Имя материала: Инвестиции

Автор: Шарп У.

Рекомендуемая литература

Достаточно полный список литературы по фондовым рынкам США можно найти в работе:

Robert A. Schwartz, Equity Markets (New York: Harper & Row, 1988).

Другую полезную информацию по обсуждаемым вопросам можно найти в следующих справочных пособиях, издаваемых ежегодно:

New York Stock Exchange, Fact Book: 1992 Data, 1993. (New York Stock Exchange, Publications Department, 11 Wall St., New York, NY 10005.)

American Stock Exchange, American Stock Exchange 1992 Fact Book, 1993. (American Stock Exchange, Publications Department, 86 Trinity Place, New York, NY 10006.)

National Association of Security Dealers, 1993 Nasdaq Fact Book & Company Directory, 1993. (National Association of Security Dealers, NASD MediaSourse, P.O. Box 9403, Gaithersburd, MD 20898-9403.)

London Stock Exchange, Stock Exchange Official Yearbook 1992-1993, 1993. (The Publicity and Promotions Department, The London Stock Exchange, London EC2N 1HP, U.K.) Toronto Stock Exchange Press, 1992 Official Trading Statistics. (The Toronto Stock Exchange, Strategic Research & Planning, The Exchange Tower, 2 First Canadian Place, Toronto, Ontario M5X 1J2, Canada.)

Tokyo Stock Exchange, Tokyo Stock Exchange 1993 Fact Book. (Tokyo Stock Exchange, New York Research Office, 45 Broadway, New York, NY 10006.)

Описание зарубежных рынков ценных бумаг см. в работах:

Guiseppe Tullio and Giorgio P. Szego, eds., «Equity Markets — An International Comparison: Part A», Journal of Banking and Finance, 13, nos. 4/5 (September 1989), pp. 479-782.

Guiseppe Tullio and Giorgio P. Szego, eds., «Equity Markets — An International Comparison: Part B», Journal of Banking and Finance, 14, nos. 2/3 (August 1990), pp. 231-672.

Roger D. Huang and Hans R. Stoll, Major World Equity Markets: Current Structure and Prospects for Change, Monograph Series in Finance and Economics 1991 — 1993, New York University Salomon Center, New York, 1991.

Roger D. Huang and Hans R. Stoll, «The Design of Trading Systems: Lessons from Abroad*, Financial Analysts Journal, 48, no. 5 (September/October 1992), pp. 49—54.

К другим полезным источникам информации по внутренней структуре фондового рынка относятся работы:

James L. Hamilton, «Off-Board Trading of NYSE-Listed Stock: The Effects of Deregulation and the National Market System», Journal of Finance, 42, no. 5 (December 1987), pp. 1331-1345.

Ian Domowitz, «The Mechanics of Automated Execution Systems», Journal of Financial Intermediation, 1, no. 2 (June 1990), pp. 167-194.

Lawrence E. Harris, Liquidity, Trading Rules, and Electronic Trading Systems, Monograph Series in Finance and Economics 1990-1994, New York University Salomon Center, New York, 1990.

Peter A. Abken, «Globalization of Stock, Futures, and Options Markets*, Federal Reserve Bank of Atlanta Economic Review, 76, no. 4 (July/August 1991), pp. 1-22.

Joel Hasbrouck, George Sofianos, and Deborah Sosebee, «New York Stock Exchange Systems and Procedures», NYSE Working Paper 93-01, 1993.

Обсуждение результатов влияния листинга и делистинга на акции фирмы см. в работах:

Gary С. Sanger and John J. McConnell, «Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ», Journal of Financial and Quantitative Analysis, 21, no. 1 (March 1986), pp. 1-25.

John J. McConnell and Gary C. Sanger, «The Puzzle in Post-Listing Common Stock Returns*, Journal of Finance, 42, no. 1 (March 1987), pp. 119-140.

Gary C. Sanger and James D. Peterson, «An Empirical Analysis of Common Stock Delistings*, Journal of Financial and Quantitative Analysis, 25, no. 2 (June 1990), pp. 261-272.

Более подробную информацию по американским депозитарным распискам можно найти в работах:

Narayanan Jayarman, Kuldeep Shatstri, and Kishore Tandon, «The Impact of International Cross Listings on Risk and Return», Journal of Banking and Finance, 17, no. 1 (February 1993), pp. 91-103.

Albeit Friedman and John Erickson, investing Abroad at Home: An Investor's Guide to ADRs», AAII Journal, 15, no. 10 (November 1993), pp. 7-12.

Eric Fry, «A Guide to Investing Internationally Through the Use of ADRs», AAII Journal, 16, no. 2 (February 1994), pp. 12-15.

К эмпирическим исследованиям, посвященным вопросу торговых издержек, относятся следующие работы:

Harold Demsetz, «The Cost of Transacting», Quarterly Journal of Economics, 82, no. 1 (February 1968), pp. 33-53.

Walter Bagehot, «The Only Game in Town», Financial Analysts Journal, 27, no. 2 (March/ April 1971), pp. 12-14, 22.

Larry J. Cuneo and Wayne H. Wagner, «Reducing the Cost of Stock Trading*, Financial Analysts Journal, 31, no. 6 (November/December 1975), pp. 35—44.

Gilbert Beebower and William Priest, «The Tricks of the Trade», Journal of Portfolio Management, 6, no. 2 (Winter 1980), pp. 36-42.

Jack L. Treynor, «What Does It Take to Win the Trading Game?», Financial Analysts Journal, 37, no. 1 (January/February 1981), pp. 55-60.

Thomas F. Loeb, «Trading Cost: The Critical Link Between Investment Information and Results», Financial Analysts Journal, 39, no. 3 (May/June 1983), pp. 39—44.

Wayne H. Mikkelson and M. Megan Partch, «Stock Price Effects and Costs of Secondary Distributions*, Journal of Financial Economics, 14, no. 2 (June 1985), pp. 165—194.

Robert W. Holthausen, Richard W. Leftwich, and David Mayers, «The Effect of Large Block Transactions on Security Prices*, Journal of Financial Economics, 19, no. 2 (December 1987), pp. 237-267.

Stephen A. Berkowitz, Dennis E. Logue, and Eugene E. Noser, Jr., «The Total Cost of Transactions on the NYSE», Journal of Finance, 43, no. 1 (March 1988), pp. 97-112.

Andre F. Perold, «The Implementation Shortfall: Paper Versus Reality*, Journal of Portfolio Management, 14, no. 3 (Spring 1988), pp. 4-9.

Lawrence R. Glosten and Lawrence E. Harris, «Estimating the Components of the Bid/ Ask Spread*, Journal of Financial Economics, 21, no. 1 (May 1988), pp. 123—142.

Joel Hasbrouck, «Trades, Quotes, Inventories, and Information*, Journal of Financial Economics, 22, no. 2 (December 1988), pp. 229—252.

Hans R. Stoll, «Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests», Journal of Finance, 44, no. 1 (March 1989), pp. 115-134.

Robert W. Holthausen, Richard W. Leftwich, and David Mayers, «Large-Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects», Journal of Economics, 26, no. 1 (July 1990), pp. 71—95.

F. Douglas Foster and S. Viswanathan, «Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models», Journal of Finance, 48, no. 1 (March 1993), pp. 187-211.

Hans R. Stoll, «Equity Trading Costs In-The-Large», Journal of Portfolio Management, 19, no. 4 (Summer 1993), pp. 41-50.

Joel Hasbrouck and George Sofianos, «The Trades of Market Makers: An Empirical Analysis of NYSE Specialists*, Journal of Finance, 48, no. 5 (December 1993), pp. 1565-1593.

Ananth Madhavan and Seymour Smidt, «An Analysis of Changes in Specialist Inventories and Quotations*, Journal of Finance, 48, no. 5 (December 1993), pp. 1595—1628.

С целью получения более подробной информации по инвестиционным банкам см. работы:

Richard A. Brealey and Stewart С. Myers, Principles of Corporate Finance (New York: McGraw-Hill, 1991), Chapter 15.

Stephen A. Ross, Randolph W. Westerfield, and Jeffrey F. Jaffee, Corporate Finance (Homewood, IL: Richard D. Irwin, 1993), Chapters 19-20.

Краткий исторический экскурс в развитие американского рынка капиталов, включающий дискуссию по регулированию рынка, содержится в статье:

George David Smith and Richard Sylla, «The Transformation of Financial Capitalism: An Essay on the History of American Capital Markets*, Financial Markets, Institutions & Instruments, 2, no. 2 (1993).

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