Tuesday, January 11, 2005

Back in the Classroom

It looks like blogging will be a bit more sporadic for the next couple of months, as I am back in the classroom teaching two sections of the Economics Department's finance seminar for seniors. Here's what we will be reading this term:

Introductory Topics

Cochrane, John H., “New Facts in Finance,” Economic Perspectives, Vol. 23 (3rd Quarter), Federal Reserve Bank of Chicago, 1999: 36-58.

Shleifer, Andrei and Lawrence H. Summers, “The Noise Trader Approach to Finance,” Journal of Economic Perspectives, Vol. 4, No. 2 (Spring 1990): 19-33.

De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, “Noise Trader Risk in Financial Markets,” Journal of Political Economy, Vol. 98, No. 4 (August 1990): 703-738. (optional)

Bikhchandani, Sushil and Sunil Sharma, “Herd Behavior in Financial Markets: A Review,” IMF Working Paper 00/48, March 2000.

Ritter, Jay R. and Ivo Welch “A Review of IPO Activity, Pricing, and Allocations,” Journal of Finance, Vol. 57, No. 4 (August 2002): 1795-1828.

Carhart, Mark M. “On Persistence in Mutual Fund Performance,” Journal of Finance, Vol. 52, No. 1 (March 1997): 57-82.

Noise Trading and Sentiment

Lee, Charles, Andrei Shleifer, and Richard Thaler, “Investor Sentiment and the Closed-End Fund Puzzle,” Journal of Finance, Vol. 46, No. 1 (March 1991): 75-109.

Elton, Edwin J., Martin J. Gruber, and Jeffrey A. Busse, “Do Investors Care About Sentiment?” Journal of Business, Vol. 71, No. 4 (October 1998): 477-500.

Hong, Harrison, Terrence Lim, and Jeremy C. Stein, “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,” Journal of Finance, Vol. 55, No. 1 (February 2000): 265-295.

Odean, Terrance, “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, Vol. 53, No. 5 (October 1998): 1775-1798.

Initial Public Offerings & Internet Valuations

Brav, Alon and Paul A. Gompers, “Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence From Venture and Nonventure Capital-Backed Companies,” Journal of Finance, Vol. 52 No. 4 (December 1997): 1791-1821.

Loughran, Tim and Jay R. Ritter, “Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?” Review of Financial Studies, Vol. 15, No. 2 (Special 2002): 413-444.

Demers, Elizabeth and Katharina Lewellen, “The Marketing Role of IPOs: Evidence from Internet Stocks,” Journal of Financial Economics, Vol. 68, No. 3 (June 2003): 413-437.

Ofek, Eli and Matthew Richardson, “Dotcom Mania: The Rise and Fall of Internet Stock Prices,” Journal of Finance, Vol. 58, No. 3 (June 2003): 1113-1137.

Corporate Finance and Investment

La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny, “Legal Determinants of External Finance,” Journal of Finance, Vol. 52, No. 3 (July 1997): 1131-1150.

Lamont, Owen. “Cash Flow and Investment: Evidence from Internal Capital Markets,” Journal of Finance, Vol. 52, No. 1 (March 1997).

Chevalier, Judith A. “What Do We Know About Cross-subsidization? Evidence from Merging Firms,” Advances in Economic Analysis & Policy, Vol. 4, No. 1 (2004): Article 3.

Empirical Tests of Herd Behavior

Dennis, Patrick and Deon Strickland. “Who Blinks in Volatile Markets, Individuals or Institutions?” Journal of Finance, Vol. 57, No. 5 (October 2002): 1923-1950.

Graham, John R. “Herding Among Investment Newsletters,” Journal of Finance, Vol. 54, No. 1 (February 1999): 237-268.

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