行 為 財 務 學 的 應 用

Applications of Behavioral Finance

2012 Spring

　

一. 目的：

The purpose of the course is to review the main literature in behavioral finance, its theories, methodologies and applications in corporate finance and securities market. We will go over empirical studies that demonstrate deviations from classical theories, modeling using the concepts of behavioral effects, and forecasting based on these methods. Students are required to make oral presentations and write term papers which apply the behavioral factors to various arease in finance. In addition, a behavioral experiment will be conducted during the semester.

 

二. 課程進度:

Weeks

Topic

1

Introduction: Theory of Behavioral Finance

2

Behavioral Biases

3

Herding

4

Heterogeneous Information

5

Heterogeneous Information, Heterogeneous Agent Model

6

Probability of Informed trading

7

Over-underreaction/ Overconfidence

8

Disposition Effect

9

Bubble

10

Bubble

11

Investor Sentiment, Technical Analyst

12

Technical Analysis

13

Noise Trading & Manipulation

14

Noise Trading & Manipulation

15

Momentum、Equity Risk Premium

16

Behavioral Corporate Finance

17

Behavioral Corporate Finance

18

Final Report

 

 

三. 評分:

  類  別

分數

1. Oral presentation and homework:

50%

2.    Term paper

20%

3. Homework

20%

4. Participation

10%

 

四. Reading List

1(I) Theory

 

1.           

Yanfeng Xue and May H. Zhang, “Fundamental Analysis, Institutional Investment, and Limits to Arbitrage”, Journal of Business Finance& Accounting, Dec. 2011, pp.1156-1183.

 

2.           

Jae H. Kim, Abul Shamsuddin, Kian-Ping Lim, “Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century-Long U.S Data”, Journal of Empirical Finance, Dec 2011, pp.868-879.

 

3.          1.

William A. Branch and George W. Evans, “Asset Return Dynamics and Learning”, The Review of Financial Studies, Vol. 23, Iss. 4, April 2010, pp.1651-1680.

 

4.           

Andrew W. Lo , “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis”, Journal of Investment Consulting, 2005.

 

5.           

Lo, A., 2004, “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective”, Journal of Portfolio Management 30, 15-29.

 

6.          2.

Robert J. Shiller (2005) “Tools for Financial Innovation: Neoclassical versus Behavioral Finance” Financial Review, Vol. 41, Iss.1, 1-8.

 

7.          4.

Alexander Ljungqvist and William J. Wilhelm Jr (2005) “Does Prospect Theory Explain IPO Market Behavior?” Journal of Finance, Vol.60, Iss.4, 1759-1790.

ü

8.          5.

Alon Brav, James Breckinridge Heaton and Alexander Rosenberg (2004) “The Rational-Behavioral Debate in Financial Economics” Journal of Economic Methodology, Vol.11, Iss.4, 393-409.

 

 2(II) Herding

 

1.           

Nicole M. Boyson,, ”Implicit Incentives and Reputational Herding by Hedge Fund Managers”, Journal of Empirical Finance, Original Research Article, June 2010, pp.283-299.

 

2.           

Nicole M. Boyson, Christof W. Stahel, and René M. Stulz, “Hedge Fund Contagion and Liquidity Shocks”, The Journal of Finance, Vol.65, No.5, Oct. 2010, pp.1755.

 

3.          3.

Narasimhan Jegadeesh and Woojin Kim, “Do Analysts Herd? An Analysis of Recommendations and Market Reactions”, The Review of Financial Studies, Vol. 23, Iss. 2, February 2010, pp.901-937.

 

4.           

Riza Demirer, Ali M. Kutan, Chun-Da Chen, “Do investors herd in emerging stock markets?: Evidence from the Taiwanese market”, Journal of Economic Behavior & Organization, Vol. 76, Iss. 2, November 2010, pp. 283-295.

 

5.           

Thomas C. Chiang, Dazhi Zheng, “An empirical analysis of herd behavior in global stock markets”, Journal of Banking & Finance, Vol. 34, Iss. 8, August 2010, pp.1911-1921.

 

6.           

Nicole Choi, Richard W. Sias, “Institutional industry herding”, Journal of Financial Economics, Vol. 94, Issue 3, December 2009, pp. 469-491.

 

7.           

Natividad Blasco and Sandra Ferreruela, “Testing Intentional Herding in Familiar Stocks: An Experiment in an International Context”, Journal of Behavioral Finance, Vol. 9, Iss. 2, 2008, pp.72-84.

 

8.           

Hirofumi Uchida, Ryuichi Nakagawa, “Herd behavior in the Japanese loan market: Evidence from bank panel data”, Vol. 16, Iss. 4, October 2007, pp.555-583.

ü

9.           

Acharya, V. & T. Yorulmazer, “Info contagion and bank herding” J of Money, Credit and Banking, forthcoming.

 

10.      4.

Doron Avramov, Tarum Chordia, and Amit Goyal (2006), “The Impact of Trades on Daily Volatility”, The Review of Financial Studies, Vol, 19, No.4.

ü

11.      6.

Dan Bernhardt, Murillo Campello and Edward Kutsoati (2006), “Who Herds?”, Journal of Financial Economics, Forthcoming..

ü

12.      7.

Soosung Hwang and Mark Salmon (2004), “Market Stress and Herding” Journal of Empirical Finance 11, 585-616

 

13.      15.

Michael B.Clement and Senyo Y. Tse (2005), “Financial Analyst Characteristics and Herding Behavior in Forecasting”, Journal of Finance, Vol. 60, No. 1

 

3(III) Heterogeneous Belief

 

1.     

David Easley and Maureen O` Hara, ”Microstructure and Ambiguity”, The Journal of Finance, Vol.65, No.5, Oct. 2010, pp.1817.

 

2.     

Wei Xiong and Hongjun Yan, “Heterogeneous Expectations and Bond Markets “, The Review of Financial Studies, Vol. 23, Iss. 4, April 2010, pp.1433-1466.

 

3.     

Ran Duchin and Moshe Levy, “Disagreement, Portfolio Optimization, and Excess Volatility”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 3, June 2010, pp.623-640.

 

4.     

Snehal Banerjee; Ilan Kremer, “Disagreement and Learning: Dynamic Patterns of Trade”, The Journal of Finance, Vol. 65, Iss. 4, August 2010, pp.1269-1302.

 

5.     

Xue-Zhong He, Min Zheng, “Dynamics of moving average rules in a continuous-time financial market model “, Journal of Economic Behavior & Organization, Vol. 76, Iss. 3, December 2010, pp. 615-634.  

 

6.     

Cao, H. Henry; Ou-Yang, Hui, “Differences of Opinion of Public Information and Speculative Trading in Stocks and Options”, Review of Financial Studies, Vol. 22, Issue 1, Jan2009, pp299-335

 

7.     

Alexander David, “Heterogeneous Belisfs, Speculation, and the Equity Premium”, Journal of Finance, Vol. 63, Iss. 1, February 2008, pp. 41-83.

 

8.     

H. Henry Cao and Hui Qu-Yang, “Differences of Opinion of Public Information and Speculative Trading in Stocks and Options”, The Review of Financial Studies, Vol. 22, No. 1, Jan2009, pp. 299-335.

 

9.     

Ronnie Sadke and Anna Scherbina, “ Analyst Disagreement, Mispricing , and Liquidity”, The Journal of Finance, Oct. 2007, Vol. 62, Iss. 5, pp.2367-2403.

 

10.       

Alexander David, “Heterogeneous Beliefs, Speculation, and the Equity Premium”, The Journal of Finance, Feb. 2008, Vol. 63, Iss. 1, pp. 41-83.

ü

11.       

Chen, Q. and Wei Jiang, “Analyst weighting of private and public info,” RFS, Vol 19, No 1, 319-355, 2006.

 

12.       

Clara vega(2006), “Stock Price reaction to public and private information.”, Journal of Financial Economics, Vol. 82, Iss.1, 103-133.

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13.       

Doukas, John A.; Kim Chansong(Francis) and Pantzalis Christos(2006), “Divergence of Opinion and Equity Returns.”, Journal of Financial & Quantitative Analysis, Vol.41, Iss.3, 573-606.

 

14.       

Randi Nas and Johannes A. Skjeltorp (2006), “Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market”, Journal of Financial Markets, Vol. 9, 408-432.

 

15.       

Rodney D. Boehme, Bartley R. Danielsen and Sorin M. Sorescu (2006) “Short-Sale Constraints, Differences of Opinion, and Overvaluation”, JFQA, Vol.41, No.2.

 

16.       

John A. Doukas, Chansog Kim and Christos Pantzalis (2006) “Divergence of Opinion and Equity Returns under Different States of Earnings Expectations” Journal of Financial Markets, Vol.9, Iss.3, 310-331.

 

17.       

Yan Gao, Connie Xiangdong Mao, Rui Zhong (2006) “Divergence of Opinion and Long-Term Performance of Initial Public Offerings” Journal of Financial Research, Vol.29, Iss.1, 113-129.

 

18.       

Evan W. Anderson, Eric Ghysels and Jennifer L. Juergens (2005), “Do Heterogeneous Beliefs Matter for Asset Pricing?”, Review of Financial Studies, Vol.18, No.3.

 

4(IV) Over-underreaction/Overconfidence

 

1.     

Alexander Kwok-Wah Fung, Kin Lam, and Ka-Ming Lam, “Do the Prices of Stock Index Futures in Asia Overreact to U.S Market Returns?”, Journal of Empirical Finance, Original Research Article, June 2010, pp.428-440.

 

2.     

Frederic Palomino, Abdolkarim Sadrieh, “Overconfidence and delegated portfolio management “, Journal of Financial Intermediation, Vol. 20, Iss.2, April 2011, pp.159-177.

 

3.     

Paul G. J. O’Connell and Melvyn Teo, “Institutional Investors, Past Performance, and Dynamic Loss Aversion”, Journal of Financial and Quantitative Analysis, Vol. 44 Iss. 1. February 2009, pp 155-188.

 

4.     

Mark Grinblatt, Matti Keloharju, “Sensation Seeking, Overconfidence, and Trading Activity”, The Journal of Finance, Vol. 64, Issue 2, April 2009, pp. 549-578.

 

5.     

Bernard Dumas, Alexander Kurshev, Raman Uppal, “Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility”, The Journal of Finance, Vol. 64, Issue 2, April 2009, 579-629.

 

6.     

Kogan, Shimon, “Distinguishing the Effect of Overconfidence from Rational Best-Response on Information Aggregation”, Review of Financial Studies, Vol. 22, Issue 5, May2009, pp.1889-1914.

 

7.     

Guiso, Luigi, Sapienza, Paola, Zingales, Luigi,” Trusting the Stock Market”, The Journal of Finance, Vol. 63. Iss. 6, Dec2008, pp.2557-2600.

 

8.     

Kaustia, Markku, Knupfer, Samuli, “Do Investors Overweight Personal Experience? Evidence From IPO Subscriptions”, Journal of Finance, Vol. 63, Iss. 6, Dec2008, pp. 2679-2702.

 

9.     

Thomas J. George and Chuan-Yang Hwang, “Long-Tern Return Reversals: Overreaction or Taxes?”, The Journal of Finance, Dec. 2007, Vol. 62, Iss. 6, pp.2865-2896.

 

10.       

Kent Daniel and Sheridan Titman (2006) “Market Reactions to Tangible and Intangible” The Journal of Finance, Vol.61, Iss.4.

 

11.       

Alexander W. Butler, Gustavo Grullon and James. P. Westion (2006) “Can Managers Successfully Time the Maturity” The journal of Finance, Vol.61, Iss.4.

ü

12.       

David Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman (2006) “Feedback and the success of irrational investors” Journal of Financial Economics, Vol.81, Iss.3, 311-338.

ü

13.       

Meir Statman, Steven Thorley and Keith Vorkink (2006) “Investor Overconfidence and Trading Volume” The Review of Financial Studies, Vol.19, No.4, 1531-1565.

 

14.       

Allan C. Eberhart, William Maxwell and Akhtar R. Siddique (2006) “Does the Stock market Underreact to R&D Increases?” Journal of Investment Management, Vol.4, No.1.

 

15.       

Bruno Biais, Denis Hilton, Karine Mazurier and Sebastien Pouget (2005) “Judgmental Overconfidence, Self-monitoring and Trading Performance in an Experimental Financial Market” Review of Economic Studies, Vol.72, Iss.251, 287-312.

 

16.       

Jeffrey John Rachlinski and Gregory P. Lablanc (2005) “In Praise of Investor Irrationality” The Law and Economics of Irrational Behavior, Francesco Parisi, Vernon L. Smith, eds., Stanford University Press.

 

17.       

Lin Peng and Wei Xiong “Investor Attention, Overconfidence and Category Learning” Journal of Financial Economics, Forthcoming, June 2006, Vol. 80, Iss. 3, pp. 563-602.

 

18.       

Clara Vega “Stock Price Reaction to Public and Private Information” Journal of Financial Economics, October 2006, Vol. 82, Iss. 1, pp. 103-33

　

 

19.       

Johnson, Tim and Andrew Jackson (2006), “Unifying Underreaction Anomalies”, The Journal of Business, Vol.79, 75–114

 

20.       

Antonios Antoniou, Emilios C. Galariotis and Spyros I. Spyrou (2005) “Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange” European Financial Management, Vol. 11, No. 1, 71-98.

 

21.       

Theo Offerman and Joep Sonnemans (2004) “What’s Causing Overreaction? An Experimental Investigation of Recency and the Hot-hand Effect” Scandinavian Journal of Economics, Vol. 106 ,No.3, 533-554

 

22.       

Diego Garcia, Francesco Sangiorgi and Branko Urosevic(2004) “Overconfidence and Market Efficiency with Heterogeneous Agents” FEN Behav-Exper-Fin WPS Vol.5,No.17.

 

23.       

Markus Glaser and Martin Weber “Overconfidence and Trading Volume”, Geneva Risk and Insurance Review, June 2007, Vol. 32, Iss. 1, pp. 1-36.

 

24.       

Kadiyala, Padmaja and Panambur Raghavendra Rau (2004), “Investor Reaction to Corporate Event Announcements: Under-reaction or Over-reaction?” The Journal of Business, Vol. 77, 357-386.

 

5(V) Bubble

 

1.     

Keith Anderson, Chris Brook, Apostolos Katsaris, ”Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?”, Journal of Empirical Finance, Original Research Article, June 2010, pp.345-361.

 

2.     

John M. Griffin, Jeffrey H. Harris, Tao Shu, and Selim Topaloglu, ”Who Drove and Burst the Tech Bubble”, The Journal of Finance, Vol.66, No.4, Aug. 2011, pp.1211.

 

3.     

Weihong Huang, Huanhuan Zheng, Wai-Mun Chia, “Financial crises and interacting heterogeneous agents “, Journal of Economic Dynamics and Control, Vol. 34, Iss. 6, June 2010, pp.1105-1122.

 

4.     

Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen, Peter Cauwels, “Bubble diagnosis and prediction of the 2005–2007 and 2008–2009 Chinese stock market bubbles”, Journal of Economic Behavior & Organization, Vol. 74, Iss. 3, June 2010, pp. 149-162.

 

5.     

Julia Henker and Sian Owen, “Bursting Bubbles: Linking Experimental Financial Market Results to Field Market Data”, Journal of Behavioral Finance, Vol. 9, Iss. 1, 2008, pp. 5-14.

 

6.     

Gueorgui l. Kolev, “The Stock Market Bubble, Shareholders’ Attribution Bias and Excessive Top CEO Pay”, Journal of Behavioral Finance, Vol. 9, Iss.2, 2008, pp.62-71.

 

7.     

Harrison Hong, Jose Scheinkman, Wei Xiong, “Advisors and Asset Prices: A Model of The Origins of Bubbles”, Journal of Financial Economics, Vol. 89, Iss. 2, Aug2008, pp. 268-287.

 

8.     

Utpal Bhattacharya, and Xiaoyun Yu, “The Causes and Consequences of Recent Financial Market Bubbles: An Introduction”, The Review of Financial Studies, Vol. 21, No. 1, Jan2008, pp. 3-10.

 

9.     

Maureen O’Hara, “Bubbles: Some Perspectives (and Loose Talk) from History”, The Review of Financial Studies, Vol. 21, No. 1, Jan2008, pp. 11-17.

 

10.       

Peter M. DeMarzo, Ron Kaniel, and Ilan Kremer, “Relative Wealth Concerns and Financial Bubbles”, The Review of Financial Studies, Vol. 21, No. 1, Jan2008, pp. 19-50.

 

11.       

Nishant Dass, Massimo Massa, and Rajdeep Patgiri, “Mutual Funds and Bubbles: The Surprising Role of Contractual Incentives”, The Review of Financial Studies, Vol. 21, No. 1, Jan2008, pp. 51-99.

 

12.       

Daniel J. Bradley, Bradford D. Jordan, and Jay R. Ritter, “Analyst Behavior Following IPOs: The “Bubble Period” Evidence”, The Review of Financial Studies, Vol. 21, No. 1, Jan2008, pp. 101-133.

　

 

13.       

Utpal Bhattacharya and Xiaoyun Yu, “ The Causes and Consequences of Recent Financial Market Bubbles: An Introduction”, The Review of Financial Studies, Vol. 21, No. 1, January 2008, pp.3-10.

 

14.       

Maureen O’Hara, “Bubbles: Some Perspectives (and Loose Talk) from Histrory”, The Review of Financial Studies, Vol. 21, No. 1, January 2008, pp.11-17.

ü

15.       

Harrison G. Hong, Jose A. Scheinkman and Wei Xiong (2006) “Asset Float and Speculative Bubbles” The Journal of Finance, Vol.61, No.3.

 

6(VI) Investor Sentiment

 

1.      

Schmeling, M, “Investor sentiment and stock returns: Some international evidence”, Journal of Empirical Finance, Vol.16, 2009, pp.394-408.

 

2.      

Bathia and Bredin, “An examination of investor sentiment effect on G7 stock market returns”, The European Journal of Finance, Vol.1, 2012, pp.1-29.

 

3.      

Christos Axioglou, Spyros Skouras, ”Market Change Every Day: Evidence from the Memory of Trade Direction, Journal of Empirical Finance, June 2011, pp.4423-446.

 

4.      

Shiu- Sheng Chen, “Lack of consumer confidence and stock returns”, Journal of Empirical Finance, Mar. 2011, pp.225-236.

 

5.      

Shumi Akhtar, Robert Faff, Barry Oliver, and Avanidhar Subrahmanyam, “The Power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns”, Journal of Banking & Finance, Vol.35, 2011, pp.1239-1249.

 

6.      

Antoine J. Bruguier, Steven R. Quartz, and Peter Bossaerts, ”Exploring the Nature of “Trader Intuition” , The Journal of Finance, Vol.65, No.5, Oct. 2010, pp.1703.

 

7.      

Jason Fink, Kristin E. Fink, Gustavo Grullon, and James P. Weston, “What Drove the Increase in Idiosyncratic Volatility during the Internet Boom?”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 5, Sep. 2010, pp.1253-1278

 

8.      

Todd Feldman, “A More Predictive Index of Market Sentiment”, Journal of Behavioral Finance, Vol. 11, Iss. 4, Oct. 2010, pp.211-223.

 

9.      

Patrick J. Kelly, Felix Meschke, “Sentiment and stock returns: The SAD anomaly revisited”, Journal of Banking & Finance, Vol. 34, Iss. 6, June 2010, pp.1308-1326.

 

10.  

Alexander Kurov, “Investor sentiment and the stock market’s reaction to monetary policy “, Journal of Banking & Finance, Vol. 34, Iss. 1, January 2010, pp.139-149.

 

11.  

Hong Qian, “Time Variation in Analyst Optimism: An Investor Sentiment Explanation”, Journal of Behavioral Finance, Vol. 10, Iss. 3, 2009, pp. 182-193.

 

12.  

Jarkko Peltomäki, “Investor Sentiment and Time-Varying Market Risk in Market-Neutral Hedge Funds”, Journal of Behavioral Finance, Vol. 10, Iss. 4, 2009, pp.226-233.

 

13.  

Baker, M and J.C. Stein, "Market liquidity as a sentiment indicator," Journal of Financial Makrets 7, 2004, 271-299.

 

14.  

Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, "Just how much do individual investors lose by trading?" The Review of Financial Studies 22, 2009, 609-632. 

 

15.  

Bing Han, “Investor Sentiment and Option Prices”, The Review of Financial Studies, Vol. 21, No. 1, January 2008, pp. 387-414.

ü

 

16.  

Francesca Cornelli and David Goldreich (2006) “Investor Sentiment and Pre-IPO Markets” The Journal of Finance, Vol.61, Iss.3.

ü

 

17.  

Alok Kumar and Charles M. C. Lee (2006) “Retails Investor Sentiment and Return Comovements” The Journal of Finance, Vol.LXI, No.4, October.

ü

 

18.  

Michael Lemmon and Evgenia Portniaguina (2006) “Consumer Confidence and Asset Prices: Some Empirical Evidence” The Review of Financial Studies, Vol.19, No.4, 1499-1529.

 

19.  

Malcolm Baker and Jeffrey Wurgler (2006) “Investor Sentiment and the Cross-Section of Stock Returns” The Journal of Finance, Vol.61, Iss.4.

 

20.  

Dan Galai and Orly Sade “The “Ostrich Effect” and the Relationship between the Liquidity and the Yields of Financial Assets”, Journal of Business, September 2006, v. 79, iss. 5, pp. 2741-59

 

21.  

Alexander Ljungqvist,Vikram K. Nanda and Rajdeep Singh, “Hot Markets, Investor Sentiment, and IPO Pricing”, Journal of Business, July 2006, v. 79, iss. 4, pp. 1667-1702.

ü

 

22.  

Malcolm Baker and Jeremy C. Stein (2004) “Market Liquidity as a Sentiment Indicator” Journal of Financial Markets. Vol.7, Issue 3 , 271-299.

 

23.  

Gregory W. Brown and Michael T. Cliff (2004) “Investor Sentiment and the Near-term Stock Market” Journal of Empirical Finance 11, 1-27.

 

24.  

Greg R. Durham, Michael G. Hertzel and J. Spencer Martin “The Market Impact of Trends and Sequences in Performance: New Evidence” Journal of Finance, Vol.60, Iss.5, 2551-2569.

 

25.  

Elroy Dimson , Paul Marsh and Mike Staunton (2004) “Irrational Optimism” Financial Analysts Journal, Vol.60, No.1, 15-25.

7(VII) Noise Trading & Manipulation

 

1.           

Sanjiv Sabherwal, Salil K. Sarkar, and Ying Zhang, “Do Internet Stock Message Boards Influence Trading? Evidence From Heavily Discussed Stocks with No Fundamental News”, Journal of Business Finance& Accounting, Dec. 2011, pp.1209-1237.

 

2.          1.

Brad M. Barber, Terrance Odean, and Ning Zhu, “Do Retail Trades Move Markets?”, The Review of Financial Studies, Vol. 22, No. 1, Jan2009, pp. 151-186.

 

3.           

Guolin Jiang, Paul G. Mahoney and Jianping Mei (2005) “Market Manipulation: A Comprehensive Study of Stock Pools” Journal of Financial Economics, Vol.77, Iss.1, 147-170.

 

4.           

Naveen Khanna and Ramana Sonti (2004) “Value Creating Stock Manipulation: Feedback Effect of Stock Prices on Firm Value” Journal of Financial Markets 7, 237-270.

 

8(VIII) Momentum

 

1.           

Min-Hsien Chiang, Hsin-Yi Huang, ”Stock Market Momentum, Business Conditions, and GARCH Option Pricing Models”, Journal of Empirical Finance, June 2011, pp.488-505.

 

2.           

Andy C.W. Chui, Sheridan Titman S., and K.C. John Wei, “Individualism and Momentum around the World”, The Journal of Finance, Vol. 65, No. 1, Feb. 2010, pp.361.

 

3.          1.

Ming Liu, Qianqiu Liu, Tongshu Ma, “The 52-week high momentum strategy in international stock markets  “, Journal of International Money and Finance, Vol. 30, Iss.1, February 2011, pp.180-204.

 

4.           

Ebenezer Asem and Gloria Y. Tian, “Market Dynamics and Momentum Profits”, Journal and Financial and Quantitative Analysis, Vol. 45, Iss. 06, September 2010, pp.1549-1562.

 

5.           

Chris Stivers and Licheng Sun, “Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 4, Aug. 2010, pp.987-1014.

 

6.           

R. David McLean, “Idiosyncratic Risk, Long-Term Reversal, and Momentum”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 4, Aug. 2010, pp.883-906.

 

7.           

Andy C.W Chui.; Sheridan Titman; K.C. John Wei,” Individualism and Momentum around the World “, The Journal of Finance, Vol. 65, Iss. 1, February 2010, pp.361-392.

 

8.           

George Bulkley and Vivekanand Nawosah, “Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum? “, Journal of Financial and Quantitative Analysis, Volume 44, Issue 04, August 2009, pp 777-794.

 

9.           

Michela Verardo, “Heterogeneous Beliefs and Momentum Profits“, Journal of Financial and Quantitative Analysis, Volume 44, Issue 04, August 2009, pp 795-822.

 

10.       

Roberto C. Gutierrez JR, Eric K. Kelley, “The Long-Lasting Momentum in Weekly Returns”, Journal of Finance, Vol. 63, Iss. 1, February 2008, pp. 415-447.

 

11.       

Roberto C. Gutierrez JR. and Eric K. Kelley, “The Long-Lasting Momentum in Weekly Returns”, The Journal of Finance, February 2008, Vol.63, Iss. 1, pp.. 415-447.

 

12.       

Doron Avramov, Tarun Chordia, Gergana Jostova, and Alexander Philipov, “Momentum and Credit Rating”, The Journal of Finance, Oct. 2007, Vol. 62, Iss. 5, pp.2503-2520.

 

13.      2

Richard W.Sias (2003) “Reconcilable Differences: Momentum Trading by Institutions”, The Financial Review, February 2007, Volume 42, Number 1.

 

14.       

Momentum: A review, Narasimhan Jegadeesh and Sheridan Titman, 2005, Advances in Behavioral Finance II, Ed. Richard Thaler, Princeton Press, NJ.

 

9(IX) Disposition Effect

 

1.    

Markku Kaustia, “Prospect Theory and the Disposition Effect”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 3, June 2010, pp.791-812.

 

2.    

Nicholas Barberis, Wei Xiong, “What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation”, The Journal of Finance, Vol. 64, Issue 2, April 2009, pp. 751-784.

 

3.    

Patrick Roger, “Does the Consciousness of the Disposition Effect Increase the Equity Premium”, Journal of Behavioral Finance, Vol. 10, Iss. 3, 2009, pp.138-151.

 

4.    

Fennee Chong, “ Disposition Effect and Flippers in the Bursa Malaysia”, Journal of Behavioral Finance, Vol. 10, Iss.3, 2009, pp.152-157.

 

5.    

Andrea Frazzini (2006) “The Disposition Effect and Underreaction to News”, The Journal of Finance, Vol.61, Iss.4.

 

10(X) Investor Behavior/ Portfolio

 

1.   

Stephen P. Keef, Mohammed S. Khaled, “Are Investors Moonstruck? Further International Evidence on Lunar Phaeses and Stock Returns”, Journal of Empirical Finance, Jan. 2011, pp.56-63.

 

2.   

Guido Baltussen, and Grrnit T. Post, “Irrational Diversification: An Examination of Individual Portfolio Choice”, Journal of Financial and Quantitative Analysis, Vol.46, Iss.05, Oct. 2011, pp.1463-1491.

 

3.   

Thierry Foucault, David Sraer, and David J. Thesmar, ”Individual Investors and Volatility”, The Journal of Finance, Vol.66, No.4, Aug. 2011, pp.1369.

 

4.   

Merton, R. and Z. Bodie, 2005, “Design of Financial Systems: Towards a Synthesis of Function and Structure”, Journal of Investment Management 3, 6-28.

 

5.   

Statman, M., 2004a, “What Do Investors Want?”, Journal of Portfolio Management 30, 153-161.

 

6.   

Ron Kaniel, Gideon Saar, and Sheridan Titman, “Individual Investor Trading and Stock Returns”, The Journal of Finance, February 2008, Vol.63, Iss. 1, pp. 273-310.

 

7.   

Ng, Lilian and Wu, Fei (2007), “The Trading Behavior of Institutions and Indivituals in Chinese Equity Markets”, Vol. 31, Iss. 9, 2695-2710.

 

8.   

Bollenn, Nicolas, “Mutual Fund Attributes and Investor Behavior”, Journal of Financial & Quantitative Analysis, Sep. 2007, Vol. 42, Iss. 3, pp.683-708.

 

11(XI) Asset Pricing and Equity Risk Premium

 

1.           

Bryan R. Routledge and Stanley E. Zin, ”Generalized Disappointment Aversion and Asset Prices” , The Journal of Finance, Vol. 65, No.4, Aug. 2010, pp. 1303.

 

2.          1.

Andriy Bodnaruk, Per Ostberg, “Does investor recognition predict returns?”, Journal of Financial Economics, Vol. 91, Issue 2, February 2009, pp. 208-226.

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3.           

Doron Avramove and Tarun Chordia (2006) “Asset Pricing Models and Financial Market Anomalies” Review of Financial Studies, Vol.19, Iss.3, 1001-1040.

 

4.           

Larry G. Epstein and Martin Schneider, “ Ambiguity , Information Quality, and Asset Pricing”, Journal of Finance, Vol. 63, Iss. 1, February 2008, pp. 197-228.

 

5.           

Doron Avramov and Tarun Chordia (2006), “Asset Pricing Models and Financial Market Anomalies” Review of Financial Studies, Vol. 19, No.3, 1001-1040.

 

6.          2

Joshua D. Coval and Tyler Shumway (2005), “Do Behavioral Biases Affect Prices?”,  Journal of Finance, Vol. 60, No. 1

 

12(XII) Behavioral Corporate Finance

 

1.    

Vasiliki Athanasakou, Norman C. Strong, and Martin Walker, “ The Market Reward for Achieving Analyst Earnings Expectation: Does Managing Expectations or Earnings Matter?”, Journal of Business Finance& Accounting, Dec. 2011, pp.58-94.

 

2.    

Ulrike Malmendier, Geoffrey Tate, and Jon Yan, ” Overconfidence and Early-Life Experiences: The Effect of Managerial Traits on Corporate Finanial Policies”, The Journal of Finance, Vol.66, No.5 Oct. 2011, pp.1687.

 

3.    

Simon Gervais, J. B. Heaton, and Terrance Odean, “Overconfidence, Compensation Contracts, and Capital Budgeting”, The Journal of Finance, Vol.66, No.5, Oct.2011, pp.1735.

 

4.    

Sanjai Bhagat, Brian Bolton, and Ajay Subramanian, ”Manager Characteristics and Capital Structure: Theory and Evidence”, Journal of Financial and Quantitative, Accepted Manuscripts, pp.1-73.

 

5.    

Christopher Polk and Paola Sapienza, “ The Stock Market and Corporate Investment: A Test of Catering Theory”, The Review of Financial Studies, Vol. 22, No. 1, Jan2009, pp. 187-217

 

6.    

Goel, Anand M., Thakor, Anjan V., “Overconfidence, CEO Selection, and Corporate Governance”, The Journal of Finance, Vol. 63. Iss. 6, Dec2008, pp. 2737-2784.

 

7.    

Dimitrios Vasiliou and Nikolaos Daskalakis, “Behavioral Capital Structure: Is the Neoclassical Paradigm Threatened? Evidence from the Field”, Journal of Behavioral Finance, Vol. 10, Iss. 1, 2009, pp. 19-32.

 

8.    

Massimo Massa, Lei Zhang, “Cosmetic mergers: The effect of style investing on the market for corporate control”, Journal of Financial Economics, Vol. 93, Issue 3, Sep2009, pp. 400-427.

 

9.    

Bouwman, Christa H. S.; Fuller, Kathleen; Nain, Amrita S., “Market Valuation and Acquisition Quality: Empirical Evidence”, Review of Financial Studies, Vol. 22, Issue 2, Feb2009, pp. 633-679.

 

13(XIII) IPO

 

1.          1.

Cêline Gondat- Larralde, Kevin R. James, “IPO Pricing and Share Allocation: The Importance of Being Ignorant”, Journal of Finance, Vol. 63, Iss. 1, February 2008, pp. 449-478.

 

2.           

Chris Yung, Qonul Colak, Wei Wang, “Cycles in The IPO Market”, Journal of Financial Economics, Vol. 89, Iss. 1, July2008, pp. 192-208.

 

3.           

Zhaohui Chen, William J. Wilhelm Jr., “A Theory of the Transition to Secondary Market Trading of IPOs”, Journal of Financial Economics, Vol. 90, Iss. 3, Dec2008. pp.219-236.

 

4.           

Andriy Bodnaruk, Eugene Kandel, Massimo Massa, and Andrei Simonov, “Shareholder Diversification and the Decision to Go Public”, The Review of Financial Studies, Vol. 21, No. 6, Nov2008, pp. 2779-2824.

 

5.           

Evgeny Lyandres, Le Sun, and Lu Zhang, “The New Issues Puzzle: Testing the Investment-Based Explanation”, The Review of Financial Studies, Vol. 21, No. 6, Nov2008, pp. 2825-2855.

 

6.           

Celine Gondat-Larralde and Kevin R. James, “IPO Pricing and Share Allocation: The Importance of Being Ignorant”, The Journal of Finance, February 2008, Vol.63, Iss. 1, pp. 449-478.

 

7.           

Ritter, Jay R. and Zhang, Donghang (2007), “Affiliated Mutual Funds and The Allocation of Initial Public Offerings”, Journal of Financial Economics, Vol. 86, Iss. 2, pp. 337-368

 

8.           

Yasuda, Ayako (2007), “Bank Relationships and Underwriter Competition: Evidence From Japan”, Journal of Financial Economics, Vol. 86, Iss. 2, pp. 369-404.

 

9.           

Efendi, Jap, Srivastava, Anup, and Swanson, Edward P. (2007), “Why Do Corporate Managers Misstate Financial Statements? The Role of Option Compensation and Other Factors”, Journal of Financial Economics, Vol. 85, Iss. 3, pp. 667-708.

 

10.      4

Leite, Tore (2007) “Adverse Selection, Public Information, and Underpricing in IPOs” Journal of Corporate Finance, Vol. 13, Iss. 5, 813-828..

 

11.      5

Douglas O. Cook, Robert Kieschnick and Robert A. Van Ness(2006), “On the Marketing of IPOs”, Journal of Financial Economics, Vol.82, Iss.1, 35-61.

 

12.      6.

Beatrice Boehmer, Ekkehart Boehmer, and Raymond P. H. Fishe (2006) “Do Institutions Receive Favorable Allocations in IPOs with Better Long-Run Returns?” Journal of Financial and Quantitative Analysis, Vol.41, No4, December.

 

13.      7.

Wolfgang Aussenegg, Pegaret Pichler, and Alex Stomper (2006) “IPO Pricing with Bookbuilding and a When-Issued Market” Journal of Financial and Quantitative Analysis, Vol.41, No4, December.

 

14.      8.

Jonathan Reuter (2006) “Are IPO Allocations for Sales? Evidence from Mutual Funds”, The Journal of Finance, Vol.LXI, No.5, October.

 

15.      9.

Douglas O. Cook, Robert Kieschnick and Robert A. Van Ness (2006), Journal if Financial Economics, Vol.82, Iss.1, 35-61.

 

16.      10.

Andrew Ellul and Marco Pagano (2006) “IPO Underpricing and After-Market Liquidity” The Review of Financial Studies, Vol.19, No.2.

 

17.      11

Francesca Cornelli, David Goldreich and Alexander Ljungqvist (2006) “Investor Sentiment and Pre-IPO Markets” The Journal of Finance, Vol.61, No.3.

 

18.      12

Tore Leite (2006) “Bookbuilding with Heterogeneous Investors”, Journal of Financial Intermediation, Vol.15, Iss.2, 235-253.

 

19.      13

Marc Goergen, Luc Renneboog and Arif Khurshed (2006) “Explaining the Diversity in Shareholder Lockup Agreements”, Journal of Financial Intermediation, Vol.15, Iss.2, 254-280.

 

20.      14.

Alexander Ljungqvist and William J. Wilhelm Jr. (2005), “Does Prospect Theory Explain IPO Market Behavior?”, Journal of Finance, Vol. 60 Issue 4.

 

21.      15.

Suman Banerjee, Robert S. Hansen and Emir Hrnjic (2005) “IPO Underpricing to Buy Holding”, SSRN FEN Cap Mkts- Micro WPS, Vol. 8, No. 25.

 

22.      16.

Ravi Jagannathan, Ann E. Sherman (2005) “Reforming the Bookbuilding Process for IPOs” Journal of Applied Corporate Finance, Vol.17, No.1, 67-72.

 

23.      17.

Bruce K. Gouldey (2006) “Uncertain Demand, Heterogeneous Expectations, and Unintentional IPO Underpricing” Financial Review, Vol.41, No.1, 33-54.

 

24.      18.

Amiyatosh K. Purnanandam and Bhaskaran Swaminathan (2004) “Are IPOs Really Underpriced?” The Review of Financial Studies Vol. 17, No. 3, 811-848.

 

14(XIV) HAM

 

1.    

Anderson et al. (2005) “Do heterogeneous beliefs matter for asset pricing?” The Review of Financial Studies.

 

2.    

Bassk (2005) “Asset pricing with heterogeneous beliefs” Journal of Banking & Finance.

 

3.    

Hommes (2005) “Heterogeneous agents model: two simple examples” Nonlinear Dynamics Systems in Economics.

 

4.    

Chiarella et al. (2006) “A dynamic analysis of moving average rules” Journal of Economic Dynamics and Control.

 

5.    

Boswijk, H.P. , Hommes, C.H. and Manzan, S. (2007) “Behavioral heterogeneity in stock prices” Journal of Economic Dynamics and Control.

 

6.    

Reitz and Westerhoff (2007) “Commodity price cycles and heterogeneous speculators: a STAR-GARCH model” Empirical Economics.

 

7.    

Dreger and Stadtmann (2008) “What drives heterogeneity in foreign exchange rate expectations: insight from a new survey” International Journal of Finance and Economics.

 

8.    

Menkhoff, Rebitzky(2008) “Investor sentiment in the US dollar: longer term, non-linear orientation on PPP”, J of empirical finance, 15, 455-467.

 

9.    

De Jong et al. (2009) “Behavioral heterogeneity and shift-contagion: evidence from the Asian crisis” Journal of Economic Dynamics and Control.

 

10.     

Chiarella, he and Zwinkels, (2009), heterogeneous expectations in asset pricing: empirical evidence from the S&P500.

 

11.     

Chiarella et al. (2010) “Do heterogeneous beliefs diversify market risk?” The European Journal of Finance.

 

12.     

De Jong et al. (2010) “heterogeneity of agents and exchange rate dynamics: evidence from the EMS” Journal of International Monet and Finance

 

13.     

Ellen and Zwinkels (2010) “Oil price dynamics: a behavioral finance approach with heterogeneous agents” Energy economics.

 

14.     

Frijns et al. (2010) “Behavioral heterogeneity in the option market” Journal of Economic Dynamics & Control.

 

15.     

Huang et al. (2010) “Financial crises and interacting heterogeneous agents” Journal of Economic Dynamics and Control.

 

16.     

Eelke de Jong, Willem F.C. Verschoor, Remco C.J. Zwinkels, “Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS  “, Journal of International Money and Finance, Vol. 29, Iss. 8, December 2010, pp.1652-1669.

 

17.     

Carl Chiarella, Xue-Zhong He, Min Zheng, “An analysis of the effect of noise in a heterogeneous agent financial market model”, Journal of Economic Dynamics and Control, Vol. 35, Iss. 1, January 2011, pp.148-162.

 

18.     

Bart Frijns, Thorsten Lehnert, Remco C.J. Zwinkels, “Behavioral heterogeneity in the option market “, Journal of Economic Dynamics and Control, Vol. 34, Iss. 11, November 2010, pp.2273-2287.

 

19.     

Ferre De Graeve, Maarten Dossche, Marina Emiris, Henri Sneessens, Raf Wouters, “Risk premiums and macroeconomic dynamics in a heterogeneous agent model “, Journal of Economic Dynamics and Control, Vol. 34, Iss. 9, September 2010, pp.1680-1699.

 

20.     

Weihong Huang, “On the hidden hazards of adaptive behavior”, Journal of Economic Dynamics and Control, Vol. 34, Iss. 8, August 2010, pp.1442-1455.

 

21.     

Weihong Huang, Huanhuan Zheng, Wai-Mun Chia, “Financial crises and interacting heterogeneous agents“, Journal of Economic Dynamics and Control, Vol. 34, Iss. 6, June 2010, pp.1105-1122.

 

22.     

Stelios D. Bekiros, “Heterogeneous trading strategies with adaptive fuzzy Actor–Critic reinforcement learning: A behavioral approach “, Journal of Economic Dynamics and Control, Vol. 34, Iss. 6, June 2010, pp.1153-1170.

 

23.     

Marji Lines, Frank Westerhoff, “Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations”, Journal of Economic Dynamics and Control, Vol. 34, Iss. 2, February 2010, pp.246-257.

 

15(XV) Experimental Behavioral Finance

 

1.    

Lawrence J. Belcher, “Prior Perceptions, Personality Characteristics and Portfolio Preferences among Fund Managers: An Experimental Analysis”, Journal of Behavioral Finance, Vol. 11, Iss. 4, Oct. 2010, pp.239-248.

 

2.    

Lucy F. Ackert; Bryan K. Church; Paula A. Tkac, “An Experimental Examination of Heuristic-Based Decision Making in a Financial Setting”, Journal of Behavioral Finance, Vol. 11, Iss. 3, July 2010, pp.135-149.

 

3.    

Lisa M. Victoravich, “Overly Optimistic? Investor Sophistication and the Role of Affective Reactions to Financial Information in Investors' Stock Price Judgments”, Journal of Behavioral Finance, Vol. 11, Iss. 1, January 2010, pp.1-10.

 

4.    

Cars Hommes, “The heterogeneous expectations hypothesis: Some evidence from the lab  “, Journal of Economic Dynamics and Control, Vol. 35, Iss. 1, January 2011, pp.1-24.

 

5.    

Brice Corgnet, Praveen Kujal, David Porter, “The effect of reliability, content and timing of public announcements on asset trading behavior “, Journal of Economic Behavior & Organization, Vol. 76, Iss. 2, November 2010, pp. 254-266.

 

16(XVI) Others

 

1.         

Chui et al, “Individualism and Momentum around the World”, The Journal of Finance, 2010, Vol.1, pp.361-392.

 

2.         

Woodrow T. Johnson, “Do investors trade uniformly through time? “, Journal of Empirical Finance, Sep. 2010, pp.645-658.

 

3.         

Ramazan Gencay, Nikola Gradojevic, “Crash of `87- Was it expected? :Aggregate market fears and long-range dependence”, Journal of Empirical Finance, Mar. 2010, pp.270-282.

 

4.         

Stephen G. Dimmock, Roy Kouwenberg, “Loss-aversion and Household Portfolio Choice”, Journal of Empirical Finance, June 2010, pp.441-459.

 

5.         

Mark S. Seasholes and Nine Zhu, “Individual Investors and Local Bias”, The Journal of Finance, Vol.65, No.5, Oct. 2010, pp.1987.

 

6.         

Joseph E. Engelberg and Christopher A. Parsons, “The Cause Impact of Media in Financial Markets”, The Journal of Finance, Vol.66, No.1, Feb. 2011, pp.67.

 

7.         

Zhi Da, Joseph Engelberg, and Pengjle Gao, ”In Search of Attention”, The Journal of Finance, Vol.66, No.5, Oct. 2011, pp.1461.

 

8.         

Jean-Paul Décamps, Thomas Mariotti, Jean-Charles Rochet, and Sté phane Villeneuve, “Free Cash Flow, Issuance Cost, and Stock Prices”, The Journal of Finance, Vol.66, No.5, Oct. 2011, pp.1501.

 

9.         

Amit Seru, Tyler Shumway, and Noah Stoffman, “Learning by Trading”, The Review of Financial Studies, Vol. 23, Iss. 2, February 2010, pp.705-739.

 

10.     

Michael G. Hertzel and Zhi Li, “ Behavioral and Rational Explanations of Stock Price Performance around SEOs: Evidence from a Decomposition of Market-to-Book Ratios”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 4, Aug. 2010, pp.935-958.

 

11.     

Sanjiv Das, Harry Markowitz, Jonathan Scheid, and Meir Statman, “Portfolio Optimization with Mental Accounts”, Journal of Financial and Quantitative Analysis, Vol. 45, Iss. 2, Apr. 2010, pp.311-334.

 

12.     

Wen He; Jianfeng Shen, “Investor Extrapolation and Expected Returns”, Journal of Behavioral Finance, Vol. 11, Iss. 3, July 2010, pp.150-160.

 

13.     

Masaki Mori; Julian Diaz III; Alan J. Ziobrowski; Nico B. Rottke, “Psychological and Cultural Factors in the Choice of Mortgage Products: A Behavioral Investigation”, Journal of Behavioral Finance, Vol. 11, Iss. 2, April 2010, pp.83-91.

 

14.     

Doron Kliger; Andrey Kudryavtsev, “The Availability Heuristic and Investors' Reaction to Company-Specific Events”, Journal of Behavioral Finance, Vol. 11, Iss. 1, January 2010, pp.50-65.

 

15.     

Jeremy C. Stein, “Presidential Address: Sophisticated Investors and Market Efficiency”, The Journal of Finance, Vol. 64, Issue 4, August 2009, pp. 1517-1548.

 

16.     

Donald J. Smith, “Moving from an Efficient to a Behavioral Market Hypothesis”, Journal of Behavioral Finance, Vol. 9, Iss. 2, 2008, pp. 51-52.

 

17.     

Byunghwan Lee, John O’Brien and K. Sivaramakrishnan, “An Analysis of Financial Analysts’ Optimism in Long-term Growth Forecasts”, Journal of Behavioral Finance, Vol. 9, Iss.3, 2008, pp. 171-184.

 

18.     

Lili Zhu and Jiawen Yang, “The Role of Psychic Distance in Contagion: A Gravity Model for Contagious Financial Crises”, Journal of Behavioral Finance, Vol. 9, Iss. 4, 2008, pp. 209-223.

 

19.     

Dror Parnes, “Why Do Bond and Stock Prices and Trading Volume Change around Credit Rating Announcements”, Journal of Behavioral Finance, Vol. 9, Iss. 4, 2008, pp. 224-231.

 

20.     

Moshe Levy and Golan Benita, “Are Equally Likely Outcomes Perceived as Equally Likely?”, Journal of Behavioral Finance, Vol. 10, Iss. 3, 2009, pp.128-137.

 

21.     

Geoffery Frisen, Paul A. Weller (2006) “Quantifying cognitive biases in analyst earnings forecasts” Journal of Financial Markets, Vol.9, 333-365.

 

22.     

Harrison Hong, Jeffrey D. Kubik, Jeremy C. Stein, “The Only Game in Town: Stock-Price Consequences of Local Bias”, Journal of Financial Economics, Vol. 90, Iss. 1, Oct2008, pp. 20-37.

 

23.     

Brian Rountree, James P. Weston, George Allayannis, “Do Investors Value Smooth Performance?”, Journal of Financial Economics, Vol. 90, Iss. 3, Dec. 2008. pp. 237-251.

 

24.     

Lai, Sandy, Teo, Melvyn, “Home-Biased Analysts in Emerging Markets”, Journal of Financial & Quantitative Analysis, Vol. 43, Iss. 3, Sep2008, pp. 685-716.

 

25.     

David G. McMillan, Numan Ulku, “Persistent Mispricing in A Recently Opened Emerging Index Futures Market: Arbitrageurs Invited”, Journal of Futures Markets, Vol. 29, Iss. 3, Mar2009, pp. 218-243.

 

26.     

Masahito Watanabe, “Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry”, The Journal of Finance, February 2008, Vol.63, Iss. 1, pp. 229-272.

 

27.    2.

Julie R. Agnew (2006) “Do Behavioral Biases Vary across Individuals? Evidence from Individual Level 401(k) Data” Journal of Financial and Quantitative Analysis, Vol.41, No4, December.

 

28.    3.

Doron Avramov, Tarun Chordia and Amit Goyal, “The Impact of Trades on Daily Volatility” Review of Financial Studies, 2006, Vol. 19, Issue 4, pp. 1241-1277.

 

29.    4.

Qi Chen and Wei Jiang (2006) “Analysts’ Weighting of Private and Public Information” Review of Financial Studies, Vol.19, Iss.1, 319-355.

 

30.    5.

Brad M. Barber, Terrance Odean and Lu Zheng (2005) “Out of Sight, Out of Mind:The Effects of Expenses on Mutual Fund Flows” The Journal of Business, Vol.78, Iss.6, 2095-2119.

 

31.    6.

Meir Statman (2005) “Normal Investors, Then and Now” Financial Analysts Journal, Vol.61, No.2, 31-36.

 

32.    7.

Cao, Charles Quanwei, Haitao Li and Fan Yu (2005), “Is Investor Misreaction Economically Significant? Evidence from Short- and Long-term S&P 500 Index Options”, Journal of Futures Markets, Vol.25, No.8, 717-752.

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33.    8.

Alex Frino, David Johnstone and Hui Zheng (2004) “The Propensity for Local Traders in Futures Markets to Ride Losses: Evidence of Irrational or Rational Behavior?” Journal of Banking & Finance 28, 353-372.

 

34.    9.

Markku Kaustia(2004) “Market-Wide Impact of the Disposition Effect: Evidence from IPO Trading Volume” Journal of Financial Markets, Vol.7, Iss.2, 207-235.

 

35.    10.

Bloomfield, Robert J. and Roni Michaely (2004), “Risk or Mispricing? From the Mouths of Professionals”, Financial Management, Vol.33, No.3, 61-81.

 

36.    11.

James Montier (2004) “Who’s a Pretty Boy Then? Or Beauty Contests, Rationality and Greater Fools” FEN Behav-Exper-Fin WPS Vol. 5, No.7.

 

37.    20.

Chan, Wesley S., Richard M. Frankel and Sriprakash P. Kothari, “Testing Behavioral Finance Theories Using Trends and Consistency in Financial Performance”, Journal of Accounting and Economics, 2004, Vol. 38, Iss.1, pp.3-50.