Behavioral Finance

2016 Spring

(I) Theory

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

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

3.   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.

4.   Malcolm P. Baker, Richard S. Ruback and Jeffrey A. Wurgler(2004) “Behavioral Corporate Finance: A Survey” FEN Behav-Exper-Fin WPS Vol. 5, No.27.

5.   Melvyn Teo and Paul G..J. O'Connell (2003) “Prospect Theory and Institutional Investors” SSRN abstract_id=457741.

6.   Shiller, Robert J. (2003), “From Efficient Market Theory to Behavioral Finance” Journal of Economic Perspectives, Vol.17(1), 83-104.

7.   Barberis, Nicholas and Richard H. Thaler (2003), “A Survey of Behavioral Finance” Handbook of the Economics of Finance, Edition 1, Vol.1, Chapter 18, 1053-1128.

(II) Herding

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

2.   Kingsley Fong, David R. Gallagher, Peter Gardner and Peter Lawrence Swan (2004) “A Closer Examination of Investment Manager Herding Behaviour” FEN Behav-Exper-Fin WPS Vol. 5, No.7.

3.   David Hirshleifer and Siew Hong Teoh, (2003) “Herd Behavior and Cascading in Capital Markets: A Review and Synthesis” European Financial Management, Vol.9, No.1, 25-66.

4.   Julia Henker, Thomas Henker and Anna Mitsios (2003) “Do Investors Herd Intraday in the Australian Equities Market?” SSRN abstract_id=482202.

5.   Xi Li (2002) “Performance, Herding, and Career Concerns of Individual Financial Analysts” SSRN abstract_id=300889.

6.   Zitzewitz, E. (2001), “Measuring Herding and Exaggeration by Equity Analysts”, Sirif Behavioral Finance Conference. SSRN Capital Markets Abstracts WPS, Vol.4, No. 24.

7.   Devenow, A. and Ivo Welch (1996), “Rational Herding in Financial Economics”, European Economic Review, Vol. 40, 603-615.

8.   Froot, K., Sharfstein D. S. and Stein J.C. (1992), “Herd on the Street: Informational Inefficiencies in a Market with short-term Speculation”, Journal of finance Vol. 47,  1461-1484.

(III) Heterogeneous Information

1.   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.

2.   Suleyman Basak (2004) “Asset Prices with Heterogenous Beliefs” FEN Behav-Exper-Fin WPS Vol. 5, No.8.

3.   Jos Van Bommel (2003) “Rumors” Journal of Finance Vol.58, No.4, 1499-1520.

4.   Harrison Hong and Jeremy C. Stein (2003) “Differences of Opinion, Short-Sales Constraints, and Market Crashes” Review of Financial Studies Vol.16, No.2, 487-525.

5.   Jon A.Garfinkel (2003) “Measuring Opinion Divergence” SSRN abstract_id=471301.

6.   Karl Ludwig Keiber, (2003) “Price Discovery in the Presence of Boundedly Rational Agents” SSRN, FEN CapMkts-Micro WPS Vol.6, No.20.

7.   Chen, Zhh and Chi-Wen Jevons Lee (2002), “Heterogeneous Belief and Seemingly Emotional Market Behavior”, FEN Behav-Exper-Fin WPS Vol. 3, No.14.

8.   Bloomfield, R., and Vrinda Kadiyali (2001), “How Verifiable Cheap-Talk Can Convey Unverifiable Information”, Quantitative Marketing and Economics, Vol.3, Iss.4. 337-363

9.   Nihat Aktas, Eric De Bodt, and Michel Levasseur (2001), “The Information Impact of the European Commission Interventions in the Field of Merger and Acquisition Monitoring: The Economics Behind Information Flow Coming to the Market”, SSRN abstract_id=268970.

10.  Kandel, Eugene, Pearson and Neil D. (1995), “Differential Interpretation of Public signals and Trade in Speculative Markets.” Journal of Political Economy, Vol. 103, 831-872.

(IV) Over-underreaction/Overconfidence

1.   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.

2.   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.

3.   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.

4.   Lin Peng and Wei Xiong (2005) “Investor Attention, Overconfidence and Category Learning” Journal of Financial Economics, Forthcoming.

5.   Clara Vega (2006) “Stock Price Reaction to Public and Private Information” Journal of Financial Economics, Forthcoming

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

7.   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.

8.   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

9.   Laura Friederv (2004) “Evidence on Behavioral Biases in Trading Activity” FEN Behav-Exper-Fin WPS Vol. 5, No.4.

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

11. Markus Glaser and Martin Weber (2003) “Overconfidence and Trading Volume” SSRN abstract_id=471925.

12. Anna Dodonova (2002) “Applications of Regret Theory to Asset Pricing ” SSRN abstract_id=301383.

13. Julan Du (2002) “Heterogeneity in Investor Confidence and Asset Market Under- and Overreaction” SSRN abstract_id=302684.

14. Scheinkman, Jose A. and Wei Xiong (2002), “Overconfidence, Short-Sale Constraints, and Bubbles”, FEN Behav-Exper-Fin WPS Vol. 3, No.14.

15. 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.

16. Choi, Wonseok and Jung-Wook Kim (2002), “Underreaction, Trading Volume and Post Earnings Announcement Drift”, FEN Behav-Exper-Fin WPS Vol. 3, No.8.

17. Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam(2001), “Overconfidence, Arbitrage, Equilibrium Asset Pricing” The Journal of Finance Vol. LVI, No. 3.

18. Daniel K., Hirshleifer d. and Subrahmanyam A. (1998), “Investor Psychology and Security Market Under-and Overreactions,” Journal of finance Vol. 53, 1457-1469.

19. Benos and Alexandros (1998), “Aggressiveness and Survival of Overconfident Traders”, Journal of Financial Markets, Vol.1, No.3-4, 353-383.

20. Odean, Terrance (1998), “Volume, Volatility, and Profit When All Traders Are above Average,” The Journal of Finance, Vol.54, No.6.

(V) Bubble

1.  Harrison G.. Hong, Jose A. Scheinkman and Wei Xiong (2006) “Asset Float and Speculative Bubbles” Journal of Finance, Forthcoming.

2.  Paul de Grauwe and Marianna Grimaldi (2004) “Bubbles and Crashes in a Behavioural Finance Model” FEN Behav-Exper-Fin WPS Vol. 5, No.15.

3.  Jose A.Scheinkman amd Wei Xiong (2003) “Overconfidence and Speculative Bubbles” Journal of Political Economy, Vol. 111.

4.  Benjamin Jirasakuldech and Thomas S.Zorn (2002) “Financial Disclosure and Speculative Bubbles: An International Comparison” SSRN abstract_id=312009

5.  Miller, Ross M. (2002), “Can Markets Learn to Avoid Bubbles?”, Journal of Psychology & Financial Markets, Vol. 3.

6.  Asness, C. S. (2000), “Bubble Logic: or, How to Learn to Stop Worrying and Love the Bull.” The Journal of Futures Markets, Vol. 21, No. 1, 79-.

(VI) Investor Sentiment

1.   Dan Galai and Orly Sade (2006) “The “Ostrich Effect” and the Relationship between the Liquidity and the Yields of Financial Assets” Journal of Finance, Forthcoming.

2.   Alexander Ljungqvist,Vikram K. Nanda and Rajdeep Singh (2006) “Hot Markets, Investor Sentiment, and IPO Pricing” Journal of Business, Forthcoming.

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

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

5.   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.

6.   Brad M. Barber, Terrance Odean and Ning Zhu (2004) “Systematic Noise” EFA 2005 Moscow Meetings Paper.

7.   Daniel T. Dorn (2004) “Does Sentiment Drive the Retail demand for IPOs?” SSRN abstract_id=472660.

8.   Francesca Cornelli, David Goldreich and Alexander Ljungqvist (2004) “Investor Sentiment and Pre-Issue Markets” SSRN abstract_id=569662.

9.   Ron Kaniel, Gideon Saar and Sheridan Titman (2004) “Individual Investor Sentiment and Stock Returns” SSRN abstract_id=600084.

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

11.  Statman, Meir and Kenneth L. Fisher (2002), “Consumer Confidence and Stock Returns”, SSRN abstract_id=317304.

12.  Barberis, Nicholas, Andrei Shleifer and Robert Vishny (1998), “A Model of Investor Sentiment”, Journal of Financial Economics, Vol. 49, 307-343.

(VII) Noise Trading & Manipulation

1.   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.

2.   David A. Hirshleifer, A. Subrahmanyam, and Sheridan Titman, (2006) “Feedback and The Success of Irrational Investors” Journal of Financial Economics, Forthcoming.

3.   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.

4.   Jianping Mei, Guojun Wu and Chunsheng Zhou (2004) “Behavior Based Manipulation: Theory and Prosecution Evidence” SSRN abstract_id=457880.

5.   Vitale P. (2000), “Speculative Noise trading and Manipulation in the Foreign Exchange Market”, Journal of International Money and Finance, Vol. 19, No. 5.

(VIII) Momentum

1.   Richard W.Sias (2003) “Reconcilable Differences: Momentum Trading by Institutions” SSRN abstract_id=446900.

2.   Günter Strobl (2003) “Information Asymmetry, Price Momentum, and the Disposition Effect” SSRN abstract_id=474221.

3.   Yalcin, Atakan (2002), “Gradual Information Diffusion and Contrarian Strategies”, FEN Behav-Exper-Fin WPS Vol. 3, No.30.

4.   Jegadeesh, Narasimhan and Sheridan Titman (2002), “Momentum”, SSRN abstract_id=299107.

5.   Grinblatt, Mark and Bing Han (2002), “The Disposition Effect and Momentum”, FEN Behav-Exper-Fin WPS Vol. 3, No. 13.

(IX) Others

1.  Doron Avramov, Tarun Chordia and Amit Goyal (2006) “The Impact of Trades on Daily Volatility” Review of Financial Studies, Forthcoming.

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

3.  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.

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

5.  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.

6.  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.

7.  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.

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

9.  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.

10. Ben Jacobsen and Wessel A. Marquering (2004) “Is it the Weather?” SSRN abstract_id= 596863.

11. Juan Carlos Rodriguez (2004) “Measuring Financial Contagion: A Copula Approach” SSRN abstract_id=483623.

12. Devin M.Shanthikumar (2003) “Small Trader Reactions to Consecutive Earnings Surprises” SSRN abstract_id=449882.

13. Juhani Linnainmaa (2003) “Who Makes the Limit Order Book? Implications for Contrarian Strategies, Attention-Grabbing Hypothesis, and the Disposition Effect” SSRN abstract_id=474222.

14. Troy A. Paredes, (2003) “Blinded by the Light: Information Overload and its Consequences for Securities Regulation” Washington University Law Quarterly, Vol.81, No.2, 417-85.

15. Richardson, Matthew P. and Elie Ofek (2003), “DotComMania: The Rise and Fall of Internet Stock Prices”, Journal of Finance, Vol.58, pp1113-1138.

16. Borensztein, Eduardo and R. Gaston Gelos (2003), “A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds”, International Monetary Fund Staff Papers, Vol.50, Iss.1.

17. Daniel, K., and Sheridan Titman (2003), “Market Reactions to Tangible and Intangible Information”, NBER Working Papers id=9743.

18. Chan, Wesley S., Richard M. Frankel and Sriprakash P. Kothari (2002), “Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance”, FEN Behav-Exper-Fin WPS Vol. 3, No.23.

19. Caginalp, Gunduz, Vladimira Ilieva, David Porter and Vernon Smith (2002), “Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks?”, The Journal of Psychology & Financial Markets, Vol. 3.

20. Goetzmann, William N. and Massimo Massa (2002), “Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors”, FEN Behav-Exper-Fin WPS Vol. 3, No.8.

21. Cai, Fang (2002), “Does the Market Conspire Against the Weak? An Empirical Study of Front Running Behavior During the LTCM Crisis”, FEN Behav-Exper-Fin WPS Vol. 3, No.10.

22. Black, Angela J., Patricia Fraser and David G. McMillan (2002), “Are International Value Premiums Driven by the Same Set of Fundamentals?”, FEN Behav-Exper-Fin WPS Vol. 3, No.9.

23. Camerer, Colin F. and Ernst Fehr (2002), “Measuring Social Norms and Preferences Using Experimental Games: A Guide for Social Scientists”, FEN Behav-Exper-Fin WPS Vol. 3, No. 13.

24. Shapira, Z., and Itzhak Venezia (2001), “Patterns of Behavior of Professionally Managed and Independent Investors”, Journal of Banking and Finance, Vol.25, No.8, 1573-1587.

25. Qin Lei, and Guojun Wu (2001), “The Behavior of Uninformed Investors and Time-Varying Informed Trading Activities” FEN CapMkts-Micro WPS, Vol.5, No.4.

(X) Equity Risk Premium

1.   William N. Goetzmann and Alok Kumar(2004) “Diversification Decisions of Individual Investors and Asset Prices” FEN Behav-Exper-Fin WPS Vol. 5, No. 4.

2.   Christof W.Stahel (2002) “Are Foreign Investors Better Informed? Evidence from the Return- Volume Relationship” SSRN abstract_id=316685.

3.   Theirry Chauveau and Nicolas Nalpas (2002) “Disappointment, Pessimism and the Equity Risk Premia” SSRN abstract_id=302930.

4.   Andre F. Gygax and K.R. Sawyer (2002) “Learning and Predictability across Events” SSRN abstract_id=314362.

5.   Hersh Shefrin (2001) “Do Investor Expect Higher Returns from Safer Stocks than from Riskier Stocks?” Journal of Psychology & Financial Markets, Vol.2, No.4.

(XI) IPO

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

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

3.   Francesca Corenelli and David Goldreich (2003) “Bookbuilding: How Informative is the Order Book?” Journal of Finance, Vol.58, 1415-1443.

4.   Jay R.Ritter (2003) “Differences Between European and American IPO Markets” European Financial Management, Vol.9, No.4, 421-434.

5.   Nancy Huyghebaert and Cynthia Van Hulle (2002) “Structuring the IPO: Empirical evidence on the primary and secondary portion” SSRN abstract_id=301800.

6.   Wolfgang Bessler (2002) “Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long-Run Performance: Evidence from IPOs in Germany” SSRN abstract_id=302357.

7.   Craig G.Dunbar (2000) “Factors affecting investment bank initial public offering market share” Journal of Financial Economics Vol.55, 3-41.