Роберт К. Мертон - Финансы

River, N.J.: Prentice-Hall, 1998.

Lee, C. F. Financial Analysis and Planning: Theory and Application. Reading, Mass.: Addison-

Wesley, 1985.

Rappaport, A. Creating Shareholder Value: The New Standard/or Business Performance. New

York: Free Press, 1986.

Vander Werde, J. and S. F. Maier. Managing Corporate Liquidity: An Introduction to Working

Capital Management. New York: John Wiley Sons, 1985.

К главе 4

Fisher, I. The theory of Interest: As Determined by Impatience to Spend Income and Opportunity to Invest It. 1930. New York: Augustus M. Kelley, 1965. Hishleifer, J. "On the Theory of Optimal Investment Decision." Journal of Political Economy 66, August 1958.

К главе 5

Bodie, Z., and D. Crane. "Personal Investing: Advice, Theory, and Evidence." Financial Analysts Journal, January - February 1998.

Hirshleifer, J. Investment, Interest and Capital. Englewood Cliffs, N.J.: Printice-Hall, 1970. Modigliani, F. and R. Brumberg. "Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data." Post Keynesian Economics. Ed. K. Kurihara. New Brunswick, N.J.: Rutgers University Press, 1954.

Winger, B. J., and R. R. Frasca. Personal Finance: An Integrated Planning Approach. 4th Ed. Upper Saddle River, N.J.: Prentice-Hall, 1997.

К главе 6

Bierman, H., and S. Smidt. The Capital Budgeting Decision. 8th ED. New York: Nacmillai

К главе 7

Fama, E. F. "Efficient Capital Markets: A Review of Theory and Empirical Work." Joum of Finance 25, May 1970.

Fama, E. F. "Efficient Capital Markets II." Journal of Finance 46, December 1991. Meulbroek, L. K. "An Empirical Analysis of Insider Trading." Journal of Finance 47 De cember, 1992.

Samuelson, P. A. "Proof That Properly Anticipated Prices Fluctuate Randomly." Industrie Management Review 6, Spring 1965.

К главе 8

Bodie, Z., A. Kane, and A. Marcus. Investments, 4th Ed. Boston: Irwin/McGraw-Hill, 1999. Fabozzi, F. J., and T. D. Fabozzi, eds. The Handbook of Fixed Income Securities 4th Ed Bui Ridge, 111.: Irwin, 1995.

Sundaresan, S. Fixed Income Markets and Their Derivatives. Cincinnati: Southwestern Collee Publishing, 1997.

К главе 9

Bodie Z., A. Kane, and A. Marcus. Investments. 4th Ed. Boston: Irwin/McCraw-Hill, 1999.

Copeland, Т., Т. Koller, and J. Murrin. Valuation: Measuring and Managing the Value с

Companies. 2nd Ed. New York: John Wiley Sons, 1994.

Miller, M,. and F. Modigliani. Dividend Policy, Growth and the Valuation of Shares." Jour

nal of Business 34, October 1961.

Miller, M., and M. S. Scholes. "Dividends and Taxes." Journal of Financial Economics 6

December 1978. •

К главе 10

Arrow, K. J. "The Role Of Securities in the Optimal Allocation of Risk Bearing." Review о Economic Studies 31, April 1964. Перевод с французского статьи 1953 года. Beaver, W. H., and G. Parker, eds. Risk Management: Problems and Solutions. Stanford Stanford University Press, McGraw-Hill, 1995.

Bodie, Z., A. Kane, and A. Marcus. Investments. 4th Ed. Boston: Irwin/McGraw-Hill, 1999. Merton, R. C., and Z. Bodie. "On the Management of Financial Guarantees." Financia Management 21, Winter 1992.

Shapiro, A. C., and S. Titman. "An Integrated Approach to Corporate Financial Management." Midland Corporate Finance Journal 3, Summer 1985.

К главе 11

Bodie, Z., A. Kane, and A. Marcus. Investments. 4th Ed. Boston: Irwin/McGraw-Hill, 1999. Breeden, D. T. "Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets." Journal of Economic Theory 32, April 1984. Figlewski, S., with K. John and J. Merrick. Hedging with Financial Futures for Institutional Investors: From Theory to Practice. Cambridge: Ballinger, 1986. Smithson, C. H., and C. W. Smith with D. S. Wilford. Managing Financial Risk, Burr Ridge. 111.: Irwin 1995.

К главе 12

Bodie, Z. "On the Risk Of Stocks in the Long Run." Financial Analysts Journal, May - June

1995.

Bodie, Z., R. C. Merton, and W. Samuelson. "Labor Supply Flexibility and Portfolio Choice

in a Life-Cycle Model." Journal of Economic Dynamics and Control 15, 1992.

Markowitz, H. "Portfolio Selection." Journal of Finance 7, March 1952. Markowitz, H. Portfolio Selection: Efficient Diversification of Investments. New York- John Wiley Sons, 1959.

Merton, R. C. "An Analytical Derivation of the Efficient Portfolio Frontier." Journal of Financial and Quantitative Analysis 10, Septemberl972. Merton, R. C. Continuous-Time Finance Rev. Ed. London: Basil Blackwell, 1992. Tobin, J. Liquidity Preference as Behavior Towards Risk." Review of Economic Studies 25 February 1958.

К главе 13

Bodie, Z., A. Kane, and A. Marcus. Investments. 4th Ed, Boston: Irwin/McGraw-Hill, 1999. Lintner, J. " The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics 47, February 1965. Merton, R. C. "An Intertemporal Capital Asset Pricing Model" Econometrica 41, September 1973.

Merton, R. C. "A Reexamination of the Capital Asset Pricing Model." Studies in Risk and Return. Eds. J. Bicksler and I. Friend. Cambridge: Ballinger, 1977. Mossin, J. "Equilibrium in a Capital Asset Market." Econometrica 35, October 1966. Ross, S. A. "Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory 13, December 1976.

Sharpe, W. "Capital Asset Prices: A Theory of Market Equilibrium." Journal of Finance 19, September 1964.

К главе 14

Brown, К. С., and D. J. Smith. Interest Rate and Currency Swaps: A Tutorial. Charlottesville, Va.: Institute of Chartered Financial Analysts, 1995.

Hull, J., C. Options, Futures and Other Derivatives. 3rd Ed. Upper Saddle River, N.J.: Prentice-Hall, 1977.

Jar-row, R., and S. Tumbull. Derivative Securities. Cincinnati: Southwestern Collee Publishing, 1996.

Stoll, H., and R. E. Whaley. Futures and options. Cincinnati: Southwestern Collee Publishing, 1993.

К главе 15

Black, F., and M. S. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81, May - June 1973.

Merton, R. C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, Spring 1973.

Merton, R. C. "An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance: An Application of Modem Option Pricing Theory." Journal of Banking and Finance 1, June 1977.

Merton, R. C. "On the Pricing of Contingent Claims and the Modigliani-Miller Theorem." Journal of Financial Economics 5, November 1977.

Merton, R. C. "Applications of Option-Pricing Theory: Twenty-Five Years Later." Les Prix Nobel 1997. Stockholm: Nobel Foundation. Rpt. in American Economic Review, June 1998. Scoles, M. S. "Derivatives in a Dynamic Environment." Les Prix Nobel 1997. Stockholm:

Nobel Foundation. Rpt. in American Economic Review, June 1998.

К главе 16

Chew, D. The New Corporate Finance: Where Theory Meets Practice. New York: McGraw-

Hill, 1993.

Harris, M., and A. Raviv. "The Theory of Capital Structure." Journal of Finance 46, March

1991.

Merton, R. C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance 29, May 1974.

Miles, J., and R. Ezzel. "The Weighted Average Cost of Capital, Perfect Capital Markets and Project Life: A Clarification." Journal of Financial and Quantitative Analysis 15, September 1980.

Modigliani, F., and M. Miller. "The Cost of Capital, Corporation Finance, and the Theory

of Investment." American Economic Review 48, June 1958.

Myers, S. C. "Interactions of Corporate Finance and Investment Decisions: Implications for

Capital Budgeting." Journal of Finance 29, March 1974.

Taggart, R. "Secular Patterns in the Financing of U. S. Corporations." Ed. B. Freedman.

Corporate Capital Structure in the United States. Chicago: University of Chicago Press, 1985.

К главе 17

Coase, R. H. "The Nature of the Firm." Economica 4, 1937. Coase, R. H. The Firm, the Market and the Law. Chicago: University of Chicago Press, 1988. Dixit, A., and R. Pindyck. Investment under Uncertainty. Princeton: Princeton University Press 1994.

Jensen, M. "Agency Costs of Free Cash Flow, Corporate Finance and Takeovers." American Economic Review 76, May 1986.

Jensen, M., and W. H. Meckling. "Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure." Journal of Financial Economics 3, October 1976. Kester, W. C. "Today's Options for Tomorrow Growth." Harvard Business Review, March -April 1984.

Merton, R. C., and S. C. Mason. "The Role of Contingent Claims Analysis in Corporate Finance." Recent Advances in Corporate Finance. Ed. E. I. Altman and M. G. Subrahmanyam. Homewood, 111.: Richard D. In/in, 1985.

Myers, S. C. "Finance Theory and Financial Strategy." Interfaces 14, January - February 1984.

Scholes, M. S., and M. A. Wolfson. Taxes and Business Strategy: A Planning Approach. Englewood Cliffs, N.J.: Prentice-Hall, 1992.

Trigerorgis, L. Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge: MIT Press, 1996.

СЛОВАРЬ ТЕРМИНОВ

• Актив (asset) — все, что имеет какую-либо экономическую ценность, стоимость.

• Актуарий (actuary) — эксперт страховой компании в области математического и статистического анализа, выполняющий расчет страховых премий и рисков.

• Акции быстрорастущих компаний (growth stocks) — акции компаний, имеющих сравнительно высокий коэффициент Р/Е в связи с тем, что их инвестиционная политика направлена на то, чтобы ставка доходности по будущим инвестициям превышала рыночную учетную ставку.

• Альтернативная стоимость капитала (opportunity cost of capital) — ожидаемая ставка доходности при инвестировании капитала в какой-либо актив с одинаковой степенью риска

• Амортизационный график (amortization schedule) — план-график описывающий процесс погашения займа выплатами, объединяющими как проценты так и части основной суммы долга

• Амортизация (amortization) — постепенное погашение кредита по определенному графику равномерными частями.