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UCLA行为经济学教案

Mini-Course in Psychology and Economics - Spring, 2003 Leeat Yariv The goal of this mini-course is to give an overview of the state of the art of psychology and economics. We will focus on some aspects of decision making, static and dynamic. Attached below is the course outline and reading list. Required readings are asterisked. Talking with me: Please stop by and tell me about your research! I will be seating in room 211. Tentative office hours are Sundays and Tuesdays, 14:00-16:00. You can also contact me by e-mail: lyariv@econ.ucla.edu. Requirements: A final exam or a short original paper, depending on class size and preferences. Course Outline Very Brief Intro – What is this field of psychology and economics? Static Decision Making a. Single Agent Decision Making 1. Judgment Under Uncertainty – heuristics in decision making and consequential biases. 2. Prospect Theory – experiments and theory parting from expected utility theory. 3. Prospect Theory applied – mental accounting and consumer choice. 4. An affectionately contaminated theory? The effects of emotions and moods on decision making. b. Multiple Agent Decision Making 5. Fairness and diversity of preferences – experimental evidence and some theories. 6. Diversity of cognitive sophistication – experiments and theory of one shot game behavior. Dynamic Decision Making 7. Thumbs up or down on exponential discounting? Experimental evidence on intertemporal choices and corresponding theories. 8. Forming beliefs – cognitive dissonance and confirmatory bias. 9. Learning - Reinforcement learning and case-based decision theory 2 Reading List Recommended Books · Kahneman, D., Slovic, P. and Tversky, A. (Eds.) [1982], Judgment under uncertainty: Heuristics and biases, Cambridge: Cambridge University. · Thaler, R. H. [1992], The Winner’s Curse: Paradoxes and Anomalies of Economic Life, Princeton, N. J.: Princeton University Press. 1. Judgment Under Uncertainty · * Tversky, A. and Kahneman, D. [1974], “Judgment under Uncertainty: Heuristics and Biases,” Science, pp. 1124-1131 (JSTOR). · Kahneman, D., Slovic, P. and Tversky, A. (Eds.) [1982], Judgment under uncertainty: Heuristics and biases, Cambridge: Cambridge University. 2. Prospect Theory · * Kahneman, D. and Tversky, A. [1979], “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, 47(2), pp. 263-291 (JSTOR). · * Tversky, A. and Kahneman, D. [1992], “Advances in Prospect Theory: Cumulative Representation of Uncertainty,” Journal of Risk and Uncertainty, 5, pp. 297-323. · Harbaugh, B., Krause, K., and Vesterlund, L. [2003], “Prospect Theory in Choice and Pricing Tasks,” mimeo (available at: http://www.pitt.edu/~vester/PTChoicePrice.pdf). 3. Applications of Prospect Theory – Mental Accounting and Consumer Choice · Plott, C. R. and Zeiler, K. [2003], “The Willingness to Pay/WIllingness to Accept Gap, the "Endowment Effect," Subject Misconceptions and Experimental Procedures for Eliciting Valuations,” mimeo (available at: http://research.cassel.ucla.edu/charlieplott.PDF). · Thaler, R. H. [1994], Quasi Rational Economics, Russel Sage Foundation/New York, chapters 1-3. · Thaler, R. H., Kahneman, D., Knetch, J. [1992], “The Endowment Effect, Loss Aversion, and Status Quo Bias,” The Winner’s Curse, New York: Free Press. 3 · * Thaler, R. H. [1992], “Savings, Fungibility, and Mental Accounts,” The Winner’s Curse, New York: Free Press. 4. Emotions and Economic Theory · Isen, A. M., “Positive Affect and Decision Making.” In Lewis, M. and Haviland, J. M. (Eds.), Handbook of Emotions, NY: Guilford. · Johnson and Tversky [1983], “Affect, Generalization, and The Perception of Risk,” Journal of Personality and Social Psychology. 5. Fairness · * Fehr, E. and Schmidt, K. M. [1999], “A Theory of Fairness, Competition, and Cooperation,” Quarterly Journal of Economics, vol. 114, pages 817-868 (original version available at: http://www.iew.unizh.ch/wp/iewwp004.pdf). · * Levine, D. K. [1998], “Modeling Altruism and Spitefulness in Experiments,” Review of Economic Dynamics, vol. 1, pages 593-622. · * Rabin, M. [1993], “Incorporating Fairness into Game Theory and Economics," American Economic Review, vol. 83, pages 1281-1302 (JSTOR). · * Thaler, R. H. [1994], Quasi Rational Economics, Russel Sage Foundation/New York, chapters 10 and 11. 6. Cognitive Hierarchies · * Camerer, C., Ho, T., and Chong, J. [2002], “A Cognitive Hierarchy Theory of One-shot Games.” Mimeo (available at: http://research.cassel.ucla.edu/ColinCamerer.pdf) · * Costa-Gomes, M., Crawford, V. P., and Broseta, B. [2001], “Cognition and Behavior in Normal-Form Games: An Experimental Study,” Econometrica, Vol. 69, pages 1193-1235 (available at: http://weber.ucsd.edu/~vcrawfor/). · Nagel, R. [1995], “Unraveling in Guessing Games: An Experimental Study,” The American Economic Review, Vol. 85, No. 5, pages 1313-1326 (JSTOR). 4 7. Intertemporal Choice – Experiments and Theory · Frederick, S., Loewenstein, G. and O'Donoghue, T. [2003], “Time Discounting and Time Preference A Critical Review”, Journal of Economic Literature, forthcoming (available at: http://sds.hss.cmu.edu/faculty/Loewenstein/downloads/FredLoewOD.pdf). · Laibson, D. [1997], “Golden Eggs and Hyperbolic Discounting,” Quarterly Journal of Economics, Vol. 112, No. 2, pages 443-478 (JSTOR). · * Lowenstein, G. and Thaler, R. H. [1989], “Anomalies: Intertemporal Choice,” Journal of Economic Perspectives, Vol. 3, No. 4, pages 181-193 (JSTOR). · Prelec, D. and Loewenstein. G. [1998], “The Red and The Black: Mental Accounting of Savings and Debt,” Marketing Science, Vol. 17, No. 4, pages 4-28. · * Thaler, R. H., Kahneman, D., Knetch, J. [1992], “Intertemporal Choice,” The Winner’s Curse, New York: Free Press. 8. Forming Beliefs · * Rabin, M. and Schrag, J. L. [1999], “First Impressions Matter: A Model of Confirmatory Bias,” Quarterly Journal of Economics, pages 37-82. · Akerlof, G. A. and Kranton, R. E. [1998], “Economics and Identity,” mimeo. · Akerlof, G. A. and Dickens, W. T. [1982], “The Economic Consequences of Cognitive Dissonance,” The American Economic Review, pages 307-319. · Koszegi, B. [1999], “Ego Utility, Overconfidence, and Task Choice,” mimeo (available at http://emlab.berkeley.edu/users/botond/overconf.pdf). · Yariv, L. [2001], “Believe and Let Believe: Axiomatic Foundations for Belief Dependent Utility Functionals,” mimeo (available at: http://www.econ.ucla.edu/lyariv/papers/Believe_axioms.pdf) · * Yariv, L. [2002], “I'll See It When I Believe It: A Simple Model of Cognitive Consistency,” mimeo (available at: http://www.econ.ucla.edu/lyariv/papers/Believe.pdf). 9. Learning Reinforcement Learning · Camerer, C. and Ho, T. [1999], “Experience Weighted Attraction (EWA) Learning in Normal-Form Games,” Econometrica, Vol. 67, pages 827-874. · * Erev, I. and Roth, A. E. [1998], “Predicting how people play games: Reinforcement learning in experimental games with unique, mixed strategy equilibria,” American Economic Review, Vol. 88, No.4, pages 848-881. (available at: http://www.economics.harvard.edu/~aroth/papers/AER884.pdf). · Roth, A. E. and Erev, I. [1995], “Learning in Extensive-Form Games: Experimental Data and Simple Dynamic Models in the Intermediate Term,” Games and Economic Behavior, Special Issue: Nobel Symposium, Vol. 8, pages 164-212 (available at: http://www.economics.harvard.edu/~aroth/papers/liefg.pdf). Case-Based Decision Theory · Gilboa, I. and Schmeidler, D. [1995], “Case-Based Decision Theory,” Quarterly Journal of Economics, Vol. 110, pp. 605-639 (JSTOR). · Gilboa, I. and Schmeidler, D. [2001], A Theory of Case-Based Decisions, Cambridge University Press.

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关键词：行为经济学 行为经济 著名大学 经济学 名大学 金融 大学 教案 行为经济学

ADVANCED TOPICS IN FINANCE:BEHAVIOURAL FINANCE SPRING 2003Ph D Course, Winter-Spring of 2003.

Updated March 7, 2003

Timing:The course is expected to be taught in Winter-Spring of 2003 This is reading course, so no precise schedule will exist...

Course requirements:

· The required reading assignment for each session consists of one journal article. Students are expected to have carefully read the article marked by double star (**).

· Each student should present 3 articles and do 3 referee presentations (a critique of an article presented by another student). The presentations should be deep enough to give the audience the understanding of (a) what is research question? (b) what is in the toolbox? (c)were the issues addressed? and (c) any tricks?

· Prerequisites are Finance I and Finance II.

· In order to obtain credit, you should do presentations/discussions (see above) and either do a term paper or small empirical project.

· I hope that the project can lead to some research ideas that can be used in your thesis.

· Most of the papers are available electronically either from HHS library web site or from www.ssrn.com. If you cannot find some paper, please let me know.

· I do not expect all the topics to be covered. However, the reading list will provide you with some starting points in your future reading if you desire to do it on your own.

·

**- Important paper (does not mean that the rest is not important!!!)

*** - Papers we are going to discuss in class

Course Director

Assistant Professor Andrei Simonov Department of Finance, Stockholm School of Economics Room 677, Tel: 736 9159, e-mail Andrei Simonov

Course Secretary

Marita Rosing Department of Finance, Stockholm School of Economics Room 665, Tel: 736 9140, e-mail Marita Rosing

General references:

Shleifer, Andrei (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press.

Shefrin, Hersh (1999), Beyond Fear and Greed, Harvard Business School Press.

Shiller, Robert (2000), Irrational Exuberance, Princeton University Press.

Course outline

INTRODUCTION

* De Bondt, Werner, and Richard Thaler (1995), “Financial Decision Making in Markets and Firms”, in Jarrow, Maksimovic, and Ziemba (eds.) Finance, Elsevier-North Holland.

** Shiller, Robert (1984), “Stock Prices and Social Dynamics”, Brookings Papers on Economic Activity 2, 457-498.

BEHAVIORAL BIASES AND LACK OF RATIONALITY

Session 1: Limits to Arbitrage Tuesday, March 25, 15.15-17.00 room 191

***DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann, "Noise Trader Risk in Financial Markets", Journal of Political Economy 98, 703-738

* Lamont, Owen, and Richard Thaler (2000), “Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs,” Working Paper, University of Chicago.

***Shleifer, Andrei, and Robert Vishny (1997), “Limits of Arbitrage”, Journal of Finance 52, 35-55

***Shleifer, Andrei (1986), “Do Demand Curves for Stocks Slope Down?” Journal of Finance 41, 579-90.

Session 2: Evidence of Limited Arbitrage Monday, March 31, 13.15-14.45 room 350

***Baker, Malcolm, and Savasoglu, Serkan, 2002, “Limited Arbitrage in Mergers and Acquisitions,” Journal of Financial Economics, Vol. 64(1), 91-115.

*** Froot, Kenneth and Emil Dabora, 1999,“How are stock prices affected by the location of trade,”Journal of Financial Economics, Vol. 53 (2), 189-216.

Greenwood, Robin, 2002, “Large Events and Limited Arbitrage: Evidence from a Japanese Stock Index Redefinition, ” Harvard University mimeo.

Morck, Randall and Fan Yang, 2001, “The Mysterious Growing Value of S&P 500 Membership,”University of Alberta mimeo.

***Mitchell, Mark, Todd Pulvino, and Erik Stafford, 2002, “Limited Arbitrage in Equity Markets,” Journal of Finance, Vol 57(2).

**Pontiff, Jeff (1996), “Costly Arbitrage: Evidence from Closed-end funds”, Quarterly Journal of Economics 111, 1135-52.

* Rashes, Michael, 2001, “Massively Confused Investors Making Conspicuously Ignorant Choices MCI-MCIC),” Journal of Finance, Vol 56(5), 1911-1927.

Scholes, Myron, 2000, “Crisis and Risk Management” AEA Papers and Proceedings, Vol. 90(2)

* Wurgler, Jeffrey, and Ekatherina Zhuravaskya, 2002, “Does Arbitrage Flatten Demand Curves for Stocks,” Journal of Business, vol. 75(4), 583-608.

Session 3: Psychology and Modeling Behavioral Biases

Wednesday, Apr. 9, 10:15-12:00, Room 349

***Angeletos, George-Marios, David Laibson, Andrea Repetto, Jeremy Tobacman, and Stephen Weinberg. “The Hyperbolic Buffer Stock Model: Calibration, Simulation, and Empirical Evaluation,” Journal of Economic Perspectives, forthcoming, 2001.

Babcock, Linda, George Loewenstein, S. Issacharoff, and Colin Camerer, “Biased judgments of fairness in bargaining,” American Economic Review, December 1995, 1337-1343

* Camerer, Colin (1995), “Individual Decision Making”, in Kagel and Roth (eds.), Handbook of Experimental Economics, Princeton University Press.

Camerer, Colin “Behavioral game theory: Formalizing the psychology of strategic thinking,” unpublished paper. 2000.

* Gabaix, Xavier and David Laibson, “A New Challenge for Economics: The Frame Problem" I. Broca and J. Carillo eds., forthcoming in Collected Essays in Psychology and Economics, Oxford University Press.

Gabaix Xavier and David Laibson (2000) “Bounded Rationality and Directed Cognition” Harvard Mimeo

*Faruk Gul and Pesendorfer Wolfgang (1999), “Self-control and the theory of consumption”, Mimeo Princeton Uninivesity

**Faruk Gul and Pesendorfer Wolfgang (2001), “Temptation and self-control”, Econometrica

Faruk Gul and Pesendorfer Wolfgang (2001), “A theory of addiction”, Mimeo Princeton University

* Harris Christopher and David Laibson (2001) “Instantaneous Gratification” Harvard Mimeo.

***Harris Christopher and David Laibson (2001) “Hyperbolic Discounting and Consumption” Econometrica.

Chris Harris and David Laibson “Dynamic Choices of Hyperbolic Consumers”, Harvard Mimeo

***Thaler, Richard and Hersh M. Shefrin (1981), “An Economic Theory of Self-Control,” Journal of Political Economy, 89, 392-406.

Session 4: Prospect Theory and Loss Aversion

April 25th, 13:15-15:00, room 350

*** Kahneman, Daniel, and Mark Riepe (1998), “Aspects of Investor Psychology”, Journal of Portfolio Management 24, 52-65.

* Kahneman, Daniel, and Amos Tversky (1974), “Judgment Under Uncertainty: Heuristics and Biases”, Science 185, 1124-31.

***Kahneman, Daniel, and Amos Tversky (1979), “Prospect Theory: An Analysis of Decision Under Risk”, Econometrica 47, 263-91.

Rabin, Matthew, and Richard Thaler (2001), “Risk Aversion,” Journal of Economic Perspectives 15(1), 219-232.

Rabin Matthew, (1998) “Psychology and Economics”, Journal of Economic Literature, 11-46

***Thaler, Richard (1999), “Mental Accounting Matters”, Journal of Behavioral Decision Making, vol. 12, pp. 183-206.

* Thaler, Richard, Amos Tversky, Daniel Kahneman, and Alan Schwartz (1997), “The Effect of Myopia and Loss Aversion on Risk-Taking: An Experimental Test”, Quarterly Journal of Economics 112, 647-661.

Session 5: Evidence of Investor Behavior

April 30th, 10:15-12:00, room 349

Barber, Brad, and Terrance Odean (2001), "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.

*** Barber, Brad, and Terrance Odean (2000), Online Investors: Do the Slow Die First? , Review of Financial Studies, March 2002, Vol. 15, No. 2, 455-487.

* Barber, Brad, Terrance Odean, and Lu Zheng (2000), Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows, working paper, UC-Davis.

**Benartzi, Shlomo, and Richard Thaler (2001), “Naïve Diversification Strategies in Defined Contribution Savings Plans”, AER vol 91(1) pp. 79-98.

***Genesove, and Mayer (2001), “Loss Aversion and Seller Behavior: Evidence from the Housing Market”, Quarterly Journal of Economics 116(4) 1233-1260

Grinblatt, Mark, and Matti Keloharju (2001), “Distance, Language, and Culture Bias: The Role of Investor Sophistication,” Journa of Finance 56(3), 1053-73 .

Heath, Chip, Steven Huddart and Mark Lang, “Psychological Factors and Stock Option Exercises”, Quarterly Journal of Economics 114, 601-627

***Huberman, Gur, “Familiarity Breeds Investment”, Rev. Financ. Stud. 2001 14: 659-680

* Odean, Terrance (1998), "Are Investors Reluctant to Realize Their Losses?", Journal of Finance, Vol. LIII, No. 5, October 1998, 1775-1798.

Odean, Terrance (1998), "Do Investors Trade Too Much?", American Economic Review, Vol. 89, December 1999, 1279-1298.

***Barber & Odean FAJ paper (short review of their other papers)

BEHAVIORAL BIASES AND ASSET PRICING

Session 6: The equity premium puzzle

Monday, May 5th, 2003 10:15am-12:00, Room 349.

a) Facts and Rational Approaches

**Campbell, John Y. (1998), "Asset Prices, Consumption, and the Business Cycle", Chapter 19 in Handbook of Macroeconomics, John Taylor and Michael Woodford eds., North-Holland, Amsterdam, 1999.

Campbell, John Y. and Robert J. Shiller (1998), "Valuation Ratios and the Long-Run Stock Market Outlook", Journal of Portfolio Management. vol 24(2), 11-26.

***Cochrane, John, “Where is the Market Going? Uncertain Facts and Novel Theories”, Economic Perspectives, Federal Reserve Bank of Chicago, November/December 1997..

Fama, Eugene F. and Kenneth R. French (1988), “Dividend Yields and Expected Stock Returns”, Journal of Financial Economics 22, 3-25.

Mehra, Rajnish and Edward Prescott (1985), "The Equity Premium: A Puzzle", Journal of Monetary Economics 15, 145-161.

***Rajnish Mehra The equity premium: Why is it a puzzle?; ; Financial Analysts Journal, Charlottesville; Jan/Feb 2003; Vol. 59, Iss. 1; pg. 54, 16 pgs

* Shiller, Robert (1981), “Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends?”, American Economic Review 71, 421-436

b) Behavioral Approaches

***Barberis, Nicholas, Ming Huang, and Tano Santos (2001), “Prospect Theory and Asset Prices”, Quarterly Journal of Economics, Volume: 116 Number: 1 Page: 1 - 53.

***Barberis, Nicholas, Ming Huang, and Tano Santos (2001), Mental Accounting, Loss Aversion, and Individual Stock Returns" ,Journal of Finance, August 2001.

***Bernartzi, Shlomo, and Richard Thaler (1995), “Myopic Loss Aversion and the Equity Premium Puzzle”, Quarterly Journal of Economics 110, 75-92.

* Benartzi Shlomo, and Richard Thaler (1999), “Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments,” Management Science 45, 364-381.

* Gneezy, Uri, and Jan Potters (1997), “An Experiment on Risk Taking and Evaluation Periods”, Quarterly Journal of Economics 112, 631-645.

Lakonishok, Josef, Andrei Shleifer, and Robert Vishny. 1994. “Contrarian investment, extrapolation, and risk,” Journal of Finance 49, 1541-1578.

* Sendhil Mullainathan and Richard Thaler. “Behavioral Economics,” NBER Working paper 7948, October 2000.

Session 7: The volatility puzzle

Wednesday, 14th of May, 10:15am-noon, Room 328.

* Barksy, Robert, and Brad De Long (1992), “Why does the stock market fluctuate?”, Quarterly Journal of Economics 107, 291-311.

* Modigliani, Franco and Richard Cohn (1974), “Inflation and the Stock Market, Financial Analysts Journal 35, 24-44.

**Thaler, Richard, and Eric Johnson (1985), “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice”, Management Science 36, 643

Session 8: Cross-sectional pricing implications

a) Facts

Banz, Rolf (1981), “The Relation between Return and Market Value of Common Stocks”, Journal of Financial Economics 9, 3-18.

Bernard, Victor (1992), “Stock Price Reactions to Earnings Announcements”, in Thaler (ed.) Advances in Behavioral Finance, ch.11.

* Chopra, Navin, Josef Lakonishok, and Jay Ritter (1992), “Measuring Abnormal Performance: Do stocks overreact?”, Journal of Financial Economics 31: 235-268

* Cochrane, John, “New Facts in Finance”, Economic Perspectives, Federal Reserve Bank of Chicago, Third Quarter 1999.

***De Bondt, Werner, and Richard Thaler (1985), “Does the Stock Market Overreact?”, Journal of Finance 40, 793-808

**Fama, Eugene (1991), "Efficient Capital Markets: II", Journal of Finance 46, 1575-1618.

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

Ikenberry, David, Josef Lakonishok, and Theo Vermaelen (1995), “Market Underreaction to Open Market Share Repurchases”, Journal of Financial Economics 39, 181-208.

***Jegadeesh, Narasimhan and Sheridan Titman (1993), "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", Journal of Finance 48, 65-91.

***La Porta, Rafael, Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny (1994), "Good News for Value Stocks: Further Evidence on Market Efficiency”, Journal of Finance 49, 1541-1578.

Lakonishok, Josef and Seymour Smidt (1988), “Are Seasonal Anomalies Real? A Ninety Year Perspective”, Review of Financial Studies 3, 257-280.

b) Rational Approaches

Daniel, Kent and Sheridan Titman (1997), "Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns", Journal of Finance 52, 1-33.

**Fama, Eugene F. and Kenneth R. French (1993), “Common Risk Factors in the Returns of Bonds and Stocks”, Journal of Financial Economics 33, 3-56.

**Fama, Eugene F. and Kenneth R. French (1996), "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance 51, 55-84.

Fama, Eugene F., 1998, “Market efficiency, long-term returns, and behavioral finance,” Journal of Financial Economics, Vol. 49(3), 283-306.

Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1994, “Contrarian investment, extrapolation, and risk,” Journal of Finance Vol. 49(5), 1541-1578.

La Porta, Rafael, 1996, “Expectations and the cross-section of stock returns,” Journal of Finance, 51(5), 1715-1742.

c) Behavioral Approaches (Beliefs)

**Barberis, Nicholas, Andrei Shleifer, and Robert Vishny (1998), "A Model of Investor Sentiment", Journal of Financial Economics 49, 307-345

***Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam (1998), “Investor Psychology and Security Market Under- and Overreactions”, Journal of Finance 53, 1839-1885

**De Long, Brad, Andrei Shleifer, Lawrence Summers, Michael Waldmann (1990), “Positive Feedback Investment Strategies and Destabilizing Rational Speculation”, Journal of Finance 45, 375-395

***Hong, Harrison, and Jeremy Stein (1999), “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets”, Journal of Finance 54, 2143-2184

***Hong, Harrison, Terence Lim, and Jeremy Stein (2000), “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies”, Journal of Finance 55, 265-295.

INSTITUTIONAL CONSTRAINTS AND RATIONALITY

Session 9: Market Frictions and Short sales constraints

May 21st, 10:15-12:00, room 349.

***Chen, Joseph, Harrison Hong, and Jeremy Stein (2002), “Breadth of Ownership and Stock Returns”, Journal of Financial Economics, Vol. 66, No. 2-3, November 2002 .

**Hong, Harrison, and Jeremy Stein (1999), “Differences of Opinion, Rational Arbitrage, and Market Crashes”, working paper, Stanford University.

***Hong Harrison, Joseph Chen and Jeremy Stein (2001), “Forecasting Crashes: Trading Volume,Past Returns and Conditional Skewness in Stock Prices”, Journal of Financial Economics, Vol 61, No.3, pp. 345-381.

* Jones, Charles and Owen Lamont, 2001, “Short sale constraints and stock returns,” University of Chicago Mimeo.

***Brav and Heaton, 2002, Competing theories of Financial Anomalies, Review of Financial Studies, March 2002, vol. 15, no. 2, pp. 575-606..

Cao, Coval and Hirshleifer, 2002, Sidelines investors, trading generated-news and security returns, Review of Financial Studies, 15.

* Scherbina, Anna (2000), “Stock Prices and Differences of Opinion: Empirical Evidence that Stock Prices Reflect Optimism”, working paper, Northwestern University.

Session 10: Styles

* Amihud, Yakov and Haim Mendelson, 1986, “Asset pricing and the bid-ask spread,” Journal of Financial Economics 17, 223-49.

* Chordia, Tarun, Richard Roll and Avanidhar Subrahmanyam, 2000, “Commonality in liquidity,”Journal of Financial Economics 56, 3-28.

**Baker, Malcolm and Jeremy Stein, 2001, “Market liquidity as a sentiment indicator,” Harvard University working paper.

**Barberis, Nicholas and Andrei Shleifer, 2001, “Style Investing,” Harvard mimeo.

**Barberis, Nicholas, Andrei Shleifer, and Jeffrey Wurgler, 2001, “Comovement,” Harvard Mimeo.

**Mullainathan, Sendhil, 2001, “Thinking through categories,” MIT mimeo,

BEHAVIORAL BIASES AND CORPORATE FINANCE

Sessions 11 and 12: Corporate Structure

May 28th, 13:15-15:00, room 975A.

***Baker, Malcolm, Jeremy Stein, and Jeffrey Wurgler, 2001, “When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms,” Quarterly Journal of Economics, forthcoming.

**Baker, Malcolm, Robin Greenwood, and Jeffrey Wurgler, 2001, “Do Firms Borrow at the Lowest-Cost Maturity? The Long-Term Share in Debt Issues and Predictable Variation in Bond Returns,” Harvard mimeo.

**Baker, Malcolm, and Jeffrey Wurgler (2000), “The Equity Share in New Issues and Aggregate Stock Returns,” Journal of Finance 55, 2219-2257

***Baker, Malcolm and Jeffrey Wurgler, 2002, “Market Timing and Capital Structure,” Journal of Finance, Vol. 57(1), 1-32.

Blanchard, Olivier, Changyong Rhee, and Lawrence Summers (1993), “The Stock Market, Profit, and Investment”, Quarterly Journal of Economics.

**Brav, Alon, and Paul A. Gompers, 2001, “The role of lock-ups in initial public offerings,” Review of Financial Studies forthcoming.

* Gompers, Paul A., and Josh Lerner, 2001, “The Really Long-Run Performance of Initial Public Offerings: Evidence from the Pre-Nasdaq Period, 1933-1972.” NBER Working Paper 8505

**Heaton, J.B., “Managerial Optimism and Corporate Finance”, working paper, University of Chicago.

Lintner, John (1956), “Distribution of Incomes of Corporations among Dividends, Retained Earnings and Taxes”, American Economic Review 46, 97-113.

* Loughran, Tim, and Jay Ritter, 2002, “A Review of IPO Activity, Pricing, and Allocations,” University of Florida working paper.

**Loughran, Tim, and Jay Ritter (1995), “The New Issues Puzzle”, Journal of Finance 50, 23-50.

* Michaely, Roni, Richard Thaler, and Kent Womack, “Price Reactions to Dividend Initiations and Omissions”, Journal of Finance 50, 573-608

Miller, Merton (1986), “Behavioral Rationality in Finance: The Case of Dividends”, in Hogarth and Reder (eds.) Rational Choice, University of Chicago Press.

**Morck, Randall, Andrei Shleifer, and Robert Vishny (1993), “The Stock Market and Investment: Is the Market a Sideshow?” Brookings Papers on Economic Activity.

Ofek, Eli and Matthew Richardson, 2001, “Dotcom Mania: The Rise and Fall of Internet Stock Prices,” NBER Working Paper 8630.

Roll, Richard (1986), “The Hubris Hypothesis of Corporate Takeovers,” Journal of Business, 59, 197-216.

* Shefrin, Hersh and Meir Statman (1984), “Explaining Investor Preference for Cash Dividends”, Journal of Financial Economics 13, 253-282.

**Shleifer, Andrei and Robert Vishny, 2001, “Stock Market Driven Acquisitions,” Harvard mimeo.

***Stein, Jeremy (1996), “Rational Capital Budgeting in an Irrational World”, Journal of Business 69, 429-55.

***John R. Graham, Campbell R. Harvey (2001) "The theory and practice of corporate finance: Evidence from the field", Journal of Financial Economic vol. 61.

*** Heaton, . B., Gervais, Simon, and Odean, Terry (2203), Capital Budgeting in the Presence of Managerial Overconfidence and Optimism. Working paper

UNIVERSITY OF CHICAGO
GRADUATE SCHOOL OF BUSINESS
B35906: AN INTRODUCTION TO BEHAVIORAL FINANCE
SPRING 2003
Prof. Nick Barberis Mondays, 2-5 pm
Rosenwald 318I
(773) 834 0677
nick.barberis@gsb.uchicago.edu
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Course Description
Behavioral finance argues that many facts about asset prices, investor behavior, and managerial behavior are best understood in models where at least some agents are not fully rational. This course surveys recent advances in this field, and suggests directions for future research.
The first module of the course, on limits to arbitrage, responds to the classic criticism of behavioral finance, namely that smart investors will quickly reverse any dislocations caused by irrational investors. The second module tries to understand what specific forms of irrationality may be most important in finance: we review the evidence psychologists have gathered on mistakes people make when forming beliefs, and on their preferences.
The remainder of the course considers applications of behavioral finance to a number of topics: to asset pricing, and in particular to understanding the aggregate stock market, the cross-section of average returns, and closed-end funds; to individual investor portfolio choice and trading behavior; and to features of corporate finance, such as security issuance, capital structure, dividend policies, and mergers.
Course Administration
This is a research oriented course aimed at Ph.D. students. MBA students who register must be comfortable with this focus. All students must have completed at least one of 35901, 35904 or 35905.
The requirements for the course are: (i) a small number of referee reports; (ii) a short research proposal describing an original idea for future research which will be graded for its creativity and feasibility, and which is due at the end of the quarter; and (iii) a final exam.
With the instructor’s permission, Ph.D students may write a paper instead. This paper can be turned in later in the year but must be a new piece of work written specifically for this class. The paper option is not available to MBA students.
BOOKS
Required:
Shleifer, Andrei (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press.
Thaler, Richard (ed.), (1992), Advances in Behavioral Finance, Russell Sage Foundation.
Optional:
Shefrin, Hersh (1999), Beyond Fear and Greed, Harvard Business School Press.
Shiller, Robert (2000), Irrational Exuberance, Princeton University Press.
ARTICLES
Starred articles are required. Many of them are in the course packet or in one of Inefficient Markets or Advances; the others can be found on the web at the locations indicated. The non-starred readings are optional.
References to a Survey in the reading list refer to my survey with Richard Thaler, listed below.
SURVEY PAPERS
*Barberis, Nicholas, and Richard Thaler (2003), “A Survey of Behavioral Finance,” forthcoming, George Constantinides, Milton Harris, Rene Stulz (eds.), Handbook of the Economics of Finance, North Holland.
Hirshleifer, David (2001), “Investor Psychology and Asset Pricing,” Journal of Finance 56, 1533-1597.
Rubinstein, Mark (2001), “Rational Markets: Yes or No? The Affirmative Case,” Financial Analysts Journal (May-June), 15-29.
1. INTRODUCTION
*Inefficient Markets, Ch.1.
Shiller, Robert (1984), “Stock Prices and Social Dynamics,” Brookings Papers on Economic Activity 2, 457-498 [in Advances, Ch.7.]
2. LIMITS TO ARBITRAGE
a) Theory
*Survey, pp. 2-8.
*Inefficient Markets, Ch. 2, 4.
DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann, "Noise Trader Risk in Financial Markets," Journal of Political Economy 98, 703-738 [in Advances, Ch.2, also covered in Inefficient Markets, Ch.2.]
Shleifer, Andrei, and Robert Vishny (1997), “The Limits of Arbitrage,” Journal of Finance 52, 35-55 [covered in Inefficient Markets, Ch .4]
b) Evidence
*Survey, pp. 8-11.
Lamont, Owen, and Richard Thaler (2002), “Anomalies: the Law of One Price,” Working paper, University of Chicago.
*Lamont, Owen, and Richard Thaler (2003), “Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs,” forthcoming, Journal of Political Economy [available on Lamont’s GSB web site]
*Mitchell, Mark, Todd Pulvino, and Erik Stafford (2002), “Limited Arbitrage in Equity Markets,” Journal of Finance 57, 551-584 [available on Pulvino’s web site at the Kellogg School of Management].
Ofek, Eli, and Matthew Richardson, “Dot-com Mania: Market Inefficiency in the Internet Sector,” forthcoming, Journal of Finance.
Shleifer, Andrei (1986), “Do Demand Curves for Stocks Slope Down?,” Journal of Finance 41, 579-90.
Wurgler, Jeffrey, and Katya Zhuravskaya (2002), “Does Arbitrage Flatten Demand Curves for Stocks?,” Journal of Business 75, 583-608.
3. PSYCHOLOGY
*Survey, pp. 11-21.
Camerer, Colin (1995), “Individual Decision Making,” in John Kagel and Alvin Roth (eds.), Handbook of Experimental Economics, Princeton University Press.
Gilovich, Tom, David Griffin and Daniel Kahneman (eds.), (2002), Heuristics and Biases: The Psychology of Intuitive Judgment, Cambridge: Cambridge University Press.
*Kahneman, Daniel, and Mark Riepe (1998), “Aspects of Investor Psychology,” Journal of Portfolio Management 24, 52-65.
Kahneman, Daniel, Paul Slovic and Amos Tversky (eds.), (1982), Judgment Under Uncertainty: Heuristics and Biases, Cambridge: Cambridge University Press.
*Kahneman, Daniel, and Amos Tversky (1974), “Judgment Under Uncertainty: Heuristics and Biases,” Science 185, 1124-31.
*Kahneman, Daniel, and Amos Tversky (1979), “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica 47, 263-91.
Kahneman, Daniel, and Amos Tversky (eds.), (2000), Choices, Values and Frames, Cambridge: Cambridge University Press.
Mullainathan, Sendhil (2001), “Thinking Through Categories,” Working paper, MIT.
Rabin, Matthew (1998), “Psychology and Economics,” Journal of Economic Literature, 11-46.
Rabin, Matthew (2000), “Risk Aversion and Expected Utility,” Econometrica 68, 1281-1292.
*Rabin, Matthew, and Richard Thaler (2001), “Risk Aversion,” Journal of Economic Perspectives 15, 219-232.
Thaler, Richard (1999), “Mental Accounting Matters,” Journal of Behavioral Decision Making 12, 183-206.
4. APPLICATION: THE AGGREGATE STOCK MARKET
*Survey, pp. 21-32.
a) Facts and Rational Approaches
Campbell, John Y. (1998), “Asset Prices, Consumption, and the Business Cycle,” in Taylor and Woodford (eds.) Handbook of Macroeconomics, North-Holland.
*Campbell, John Y. and Robert J. Shiller (Winter 1998), “Valuation Ratios and the Long-Run Stock Market Outlook,” Journal of Portfolio Management.
Cochrane, John, “Where is the Market Going? Uncertain Facts and Novel Theories,” Economic Perspectives, Federal Reserve Bank of Chicago, November/December 1997.
Fama, Eugene F. and Kenneth R. French (1988), “Dividend Yields and Expected Stock Returns,” Journal of Financial Economics 22, 3-25.
Mehra, Rajnish and Edward Prescott (1985), “The Equity Premium: A Puzzle,” Journal of Monetary Economics 15, 145-161.
*Shiller, Robert (1981), “Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends?,” American Economic Review 71, 421-436 [in Advances, Ch.4.]
b) Behavioral Approaches (equity premium puzzle)
*Barberis, Nicholas, Ming Huang, and Tano Santos (2001), “Prospect Theory and Asset Prices,” Quarterly Journal of Economics 116, 1-53.
*Benartzi, Shlomo, and Richard Thaler (1995), “Myopic Loss Aversion and the Equity Premium Puzzle,” Quarterly Journal of Economics 110, 75-92.
Gneezy, Uri, and Jan Potters (1997), “An Experiment on Risk Taking and Evaluation Periods,” Quarterly Journal of Economics 112, 631-645.
Maenhout, Pascal (2000), “Robust Portfolio Rules and Asset Pricing,” Working paper, INSEAD.
Thaler, Richard, Amos Tversky, Daniel Kahneman, and Alan Schwartz (1997), “The Effect of Myopia and Loss Aversion on Risk-Taking: An Experimental Test,” Quarterly Journal of Economics 112, 647-661.
c) Behavioral Approaches (volatility puzzle)
Modigliani, Franco and Richard Cohn (1974), “Inflation and the Stock Market,” Financial Analysts Journal 35, 24-44.
Thaler, Richard, and Eric Johnson (1985), “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice,” Management Science 36, 643-660.
5. APPLICATION: THE CROSS-SECTION OF AVERAGE RETURNS
*Survey, pp. 33-44.
a) Facts
Banz, Rolf (1981), “The Relation between Return and Market Value of Common Stocks,” Journal of Financial Economics 9, 3-18.
*Bernard, Victor (1992), “Stock Price Reactions to Earnings Announcements,” in Richard Thaler (ed.), Advances in Behavioral Finance, ch.11.
Chopra, Navin, Josef Lakonishok, and Jay Ritter (1992), “Measuring Abnormal Performance: Do stocks overreact?,” Journal of Financial Economics 31: 235-268 [in Advances, Ch.10].
*Cochrane, John, “New Facts in Finance,” Economic Perspectives, Federal Reserve Bank of Chicago, Third Quarter 1999 [available on Cochrane’s GSB web site]
*De Bondt, Werner, and Richard Thaler (1985), “Does the Stock Market Overreact?,” Journal of Finance 40, 793-808 [in Advances, Ch.9].
Fama, Eugene (1991), “Efficient Capital Markets: II,” Journal of Finance 46, 1575-1618.
Fama, Eugene F. and Kenneth R. French (1992), “The Cross-Section of Expected Stock Returns,” Journal of Finance 47, 427-465.
Ikenberry, David, Josef Lakonishok, and Theo Vermaelen (1995), “Market Underreaction to Open Market Share Repurchases,” Journal of Financial Economics 39, 181-208.
*Jegadeesh, Narasimhan and Sheridan Titman (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 48, 65-91.
La Porta, Rafael (1996), “Expectations and the Cross-Section of Returns,” Journal of Finance 51, 1715-1742.
*Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny (1994), “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49, 1541-1578.
La Porta, Rafael, Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny (1994), “Good News for Value Stocks: Further Evidence on Market Efficiency,” Journal of Finance 49, 1541-1578.
Lakonishok, Josef and Seymour Smidt (1988), “Are Seasonal Anomalies Real? A Ninety Year Perspective,” Review of Financial Studies 3, 257-280.
*Loughran, Tim, and Jay Ritter (1995), “The New Issues Puzzle,” Journal of Finance 50, 23-50.
Michaely, Roni, Richard Thaler, and Kent Womack (1995), “Price Reactions to Dividend Initiations and Omissions,” Journal of Finance 50, 573-608.
b) Rational Approaches
*Daniel, Kent and Sheridan Titman (1997), “Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns,” Journal of Finance 52, 1-33 [available on Daniel’s web site at the Kellogg School of Management].
Fama, Eugene F. and Kenneth R. French (1993), “Common Risk Factors in the Returns of Bonds and Stocks,” Journal of Financial Economics 33, 3-56.
Fama, Eugene F. and Kenneth R. French (1996), “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84.
c) Behavioral Approaches (Beliefs)
*Inefficient Markets, Ch. 6.
*Barberis, Nicholas, Andrei Shleifer, and Robert Vishny (1998), “A Model of Investor Sentiment,” Journal of Financial Economics 49, 307-345 [in Inefficient Markets, Ch.5].
*Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam (1998), “Investor Psychology and Security Market Under- and Overreactions,” Journal of Finance 53, 1839-1885 [available on Daniel’s web site at the Kellogg School of Management]
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam (2001), “Covariance Risk, Mispricing, and the Cross-section of Security Returns,” Journal of Finance 56, 921-965.
De Long, Brad, Andrei Shleifer, Lawrence Summers, Michael Waldmann (1990), “Positive Feedback Investment Strategies and Destabilizing Rational Speculation,” Journal of Finance 45, 375-395 [covered in Inefficient Markets, Ch.6].
*Fama, Eugene F. (1998), “Market Efficiency, Long-Term Returns, and Behavioral Finance,” Journal of Financial Economics 49, 283-307.
*Hong, Harrison, and Jeremy Stein (1999), “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,” Journal of Finance 54, 2143-2184.
Hong, Harrison, Terence Lim, and Jeremy Stein (2000), “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,” Journal of Finance 55, 265-295.
Khwaja, Asim, and Atif Mian (2002), “Price Manipulation and Phantom Markets: An In-depth Exploration of a Stock Market,” Working paper, Chicago GSB.
d) Behavioral Approaches (Beliefs + Institutional Frictions)
D’Avolio, Gene (2002), “The Market for Borrowing Stock,” Journal of Financial Economics 66, 271-306.
*Chen, Joseph, Harrison Hong, and Jeremy Stein (2002), “Breadth of Ownership and Stock Returns,” Journal of Financial Economics 66, 171-205 [available on Hong’s Stanford web site].
*Karl Diether, Christopher Malloy, and Anna Scherbina (2002), “Stock Prices and Differences of Opinion: Empirical Evidence that Stock Prices Reflect Optimism,” Journal of Finance 57, 2113-2141 [available on Scherbina’s web site at Harvard Business School].
Hong, Harrison, and Jeremy Stein (1999), “Differences of Opinion, Short-sale Constraints and Market Crashes,” forthcoming, Review of Financial Studies.
*Jones, Charles, and Owen Lamont (2001), “Short Sale Constraints and Stock Returns,” Journal of Financial Economics 66, 207-239 [available on Lamont’s GSB web site].
Miller, Edward (1977), “Risk, Uncertainty and Divergence of Opinion,” Journal of Finance 32, 1151-1168.
Jose Scheinkman and Wei Xiong (2002), “Overconfidence and Speculative Bubbles,” Working paper, Princeton University.
e) Behavioral Approaches (Preferences)
*Barberis, Nicholas, and Ming Huang (2001), “Mental Accounting, Loss Aversion, and Individual Stock Returns,” Journal of Finance 56, 1247-1292 [available on my GSB web site].
6. APPLICATION: CLOSED-END FUNDS + COMOVEMENT
*Survey, pp. 44-47.
*Inefficient Markets, Ch. 3. [Also covered in Advances, Ch.3].
*Barberis, Nicholas, and Andrei Shleifer (2003), “Style Investing,” forthcoming, Journal of Financial Economics [available on my GSB web site].
*Barberis, Nicholas, Andrei Shleifer, and Jeffrey Wurgler (2002), “Comovement,” Working paper, University of Chicago [available on my GSB web site].
Pontiff, Jeff (1996), “Costly Arbitrage: Evidence from Closed-end funds,” Quarterly Journal of Economics 111, 1135-52.
7. APPLICATION: INVESTOR BEHAVIOR
*Survey, pp. 47-52.
*Barber, Brad, and Terrance Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance 55, 773-806 [available on Odean’s UC Berkeley web site].
Barber, Brad, and Terrance Odean (2002), “Online Investors: Do the Slow Die First?,” Review of Financial Studies 15, 455-487.
*Barber, Brad, and Terrance Odean (2001), “All that Glitters: the Effect of Attention on the Buying Behavior of Individual and Institutional Investors,” Working paper, UC Berkeley [available on Odean’s UC Berkeley web site].
*Benartzi, Shlomo, and Richard Thaler (2001), “Naïve Diversification Strategies in Defined Contribution Savings Plans,” American Economic Review 91, 79-98 [available on Thaler’s GSB web site].
Coval, Joshua, and Tyler Shumway (2000), “Do Behavioral Biases Affect Prices?,” Working paper, University of Michigan.
David Genesove, and Christopher Mayer (2001), “Loss Aversion and Seller Behavior: Evidence from the Housing Market,” Quarterly Journal of Economics 116, 1233-1260.
Grinblatt, Mark and Bin Han (2002), “The Disposition Effect and Momentum,” Working paper, Anderson School, UCLA.
Grinblatt, Mark, and Matti Keloharju (2001), “Distance, Language, and Culture Bias: The Role of Investor Sophistication,” Journal of Finance 56, 1053-1073.
Huberman, Gur, “Familiarity Breeds Investment,” Review of Financial Studies 14, 659-680.
*Odean, Terrance (1998), “Are Investors Reluctant to Realize their Losses,” Journal of Finance 53, 1775-1798.
Odean, Terrance (1998), “Do Investors Trade Too Much?,” American Economic Review 89, 1279-1298.
Poteshman, Allen and Vitaly Serbin (2003), “Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options,” Journal of Finance 58, 37-70.
8. APPLICATION: CORPORATE FINANCE
*Survey, pp. 52-59.
*Inefficient Markets, Ch.7.
*Baker, Malcolm, Jeremy Stein, and Jeffrey Wurgler (2001), “When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms,” forthcoming, Quarterly Journal of Economics [available on Wurgler’s web site at NYU].
Baker, Malcolm, and Jeffrey Wurgler (2000), “The Equity Share in New Issues and Aggregate Stock Returns,” Journal of Finance 55, 2219-2257.
*Baker, Malcolm, and Jeffrey Wurgler (2002), “Market Timing and Capital Structure,” Journal of Finance 57, 1-32 [available on Wurgler’s web site at NYU].
*Baker, Malcolm, and Jeffrey Wurgler (2002), “A Catering Theory of Dividends,” Working paper, NYU [available on Wurgler’s web site at NYU].
Blanchard, Olivier, Changyong Rhee, and Lawrence Summers (1993), “The Stock Market, Profit, and Investment,” Quarterly Journal of Economics 108, 115-36.
Heaton, J.B., “Managerial Optimism and Corporate Finance,” forthcoming, Financial Management.
*Lintner, John (1956), “Distribution of Incomes of Corporations among Dividends, Retained Earnings and Taxes,” American Economic Review 46, 97-113.
Malmendier, Ulrike, and Geoffrey Tate (2001), “CEO Overconfidence and Corporate Investment,” Working paper, Stanford University.
*Malmendier, Ulrike, and Geoffrey Tate (2002), “Who Makes Acquisitions? CEO Overconfidence and the Market’s Reaction,” Working paper, Stanford University [available on Malmendier’s web site at Stanford GSB].
Miller, Merton (1986), “Behavioral Rationality in Finance: The Case of Dividends,” in Hogarth and Reder (eds.), Rational Choice, University of Chicago Press.
Morck, Randall, Andrei Shleifer, and Robert Vishny (1993), “The Stock Market and Investment: Is the Market a Sideshow?,” Brookings Papers on Economic Activity.
Polk, Christopher and Paola Sapienza (2002), “The Real Effects of Investor Sentiment,” Working paper, Northwestern University.
*Roll, Richard (1986), “The Hubris Hypothesis of Corporate Takeovers,” Journal of Business 59, 197-216 [in Advances, Ch.17].
*Shefrin, Hersh and Meir Statman (1984), “Explaining Investor Preference for Cash Dividends,” Journal of Financial Economics 13, 253-282 [in Advances, Ch.15].
Shleifer, Andrei, and Robert Vishny (2003), “Stock Market Driven Acquisitions,” forthcoming, Journal of Financial Economics.
*Stein, Jeremy (1996), “Rational Capital Budgeting in an Irrational World,” Journal of Business 69, 429-55.

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谢谢分享！

照单全收，好东西 ，谢谢了，新年快乐