Foundations of Finance

Part 1 Historical origins: theory of speculation (the random character of stock market prices, Cambridge, Massachusetts: the MIT Press), Louis Bachelier (1964); can stock market forecasters forecast? (Econometrica), Alfred Cowles 3rd (1933). Part 2 The random walk: the analysis of economic time-series - part 1 - prices (Journal of the Royal Statistical Society), M.G.Kendall (1953); stock market "patterns" and financial analysis - methodological suggestions (Journal of Finance) Harry V. Roberts,(1959); Brownian motion in the stock market (operations research), M.F.M. Osborne (1959); the behaviour of stock market prices (Journal of Business), Eugene F. Fama (1965). Part 3 the concept of market efficiency: proof that properly anticipated prices fluctuate randomly (Industrial Management review), Paul A. Samuelson, (1965); efficient capital markets - a review of theory and empirical work (Journal of Finance), Eugene F. Fama (1970); an empirical evaluation of accounting income numbers (Journal of Accounting Research), Ray Ball, Philip Browns (1968); the adjustment of stock prices to new information (International Economic Review), Eugene F. Fama et al; the market for securities - substitution versus price pressure and the effects of information on share prices (Journal of Business), Myron S. Scholes (1972). Part 5 Strong form efficiency: can mutual funds outguess the market? (Harvard Business Review), Jack L. Treynor, Kay K. Mazuy; the performance of mutual funds in the period 1945-1964 (Journal of Finance), Michael C. Jensen; on the impossibility of informationally efficient markets (American Economic Review), Sanford J. Grossman, Joseph E. Stiglitz (1980). Part 6 Value, size and other regularities: investment performance of common stocks in relation to their price-earning ratios - a test of the efficient market hypothesis (Journal of Finance), S. Basu (1977); the relationship between return and the market value of common stocks (Journal of Financial Economics), Rolf W. Banz; main reversion in stock prices - evidence and implications (Journal of Financial Economics), James M. Poterba, Lawrence H. Summers; the long-run performance of initial public offerings (Journal of Finance), Jay R. Ritter (1991); the cross-section of expected stock returns (Journal of Finance), Eugene F. Fama, Kenneth R. French; do stock prices move too much to be justified by subsequent changes in dividends? (American Economic Review), Robert J. Schiller (1981); the equity premium - a puzzle (Journal of Monetary Economics), Rajnish Mehra, Edward C. Prescott (1985); the noise trader approach to finance (Journal of Economic Perspectives), Andrei Shleifer, Lawrence H. Summers. (Part contents).