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Asset Pricing References

All these papers concern expected returns related to these factors/characteristics

 

Total/Idiosyncratic Volatility

Ang, Adrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, The Cross-Section of Volatility and Expected Returns, Journal of Finance.  61, 1, 259-299. 

Ang, Adrew, Bob Hodrick, Yuhang Xing and Xiaoyan Zhang, 2009. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, 2009, Journal of Financial Economics, 91, 1, 1-23. 

Blitz, David and van Vliet, Pim, 2007,  The Volatility Effect: Lower Risk without Lower Return. April, Journal of Portfolio Management, pp. 102-113, Fall. 

Van Dijk, Mathijs A. 2007. , Is Size Dead? A Review of the Size Effect in Equity Returns (February 2007). Available at SSRN: http://ssrn.com/abstract=879282

Drew, M.E., Veeraraghavan, M. 2002, "Idiosyncratic volatility and security returns: evidence from the Asian region", International Quarterly Journal of Finance, Vol. 2 pp.1-13.

Falkenstein, Eric.  1994.  Mutual Funds, Idiosyncratic Variance, and Asset Returns.  PhD. Dissertation.  Northwestern University.

Haugen, Robert A. 1995. The new finance : the case against efficient markets, Contemporary issues in finance. Englewood Cliffs, N.J.: Prentice Hall.

Haugen, RA, and NL Baker. 1996. Commonality in the determinants of expected stock returns. Journal of Financial Economics 41 (3):401-439.

Haugen , Robert A. and Baker, Nardin L., Case Closed (November 20, 2008). The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, John B. Guerard Jr., ed., Forthcoming. Available at SSRN: http://ssrn.com/abstract=1306523

Han, B., and A. Kumar, 2008, “Retail Clienteles and the Idiosyncratic Volatility Puzzle,”. Working Paper, University of Texas at Austin

Jacobs, K, And Kq Wang. 2004. Idiosyncratic consumption risk and the cross section of asset returns. The Journal of Finance 59 (5):2211-2252.

Lehmann, Bruce N., 1990, Residual risk revisited, Journal of Econometrics 45, 71-97.

Malkiel, B. and Y. Xu, 2001, Idiosyncratic Risk and Security Returns, Unpublished Working Paper, University of Texas at Dallas.

Xu, Y., Malkiel, B.G. 2003, "Investigating the behavior of idiosyncratic volatility", Journal of Business, Vol. 76 No.4, pp.613-44.

Beta, Value, Size, and Momentum (the factors)

Basu, S. 1977. Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis.

Banz, RW. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3-18.

Beltratti, A., Massimo, D. 2002, "The cross-section of risk premia in the Italian stock market", Economic Notes, Vol. 31 pp.389-416.

Black, F, MC Jensen, and M Scholes. 1972. The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Markets 81:79–121.

Black, Fischer. 1993. Estimating expected return. Financial Analysts Journal 49:36-36.

Black, Fischer, 1993,  Beta and return, Journal of Portfolio Management, 20.

Blume, Marshall. 1975. Betas and Their Regression Tendencies. Journal of Finance. 30: 785-95.

Blume, Marshall and Irwin Friend, 1973. "A New Look at the. Capital Asset Pricing Model," Journal of Finance

Capeci, John. 2007. Beta Arbitrage. ArrowStreet Capital.

Campbell, J. and T. Vuolteenaho, 2004, Bad Beta, Good Beta, American Economic Review, 94, 1249-1275.

Chen, Long, Novy-Marx, Robert and Zhang, Lu, An Alternative Three-Factor Model (April 1, 2010). Available at SSRN: http://ssrn.com/abstract=1418117

Coleman R.D. 1997. A history of the Size Effect.

Daniel, K, and S Titman. 1998. Characteristics or covariances? (Digest Summary). Journal of Portfolio Management 24 (4):24-33.

Fama, Eugene F. and James D. MacBeth, 1973. “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy, 3 1973, 81, 607–636.

Fama, Eugene F, and Kenneth R. French, 1992,  The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.

Fama, Eugene F and Kenneth French. 2004. The Capital Asset Pricing Model: Theory and Evidence.

Fama, E., and K. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.

Fama, E., and A French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50:131-131.

Fama, E., and K. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, 55-84.

Fama, E, and K French. 2006. The value premium and the CAPM.. The Journal of Finance 61 (5): 2163-2185.

Fama, E, K French, and J Davis. 2000. Characteristics, covariances and average returns 1929–1997. Journal of Finance 55 (1):389–406.

Fletcher, J. 1997, "An examination of the cross-sectional relationship of beta and return: UK evidence", Journal of Economics and Business, Vol. 49 pp.211-21.

Ghysels, E., P. Santa-Clara, and R. Valkanov, 2005, There Is a Risk-Return Tradeoff After All, Journal of Financial Economics, Forthcoming.

Guo, H., 2005, Time-Varying Risk Premia and the Cross Section of Stock Returns, Journal of Banking and Finance, Forthcoming.

Harrison, P. and H. Zhang, 1999, An Investigation of the Risk and Return Relation at Long Horizons, Review of Economics and Statistics, 81, 399-408.

Heston, S.L., Rouwenhorst, G.K., Wessels, R.E. 1999, "The role of beta and size in the cross-section of European stock returns", European Financial Management, Vol. 5 pp.9-27.

Hwang, Soosung and Rubesam, Alexandre, Is Value Really Riskier than Growth? (March 2007). AFA 2007 Chicago Meetings Paper; Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=891707

Jagannathan, Ravi, and Z Wang,  1996,  The Conditional CAPM and the Cross-Section of  Expected Returns,  The Journal of Finance 51, 3-53.

Jagannathan, Ravi, and Zhenyu Wang, 1993, The CAPM is alive and well, Staff Report  165, Federal Reserve Bank of Minneapolis.

Jegadeesh, N, and S Titman. 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal Of Finance 48:65-65

Knez, P.J., and M.J. Ready. 1997.  On the robustness of size and book-to-market in cross-sectional regressions. Journal Of Finance  52:1355-1382.

Kandel, S, and RF Stambaugh. 1995. Portfolio inefficiency and the cross-section of expected returns. Journal Of Finance 50:157-157.

Kothari, SP, and J Shanken. 1992. Stock return variation and expected dividends: A time series and cross-sectional analysis. Journal of Financial Econ

Kothari, SP, J Shanken, and RG Sloan. 1995. Another look at the cross-section of expected stock returns. Journal Of Finance 50:185-185.

Lettau, Martin and Ludvigson, Sydney C., Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia wre Time-Varying (November 1999). Eleventh Annual Utah Winter Conference; AFA 2001 New Orleans; FRB of New York Staff Reports, No. 93. Available at SSRN: http://ssrn.com/abstract=203369 or doi:10.2139/ssrn.203369

Loughran, Tim and Houge, Todd, Do Investors Capture the Value Premium?. Financial Management, Vol. 35, No. 2, Summer 2006. Available at SSRN: http://ssrn.com/abstract=929701

Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and

Lucas, R. 1978. Asset prices in an exchange economy. Econometrica 46 (6):1429-1445.

Lewellen, Jonathan and Stefan Nagel. 2006.  “The Conditional CAPM Does Not Explain Asset Pricing Anomalies,” Journal of Financial Economics. 82 (2), 289–314.

Malkiel, B.G., Xu, Y. 1997, "Risk and return revisited", Journal of Portfolio Management, Vol. 23 pp.9-14.

Merton, R., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 867-87.

Miller, MH, and M Scholes. 1972. Rates of return in relation to risk: a reexamination of some recent findings. Studies in the Theory of Capital Markets.

Mossin, J. 1966. Equilibrium in a Capital Asset Market. Econometrica 34 (4):768-783.

Pastor, L., and R. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 111, 642-685.

Reinganum, MR. 1981. Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values. Journal of Financial Eeconomics.

Roll, Richard., and S. A. Ross. 1994. On the cross-sectional relation between expected returns and betas. Journal of Finance 49 (1):101-121

Ross, SA. 1993.  Is beta useful?. The CAPM controversy: policy and strategy implications for investment management, AIMR, Charlottesville, pages:11-15.

Shanken, J. 1985. Multivariate tests of the zero-beta CAPM. Journal of Financial Economics 14 (3):327–348.

Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(1), pages 1-33.

Sharpe, WF. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19 (3):425-442.

Treynor, J. 1961. Toward a theory of market value of risky assets. Unpublished Manuscript.

Options

Benzoni, Luca, Pierre Collin-Dufresne, Robert S. Goldstein. 2005. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options

Backus, David K., Chernov, Mikhail and Martin, Ian, Disasters Implied by Equity Index Options (August 2009). NBER Working Paper No. w15240

Branger, Nicole, Hansis, Alexandra and Schlag, Christian. 2009. Expected Option Returns and the Structure of Jump Risk Premia (February 20, 2009).

Broadie, Mark, Johannes, Michael S. and Chernov, Mikhail. 2007. Understanding Index Option Returns (May 3, 2007).

Ni, Sophie X. 2007. Stock Option Returns: A Puzzle.

Hodges, Stewart D., Tompkins, Robert George and Ziemba, William T. 2003. The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance. EFA 2003 Annual Conference Paper No. 135; Sauder School of Business Working Paper. Available at SSRN: http://ssrn.com/abstract=424421 or doi:10.2139/ssrn.424421

Shumway, Tyler and Coval, Joshua D., Expected Option Returns (June 2000). Available at SSRN: http://ssrn.com/abstract=189840 or doi:10.2139/ssrn.189840

Private Investments

Heaton, John, and Deborah Lucas,  1996,  Evaluating the Effects of Incomplete Markets  on Risk Sharing and Asset Pricing, Journal of Political Economy, 104, 443-87.

Heaton, J, and D Lucas. 2000. Portfolio choice and asset prices: the importance of entrepreneurial risk. The Journal of Finance 55 (3):1163-1198.

Heaton, John and Lucas, Deborah, 2001, Capital Structure, Hurdle Rates, and Portfolio  Choice — Interactions in an Entrepreneurial Firm, Working paper, University of  Chicago, Internal Revenue Service.

Moskowitz, T. J., and A. Vissing-Jorgensen. 2002. The returns to entrepreneurial investment: A private equity premium puzzle? American Economic Review 92,  745.

Leverage

Agarwal, V, and R Taffler. 2003. The distress factor effect in equity returns: market mispricing or omitted variable? Staff Research Seminar Series, M

Bhandari, LC. 1988. Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. Journal of Finance 43 (2):507-28.

Caskey, Judson A., John S. Hughes, and Jing Liu. 2008. Leverage, Excess Leverage and Future Stock Returns: SSRN.

Chelley-Steeley, P.L., Steeley, J.M.  1996, "Volatility, leverage and firm size: the UK evidence", The Manchester School of Economic and Social Studies, Vol. 64 pp.83-104.

Miller, M., "The Modigliani-Miller propositions after thirty years," Journal of Economic Perspective, Fall 1988, 2:4, 99-120.

Penman, S., S. Richardson and I. Tuna.  2007.  “The Book-to-Price Effect in Stock Returns: Accounting for Leverage.” Journal of Accounting Research 45: 427–467.

Sivaprasad, Sheeja and Muradoglu, Yaz Gulnur, Using Leverage as a Risk Factor in Explaining the Cross Section of Stock Returns (Feb 2010,). Available at SSRN: http://ssrn.com/abstract=1101504

Mutual Funds

Carhart, MM. 1997. On persistence in mutual fund performance. Journal Of Finance 52:57-82.

Jensen, MC. 1968. The performance of mutual funds in the period 1945-64. Journal of Finance 23 (2):389-416.

Malkiel, Burton G, 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance 50, 549–572.

Sharpe, William. 1966. Mutual Fund Performance. Journal of Business.

Sharpe, William, 1965. Risk-Aversion in the Stock Market - Some Empirical Evidence," Journal of Finance, September 1965, pp. 416-422

Treynor, J, and K Mazuy. 1966. Can mutual funds outguess the market. Harvard Business Review 44 (4):131-136.

Wermers, R. 2000. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs, and expenses. The Journal of Finance.

Wermers, Russ R., Mutual Fund Herding and the Impact on Stock Prices. Journal of Finance. Available at SSRN: http://ssrn.com/abstract=136738

Currencies

Alvarez, Fernando, Andy Atkeson, and Patrick Kehoe, “Time-Varying Risk, Interest Rates and Exchange Rates in General Equilibrium,” 2005. Working paper No 627 Federal Reserve Bank of Minneapolis Research Department.

Bekaert, Geert and Ivan Shaliastovich, “Long-Run Risks Explanation of Forward Premium Puzzle,” April 2007. Working Paper Duke University.

Bekaert, Geert and Robert J. Hodrick, “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” The Journal of Political Economy, October 1980, 88 (5), 829–853.

Bacchetta, Philippe and Eric van Wincoop, “Incomplete Information Processing: A Solution to the Forward Discount Puzzle,” September 2006. Working Paper University of Virginia.

Backus, David, Silverio Foresi, and Chris Telmer, “Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly,” Journal of Finance, 2001, 56, 279–304.

Bekaert, Geert, “The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets,” Journal of Business and Economic Statistics, 1995, 13 (4), 397–408.

Bekaert, Geert, and Robert J. Hodrick, “Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets,” The Journal of Finance, 1992, 47, 467–509.

Bekaert, Geert, Robert Hodrick, and David Marshall, “The Implications of First-Order Risk Aversion for Asset Market Risk Premiums,” Journal of Monetary Economics, 1997, 40, 3–39.

Brennan, Michael J. and Yihong Xia, “International Capital Markets and Foreign Exchange Risk,” Review of Financial Studies, 2006, 19 (3), 753–795.

Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen.  2008.  “Carry Trades and Currency Crashes,” NBER Macroannual.

Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo, “The Returns to Currency Speculation in Emerging Markets,” American Economic Review Papers and Proceedings, May2007, 97 (2), 333–338.

Fama, Eugene, “Forward and Spot Exchange Rates,” Journal of Monetary Economics, 1984, 14,319–338.

Farhi, Emmanuel and Xavier Gabaix, “Rare Disasters and Exchange Rates: A Theory of the Forward Premium Puzzle,” October 2007. Working Paper Harvard University.

Frachot, Antoine, “A Reexamination of the Uncovered Interest Rate Parity Hypothesis,” Journal of International Money and Finance, 1996, 15 (3), 419–437.

Frankel, Jeffrey and Jumana Poonawala, “The Forward Market in Emerging Currencies: Less Biased than in Major Currencies,” 2007. Working paper NBER No. 12496.32

Froot, Kenneth and Richard Thaler. 1990. “Anomalies: Foreign Exchange,” The Journal of Economic Perspectives, 3, 4, 179–192.

Gourinchas, Pierre-Olivier and Aaron Tornell, “Exchange Rate Puzzle and Distorted Be- liefs,” Journal of International Economics, 2004, 64 (2), 303–333.

Graveline, Jeremy J., “Exchange Rate Volatility and the Forward Premium Anomaly,” 2006. Working Paper.

Hodrick, Robert. 1987. The empirical evidence on the efficiency of forward and futures foreign exchange markets. , Harwood, New York.

Harrell Louis and Dale Fischer. 2005. The 1982 Meican peso devaluation and border area employment.

Lothian, James R. and Wu, Liuren, Uncovered Interest Rate Parity over the Past Two Centuries (June 12, 2003). Available at SSRN: http://ssrn.com/abstract=585462

Lustig, Hanno N., Roussanov, Nikolai L. and Verdelhan, Adrien, Common Risk Factors in Currency Markets (June 25, 2009). Paris December 2008 Finance International Meeting AFFI - EUROFIDAI. Available at SSRN: http://ssrn.com/abstract=1139447

Kemp, MC, RJ Hodrick, and HY Wan. 2001. The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets: Routledge.

Plantin, Guillaume and Hyun Song Shin, “Carry Trades and Speculative Dynamics,” July 2007. Working Paper Princeton University.33

Stambaugh, Robert F., “The information in forward rates : Implications for models of the term structure,” Journal of Financial Economics, May 1988, 21 (1), 41–70.

World Equity Returns

Barro, RJ. 2006. Rare disasters and asset markets in the twentieth century. The Quarterly Journal of Economics 121 (3):823-866.

Brown, S., W. Goetzmann, R. Ibbotson and S. Ross, 1992, Survivorship Bias in  Performance Studies Review of Financial Studies 5, 553-580.

Brown, S., W. Goetzmann, R. Ibbotson and S. Ross, 1995, Survival. NYU Working Paper No. FIN-94-021. Available at SSRN: http://ssrn.com/abstract=1299392

Dahlquist, Magnus, and Ravi Bansal. 2002. Expropriation Risk and Return in Global Equity Markets: SSRN.

Dimson, E., Marsh, P. (2001), "U.K. financial market returns, 1955-2000", Journal of Business, Vol. 74 pp.1-31.

Dimson, Elroy, Paul Marsh and Mike Staunton, Mike, 2006, The Worldwide Equity Premium: A Smaller Puzzle, EFA Zurich Meetings Paper  http://ssrn.com/abstract=891620.

Erb, Cb, Cr Harvey, And Te Viskanta. 1995. Country risk and global equity selection. Journal of Portfolio Management 21 (2):74-83.

Goetzmann, William N. and Jorion, Philippe, Re-Emerging Markets. Journal of Financial and Quantitative Analysis, March 1999. Available at SSRN: http://ssrn.com/abstract=142143

Distressed Company Equities

Agarwal, Vineet and Taffler, Richard J,  The Distress Factor Effect in Equity Returns:  Market Mispricing or Omitted Variable?  EFMA 2003 Helsinki Meetings.

Campbell, John Y,  Jens Hilscher and Jan Szilagyi, 2005. In Search of Distress Risk,  Harvard Institute of Economic Research, Working Papers 2081.

Dichev, Ilya, 1998, Is the Risk of Bankruptcy a Systematic Risk?  Journal of Finance  53, 1131-1148. 

Griffin, JM, and ML Lemmon. 2002. Book-to-market equity, distress risk, and stock returns. The Journal of Finance 57 (5):2317-2336.

Opler, TC, and S Titman. 1994. Financial distress and corporate performance. Journal Of Finance 49:1015-1015.

Vassalou, Maria, and Yuhang Xing, 2004, Default Risk in Equity Returns, Journal of Finance 59, 831-68.

Zhang, Lu. 2007. Discussion: "In Search of Distress Risk" by Campbell, Hilscher and Szilagyi.

High Yield and Distressed Bonds

Altman, Edward and Gaurav Bana,  2004,  Defaults and Returns on High Yield Bonds,   Journal of Portfolio Management, Winter 30,  58-73

Altman, Edward and William Stonberg,  2006,  The Market in Defaulted Bonds and Bank  Loans,  Journal of Portfolio Management,  Summer.

Kozhemiakin, A. 1997. The risk premium of corporate bonds. Journal of Portfolio Management (Winter 2006).

Yield Curve

Ang, Andrew, Geert Bekaert and Min Wei. 2007. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?"  Journal of Monetary Economics, 54, 1163-1212.

Campbell, J. Y. 1987. Stock returns and the term structure. Journal of Financial Economics 18 (2):373-399.

Cochrane, John H.,, Asset Pricing, Princeton, N.J.: Princeton University Press, 2001. and Monika Piazzesi, “Bond Risk Premia,” The American Economic Review, March 2005,

Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, “A Theory of the Term Structure of Interest Rates,” Econometrica, 1985, 53 (2), 385–408.

Dai, Q, and KJ Singleton. 2002. Expectation puzzles, time-varying risk premia, and affine models of the term structure. Journal of Financial Economics

Ilmanen, A. 1996. When do bond markets reward investors for interest rate risk? Journal of Portfolio Management 22:52-65.

Commodities/Futures

Erb, C. B., and C. R. Harvey. 2006. The strategic and tactical value of commodity futures. Financial Analysts Journal 62 (2):69-97.

Gorton, G, and G. Rouwenhorst, 2005, Facts and Fantasies About Commodity Futures, forthcoming Financial Analysts Journal.

Movies

DeVany, AS. 2004. Hollywood Economics: How Extreme Uncertainty Shapes the Film Industry: Routledge.

DevVany, Art,  2003.  Hollywood Economics (Routledge). 

DeVany, Arthur S. and Walls, W. David. 2000. Does Hollywood Make Too Many R-Rated Movies?: Risk, Stochastic Dominance, and the Illusion of Expectation (June 5, 2000). Available at SSRN: http://ssrn.com/abstract=231635 or doi:10.2139/ssrn.231635

Sportsbooks

Cain, Michael, David Law, and David Peel, 2000, The Favourite-Longshot Bias and  Market Efficiency in UK Football betting,  Scottish Journal of Political Economy  47,  25-36.

Hausch, Donald B, Victor Lo and William T. Ziemba, Eds. 1994. Efficiency of Racetrack Betting Markets, Academic Press, San Diego.

Thaler, Richard and William Ziemba. "Parimutual Betting Markets: Racetracks and Lotteries." Journal of Economic Perspectives 2(2), (1988):161-174

Woodland, Linda M. and Bill M. 1994. Market Efficiency and the Favorite-Longshot Bias: The Baseball Betting Market. Journal of Finance.

Winter, Stefan and Kukuk, Martin, Risk Love and the Favorite-Longshot Bias: Evidence from German Harness Horse Racing. Available at SSRN: http://ssrn.com/abstract=940368

Ziemba, William T. and Donald B. Hausch.  1986.   Beat the Racetrack.  San Diego: Harcourt, Brace & Jovanovich.

Lotteries

Bhattacharyya, Nalinaksha and Garrett, Thomas A., "Why People Choose Negative Expected Return Assets - An Empirical Examination of a Utility Theoretic Explanation" (March 15, 2006). Available at SSRN: http://ssrn.com/abstract=891759

Coughlin, Cletus C., and Thomas A. Garrett. 2008. Income and Lottery Sales: Transfers Trump Income from Work and Wealth. St. Louis Fed Working Paper.

Garrett, Thomas A, and Russell S, Sobel. 2004, State Lottery Revenue: The Importance of  Game Characteristics, Public Finance Review 32,  313-330.

Aggregate Volatility over Time

Rosenberg, Joshua V, and Adrian, Tobias. 2006. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (July). FRB of New York Staff Report No. 254.

Amromin, Gene and Sharpe, Steven A., Expectations of Risk and Return Among Household Investors: Are Their Sharpe Ratios Countercyclical? (February 20, 2009). Available at SSRN: http://ssrn.com/abstract=1327134

French, K., W. Schwert, and R. Stambaugh, 1987, Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.

Glosten, L., R. Jagannathan, and D. Runkle, 1993, On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, 48, 1779-1801.

Goyal, A. and P. Santa-Clara, 2003, Idiosyncratic Risk Matters! Journal of Finance, 58, 975-1007.

Nelson, DB. 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59 (2):347-370.

Whitelaw, R., 1994, Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns, Journal of Finance, 49, 515-541.

Initial Public Offerings

Loughran, T, and JR Ritter. 1995. The new issues puzzle. Journal Of Finance 50:23-23.

J. Ritter's IPO website

Analyst disagreement

Anderson, Evan W., Ghysels, Eric and Juergens, Jennifer L. 2009. The Impact of Risk and Uncertainty on Expected Returns.

Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002. "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.

Diether, KB, CJ Malloy, and A Scherbina. 2002. Differences of opinion and the cross section of stock returns. The Journal of Finance 57 (5):2113-2141.

Easley, D., S. Hvidkjaer, and M. O’Hara, 2002, Is Information Risk a Determinant of Asset Returns? Journal of Finance, 57, 2185-2221.

Gharghori, Philip, Veeraraghavan, Madhu and See, Quin, Is Difference of Opinion Among Investors a Source of Risk? (May 2007). Available at SSRN: http://ssrn.com/abstract=975003

Hong, H. and J. Stein, 2003, Differences of Opinion, Short-Sales Constraints and Market Crashes, Review of Financial Studies, 16, 487-525.

Miller, E., 1977, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151-1168.

O'Hara, M. 2003. Presidential address: liquidity and price discovery. The Journal of Finance 58 (4):1335-1354.

Priestley, Richard and Bernt Arne Ødegaard. 2005. Another look at Breadth of Ownership and Stock Returns

Equity Risk Premium

Barber, Brad and Terrance Odean, 2000, Too Many Cooks Spoil the Profits: The  Performance of Investment Clubs,  Financial Analyst Journal 56, 17-25.

Barber, Brad M., Yi-Tsung, Lee,  Yu-Jane Liu, and Terrance Odean,  2005,  Do Individual  Day Traders Make Money? Evidence from Taiwan,  January, SSRN:  http://ssrn.com/abstract=529063

Barber, Brad, and Terrance Odean, 2001, Trading is Hazardous to Your Wealth: The  Common Stock Investment Performance of Individual Investors, Journal of Finance  55, 773-806

Blanchard, Olivier Jean, 1993, Movements in the equity premium, Brookings Papers on  Economic Activity, Macroeconomics 2, 75–118.

Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.

Blum, Michael, and Niall J. Gannon. 2006, After-Tax Returns on Stocks Versus Bonds for the High Tax Bracket Investor, Journal of Wealth Management. Fall

Conrad, J, and G Kaul. 1993. Long-term market overreaction or biases in computed returns? Journal Of Finance 48:39-39.

De Santis, Massimiliano. 2004. Movements in the Equity Premium: Evidence from a Bayesian Time Varying VAR: SSRN.

Dichev, Ilya, 2007, What are Stock Investors Actual Historical Returns? Evidence from Dollar Weighted Returns,  American Economic Review, 97. 

Fama, E. and French, K. 2002. The equity premium. The Journal of Finance 57 (2):637-659.

Fernandez, Pablo. 2004. Market Risk Premium: Required, Historical and Expected (October 6, 2004). Available at SSRN: http://ssrn.com/abstract=601761

Fernandez, Pablo, The Equity Premium in 100 Textbooks (February 2, 2009). Available at SSRN: http://ssrn.com/abstract=1148373

Fernandez, Pablo, Market Risk Premium Used in 2008 by Professors: A Survey with 1,400 Answers (April 16, 2009). Available at SSRN: http://ssrn.com/abstract=1344209

Fisher, L, and JH Lorie. 1964. Rates of return on investments in common stocks. Journal of Business 37 (1).

Fisher, L, and JH Lorie. 1968. Rates of return on investments in common stock: the year-by-year record, 1926-65. Journal of Business 41 (3):291.

Jagannathan, R, ER McGrattan, and A Scherbina. 2000. The declining us equity premium. Federal Reserve Bank Of Minneapolis Quarterly Review 24 (4):3-19

Jones, Charles,  2002,  A Century of Stock Market Liquidity and Trading Costs,  Working Paper Columbia University.

Mehra, R, and EC Prescott. 1985. The equity premium: a puzzle. Journal of Monetary Economics 15 (2):145-161.

Odean, Terrance. 1999. Do Investors Trade Too Much?", American Economic Review, Vol. 89, December 1999, 1279-1298

Rietz, TA. 1988. The equity risk premium: a solution. Journal of Monetary Economics 22 (1):117–131.

Shumway, T. 1997. The delisting bias in crsp data. Journal Of Finance 52:327-340.

Siegel, Jeremy J, 2002. Stocks for the Long Run, 3rd ed. (New York: McGraw Hill).

Weitzman, ML. 2005. A Unified Bayesian Theory of Equity ‘Puzzles’, Cambridge: Harvard.

Welch, Ivo, Research Roundtable Discussion: The Market Risk Premium (June 30, 2000). Available at SSRN: http://ssrn.com/abstract=234713

Welch, Ivo, 2001, The Equity Premium Consensus Forecast Revisited, Cowles  Foundation Discussion Paper #1325, Yale University.

Welch, Ivo. 2008. The Consensus Estimate for the Equity Premium by Academic Financial Economists in December 2007: SSRN.

Utility functions

Alchian, A. 1953. The meaning of utility measurement. American Economic Review 43:26-50.

Ariely, D. 2008. Predictably Irrational: The Hidden Forces that Shape Our Decisions: HarperCollins.

Beetsma, RMWJ, and PC Schotman. 2001. Measuring risk attitudes in a natural experiment: data from the television game show lingo. The Economic Journal

Brickman, P, and DT Campbell. 1971. Hedonic relativism and planning the good society. Adaptation-level theory: A symposium:287–302.

Caplan, Bryan,  2007,  The Myth of the Rational Voter: Why Democracies Choose Bad  Policies,  Princeton University Press.

Constantinides, GM. 1990. Habit formation: a resolution of the equity premium puzzle. Journal of Political Economy 98 (3):519.

Coval, Joshua D, and Tobias J. Moskowitz, 1999, Home Bias at Home: Local Equity Preference in Domestic Portfolios, Journal of Finance 54, 2045–2073.

Deck, Cary A., Jungmin Lee, and Javier A. Reyes. 2006. Risk Attitudes in Large Stake Gambles: Evidence from a Game Show.

Epstein, Larry G. and Zin, Stanley E.. 1989. Substitution, Risk Aversion, and the Temporal Behavior of Consumption Growth and Asset Returns I: A Theoretical Framework, , Econometrica, Vol. 57, No. 4. July, pp. 937-969.

Fama, Eugene. Confidence in the Bell Curve. Dimensional Fund Advisors.

Fisher, Kenneth L., Jennifer Chou, and Lara W. Hofrmans. 2007. The only three questions that count : investing by knowing what others don't. Hoboken,

Friedman, M, and LJ Savage. 1948. The utility analysis of choices involving risk. The Journal of Political Economy 56 (4):279.

Friedman, M. 1953. Essays in Positive Economics: University Of Chicago Press.

Gerber, Hans U and Gérard Pafumi, “Utility Functions: From Risk Theory To Finance,” North American Actuarial Journal, Volume 2 (July 1998), 74-100.

Hersh, S. 1999. Beyond Greed and Fear. Harvard Business School Press.

Holt, CA, and SK Laury. 2002. Susan K. Risk aversion and incentive effects. American Economic Review 92 (5):1644-55.

Levy, H. and Markowitz, H.M. (1979), “Approximating expected utility by a function of mean and variance”, American Economic Review, June.

Machina, MJ. 1982. Expected utility. Analysis without the Independence Axiom. Econometrica 50 (2):277-323.

Markowitz, H. 1952. The Utility of Wealth. The Journal of Political Economy 60 (2):151.

Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons. (reprinted by Yale University Press, 1970, ISBN 978-0300013726; 2nd ed. Basil Blackwell, 1991, ISBN 978-1557861085)

Milgrom, Paul; Stokey, Nancy (February 1982). "Information, trade and common knowledge". Journal of Economic Theory 26 (1): 17–27.

Rabin, Mathew. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Econometrics, 68:5, pp. 1281-292, September 2000.

Rabin, Matthew, and Richard Thaler. 2001. Risk Aversion ,Journal of Economic Perspectives, 15: 1, pp. 219-32, winter.

Schechter, L. 2007. Risk aversion and expected-utility theory: A calibration exercise. Journal of Risk and Uncertainty 35 (1):67-76.

Shefrin, Hersh, Meir Statman,  1985,  The Disposition to Sell Winners Too Early and Ride  Losers Too Long: Theory and Evidence,  The Journal of Finance, Vol. 40, No. 3, Papers and Proceedings of the Forty-Third Annual Meeting American Finance  Association, Dallas, Texas, December 28-30, 1984 (Jul., 1985), 777-790.

Verdelhan, Adrien, “A Habit Based Explanation of the Exchange Rate Risk Premium,” 2005. Working Paper Boston University. 34

Viscusi, WK, and WN Evans. 1990. Utility functions that depend on health status: estimates and economic implications. American Economic Review 80 (3):

Von Neumann, John, and Oskar Morgenstern. 1944. Theory of games and economic behavior. Princeton: Princeton University Press.

Asset Pricing Classics

Bernstein, Peter L. 1992. Capital ideas : the improbable origins of modern Wall Street. New York: Free Press.

Bernstein, Peter L. 1998. Against The Gods : The Remarkable Story Of Risk. New York; Chichester: Wiley.

Bernstein, Peter.  2005.  Most Nobel minds.  CFA Magazine.  Nov-Dec.

Bernstein, Peter L. 2007. Capital ideas Evolving. Wiley.

Cochrane, John H. 1999. New facts in finance. Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.

Cox, JC, JE Ingersoll, and SA Ross. 1985. An intertemporal general equilibrium model of asset prices. Econometrica 53 (2):363-384.

DeBondt, WFM, and R Thaler. 1985. Does the stock market overreact. Journal of Finance 40 (3):793-805.

Gibbons, M. R. 1982. Multivariate Tests Of Financial Models - A New Approach. Journal of Financial Economics 10 (1):3-27.

Gibbons, MR, SA Ross, and J Shanken. 1989. A test of the efficiency of a given portfolio. Econometrica 57 (5):1121-1152.

Graham, B. 2003. The Intelligent Investor: HarperCollins.

Grossman, S and Stiglitz. 1980. On the impossibility of informationally efficient markets. NBER Working Paper.

Harrison, Michael, and David Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 20, 381-408

Kahneman, D, and A Tversky. 1979. Prospect theory: an analysis of decision making under risk. Econometrica 47 (2):263-291.

Keynes, JM.. 1936. The General Theory. London, New York.

Keynes, JM.. 1978. The Collected Writings of John Maynard Keynes. Volume 14. The General Theory and After: Defence and Development. Cambridge University.

Keynes, John Maynard. 1990. The Collected Writings of John Maynard Keynes: Volume 8, A Treatise on Probability: Cambridge University Press.

Knight, Frank, 1921. Risk, Uncertainty, and Profit (Hart, Schaffner & Marx).

Malkiel, Burton Gordon. 2003. A random walk down Wall Street : the time-tested strategy for successful investing. New York: W.W. Norton.

Mandelbrot, B. 1963. The variation of certain speculative prices. Journal of Business 36 (4):394.

Markowitz, H. 1952. Portfolio Selection. Journal of Finance 7 (1):77-91.

Markowitz. Harry. 1999. The Early History of Portfolio Theory: 1600-1960. Financial Analysts Journal.

Milton Friedman (1953), Essays in Positive Economics, Univ. of Chicago Press.

Roll, Richard., 1977 A critique of the asset pricing theory's tests. Journal of Financial Economics 4, 129-176

Ross, Steven A. 1976. The arbitrage pricing theory of capital asset pricing. Journal of Economic Theory 13 (3):341-360.

Rubinstein, M. 1973. The fundamental theorem of parameter-preference security valuation. Journal of Financial and Quantitative Analysis 8 (1):61-69.

Rubinstein, M. "An Aggregation Theorem for Securities Markets." Journal of Financial Economics, Vol. 1 (1974), pp. 225-244

Rubinstein, M. 2002. Markowitz's portfolio selection: a fifty-year retrospective. The Journal of Finance 57 (3):1041-1045.

Rubinstein, M. 2006. A History of the Theory of Investments: My Annotated Bibliography: Wiley.

Shanken, Jay, 1992. " The Current State of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 47(4), pages 1569-74, September.

Sharpe, William,  1992,  Asset Allocation: Management with Style and Performance Measurement,  Journal of Portfolio Management 18, 7-19.

Tobin, J. 1958. Liquidity preference as behavior towards risk. Review of Economic Studies 25 (2):65-86.

Liquidity

Amihud, Y., 2002, Illiquidity and Stock Returns, Journal of Financial Markets, 5, 31-56.

Amihud, Yakov and Haim Mendelson, 1986, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17,  223-249.

Minimum Variance Portfolios

Amihud, Y., 2002, Illiquidity and Stock Returns, Journal of Financial Markets, 5, 31-56.

Amihud, Yakov and Haim Mendelson, 1986, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17,  223-249.

Clarke, Roger, Harindra de Silva, Steven Thorley,  2006,  Minimum-Variance Portfolio in  the U.S. Equity Market,  Journal of Portfolio Management.

Connor, G, and RA Korajczyk. 1993. A test for the number of factors in an approximate factor model. Journal Of Finance 48:1263-1263.

Connor, Gregory and Robert Koraczyk,  1995,  The Arbitrage Theory and Multifactor  Models of Asset Returns,  Handbooks in Operations Research and Management Science,  9, edited by R. Jarrow, V. Maksimovic, and W. Ziemba, North Holland; Amsterdam. 

Connor, Gregory, and Robert A. Korajczyk. 2007. Factor Models of Asset Returns.

Jagannathan, Ravi Tongshu Ma, 2003, Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.

Jones, CS. 2001. Extracting factors from heteroskedastic asset returns. Journal of Financial Economics 62 (2):293-325.

Memmel, Christoph and Kempf, Alexander, Estimating the Global Minimum Variance Portfolio. Available at SSRN: http://ssrn.com/abstract=940367

Nielsen, Frank and Raman Aylursubramanian. 2008. Far from the Madding Crow--Volatility Efficient Indices. MSCI Barra Research Insights.

Schwartz, Tal,  2000,  How to Beat the S&P500 with Portfolio Optimization, Unpublished Manuscript.  http://www.departments.bucknell.edu/management/apfa/Dundee%20Papers/27Schwartz.pdf

New asset pricing theory

Bansal, Ravi, Dittmar, Robert F. and Kiku, Dana, Long Run Risks and Equity Returns (March 2006). AFA 2007 Chicago Meetings Paper

Bansal, Ravi and Amir Yaron, “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,” Journal of Finance, 2004, 59 (4), 1481 – 1509.

Beeler, Jason and Campbell, John Y. 2009. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (March). NBER Working Paper Series.

Bossaerts, PL. 2002. The Paradox Of Asset Pricing: Princeton University Press Princeton, NJ.

Brennan, Michael J. Xia, Yihong. 2004. TAY's as good as CAY.

Brennan, M., A. Wang, and Y. Xia, 2004, Estimation and Test of a Simple Model of Intertemporal Asset Pricing, Journal of Finance, 59, 1743-1775.

Chen, Nai-Fu, Richard R. Roll, and Stephen A. Ross, 1986, Economic Forces and the Stock Market, Journal of Business, 59(3), 383–404.

Jacobs, Kris and Kevin Wang,  2004,  Idiosyncratic Consumption Risk and the Cross Section of Asset Returns,  The Journal of Finance  59, 2211-2252

Jagannathan, R, And Y Wang. 2007. Lazy investors, discretionary consumption, and the cross-section of stock returns. The Journal of Finance 62 (4):162

Lettau, M, and S Ludvigson. 2001. Consumption, aggregate wealth, and expected stock returns. The Journal of Finance 56 (3):815-849.

Lettau, M, and S Ludvigson. 2005. tay's as good as cay: Reply. Finance Research Letters..

Happiness

Ada Ferrer-i-Carbonell, Paul Frijters. 2004. How important is methodology for the estimates of the determinants of happiness? The Economic Journal 114

Ball, Richard J. and Chernova, Kateryna. 2005. Absolute Income, Relative Income, and Happiness (May 2005)

Blanchflower, D, and Oswald, A, 2004, Well-being over time in Britain and the USA,  Journal of Public Economics 88, 1359–87.

Brown, DE. 1991. Human Universals, New York. McGraw-Hill.

Brown, Donald, 1991, Human Universals (McGraw-Hill).

Clark, A., Frijters, P., and Shields, M. (2008). Relative income, happiness and utility: An explanation for the easterlin paradox and other puzzles.

Easterbrook, Gregg. 2003. The Progress Paradox : How Life Gets Better While People Feel Worse. New York: Random House.

Easterlin, Richard A., 1974, Does economic growth improve the human lot? in Paul A.  David and Melvin W. Reder, eds., Nations and Households in Economic Growth: Essays  in Honour of Moses Abramovitz, (New York: Academic Press Inc).

Easterlin, RA. 1995. Will raising the incomes of all increase the happiness of all? Journal of Economic Behavior and Organization 27 (1):35-47.

Easterlin, Richard A. 1996. Growth triumphant : the twenty-first century in historical perspective, Economics, cognition, and society. Ann Arbor: Univ

Fogel, RW. 2004. The Escape from Hunger and Premature Death, 1700-2100: Europe, America, and the Third World: Cambridge University Press.

Frank, RH. 1997. The frame of reference as a public good. The Economic Journal 107 (445):1832-1847.

Frank, R. H., and C. R. Sunstein. 2001. Cost-benefit analysis and relative position. University of Chicago Law Review 68 (2):323-374.

Frank, R,H. 2004, Are Positional Externalities Different from Other Externalities?, mimeo, Cornell University.

Frey, Bruno S. and Alois Stutzer. 2005. Review of Social Economy, June . Happiness Research: State and Prospects.

Haidt, J. 2006. The Happiness Hypothesis: Finding Modern Truth in Ancient Wisdom: Basic Books.

Hamilton, Clive. 2004. The Disappointment of Liberalism and the quest for inner freedom. Clive Hamilton. Discussion Paper Number 70. August 2004

Keynes, JM. 1930. The Economic Possibilities of our Grandchildren, printed in Vol. IX of the Collected Writings of JM Keynes (1973). London: Macmillan

Knight, John. and Lisa Song. 2006. Subjective Well-Being and its Determinants in Rural China.

Layard, R. 2006. Happiness: Lessons from a New Science: Penguin.

Myers, DG. 2000. The American Paradox: Spiritual Hunger in an Age of Plenty: Yale University Press.

Schwartz, Barry. 2004. The paradox of choice : why more is less. New York: Ecco.

Veenhoven, Ruut. 1997. Advances in Understanding Happiness. Revue Québécoise de Psychologie, 1997, vol 18, pp 29-74.

Stevenson, Betsey and Justin Wolfers. 2007. Economic Growth and Subjective Well-Being: Reassessing the Easterlin Paradox.

Skewness

Ang, Andrew, Joe Chen and Yuhang Xing. 2006. Downside Risk. Review of Financial Studies, 19, 1191-1239

Atilgan, Yigit, Bali, Turan G. and Demirtas, K. Ozgur. 2010. Implied Volatility Spreads, Skewness and Expected Market Returns (July 14, 2010).

Barberis, Nicholas, and Ming Huang. 2008. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices". American Economic Review 98, 2066-2100, December 2008

Brunnermeier, Markus K., Gollier, Christian and Parker, Jonathan A. 2007. Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns (February 2007).

Engle, Robert and Abhishek Mistry. 2007. Priced Risk and Asymmetric Volatility in the Cross Section of Skewness.

Harvey, Campbell R. and Akhtar Siddique, “Conditional Skewness in Asset Pricing Tests,” Journal of Finance 55 (2000), pp. 1263–1295.

Kraus, A., and R. H. Litzenberger. 1976. Skewness preference and valuation of risk assets. Journal of Finance 31 (4):1085-1100.

Leon, Angel, Gonzalo Rubio and Gregornio Serna. 2004. Autoregresive Conditional Volatility, Skewness and Kurtosis.

Post, T, and P van Vliet. 2004. Conditional downside risk and the CAPM, ERIM Research Series. ERS-2004-048-F&A, SSRN abstract 557220.

Post, Thierry, Van Vliet, Pim and Levy, Haim, Risk Aversion and Skewness Preference: A Comment (29 2003, 04). ; Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008. Available at SSRN: http://ssrn.com/abstract=411660

Smith, Daniel R., Conditional Coskewness and Asset Pricing (May 2006). Available at SSRN: http://ssrn.com/abstract=882836

Van Vliet, Pim. 2004. Downside Risk and Empirical Asset Pricing. PhD Thesis. Erasmus University Rotterdam.

Relative Risk Utility

Abel, Andrew B, 1990, Asset Prices under Habit Formation and Catching Up with Joneses, American Economic Review 80, 43-47.

Cremers, Martijn and Petajisto, Antti. 2009. How Active is Your Fund Manager? A New Measure That Predicts Performance (March 31). AFA 2007 Chicago Meetings Paper; EFA 2007 Ljubljana Meetings Paper; Yale ICF Working Paper No. 06-14. Available at SSRN: http://ssrn.com/abstract=891719

Tooby, J, and L Cosmides. 2005. Conceptual foundations of evolutionary psychology. The handbook of evolutionary psychology:5–67.

Cole, Harold L, George J, Mailath and Andrew Postlewaite. 1992, Social Norms, Savings  Behavior, and Growth, Journal of Political Economy 100, 1092-1125.

DeMarzo, Peter M., Kaniel, Ron and Kremer, Ilan, Relative Wealth Concerns and Financial Bubbles (September 2005). Sixteenth Annual Utah Winter Finance Conference. Available at SSRN: http://ssrn.com/abstract=941509

Galí, Jordi. (1994). “Keeping Up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices,” Journal of Money, Credit, and Banking, 26, 1-8.

Gomez, Juan-Pedro, Richard Priestley, and Fernando Zapatero. 2005. Keeping Up with the Joneses: An International Asset Pricing Model.

Insel, TR, and RD Fernald. 2004. How the brain processes social information: searching for the social brain. Annual Review of Neuroscience 27 (1):697-

Pesendorfer, Martin, 1995, Design Innovation and Fashion Cycles, American Economic Review 85, 771-792.

Rayo, L, and GS Becker. 2007. Evolutionary efficiency and happiness. Journal of Political Economy 115 (2):302-337.

Roussanov, Nikolai L., Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status (May 11, 2010). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1142122

Sobel, J. 2005. Interdependent preferences and reciprocity. Journal of Economic Literature 43 (2):392-436.

Veblen, Thorstein. 1899. The theory of the leisure class; an economic study in the evolution of institutions. New York; London: The Macmillan Company;

Miscellaneous

Aragones, Enriqueta, Gilboa, Itzhak, Postlewaite, Andrew and Schmeidler, David, Fact-Free Learning (October 2004). PIER Working Paper No. 03-023; Cowles Foundation Discussion Paper No. 1491. Available at SSRN: http://ssrn.com/abstract=460203

Coelho, PRP, and JE McClure. 2008. The market for lemmas: evidence that complex models rarely operate in our world. Econ Journal Watch 5 (1):78-90.

Christelis, Dimitris, Tullio Jappelli, and MarioPadula, 2009, Cognitive abilities and portfolio choice, European Economic Review,

Frederick, Shane. 2005. Cognitive Reflection and Decision Making. Journal of Economic Perspectives, 19:4. pp 25-42.

Lek. Sam, 2003, Cleaning Up the Big Board, Traders Magazine, June 10,  http://www.tradersmagazine.com/column.cfm?id=148

Terrance, O. 1999. Do investors trade too much? American Economic Review 89 (5):1279-1298.

Goette L., Burks S., Carpenter J. & Rustichini A. (2009). Cognitive skills affect economic preferences, strategic behavior, and job attachement. Proceedings of the National Academy of Sciences, 7745 - 7750

Kumar, Alok and Goetzmann, William N., Equity Portfolio Diversification (December 2001). NBER Working Paper No. W8686. Available at SSRN: http://ssrn.com/abstract=294735

Kyle, Albert S. “Continuous Auctions and Insider Trading.” 53 Econometrica, (1985) 1315-1335.

Ng, Lilian K., Chan, Kalok and Covrig, Vicentiu, Does Home Bias Affect Firm Value? Evidence from Holdings of Mutual Funds Worldwide (March 2007). Available at SSRN: http://ssrn.com/abstract=970396

Shefrin, Hersh M., Do Investors Expect Higher Returns from Safer Stocks than from Riskier Stocks?. Journal of Psychology & Financial Markets, Vol. 2, No. 4. Available at SSRN: http://ssrn.com/abstract=297496

Tanous, Peter J, 1997, Investment Gurus, New York Institute of Finance.

Zitzewitz, E, Stanford University, and Graduate School of Business. 2006. How widespread was late trading in mutual funds? American Economic Review 96

 

 

Eric Falkenstein 7/2010