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Economics 437: Behavioral Finance
(Wilson Auditorium)
Final Exam: Monday, May 7, 2012: 2PM until 5PM in Wilson Auditorium
Q-Group Spring Meeting Website (Papers Available on this Site)
Professor Edwin T. Burton
434 924-4054
262 Monroe Hall (Tues/Thurs 11-12 AM)
Other than Tues/Thurs 11-12 AM, I will be at my other office (appt required):
1900 Arlington Blvd; Suite C
(212) 731-2340
burton@virginia.edu
Office Hours: Tues/Thurs 11-12 AM
Class meets on Tuesdays and Thursdays from 9:30 AM until 10:45 AM. There is a considerable amount of reading in this course. The required books are the following:
{Although it is not required reading for this course, those of you who are sports enthusiasts should pick up a copy of Scorecasting by Tobias Moskoitz and Jon Wertheim, 2011. This would be a great book to read during the holidays and is relevant to Economics 437}
Thinking, Fast and Slow by Daniel Kahneman, Farrar Straus and Giroux, 2011.
Inefficient Markets: An Introduction to Behavioral Finance by Andrei Shleifer, Oxford University Press, 2000
In addition to the two books above, there are numerous journal articles that are available through the toolkit for this course. All students registered in this course have automatic access to these articles. For copyright reasons, if you are not registered for this course, you cannot access these articles online at the toolkit site, but must find the articles on your own.
Mid Term I, Thursday, February 16, 2012 at regular class time
Mid Term II, Tuesday, April 3, 2012 at regular class time
Final Exam, Monday, May 7, 2012 at 2PM in Wilson Auditorium
Lectures:
January 19, 2012: Introduction to Behavioral Finance
January 24, 2012: Definitions of the Efficient Market Hypothesis
January 26, 2012: Law of One Price, Fungibility
January 31, 2012: The Shleifer Model of Noise Trading
February 2, 2012: Feedback Models of Noise Trading
February 7, 2012: More on Feedback Models
February 9, 2012: The Hirshleifer Etal Model
February 14, 2012: Subrahmanyam & Titman Model
February 16, 2012: First Mid Term Examination
February 21, 2012: The "Rational" Investor
February 23, 2012: Expected Utility Theory
February 28, 2012: Anomalies Under Conditions of Certainty (Preference Reversals)
March 1, 2012: Framing and Mental Accounting
March 13, 2012: Other Anomaly Biases
March 15, 2012: More on Biases
March 20, 2012: Kahneman on Heuristics and Biases; Loss Aversion
March 22, 2012: More from Kahneman
March 27, 2012: Cleaning up "Loose Ends" of Anomalies
March 29, 2012: Concluding Chapters in Kahneman; Review for Second Mid Term
April 5, 2012: Predictability: Mean Reversion, DeBondt and Thaler
April 10, 2012: Fama French, DeBondt Thaler and January Effects
April 12, 2012: Relative Strength and Momentum
April 17, 2012: Price or Earnings Momentum? The Haugen-Baker Synthesis
April 19, 2012: Calendar Effects; Disposition Effect
April 24, 2012: Diversification, Managed Earnings
April 26, 2012: Corporate Governance
May 1, 2012: Summing Up Behavioral Finance
Reading:
Jan 19, 24, 26: The Great Debate -- The Efficient Market Hypothesis and Its Critics
Shliefer, Chapter 1, pp 1-27
Malkiel (online on Collab)
Shiller (online on Collab)
Jan 31, Feb 2, 7: Noise Trader Equilibrium - "The Limits to Arbitrage"
Black article online at Collab
Shliefer, Chapter 2, pp. 28-52 (or Shliefer, Waldman, Summers, etal article on Collab)
Feb 9- and Feb 14: Noise Trader Equilbrium - Feedback Models
Hirshleifer, Etal (online at Collab)
Shleifer, Chapter 3
Subrahmanyam and Titman (online at Collab)
Feb 16: First Mid-Term Examination
Feb 23 -: March 28: Anomalies
Kahneman, "Thinking, Fast and Slow," entire book
April 3: Second Mid-Term Examination
April 5, 10, 12:: Mean Reversion, P/B, Value Investing, Price Momentum
"Fama and French" on Collab
"DeBondt and Thaler" on Collab
"Jegadeesh and Titman" on Collab
April 17, 19, 24, 26: More on Serial Correlation
Ball and Brown on Collab
Lakonishoki, Vishny, Shleifer on Collab
Haugen, Baker on Collab
Chordia and Shivakumar on Collab
Hanna and Ready on Collab
Lakonishok and Smidt on Collab (under Calendar Effects)
Grinblatt and Keloharju on Collab (under Calendar Effects)
Cooper, McConnell, Ovtchinnikov on Collab (under Calendar Effects)
May 7, 2012: Final Examination 2 PM - 5 PM in Wilson Auditorium
Two mid terms: Feb 16 and April 3 and one final exam, weighted 30%, 30%, and 40% respectively.
The final examination is cumulative. The final examination is scheduled for Monday, May 7, 2011 beginning at 2 PM and ending at 5 PM. No examination may be skipped without a bona-fide excused absence (illness, etcetera). There is no option available for missing exams.
Final Examination – Monay, May 7th, 2012 from 2PM until 5PM
Please Note: If you cannot make the examinations as scheduled, please do not take this course. We do not give make-up examinations. If you are unable to take the final on time as schedule, you will, at best, receive an incomplete for this course. There are no exceptions.
The Main Topics Covered In This Course Are:
1. Noise Trader Equibrium Models, Limits to Arbitrage
2. Irrationalities - the Kahneman Tversky Thaler critique of rationality
3 Mean Reversion, The Over and Under-reaction Hypotheses, Serial Dependence in Returns