ICF BEHAVIORAL FINANCE RESEARCH INITIATIVE
Behavioral Finance is one of the most exciting and controversial
areas of research in financial economics. It focuses on the psychology and behavior
of individual economic agents, and explores the implications for asset pricing,
regulation and management. It is, by its nature, interdisciplinary and relies
on psychologists, sociologists, behavioral decision theorists, marketing researchers,
financial economics, macroeconomists and accounting researchers, among others
The Yale ICF Behavioral Finance Research Initiative is one of the most active
behavioral research programs in the world. The current research agenda includes:
- Asset pricing: bubbles, momentum, investment sentiment, psychology of overreaction and underreaction.
- Investments: investor sentiment, investor confidence, bubbles.
- Management:relative value, momentum, stale prices.
- Marketing: consumer choice, clientele change.
Participating scholars at Yale include:
Participating scholars from other institutions include:
Selected Papers on Behavioral Finance by ICF Participants:
Identifying Investor Sentiment from Price Paths: The Case of Football Betting
Journal of Business, Vol. 72, Issue 4, October 1999
Christopher Avery and Judith A. Chevalier
Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance
Judith A.Chevalier and Glenn Ellison
Career Concerns of Mutual Fund Managers
Judith A.Chevalier and Glenn Ellison
A Non-Random Walk Down the Main Street: Impact of Price Trends on Trading Decisions of Individual Investors
Ravi Dhar and Alok Kumar
The Impact of Clientele Changes: Evidence from Stock Splits
Ravi Dhar, William N. Goetzmann, and Ning Zhu
Up Close and Personal: An Individual Level Analysis of the Disposition Effect
Ravi Dhar and Ning Zhu
Daily Momentum and Contrarian Behavior of Index Fund Investors
William N.Goetzmann and Massimo Massa
Equity Portfolio Diversification
William N.Goetzmann and Alok Kumar
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
Stephen J.Brown, William N.Goetzmann, Takato Hiraki, Noriyoshi Shiraishi, and Masahiro Watanabe
Short Sale Constraints and Stock Returns
Charles M.Jones and Owen A.Lamont
Why do Biased Heuristics Approximate Bayes Rule in Double Auctions?
Karim Jamal and Shyam Sunder
Management Controls, Expectations, Common Knowledge and Culture
Journal of Management Accounting Research, Vol. 14, pp. 173-187, 2002
Shyam Sunder
Stock Market as a 'Beauty Contest': Investor Beliefs and Price Bubbles sans Dividend Anchors
Shinichi Hirota and Shyam Sunder
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
John M.Griffin, Susan Ji, and J. Spencer Martin
The Dynamics of Institutional and Individual Trading
John M.Griffin, Jeffrey H. Harris, and Selim Topaloglu
Daily Cross-border Equity Flows: Pushed or Pulled?
John M.Griffin, Federico Nardari, and Rene M. Stulz
Distance, Language, and Culture Bias: The Role of Investor Sophistication
Mark Grinblatt and Matti Keloharju
Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
Mark Grinblatt, Sheridan Titman, and Russ Wermers
The Disposition Effect and Momentum
Mark Grinblatt and Bing Han
Doctoral Research on Behavioral Finance:
Rebels, Conformists, Contrarians and Momentum Traders
Evan Gatev and Stephen A. Ross
Behavior and Performance of Investment Newsletters Analysts
Alok Kumar and Vicente Pons-Sanz
The Local Bias of Individual Investors
Ning Zhu
Data Resources for ICF Fellows:
International Center for Finance Stock Market Confidence Indices
Related Links of Interest:
Conferences on Behavioral Finance organized by Robert Shiller and Richard Thaler since 1991.
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