ࡱ> 7 cbjbjUU !7|7|El\\\\\\\p@@@84ATAp[ohB\G(GGGHRL %Mnnnnnnn$Iq isxo\MHHMMoZ\\GGoZZZM^\G\GnZMnZbZ;b6"m\\nG\B p-둱p=@ Tnn4+o0[onsYsnZpp\\\\Behavioral Economics and Finance 14.127 Spring 2002 Thursday 4-6.30, E51-390 Instructor: Xavier Gabaix E52-243G  HYPERLINK mailto:xgabaix@mit.edu xgabaix@mit.edu. Office hours: Thursday 2.30-4. TA: Augustin Landier  HYPERLINK mailto:landier@mit.edu landier@mit.edu The requirements for the course are about three problem sets and/or referee reports, and a term paper. The term paper will be due on September 15, 2002. Students are expected to propose original insights, theories, experiments or field studies. Syllabus *designate required readings. ** designate required readings in course packet (others can be found in textbooks, noted URL, or at Dewey Library reserve) There are three textbooks: *Kahneman and Tversky Choices, values and frames, by (henceforth CVF). R. Thaler, Advances in behavioral finance, Russel Sage Foundation, 1993. *Shleifer, Andrei Inefficient capital markets: An introduction to behavioral finance, Oxford UP 2000. The following book is also useful: T. Gilovich, D. Griffin, & D. Kahneman, (Eds.), Intuitive Judgement: Heuristics and Biases. Cambridge University Press. Introduction **Rabin, M. Economics and Psychology, JEL, v36 n1, March 1998, p.11-46. Thaler, R. The Winners curse, Princeton U P, 1992. Discussion of traditional objections Akerlof, George A; Yellen, Janet L., Can Small Deviations from Rationality Make Significant Differences to Economic Equilibria? American Economic Review. Vol. 75 (4). p 708-20. September 1985. *DeLong, B. Shleifer, A., Summers, L., and Waldman, R., Noise trader risk in financial markets, JPE, v98 n4, Aug 1990, p.703-38. **Thaler, R., The Psychology and Economics conference handbook: Comments on Simon, on Einhorn and Hogarth, and on Tversky and Kahneman, J of Business, v59 n4 part 2, Oct 1986, p. S279 - 284. Nonstandard preferences v Bounded rationality v Imperfect knowledge Conlisk, Why bounded rationality?, JEL, 1996, p.669-700. Mullainathan, S. A memory based model of bounded rationality, Mimeo, MIT, 1998.  HYPERLINK http://web.mit.edu/mullain/www/papers.html http://web.mit.edu/mullain/www/papers.html Sargent, T. Bounded rationality in macroeconomics, Oxford U. P., 1993.  HYPERLINK http://www.stanford.edu/~sargent/ http://www.stanford.edu/~sargent/ Microeconomics Some psychology of decision-making *Camerer, C, Individual decision making, Hagel, J. and Roth, A. Handbook of experimental economics, Princeton UP, 1995, p.587-703. Kahneman, D., Knetsch, J., and Thaler, R. Experimental tests of the endowment effect and Coase theorem, JPE 1990, p.1325-48. *Kahneman, D., Slovic, P., and Tversky, A. Judgement under uncertainty: Heuristics and biases, Cambridge UP, 1982. Thaler, R. Mental accounting, in Quasi-rational economics, Russell Sage, 1991. Tversky, A. and Kahneman, D. Judgement under uncertainty: Heuristics and biases, Science, 185, 1974, p.1124-31. Tversky, A. and Kahneman, D. The framing of decisions and the psychology of choice, Science, 211, 1981, p.453-8. Slovic, Paul "Rational Actors and Rational Fools: Implications of the Affect Heuristic for Behavioral Economics" http://www.iies.su.se/nobel/papers.htm Risk aversion and prospect theory *Kahneman, D., Tversky, A. Prospect theory: An analysis of decision under risk, Econometrica, v47 n2, March 1979, p.263-91. CVF 2. Prelec, D. The probability weighting function, Econometrica, 1998. Rabin, M. Risk Aversion and Expected-Utility Theory: A Calibration Theorem, Econometrica.  HYPERLINK http://emlab.Berkeley.EDU/users/rabin/wpapers2.html http://emlab.Berkeley.EDU/users/rabin/wpapers2.html *Rabin, Diminishing marginal utility cannot explain risk aversion, CVF 11. *Tversky, A. and Kahneman, D. Advances in Prospect theory: Cumulative representation of uncertainty, Journal of risk and uncertainty, v. 5 (4), 1992. CVF 3. Overconfidence, and manipulation of beliefs Benabou, R and Jean Tirole Self-confidence, I and II, III.[put correct titles]  HYPERLINK "http://www.princeton.edu/~rbenabou/CONFQJE2.PDF" "Self-Confidence and Personal Motivation" forthcoming in the Quarterly Journal of Economics.  HYPERLINK "http://www.princeton.edu/~rbenabou/W7585.html" "Self-Confidence and Social Interactions" NBER Working Paper No. 7585, March 2000 Battagliani, M. Benabou, R and Jean Tirole  HYPERLINK "http://www.princeton.edu/~rbenabou/GROUP23.PDF" "Self-Control in Peer Groups" with Marco Battaglini, October 2001  HYPERLINK "http://www.princeton.edu/~rbenabou/" http://www.princeton.edu/~rbenabou/  HYPERLINK http://www.idei.asso.fr/English/ECv/CvChercheurs/PageEcvTirole.html http://www.idei.asso.fr/English/ECv/CvChercheurs/PageEcvTirole.html Camerer and Lovallo Overconfidence and Excess Entry: An Experimental Approach CVF 23  HYPERLINK http://masada.hss.caltech.edu/~camerer/camerer.html http://masada.hss.caltech.edu/~camerer/camerer.html Koszegi, B. U.  HYPERLINK "http://emlab.berkeley.edu/users/botond/collection.pdf" Ego Utility and Information Acquisition Berkeley mimeo  HYPERLINK http://emlab.berkeley.edu/users/botond/index.html http://emlab.berkeley.edu/users/botond/index.html Landier, Augustin, MIT Mimeo.  HYPERLINK http://web.mit.edu/landier/www/wishful.pdf http://web.mit.edu/landier/www/wishful.pdf Quattrone and Tversky Contrasting Rational and Psychological Analyses of Political Choice CVF 25 Rabin and Schrag, A simple model of confirmatory bias, QJE 2000. Weinstein Unrealistic expectations about future life events. Journal of Personality and Social Psychology, 39, 806-820, 1980 Decision utility and experienced utility Gilbert, D. T., Pinel, E. C., Wilson, T. D., Blumberg, S. J., & Wheatley, T. (1998). Immune neglect: A source of durability bias in affective forecasting. Journal of Personality and Social Psychology, 75, 617-638. Gilbert:  HYPERLINK http://www.wjh.harvard.edu/~dtg/danpub.htm http://www.wjh.harvard.edu/~dtg/danpub.htm Gilbert, D. T., & Wilson, T. D. (in press). Miswanting. In J. Forgas (Ed.), Affect and social cognition. Cambridge: Cambridge University Press. **Kahneman, Daniel, et a. Back to Bentham?, QJE, v112 n2, May 1997, p.375-405 Kahneman, Daniel, ed. Well-Being : The Foundations of Hedonic Psychology, Russel Sage, 1998. *Kahneman, Daniel Experienced utility and objective happiness: a moment-based approach. CVF 37. Happiness Rafael Di Tella, Robert MacCulloch and Andrew Oswald Preferences over Inflation and Unemployment: Evidence from Surveys of Happiness, The American Economic Review, 2001, vol. 91, no.1, pp. 335-41. Contingent valuation *Kahneman, D. Ilana Ritov and Savid Schkade, Economic preferences or attitude expressions? An analysis of dollar responses to public issues CVF 36. Bounded rationality Cognitive modelling Al-Najjar, Nabil I., Probabilistic Representation of Complexity WP, Northwestern U.  HYPERLINK http://www.kellogg.nwu.edu/faculty/alnajjar/OpenAccess/ResearchPage.html http://www.kellogg.nwu.edu/faculty/alnajjar/OpenAccess/ResearchPage.html Conlisk, John, Why bounded rationality?, JEL, june 1996, p.669-700. *Gabaix, Xavier and David Laibson Bounded rationality and directed cognition, Mimeo.  HYPERLINK http://web.mit.edu/mullain/www/papers.html http://web.mit.edu/xgabaix/www/papers.html Gabaix, Xavier, David Laibson, Guillermo Moloche and Stephen Weinberg The allocation of attention: Theory and evidence, Mimeo.  HYPERLINK http://web.mit.edu/mullain/www/papers.html http://web.mit.edu/xgabaix/www/papers.html Gigerenzer, Todd at al. Simple heuristics that make us smart, Oxford U P 1999.  HYPERLINK http://www.cogsci.soton.ac.uk/bbs/Archive/bbs.todd.html http://www.cogsci.soton.ac.uk/bbs/Archive/bbs.todd.html Jehiel, P. "Limited Horizon Forecast in Repeated Alternate Games", Journal of Economic Theory, Vol. 67, No. 2, December 1995 MacLeod, Bentley, Complexity, Bounded Rationality and Heuristic Search, 1999.  HYPERLINK "http://www-rcf.usc.edu/~wmacleod/research/research_index.html" http://www-rcf.usc.edu/~wmacleod/research/research_index.html *Mullainathan, Sendhil Thinking through categories, MIT mimeo. Rubinstein, A. Modeling bounded rationality, MIT Press, 1998. The near-rationality approach Akerlof, George A; Yellen, Janet L., Can Small Deviations from Rationality Make Significant Differences to Economic Equilibria? American Economic Review. Vol. 75 (4). p 708-20. September 1985. Caballero, Ricardo J. (1995) ``Near-Rationality, Heterogeneity, and Aggregate Consumption.'' Journal of Money, Credit & Banking, 27(1), pp. 29-48. Evans, G., and Ramey, G. Expectation Calculation and Macroeconomic Dynamics," American Economic Review, vol. 82, March 1992 Gabaix, Xavier and David Laibson The 6D bias and the equity premium puzzle, forth. NBER Macro Annual 2001.  HYPERLINK http://web.mit.edu/mullain/www/papers.html http://web.mit.edu/xgabaix/www/papers.html Mankiw, N.G. and Ricardo Reis. Sticky prices vs sticky decisions: A proposal to replace the neo-Keynesian Philipps curve. Learning Theory Fudenberg, Drew and David Levine Theory of learning in games, MIT Press 1999. McKelvey, Richard D.; Palfrey, Thomas R. Quantal Response Equilibria for Normal Form Games, Games and Economic Behavior; v10 n1 July 1995, p. 6-38. McKelvey, Richard D.; Palfrey, Thomas R.Quantal Response Equilibria for Extensive Form Games, Experimental Economics; v1 n1 1998, p. 9-41. Kandori, M., G. Mailath and R. Rob [1993]: "Learning, Mutation and Long Run Equilibria in Games," Econometrica, 61: 27-56. Experimental evidence **Camerer, Colin and Ho, Teck-Hua Experience weighted attraction learning in normal-form games., Econometrica, v67 n4, July 1999, p. 827-74. *Ho, Teck-Hua, Camerer, Colin F. and Chong, Juin-Kuan. The Economic Value of EWA Lite: A Functional Theory of Learning in Games." http://www.hss.caltech.edu/~camerer/camerer.html Camerer, Colin and Ho, Teck-Hua Iterated Dominance and Iterated Best Response in Experimental "p-Beauty Contests., AER v88 n4 September 1998, p. 947-69. **Erev, Ido and Roth, Alvin. Predicting how people play games. AER, v88 n4, September 1998, p.848-81. Trust and social capital Glaeser, Laibson, Scheinkman, Soutter What is social capital, QJE 2001. La Porta, Schleifer, Vishny , "Trust in Large Organizations" American Economic Review Papers and Proceedings, May, 1997.  HYPERLINK http://www.economics.harvard.edu/~ashleife/ http://www.economics.harvard.edu/~ashleife/ Public goods Ledyard, John O., Public Goods: A Survey of Experimental Research in Handbook of Experimental economics, Princeton University Press 1995.  HYPERLINK "http://www.hss.caltech.edu/~jledyard/Ledyard.html" http://www.hss.caltech.edu/~jledyard/Ledyard.html Organizations and bounded rationality Maskin, E. and Tirole, J. "Unforeseen Contingencies and Incomplete Contracts", Review of Economic Studies, 1999 *Pouget, Sebastien. The Walrasian Ttonnement to Economize on Cognitive Transaction Costs: An Experiment, Mimeo, U. Toulouse. HYPERLINK "http://spouget.free.fr/"http://spouget.free.fr/ Macroeconomics Inflation and nominal illusion Psychological evidence *Shafir, E., Diamond, P., and Tversky, A. Money illusion, QJE, v112 n2, May 1997, p.341-74. CVF 17. Shiller, R. Why do people dislike inflation?, NBER WP 5539, 1996; and in Christina Romer and David Romer, eds., Reducing Inflation: Motivation and Strategy, NBER and U. Chicago Press, 1996. Shiller, R. Public resistance to indexation: A puzzle, BPEA (1), 1997, p.159-229. Inflation and unemployment Akerlof, Dickens, Perry The macroeconomics of low inflation, BPEA (1), 1996, p.1-76. Genesove, David and Chris Mayer, Loss Aversion and Seller Behavior: Evidence from the Housing Market, Quarterly Journal of Economics, 2001, Vol. 116, No. 4, 1233-1260.  HYPERLINK "http://finance.wharton.upenn.edu/~mayerc" http://finance.wharton.upenn.edu/~mayerc Price stickiness Blinder et al. Asking about prices, Russel Sage, 1998. *Fehr, E. and Tyran, J.R., Does money illusion matter?, AER 2001.  HYPERLINK http://www.unizh.ch/iew/home/fehr/ http://www.unizh.ch/iew/home/fehr/ Inflation and the equity premium **Modigliani, F. and Cohn, R. Inflation, rational valuation, and the market, The Collected Papers of Franco Modigliani, vol.5, MIT Press, 1989, p.304-24. Real and nominal interest rate: Fisher hypothesis Evans, Martin. Real Rates, Expected Inflation and Inflation Risk Premia, Journal of Finance, 1997.  HYPERLINK http://www.georgetown.edu/evansmd/#Publications http://www.georgetown.edu/evansmd/#Publications Kandel, S. Ofer, A. and Sarig, O. Real interest rates and inflation: An ex-ante empirical analysis. JOF, 1996, p.205-25. Saving Some psychological evidence on time discounting *Frederick, Shane and G. Loewenstein and T. ODonoghue, Time Discounting: A Critical Review, forth. JEL. http://sds.hss.cmu.edu/faculty/loewenstein.html Self-control problems Angeletos, M., Laibson, D., Repetto, A., and Tobacman, J. The Hyperbolic Buffer Stock Model: Calibration, Simulation, and Empirical Evaluation (2000), forthcoming JPE.  HYPERLINK "http://econ-www.mit.edu/faculty/angelet/papers.htm" http://econ-www.mit.edu/faculty/angelet/papers.htm Barro, R. Ramsey meets Laibson in the neoclassical growth model, QJE, Nov 1999, 1125-52. Bernheim, D., Garrett, D. and Maki, D. Education and Saving: The Long-Term Effects of High School Financial Curriculum Mandates. *Bernheim, D., Skinner J., and Weinberg, S. What Accounts for the Variation in Retirement Wealth Among U.S. Households?, AER. *Gul, F. and Pesendorfer, Self-control and the theory of consumption, Mimeo.  HYPERLINK http://www.princeton.edu/~fgul/research.html http://www.princeton.edu/~fgul/research.html . Harris, C. and Laibson, D. Dynamic Choices of Hyperbolic Consumers, Econometrica 69(4), jul 2001.  HYPERLINK "http://post.economics.harvard.edu/faculty/laibson/papers.html " http://post.economics.harvard.edu/faculty/laibson/papers.html  **Laibson, D. Golden eggs and hyperbolic discounting, QJE, v112 n2, May 1997, p.443-77. Laibson, D., Repetto, A., and Tobacman, J., Self-control and saving for retirement, BPEA, 1998 (1), p.91-196. *Laibson, D., Repetto, A., and Tobacman, J., A Debt Puzzle, forth. in Essays in honor of E. Phelps.  HYPERLINK "http://post.economics.harvard.edu/faculty/laibson/papers.html " http://post.economics.harvard.edu/faculty/laibson/papers.html  Luttmer, Erzo and Thomas Mariotti Subjective Discounting in an Exchange Economy LSE Mimeo.  HYPERLINK http://econ.lse.ac.uk/staff/luttmer/research/ http://econ.lse.ac.uk/staff/luttmer/research/ Mankiw, The Savers-Spenders Theory of Fiscal Policy, AER, May 2000. See the paper and an erratum at:  HYPERLINK http://www.economics.harvard.edu/faculty/mankiw/papers.html http://www.economics.harvard.edu/faculty/mankiw/papers.html Mischel, W., Y. Shoda, and M.L. Rodriguez (1992). Delay of gratification in children in Choice over Time, Elster and Loewenstein ed., Russell Sage Foundation. O'Donoghue, Ted and Rabin, M. Doing It Now or Later, AER, v 89 n1, March 1999, p.103-24.  HYPERLINK http://elsa.berkeley.edu/~rabin/wpapers2.html http://elsa.berkeley.edu/~rabin/wpapers2.html Financial literacy and social influence Duflo, E. and Saez, E., Participation and Investment Decisions in a Retirement Plan: The Influence of Colleagues' Choices,NBER Working Paper No. W7735  HYPERLINK http://papers.nber.org/papers/w7735 http://papers.nber.org/papers/w7735 Hong Harrison and Jeremy Stein.  HYPERLINK "http://post.economics.harvard.edu/faculty/stein/papers/CrashJuly01.pdf" Differences of Opinion, Rational Arbitrage and Market Crashes NBER Working Paper #7376, October 1999, revised July 2001. Joseph Chen, Jeremy Stein and Harrison Hong.  HYPERLINK "http://post.economics.harvard.edu/faculty/stein/papers/BREADTH.PDF" Breadth of Ownership and Stock Returns NBER Working paper #8151, March 2001, revised October 2001, Journal of Financial Economics, forthcoming.  HYPERLINK " http://post.economics.harvard.edu/faculty/stein/stein.html"  http://post.economics.harvard.edu/faculty/stein/stein.html  HYPERLINK "http://www.stanford.edu/~hghong/" http://www.stanford.edu/~hghong/ Madrian, Brigitte and Shea , D. The power of suggestion: Inertia in 401(k) Participation and Savings Behavior, QJE. Thaler and Bernatzi " HYPERLINK "http://gsbwww.uchicago.edu/fac/richard.thaler/research/SMarT14.pdf" Save More Tomorrow: Using Behavioral Economics to Increase Employee Saving".  HYPERLINK "http://economics.uchicago.edu/download/save-more.pdf " http://economics.uchicago.edu/download/save-more.pdf  Other perspectives Americk, J., A. Caplin and J. Leahy . www.nyu.edu/ Animal spirits and the origins of business-cycle fluctuations Farmer, R. , The macroeconomics of self-fulfilling prophecies, MIT Press, 1999. Labor Economics Fairness, morale, and unemployment Akerlof, G. Labor contracts as partial gift exchange, QJE, 1982, p.543-69. *Bewley, T. Why wages dont fall during a recession, 1999, Harvard UP, 2000, Chap. 8, 21. Bewley, T. Why not cut pay?, EER, 1998, p.459-490. *Fehr and Gchter Fairness and Retaliation: The Economics of Reciprocity, Journal of Economic Perspectives 14, (2000).  HYPERLINK http://www.iew.unizh.ch/home/fehr/ http://www.iew.unizh.ch/home/fehr/ *Fehr and Schmidt A Theory of Fairness, Competition and Cooperation, Quartrly Journal of Economics 114, (1999): 817-868.  HYPERLINK http://www.iew.unizh.ch/home/fehr/ http://www.iew.unizh.ch/home/fehr/ Rabin, M. Incorporating fairness into game theory and economics, AER, 1993, p.1058-82. Rabin, M. and Charness, G. "Social Preferences: Some Simple Tests and a New Model" , 2000,  HYPERLINK http://elsa.berkeley.edu/users/rabin/wpapers4.html http://elsa.berkeley.edu/users/rabin/wpapers4.html Solow, R. Another possible source of wage stickiness Journal of Macroeconomics, 1979. Labor supply Camerer, Babcock, Loewenstein, Thaler, Labor supply of New York City Cabdrivers: On day at a time, 1997, QJE, p.407-42. CVF 20. Oettinger, G. 1999 An empirical analysis of the daily labor supply of stadium vendors, JPE, p.360-92. Addiction Becker, Murphy A model of rational addiction. Bernheim, D. and A. Rangel . Laibson, David A cue theory of consumption, QJE. Finance *Barberis and Thaler A survey of behavioral finance. http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/ Cochrane, John. New facts in Finance, Economic Perspectives XXIII (3), 1999  HYPERLINK http://gsbwww.uchicago.edu/fac/john.cochrane/research/Papers/ http://gsbwww.uchicago.edu/fac/john.cochrane/research/Papers/ Hirshleifer,  HYPERLINK "http://www.cob.ohio-state.edu/fin/dice/papers/2001/2001-1.pdf" "Investor Psychology and Asset Pricing,"  Journal of Finance, 56(4) August (2001): 1533-1598.  HYPERLINK "http://www.cob.ohio-state.edu/fin/faculty/hirshleifer/ " http://www.cob.ohio-state.edu/fin/faculty/hirshleifer/  Direct evidence on investor behavior *Benartzi, S. and Thaler, R., Naive Diversification Strategies in Defined Contribution Savings Plans. AER 2001. Heath, C., Huddart, S., and Lang, M., Psychological factors and stock option exercises, QJE, 1999. Grinblatt, Mark & Matti Keloharju, What Makes Investors Trade?.  HYPERLINK http://www.anderson.ucla.edu/acad_unit/finance/workpaper2.htm http://www.anderson.ucla.edu/acad_unit/finance/workpaper2.htm *Odean, T. Are Investors Reluctant to Realize Their Losses?, JOF, 1998, p.1775-1798. See other papers at  HYPERLINK "http://faculty.haas.berkeley.edu/odean/ " http://faculty.haas.berkeley.edu/odean/  Odean, T.  HYPERLINK "http://faculty.haas.berkeley.edu/odean/papers/gender/gender.html" "Boys will be Boys: Gender, Overconfidence, and Common Stock Investment" with Brad Barber, Quarterly Journal of Economics, February 2001, Vol. 116, No. 1, 261-292. Odean, T. Do investors trade too much?, AER, Dec 1999. Limits to arbitrage Theory *Inefficient markets, Ch. 2, 4. Shleifer, A. and Vishny Limits of arbitrage, JOF 52, 25-55. Evidence Inefficient markets, Ch. 3. Froot and Dabora (1999) How are stock prices affected by the location of trade? J Fin Ec 53, 189-216.  HYPERLINK http://www.hbs.edu/units/finance/froot.html http://www.hbs.edu/units/finance/froot.html Lamont, Owen and Richard Thaler Can the market add and substract?. Roenfeldt ,Porter and Sicherman. The Value of Open Market Repurchases of Closed-End Fund Shares. Journal of Business (April 1999). Cross-sectional predictability of stock returns *Barberis and Shleifer Style investing (2001), mimeo.  HYPERLINK http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/ http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/ **Davis, Fama, French. Characteristics, Covariances, and Average Returns: 1929 to 1997, JOF, v55 n1, Feb 2000, p. 389-406. *De Bondt, W. and Thaler, R., Does the stock market overreact?, JOF, v40 n3, July 1985, p.793-805; also in Thaler, Ch.9 (Advances in behavioral finance, NY, Russell Sage Foundation, 1993 . Daniel and Titman `` HYPERLINK "http://kent.kellogg.nwu.edu/papers/dt4_2.pdf"  Market Reactions to Tangible and Intangible Information,'' with Sheridan Titman, (revised September, 2001), Kellogg GSB mimeo.  HYPERLINK http://kent.kellogg.nwu.edu/ http://kent.kellogg.nwu.edu/ **Daniel, Kent, Titman Evidence on the Characteristics of Cross Sectional Variation in Stock Returns Journal of Finance; v52 n1 March 1997, pp. 1-33. Fama, E. and French, K., Multifactor Explanations of Asset Pricing Anomalies, JOF, 1996, 55-84. *Grinblatt and Moskowitz What do we really know about the cross-sectional relation between past and expected returns?, NBER WP 8744 *Lakonishok, J., Shleifer, A., and R. Vishny, Contrarian investment, extrapolation and risk, JOF, v49 n5, Dec 1994, p.1541-1578. La Porta, J., Lakonishok J, .Shleifer, A., and R. Vishny, Good news for value stocks: Further Evidence on Market Efficiency, JOF, June, 1997. Lettau, Martin and Sydney Ludvingson Resurrection of the CCAPM: Cross sectional tests when risk premia are time-varying, WP, New York Fed. Aggregate equity premium Theories of the (time varying) risk premium based on loss aversion *Barberis, N. Huang, M. and Tano Santos Prospect Theory and Asset Prices, QJE 2001.  HYPERLINK http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/ http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/ *Benartzi, S. and Thaler, R. Myopic loss aversion and the equity premium puzzle, QJE, v110 n1, February 1995, p.73-92. CVF 301. *Epstein, Zin, 'First-Order' Risk Aversion and the Equity Premium Puzzle, Journal of Monetary Economics, v26 n3, December 1990, p.387-407. Johnson and Thaler, Gambling with the house money and trying to bread even: The effects of prior outcomes on risky choice, in Thaler, Quasi-rational economics,Russel Sage 1992. Other perspectives *Gabaix, Xavier and David Laibson The 6D bias and the equity premium puzzle, NBER Macro Annual 2001.  HYPERLINK http://web.mit.edu/mullain/www/papers.html http://web.mit.edu/xgabaix/www/papers.html Kocherlakota, Narayana R. (1996) ``The Equity Premium: It's Still a Puzzle.'' Journal of Economic Literature. 34(1). pp. 42-71. Klein, Peter (2001) The capital gain lock-in effect and long-horizon return reversal, J. Fin. E., January. Earnings announcements and underreaction *Bernard, V. Stock price reactions to earnings announcements: A summary of recent anomalous evidence and possible explanations, in Thaler, Ch. 11 (Advances in behavioral finance, NY, Russell Sage Foundation, 1993, p.303-340.) Cohen, Randall, Tuomo . Momentum Hong, H., Lim, T. and Stein, J. Bad news travel slowly: Size, analyst coverage and the profitability of momentum strategies. *Lee, C. and Swaminathan, Price momentum and trading volume, JOF. Moskowitz, T and GrinblattDo Industries Explain Momentum?, JOF.  HYPERLINK http://gsbwww.uchicago.edu/fac/tobias.moskowitz/research/ http://gsbwww.uchicago.edu/fac/tobias.moskowitz/research/ Yao, Tong. When Are Momentum Profits Due to Factor Dynamics?,  HYPERLINK "http://uaeller.eller.arizona.edu/~tyao/artistso" http://uaeller.eller.arizona.edu/~tyao/artistso Lo, Mamasky, Wang. Foundations of technical alysis JOF 2000.  HYPERLINK http://web.mit.edu/alo/www/ http://web.mit.edu/alo/www/ Kent, Subrahmanyam and Titman`` HYPERLINK "http://kent.kellogg.nwu.edu/papers/DHS2r3.html" Overconfidence, Arbitrage, and Equilibrium Asset Pricing,'' Journal of Finance, 56(3), June 2001, p. 921-965. Rational non-standard preferences Campbell, J. and Cochrane, J. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, JPE, 1999.  HYPERLINK http://www.economics.harvard.edu/~campbell/papers.html http://www.economics.harvard.edu/~campbell/papers.html Epstein, L and Zin, S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework, Econometrica, 937-68, (1989).  HYPERLINK http://www.econ.rochester.edu/Faculty/Epstein.html http://www.econ.rochester.edu/Faculty/Epstein.html *Hansen, L. Sargent, T. Tallarini, T. Robust Permanent Income and Pricing, Mimeo, Chicago, 1999.  HYPERLINK http://www.stanford.edu/~sargent/research.html http://www.stanford.edu/~sargent/research.html Evidence on rational expectations Froot, K. and Frankel, J.: Forward discount bias: Is it an exchange risk premium?, QJE, 1989, 139-61. Gourinchas, P.O. and Tornell, A. Exchange Rate dynamic and Learning 1996, NBER WP.  HYPERLINK http://papers.nber.org/papers/W5530 http://papers.nber.org/papers/W5530 *Ito, T. Foreign exchange rate expectations: Micro survey data, AER, v80 n3, June 1990, p. 434-49. Kandel and Pearson, Differential interpretation of Public signals and trade in speculative markets", JPE , 1995, 831-72. Laster, D., Bennett, P. and Geum, I.S. Rational bias in macroeconomic forecasts, QJE, 1999, 293-318. Lovell, M. Tests of the rational expectation hypothesis, AER, 1986, 110-24. Takagi, Shinji. "Exchange Rate Expectations: A Survey of Survey Studies." IMF Staff Papers, vol.38, no.1 (March 1991), pp.156-183. Zitzevitz, Eric "Opinion-Producing Agents: Career Concerns and Herding.", MIT mimeo.  HYPERLINK http://web.mit.edu/ericz/www/ http://web.mit.edu/ericz/www/ Experimental finance Lo, A. Physiological measures of trading. Ch. Plott *Pouget, Sebastien. The Walrasian Ttonnement to Economize on Cognitive Transaction Costs: An Experiment, Mimeo, U. Toulouse. HYPERLINK "http://spouget.free.fr/"http://spouget.free.fr/ Smith, Vernon, Gerruy Suchanek and Arlington Williams Bubbles, Crashes and endogenous Expectations in Experimental Spot Asset Markets, Econometrica 56(5), 1988. Bubbles and crashes Theory Abreu and Brunnermeier  HYPERLINK "http://www.princeton.edu/~markus/Research/papers/bubbles_crashes.pdf" Bubbles and crashes, September, 2001, Princeton mimeo. Allen, Morris, Postlewaite "Finite Bubbles with Short Sale Constraints and Asymmetric Information," JET, 1993, Vol.61, pp. 206-230. Blanchard and Watson Bubbles, Rational Expectations and financial markets in Crises in the economic and financial structure, lexington books, 1982 Bulow, Jeremy and Paul Klemperer, (1994), "Rational Frenzies and Crashes" Journal of Political Economy 102 (No. 1), pp. 1-23 *Gabaix, Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley Understanding large movements in stock market activity. Hong and Stein, Differences of Opinion, Rational Arbitrage and Market Crashes NBER WP 7376.  HYPERLINK http://papers.nber.org/papers/W7376 http://papers.nber.org/papers/W7376 Lux, Th. and D. Sornette Rational bubbles and crashes, Journal of Monetary Economics, 2002. Morris,S. "Speculative Investor Behavior and Learning," Quarterly Journal of Economics 111 (1996), 1111-1133. Shiller, R. Irrational exuberance, Princeton U. Press, 2000. Evidence *Hong, Chen and Stein Forecasting crashes: trading volume, past returns and conditional skewness in stock prices. Published where? Kindleberger Mania, panics and crashes: A History of Financial Crises Wiley, paperback (2000), , third edition. Smith, Vernon, Gerruy Suchanek and Arlington Williams Bubbles, Crashes and endogenous Expectations in Experimental Spot Asset Markets, Econometrica 56(5), 1988. Theories of investor sentiment Barberis, N., Shleifer, A., and Vishny, R. A model of investor sentiment, JFE, 1998, 307-343. Inefficient Markets, Ch. XX **Daniel, K., Hirshleifer, D. and Subramanyam, A., Investor Psychology and Security Market Under- and Overreactions, JOF, v53 n6, December 1998, p.1839-85. Griffin, D., and Tversky, A. The weighting of evidence and the determinants of confidence, Cognitive Psychology, 1992, 411-35. **Hong, H. and Stein, J. A unified theory of underreaction, momentum trading, and overreaction in financial markets, JOF, v54 n6, Dec 1999, p. 2143-2184. Odean, T., Volume, Volatility, Price, and Profit When All Traders Are Above Average, JOF 1998, 1887-1934. Some corporate finance *M. Barker and J. Wurgler "Market Timing and Capital Structure" JOF, February 2002. http://www.stern.nyu.edu/~jwurgler/ Moods, the sun and the moon Hirshleifer, Jack and Tyler Shumway "Good Day Sunshine: Stock Returns and the Weather, forth. JoF. http://www.cob.ohio-state.edu/fin/faculty/hirshleifer/ Kathy Yuan, Lu Zheng, Qiaoqiao Zhu Are Investors Moonstruck? Lunar Phases and Stock Returns http://webuser.bus.umich.edu/kyuan/moonstruck.pdf Objections to behavioral finance, and replies Fama, E. Market efficiency, long-term returns, and behavioral finance, J Fin Econ, 1998, 283-306. Loughran, T. and Ritter,  HYPERLINK "http://bear.cba.ufl.edu/ritter/rittulp.htm" Uniformly least powerful tests of market efficiency, WP U. Florida, forthcoming,  HYPERLINK "http://jfe.rochester.edu/" Journal of Financial Economics. Shleifer, A. and Vishny, R. The limits of arbitrage, JOF, 1997, 35-55. Some other perspectives Agent-based models *Chan, Nicholas, Blake LeBaron, Andrew Lo, and Tomaso Pogio Agent Based Financial Markets: A comparison with experimental markets. Unpublished, 1999.  HYPERLINK http://stanley.feldberg.brandeis.edu/~blebaron/ http://stanley.feldberg.brandeis.edu/~blebaron/ Gode, D. and Sunder, S. Allocative efficiency of markets with zero-intelligence traders: Market as a partial substitute for individual rationality, 1993, JPE, 119-137. Gode, D. and Sunder, S. What makes markets allocationally efficient? QJE May 1997, 603-30. *LeBaron, Blake. Agent Based Computational Finance: Suggested Readings and Early Research, Journal of Economic Dynamics and Control, 2000.  HYPERLINK http://stanley.feldberg.brandeis.edu/~blebaron/ http://stanley.feldberg.brandeis.edu/~blebaron/ see also ressources at  HYPERLINK http://www.econ.iastate.edu/tesfatsi/ace.htm http://www.econ.iastate.edu/tesfatsi/ace.htm Econophysics: Economics with statistical physics methods *Gabaix, Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley Understanding large movements in stock market activity. Gabaix, Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley A simple theory of the cubic laws of financial fluctuations. T. Lux and M. Marchesi. "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market" Nature 397, 498 - 500 (1999) Levy, Levy and Solomon, Microscopic simulations of financial markets. Mantegna and Stanley An introduction to econophysics. *Scheinkman and Woodford, Self-organized criticality AER PP. Artificial intelligence perspectives Genetic algorithms Mitchell, M. An introduction to genetic algorithms, MIT Press, 1996 Case-based reasoning Gilboa and Schmeidler, Case-Based Decision Theory, QJE, v110 n3 August 1995, pp. 605-39. Machine learning Vapnik, V.N. The nature of statistical learning theory, Berlin: Springer-Verlag, 1995.  HYPERLINK http://www.santafe.edu/~shalizi/reviews/vapnik-nature/ http://www.santafe.edu/~shalizi/reviews/vapnik-nature/ The brain Antonio R. Damasio, Descartes' Error: Emotion, Reason, and the Human Brain Avon Books , New York, 1994 Gazzaniga, Michael S. The Mind's Past, Berkeley and Los Angeles: University of California Press, 1998. Gazzaniga, Michael S, The new cognitive neurosciences, MIT Press, 2000. Cognitive modeling: formal models in psychology Anderson, John. The atomic components of thought, 1999 http://act.psy.cmu.edu/act/book/ Newell and Simon Human problem solving, Prentice-Hall: Englewood (1972). Busemeyer, J. R., Hastie, R., & Medin, D. L. (1995). Decision Making from a Cognitive Perspective. Psychology of Learning and Motivation, 32. Academic Press. Busemeyer, J. R., & Townsend, J. T. (1993). Decision Field Theory: A dynamic cognitive approach to decision making. Psychological Review, 100, 432-459.  HYPERLINK http://www.psych.indiana.edu/cogsci/busemeyer.html http://www.psych.indiana.edu/cogsci/busemeyer.html Evolutionary psychology Buss, Evolutionary psychology, in Gilbert, D. et al. ed. Handbook of social psychology, 4th ed., McGraw Hill, 1998. Pinker, S. How the mind works, Norton, 1997. J. Barkow, L. Cosmides, and J. Tooby (Eds.), The adapted mind: Evolutionary psychology and the generation of culture. New York: Oxford University Press. (1992). Further readings Cialdini, R. Influence, the psychology of persuasion, 1993, Quill. Gilbert, D. et al. ed. Handbook of social psychology, 4th ed., McGraw Hill, 1998. Hagel, J. and Roth, A. Handbook of experimental economics, Princeton UP, 1995. Kahneman, T. Gilovich, & D. Griffin (Eds.), Heuristics and biases. Cambridge: Cambridge University Press, 2001. Minsky, M. The Society of Mind, Simon and Schuster, 1985. Pinker, S. How the mind works, Norton, 1997. Nisbett, R. and Ross, S. Human inference: strategies and shortcomings of social judgment, Prentice-Hall, 1980. Thaler, R., Anomalies column in the JEP. There are also many references at:  HYPERLINK http://www.economics.harvard.edu/~aroth/alroth.html http://www.economics.harvard.edu/~aroth/alroth.html PAGE 15 PAGE 18 st  >pC 3 4 5 _ ` n u d   ?@KLM EFCJaJjUjUjU65CJCJ jU0JjU jUL*6OP  6^bcde$a$ jr]rEbers  d e  ' ( ) m n a b ^   2 3 89qrW~ '(m$a$mnAB(/01]^Lz{|JK dd[$\$]Fcd345xyHIZ[HIijOPQ{|$%yz{e f j Uj Uj UjlU 0JOJQJB*OJQJphjB*OJQJUphj'UjUjU jU0J=JKi23vw,-}~_`"#-.  $ e !!""""##R#$a$ L!M!!!!!!""G"H"I"""R#S######1$M$%%&&&&&&&)'*',,)-*-+-V-W-----3.4.5.f.g.h.///////01g2j#U0J5jN5U5 j5Uj)UjU6jUjUjU0J jUj UAR###!$"$`$a$b$$$E%F%%%X&Y&+',''''''' ( (((1) !1)2)))))U*V* + +++,,,,,-,w,x,X-Y-f-g--h.i....////////// 0 0k0s0t0415111111112 3 333 3g2222222 3 303C33333333M5N555555B6r66677888F8G8992:3:4:`:a:::;;;W;X;m<<<<<<<==x=y======K>L>>jUjUjUjUjUaJjUjU60JjU jU6]D 3!3X3Y33334444444558696:6A6B6r6s677%7&77H8I8I888(9)999b:d::W;Y;;;$<%<<===x===>>w?x?>@?@g@>>>>>?? @@@<@=@AA2A3A4AWAXAzA{AAA BB{B|BBBBB`CaCCCCCCCCDDD:D;DDDDDEEeEfEiEjEEEEEEEEUG|GG'HGHTHUHjOJQJU6OJQJ]OJQJ6j3#U5j"Uj!Uj UjU0J jUjUDg@h@AYAZAzAKBLBMB{B_C`CC*B*\]ph 0J5\j5U\5\5jN4Uj3U jU0J;^h_hhhhhAiiiiiyjzjjj0k1kkk lVlWlXlYlnlollll$a$5l6l7lTlUl%m&mImJmKmbmcm2n>n@nAnnnnnZq[qqqqqqHwwwwyxyyyyy)z*zIzJzqzrzzz{{{{{||}}}}}~~7~8~p~q~r~~~bj?Uj>UjU=U 0J6]j<U OJQJ\5\5j;U^Jj:U0J jUj9UBlldmem n n nn n'n(nnnRoSoooHpqprpppqqrrrr $[$\$a$rrrrrrNsOssssftgthttttuuuu%v&vvv/w0wGwHwwwwwwyxzx y y y;yhttp://gsbwww.uchicago.edu/fac/john.cochrane/research/Papers/yK |http://gsbwww.uchicago.edu/fac/john.cochrane/research/Papers/DyK yK nhttp://www.cob.ohio-state.edu/fin/faculty/hirshleifer/mDyK >http://www.anderson.ucla.edu/acad_unit/finance/workpaper2.htmyK |http://www.anderson.ucla.edu/acad_unit/finance/workpaper2.htmDyK yK Phttp://faculty.haas.berkeley.edu/odean/%DyK ,http://www.hbs.edu/units/finance/froot.htmlyK Xhttp://www.hbs.edu/units/finance/froot.htmlaDyK ;http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/yK vhttp://gsbwww.uchicago.edu/fac/nicholas.barberis/research/DyK http://kent.kellogg.nwu.edu/yK :http://kent.kellogg.nwu.edu/aDyK ;http://gsbwww.uchicago.edu/fac/nicholas.barberis/research/yK vhttp://gsbwww.uchicago.edu/fac/nicholas.barberis/research/!DyK +http://web.mit.edu/mullain/www/papers.htmlyK Vhttp://web.mit.edu/mullain/www/papers.html]DyK :http://gsbwww.uchicago.edu/fac/tobias.moskowitz/research/yK thttp://gsbwww.uchicago.edu/fac/tobias.moskowitz/research/5DyK 0http://uaeller.eller.arizona.edu/~tyao/artistsoyK `http://uaeller.eller.arizona.edu/~tyao/artistsoDyK http://web.mit.edu/alo/www/yK 8http://web.mit.edu/alo/www/QDyK 7http://www.economics.harvard.edu/~campbell/papers.htmlyK nhttp://www.economics.harvard.edu/~campbell/papers.htmlADyK 3http://www.econ.rochester.edu/Faculty/Epstein.htmlyK fhttp://www.econ.rochester.edu/Faculty/Epstein.html1DyK /http://www.stanford.edu/~sargent/research.htmlyK ^http://www.stanford.edu/~sargent/research.htmlDyK $http://papers.nber.org/papers/W5530yK Hhttp://papers.nber.org/papers/W5530DyK http://web.mit.edu/ericz/www/yK <http://web.mit.edu/ericz/www/DyK yK 0http://spouget.free.fr/DyK $http://papers.nber.org/papers/W7376yK Hhttp://papers.nber.org/papers/W7376DyK yK Vhttp://bear.cba.ufl.edu/ritter/rittulp.htm5DyK 0http://stanley.feldberg.brandeis.edu/~blebaron/yK `http://stanley.feldberg.brandeis.edu/~blebaron/5DyK 0http://stanley.feldberg.brandeis.edu/~blebaron/yK `http://stanley.feldberg.brandeis.edu/~blebaron/)DyK -http://www.econ.iastate.edu/tesfatsi/ace.htmyK Zhttp://www.econ.iastate.edu/tesfatsi/ace.htmQDyK 7http://www.santafe.edu/~shalizi/reviews/vapnik-nature/yK nhttp://www.santafe.edu/~shalizi/reviews/vapnik-nature/ADyK 3http://www.psych.indiana.edu/cogsci/busemeyer.htmlyK fhttp://www.psych.indiana.edu/cogsci/busemeyer.htmlEDyK 4http://www.economics.harvard.edu/~aroth/alroth.htmlyK hhttp://www.economics.harvard.edu/~aroth/alroth.html i4@4 NormalCJ_HmH sH tH 6@6 Heading 1$@& 5:CJ0@0 Heading 2$@&62@2 Heading 3$@&5\4@4 Heading 4$@&5CJ<A@< Default Paragraph Font(U@( Hyperlink>*B*,>@, Title$a$5CJ, @, Footer  !&)@!& Page Number8V@18 FollowedHyperlink>*B* BOBB Quarter-Title $1$a$ 5CJhHORH HTML Body 7$8$H$OJQJ_HmH sH tH &X@a& Emphasis6]L^`rL Normal (Web)dd[$\$B*CJaJphc*6OP  6^bcdersde'()mnab  2 3 8 9 q r W ~  ' ( m n AB(/01]^Lz{|JKJKi23vw,-}~_`"#-.  $  eR! 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