Spring 2018
Idiosyncratic Volatility 1 (CFR listed)
- Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The cross-section of volatility and expected returns, Journal of Finance 61(1), 259-299.
- Fu, Fangjian, 2009, Idiosyncratic risk and the cross-section of expected stock returns, Journal of Financial Economics 91(1), 24-37.
Idiosyncratic Volatility 2 (CFR listed)
- Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2009, High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics 91(1), 1-23.
- Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan, 2015, Arbitrage asymmetry and the idiosyncratic volatility puzzle, Journal of Finance 70(5), 1903-1948.
Market Volatility (CFR listed)
- Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56(1), 1-43.
- Brandt, Michael W., Alon Brav, John R. Graham, and Alok Kumar, 2010, The idiosyncratic volatility puzzle: Time trend or speculative episodes? Review of Financial Studies 23(2), 863-899.
Investor Sentiment #1
- Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A Model of Investor Sentiment, Journal of Financial Economics 49(3), 307-343.
- Daniel, Kent, David Hirshleifer, and Avanidhar Subramanyam, 1998, Investor Psychology and Security Market Under- and Overreactions, Journal of Finance 53(6), 1839-85.
Investor Sentiment #2
- Hong, Harrison, and Jeremy Stein, 1999, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Financial Markets, Journal of Finance 54(6), 2143-2184.
- Odean, Terrence, 1998, Volume, Volatility, Price, and Profit When All Traders Are Above Average, Journal of Finance 53(6), 1887-1934.
Investor Sentiment #3 (suggested by Alex)
- Han, Xing, and Youwei Li, 2017, Can investor sentiment be a momentum time-series predictor? Evidence from China, Journal of Empirical Finance 42, 212-239.
- Huang, Dashan, Fuwei Jiang, Jun Tu, and Guofu Zhou, 2015, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns, Review of Financial Studies 28(3), 791-837.
Fall 2017
September 7 (week 1)
1. Campbell, John Y. and Robert J. Shiller, 1988, The Dividend-Price Ratio and Expectations of Future Dividends and Discount Rates, Review of Financial Studies 1, 195-228. [Lindy]
2. Merton, Robert, 1973, An Intertemporal Capital Asset Pricing Model, Econometrica 41, 867-887. [Arthur]
3. Mehra, Rajnish and Edward C. Prescott, 1985, The Equity Premium: A Puzzle?, Journal of Monetary Economics 15, 145-161. [Ross]
September 14
N/A (ECS/GRF presentations)
September 21 (week2)
1. Barro, Robert J., 2006, Rare Disasters and Asset Markets in the Twentieth Century, Quarterly Journal of Economics 121, 823-866. [Alex]
2. Bansal, Ravi and Amir Yaron, 2004, Risk for the Long Run: a Potential Resolution of Asset Pricing Puzzles, Journal of Finance 59, 1481-1509. [Ross]
3. Constantinides, George, 1990, Habit Formation: A Resolution of the Equity Premium Puzzle, Journal of Political Economy 98, 519-543. [Joe]
4. Epstein, Larry G. and Stanley E. Zin, 1989, Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns, a Theoretical Framework, Econometrica 57, 937-969. [Freida]
September 28 (week3)
1. Cochrane, John H., 1991, Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations, Journal of Finance 46, 209-237. [Alex]
2. Kogan, Leonid., Dimitris Papanikolaou, 2013, Growth Opportunities, Technology Shocks, and Asset Prices, Journal of Finance 69, 675-718. [Joe]
3. Barberis, Nicholas, and Wei Xiong, 2009, What Drives the Disposition Effect? An Analysis of a Long Standing Preference Based Explanation, Journal of Finance 64, 751-784. [Aurthur]
October 5
mid-autumn festival
October 12
N/A
October 19 (week4)
1. Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323-336. [Alex]
2. Kiyotaki, Nobuhiro, and John Moore, 1997, Credit Cycles, Journal of Political Economy, 211-248. [Si]
3. Pastor, Lubos, and Pietro Veronesi, 2012, Uncertainty about government policy and stock prices, Journal of Finance 67, 1219-1264. [Ross]
October 26 (week5)
1. Bordalo, Pedro, Nicola Gennaioli, Andrei Shleifer, 2012, Salience theory of choice under risk, Quarterly Journal of Economics 127, 1243-1285. [Freida]
2. He, Zhiguo, and Arvind Krishnamurthy, 2013, Intermediary asset pricing, American Economic Review 103, 732-770. [Arthur]
3. Nagel, Stephan, Ulrike Malmendier, 2016, Learning from Inflation Experiences , Quarterly Journal of Economics 131, 53—87. [Si]
November 2 (week6)
1. Diamond, Douglas W., and Robert E. Verrecchia, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics 9, 221—235. [Ross]
2. Grossman, Sanford J., and Joseph E. Stiglitz, 1980, On the impossibility of informationally efficient markets, American Economic Review 70, 393—408. [Joe]
3. Admati, Anat R., 1985, A noisy rational expectations equilibrium for multi-asset securities markets, Econometrica 53, 629—658. [Alex]
November 9 (week7)
(required reading, not for presentation) Kyle, Albert S., 1985, Continuous auction and insider trading, Econometrica 53, 1315—1335.
1. Glosten, Lawrence R., and Paul R. Milgrom 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71—100. [Freida]
2. Kyle, Albert S., 1989, Informed speculation with imperfect competition, Review of Economic Studies 56, 317—355. [Arthur]
3. Easley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph Paperman, 1996, Liquidity, information, and infrequently traded stocks, Journal of Finance 51, 1405—1436. [Alex]
November 16
N/A (AF seminar)
November 23 (week8)
(required reading, not for presentation) Black, Fisher, 1986, Noise, Journal of Finance 41, 529—543.
1. Admati, A. R., and Paul Pfleiderer, 1988, A theory of intraday patterns: volume and price variability, Review of Financial Studies 1, 1—40. [Ross]
2. Campbell, John Y., and Albert S. Kyle, 1993, Smart money, noise trading, and stock price behavior, Review of Economic Studies 60, 1—34. [Alex]
3. Banerjee, Abhijit V., 1992, A simple model of herd behavior, Quarterly Journal of Economics 107, 797—817. [Joe]
November 30 (week9)
1. Parlour, Christine A., 1998, Price dynamics in limit order markets, Review of Financial Studies 11, 789—816. [Ross]
2. Foucault, Thierry, 1999, Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets 2, 99—134. [Freida]
3. Goettler, Ronald L., Christine A. Parlour, and Uday Rajan, 2005, Equilibrium in a dynamic limit order market, Journal of Finance 60, 2149—2192. [Arthur]
December 7 (week10)
1. Budish, Eric, Peter Cramton, and John Shim, 2015, The high-frequency trading arms race: Frequent batch auctions as a market design response, Quarterly Journal of Economics 130, 1547—1621. [Freida]
2. Foucault, Thierry, Johan Hombert, and Ioanid Rosu, 2016, News trading and speed, Journal of Finance 71, 335—381. [Arthur]
3. Weller, Brian M., 2017, Does algorithmic trading deter information acquisition? Review of Financial Studies, forthcoming [Ross]