economics116(1), 1-22.

Fama, E. F., & MacBeth, J. D. (1974). LONG‐TERM GROWTH IN A SHORT‐TERM MARKET. The Journal of Finance29(3), 857-885.

Fama, E. F., & French, K. R. (1986). Common factors in the serial correlation of stock returns. Finance.

Fama, E. F., & French, K. (2008). Mutual fund performance. Journal of Finance63, 389-416.

French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics19(1), 3-29.

Fama, E. F., & French, K. R. (1997). Dividends, debt, investment, and earnings. Center for Research in Security Prices, Graduate School of Business, University of Chicago.

Jorion, P., & Mishkin, F. (1991). A multicountry comparison of term-structure forecasts at long horizons. Journal of Financial Economics29(1), 59-80.

Fama, E. F., & French, K. R. (2009). Luck versus skill in the cross section of mutual fund returns. Tuck School of Business Working Paper, (2009-56).

Jensen, G. R., Mercer, J. M., & Johnson, R. R. (1996). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics40(2), 213-237.

Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread.Journal of financial Economics17(2), 223-249.

Boudoukh, J., Richardson, M., & Smith, T. (1993). Is the ex ante risk premium always positive?: A new approach to testing conditional asset pricing models. Journal of Financial Economics34(3), 387-408.

Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics9(1), 3-18.

Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics41(3), 401-439.

Campbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics18(2), 373-399.

Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. The journal of political economy, 637-654.

Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of financial economics39(2), 181-208.

Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of business, 444-455.

Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control12(2), 385-423.

Fama, E. F. (2014). Two pillars of asset pricing. The American Economic Review104(6), 1467-1485.

Cochrane, J. H. (1991). Volatility tests and efficient markets: A review essay. Journal of Monetary Economics27(3), 463-485.

Poterba, J. M., & Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of financial economics22(1), 27-59.

Chiang, I. H. E. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance.

French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of financial economics17(1), 5-26.

Ball, R., Kothari, S. P., & Shanken, J. (1995). Problems in measuring portfolio performance An application to contrarian investment strategies. Journal of Financial Economics38(1), 79-107.

Taylor, M. P. (1995). The economics of exchange rates. Journal of Economic literature, 13-47.

Disertasi

Anginer, D. (2010). Essays in Asset Pricing (Doctoral dissertation, University of Michigan).

Liem Nguyen, T. (2015). Portfolio Risk Management and Capital asset Pricing Model: Case: The comparison among the portfolio in the same and different regions.

Do, T. (2014). Capital Asset Pricing Model in building investment portfolio.

Kelly, B. T. (2010). Essays in Asset Pricing and the Econometrics of Risk (Doctoral dissertation, Stern School of Business New York).

Kelly, B. (2009). Risk premia and the conditional tails of stock returns.Unpublished working paper. Booth School of Business, University of Chicago.

GROBYS, K. Essays on Empirical Asset Pricing.

Zhang, X., & Abhyankar, A. (2013). Essays on empirical asset pricing. Universitat Autònoma de Barcelona,.

Kaleem, M. (2013). Asset pricing in the foreign exchange market (Doctoral dissertation, University of Glasgow).

TIME-TO-PRODUCE, INVENTORY, AND ASSET PRICES

Schreindorfer, D. (2014). Essays on Asset Pricing and Portfolio Choice with Time-Varying Uncertainty.

Paavola, M. I. (2007). Empirical Tests of Asset Pricing Models in Finnish Stock Market.

Warmuth, N. J. (2014). Multifactor Capital Asset Pricing Models (Doctoral dissertation, Universität München).

von Holdt, Christopher James (2006). Development of infrastructure asset management software solutions for municipalities in South Africa. Doctoral dissertation, Texas A&M University.

Johnson, Jason; Polk, Wade (2002). Determining the Appropriate Asset Allocation.

Bogossian, Alan (2002). Pricing and hedging a barrier option. Master’s thesis, Texas A&M University

Kim, Sang Bong (2008). Essays on Asset Prices. Doctoral dissertation, Texas A&M University.

Chavez, Marissa Joyce (2007). The efficiency of the U.S. cotton futures market (1986-2006): normal backwardation, co-integration, and asset pricing. Master’s thesis, Texas A&M University.

Russell, C. (2003). Cash Flow Impacts of Industrial Steam Efficiency. Energy Systems Laboratory

Viale, Ariel Marcelo (2003). Common risk factors in bank stocks. Doctoral dissertation, Texas A&M University. Texas A&M University.

Chen, Zhanhui (2011). Time-to-Produce, Inventory, and Asset Prices. Doctoral dissertation, Texas A&M University.

Hu, Xu (2011). Heterogeneous Beliefs, Collateralization, and Transactions in General Equilibrium. Doctoral dissertation, Texas A&M University.

Welch, Mark; Robinson, John; Amosson, Stephen H.; Falconer, Lawrence; Bevers, Stan; Anderson, David P. (2009). The Current Credit Situation and Coming Cost-Price Squeeze.

Illeditsch, Philipp Karl (2007). Essays in asset pricing and portfolio choice. Doctoral dissertation, Texas A&M University.

Aibassov, Gizatulla (2007). Optimization of a petroleum producing assets portfolio: development of an advanced computer model. Master’s thesis, Texas A&M University.

Zhao, Xi (2015). Three Essays on the Efficiency of Real Esate Markets. Doctoral dissertation, Texas A & M University.

Qin, Xiaoyan (2011). Essays on Pricing Behaviors of Energy Commodities. Doctoral dissertation, Texas A&M University.

Xu, Jin (2013). Essays in Financial Econometric Investigations of Farmland Valuations. Doctoral dissertation, Texas A & M University.

Dang, Trang Phuong Th 1977- (2012). Essays on Efficiency of the Farm Credit System and Dynamic Correlations in Fossil Fuel Markets. Doctoral dissertation, Texas A&M University.

Shin, Sang-Cheol (2008). Three Essays On Applied Economics. Doctoral dissertation, Texas A&M University.

Erturk, Bilal (2006). Divergence of opinions, short sales, and asset prices. Doctoral dissertation, Texas A&M University.

Magana Lemus, David (2013). Essays on Price Dynamics, Welfare Analysis, Household Food Insecurity in Mexico. Doctoral dissertation, Texas A & M University.

Zou, Lin (2007). Essays in financial economics and risk management. Doctoral dissertation, Texas A&M University.

Seyedolshohadaie, Seyed Reza (2011). Modeling Risks in Infrastructure Asset Management. Doctoral dissertation, Texas A&M University.

Nam, Changwoo (2011). Essays on A Rational Expectations Model of Dividend Policy and Stock Returns. Doctoral dissertation, Texas A&M University.

Wang, Kun (2005). Auditor and underwriter industry specialization/differentiation: evidence from IPO underpricing and long-term performance. Doctoral dissertation, Texas A&M University.

Lai, Liona Hoi Yan (2005). Are independent directors effective in lowering earnings management in China?. Doctoral dissertation, Texas A&M University.

Bentley, Kathleen (2012). Antecedents to Financial Statement Misreporting: The Influence of Organizational Business Strategy, Ethical Culture and Climate. Doctoral dissertation, Texas A&M University.

Newton, Nathan J. (2013). Earnings Management Pressure on Audit Clients: Auditor Response to Analyst Forecast Signals. Doctoral dissertation, Texas A & M University.

Siswo (2003). HRD and its critical factors according to practitioners in the training division of Telkom Indonesia. Doctoral dissertation, Texas A&M University.

Zhou, Ying (2010). Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis. Master’s thesis, Texas A&M University.

Efendi, Jap (2004). Can short sellers predict accounting restatements and foresee their severity. Doctoral dissertation, Texas A&M University. 

Safdar, Mohammad (2012). A Capital Market Test of Representativeness. Doctoral dissertation, Texas A&M University

Wilde, Jaron H (2013). Citizen Watch in the Accounting Department? Tax and Financial Reporting Responses to Employee Whistleblowing Allegations. Doctoral dissertation, Texas A & M University.

Adut, Davit (2003). Dispersion in analysts’ forecasts: does it make a difference?. Doctoral dissertation, Texas A&M University.

Keskek, Sami (2011). Does Market Learning Explain the Disappearance of the Accrual Anomaly?. Doctoral dissertation, Texas A&M University.

Runyan, Bruce Wayne (2003). The effect of multinationality on management earnings forecasts. Doctoral dissertation, Texas A&M University.

Schmidt, Jaime J. (2009). Financial Statement Misstatements, Auditor Litigation, and Subsequent Auditor Behavior. Doctoral dissertation, Texas A&M University.

Guler, Lale (2007). Goodwill impairment charges under SFAS 142: role of executives’ incentives and corporate governance. Doctoral dissertation, Texas A&M University.

Scott, Bret (2012). How Credit Market Conditions Impact the Effect of Voluntary Disclosure on Firms’ Cost of Debt Capital. Doctoral dissertation, Texas A&M University.

Weber, Catherine Krueger (2006). The impact of CEO option grants on firm value: determinants of the effectiveness of option grants. Doctoral dissertation, Texas A&M University. Texas A&M University.

Lawson, Bradley (2012). The Influence of Individual Audit Committee Chairs, CEOs, and CFOs on Corporate Reporting and Operating Decisions. Doctoral dissertation, Texas A&M University.

Neel, Michael J. (2011). International Financial Reporting Standards (IFRS) and the Institutional Environment: Their Joint Impact on Accounting Comparability. Doctoral dissertation, Texas A&M University.

Chevis, Gia Marie (2003). Market perceptions of efficiency and news in analyst forecast errors. Doctoral dissertation, Texas A&M University.

Liu, Hu (2012). Naked Short Selling: Is it Information-Based Trading?. Doctoral dissertation, Texas A&M University.

Cassell, Cory A. (2009). A New Era for the Big 8? Evidence on the Association Between Earnings Quality and Audit Firm Type. Doctoral dissertation, Texas A&M University.

Strawser, William (2011). Preferred Stock and the Debt-Equity Hybrid Puzzle: An Analysis Using Credit Ratings. Doctoral dissertation, Texas A&M University.

Diaz, Michelle Chandler (2005). Risk identification and assessment in a risk based audit environment: the effects of budget constraints and decision aid use. Doctoral dissertation, Texas A&M University.

Rasmussen, Stephanie Jean Binger (2009). Sell-in versus Sell-through Revenue Recognition: An Examination of Firm Characteristics and Financial Information Quality. Doctoral dissertation, Texas A&M University.

Drake, Michael S. (2009). Short-sellers and Analysts as Providers of Complementary Information about Future Firm Performance. Doctoral dissertation, Texas A&M University.

Twedt, Brady J (2013). Spreading The Word: Capital Market Consequences of Business Press Coverage of Management Earnings Guidance. Doctoral dissertation, Texas A & M University.

Mayberry, Michael 1985- (2012). Tax Avoidance and Investment: Distinguishing the Effects of Capital Rationing and Overinvestment. Doctoral dissertation, Texas A&M University.

Blazovich, Janell L. (2008). Team Identity and Performance-based Compensation Effects on Performance. Doctoral dissertation, Texas A&M University.

Cook, Kirsten Abram (2007). Three essays on taxation. Doctoral dissertation, Texas A&M University.

Loraas, Tina Marie (2004). Waiting to learn a new use of technology: motivation source and its impact on anticipated effect, time pressure and subjective norms. Doctoral dissertation, Texas A&M University.

Wu, Juan (2007). Essays on equity prices and market structures. Doctoral dissertation, Texas A&M University.

Kelley, Eric Kyle (2004). Evidence to the contrary: extreme weekly returns are underreactions. Doctoral dissertation, Texas A&M University.

Campbell, Timothy Colin (2010). The Impact of the CEO’s View of Risk on Turnover and the Value of Equity. Doctoral dissertation, Texas A&M University.

Tartaroglu, Semih -. (2008). Insider trading at the turn of the century: two essays. Doctoral dissertation, Texas A&M University.

Armstrong, William (2012). Momentum Trading and Limits to Arbitrage. Doctoral dissertation, Texas A&M University.

Akbas, Ferhat 1981- (2011). The Volatility of Liquidity and Expected Stock Returns. Doctoral dissertation, Texas A & M University.

Petkevich, Alexey (2011). Two Essays in Asset-Pricing. Doctoral dissertation, Texas A&M University.

Huang, Kershen (2011). Two Essays in Corporate Finance. Doctoral dissertation, Texas A&M University.

Rutherford, Jessica Marie (2010). Two Essays in Corporate Finance. Doctoral dissertation, Texas A&M University.

Tippens, Timothy (2012). Two Essays on the Value of Cash. Doctoral dissertation, Texas A&M University.

Koch, S. (2010). Essays in Empirical Asset Pricing: Liquidity, Idiosyncratic Risk, and the Conditional Risk-return Relation (Doctoral dissertation, Universitäts-und Landesbibliothek Bonn).

Stanley, Brooke Winnifred (2008). Two Essays on Incentives. Doctoral dissertation, Texas A&M University.

Zhang, L. (2002). Essays on the cross-section of returns (Doctoral dissertation, University of Pennsylvania).

Zhang, L. (2005). The Value Premium. The Journal of Finance60(1), 67-103.

Xing, Y. (2004). Firm investments and expected equity returns. working paper, Rice University.

Sarkissian, S. (1999). Heterogeneous Consumption and Asset Pricing in Global Financial Markets. (Doctoral dissertation, University of Washington).

Sarkissian, S. (2003). Incomplete consumption risk sharing and currency risk premiums. Review of Financial Studies16(3), 983-1005.

 

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