5. Неоднородные агенты

• Campbell J. Y., Mankiw N. G. (1989) “Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence” in MIT Macroeconomics Annual, pp. 185-216, ed. by O. J. Blanchard and S. Fischer. (also NBER Working Paper No. 2924). http://papers.nber.org/papers/W2924

• Mankiw N. G., Zeldes S. P. (1991) “The Consumption of Stockholders and Nonstockholders”. Journal of Financial Economics, 29(1), pp. 97-112. http://www.sciencedirect.com

• Cogley T. «Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey” Journal of Monetary Economics 49 (2002) 309–334 http://www.sciencedirect.com

6. Noise traders

• Shleifer A., Summers L.H. (1990) “The Noise Trader Approach to Finance”. Journal of Economic Perspectives, 4(2), pp. 19-33. http://www.jstor.org

• De Long J. B., Shleifer A., Summers L., Waldmann M. (1990) “Noise Trader Risk in Financial Markets”. Journal of Political Economy, 98, pp. 703-738. http://www.jstor.org

• Scruggs J.T. “Noise trader risk: Evidence from the Siamese twins” Journal of Financial Markets 10 (2007) 76–105 http://www.sciencedirect.com

• Berkman H. Kock P.D. “Noise trading and the price formation process” Journal of Empirical Finance 15 (2008) 232-250 http://www.sciencedirect.com

7. Неполнота рынков

• Heaton J., Lucas D. J. (1996) “Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing”. Journal of Political Economy, 104(3), pp. 443-87. http://www.jstor.org

• Telmer C.I. (1993) “Asset-Pricing Puzzles and Incomplete Markets”. Journal of Finance, 48(5), pp. 1803-32. http://www.jstor.org

• Jacobs K. (1999) “Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Results from Aggregation Problems?” Journal of Finance, 54(1), pp. 123-63. http://www.jstor.org

8. Формирование привычек в потреблении

• Abel A. B. (1990) “Asset Prices under Habit Formation and Catching Up with the Joneses”. American Economic Review, 80(2), pp. 38-42. http://www.jstor.org

• Campbell J. Y., Cochrane J. H. (1999) “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior”. Journal of Political Economy, 107(April), pp. 205-251. http://www.jstor.org

• Carroll C.D., Overkand J., Weil D.N. (2000) “Saving and Growth with Habit Formation”. American Economic Review, 90(3), pp. 341-55. http://www.jstor.org

9. Динамика цен на активы

• Chan Y.L. Kogan L. (2002) “Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices” Journal of Political Economy, vol. 110, no. 6 http://www.sciencedirect.com

• Jagannathan R.Wang Z. (1996) “The Conditional CAPM and the Cross-Section of Expected Returns” The Journal of Finance Vol. 51, No. 1 pp. 3-53 http://www.sciencedirect.com

• Barsky B.R. De Long J.B. “Why Does the Stock Market Fluctuate?” The Quarterly Journal of Economics, Vol. 108, No. 2 (May, 1993), pp. 291-311 http://www.sciencedirect.com

Дополнительно (на выбор):

• Barberis N., Shleifer A., Vishny R. “A model of investor sentiment” Journal of Financial Economics, Volume 49, Issue 3, 1 September 1998, Pages 307-343 http://www.sciencedirect.com

• Lewellena J, Nagel S. (2006) “The conditional CAPM does not explain asset-pricing anomalies” Journal of Financial Economics Volume 82, Issue 2, November, Pages 289-314 http://www.sciencedirect.com