Escolar Documentos
Profissional Documentos
Cultura Documentos
Asset pricing puzzles are an ubiquitous feature of finance and much effort has been
exerted in order to understand them. They pose extraordinary challenges to our common
understanding of finance and we want to explore them in this seminar. In particular, we
want to compare the classical, rational solution approaches and the new behavioral
perspective.
General literature:
“Inefficient Markets; an introduction to behavioral finance”, Anderei Schleifer, published
byOxford University Press, 2000, Oxford
“Advances in behavioral finance; II”, Richard H. Thaler, will be published by Russell
Sage Foundation, 2005, New York
“Behavioral corporate finance; a survey”, Malcolm Baker and Richard S. Ruback and
Jeffrey Wurgler, published by National Bureau of Economic Research, 2004, Cambridge,
Mass.
“A survey of behavioral finance”, Nicholas Barberis and Richard Thaler, published by
National Bureau of Economic Research, 2002, Cambridge, Mass.
“Investments”, Sharpe, William F. and Alexander, Gordon J. and Bailey, Jeffery V.
published by Prentice Hall, 1999, Upper Saddler River, NJ
1. Bernheim, B. Douglas (1990). “Tax Policy and the Dividend Puzzle”, Working Paper,
Stanford University, September
Deangelo, Harry and Deangelo, Linda (2004). “Payout Policy Irrelevance and the
Dividend
Puzzle”, Working Paper, University of Southern California, March
4. Frankfurter, George (1999). “What is the Puzzle in the Dividend Puzzle”, Working
Paper,
University of Florida April
5. Milonas, Nikolaos T. and Travlos, Nickolaos G. (2001). “The Ex-dividend Day Stock
Price
Behavior in the Athens Stock Exchange”, Working Paper, National & Kapodistrian
University of
Athens and Athens Laboratory of Business Administration, June
6. Milonas, Nikolaos T. and Travlos, Nickolaos G. and Xiao, Zezhong and Tan, Cunkai
(2002).
“The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market”, Working
Paper,
National & Kapodistrian University of Athens and Athens Laboratory of Business
Administration
and University of Wales System, April
7. Grullon, Gustavo and Michaely, Roni (2000). “Dividends, Share Repurchases, and the
Substitution Hypothesis”, Working Paper, Rice University and Cornell University, April