> For the complete documentation index, see [llms.txt](https://laurence-wilse-samson.gitbook.io/textbooks/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://laurence-wilse-samson.gitbook.io/textbooks/financial-economics-claims-prices-holders/back-matter/bibliography.md).

# Bibliography

Every work the chapters list under Readings, deduplicated across chapters and alphabetised by author. The chapters that assign each work follow it, with **R** for a chapter that lists it as required. Generated by `code/build_backmatter.py`; do not edit by hand.

## A

* Acharya, V. (2014). "A Transparency Standard for Derivatives." In M. K. Brunnermeier and A. Krishnamurthy (eds.), *Risk Topography: Systemic Risk and Macro Modeling*. University of Chicago Press, 83-95; circulated as NBER Working Paper 17558. *A short policy argument about what observers must be able to see in a derivatives market, usable as a prompt against §8.5: the smile is only informative to someone who can observe the quotes across strikes in the first place.* (Ch 8)
* Adrian, T. and H. S. Shin (2014). "Procyclical Leverage and Value-at-Risk." *Review of Financial Studies* 27(2): 373-403. *The paper §26.6 is built on. The empirical fact — leverage and balance-sheet size move together for dealers, and in the opposite direction for passive investors — is visible in a scatter plot, and the model behind it is the VaR constraint of this chapter written as an equilibrium.* (Ch 26)
* Adrian, T. and H. Shin (2010). "Liquidity and Leverage." *Journal of Financial Intermediation* 19(3): 418-437. (Ch 16)
* Adrian, T., E. Etula and T. Muir (2014). "Financial Intermediaries and the Cross-Section of Asset Returns." *Journal of Finance* 69(6): 2557-2596. *One free quarterly series from the Financial Accounts, and a cross-sectional fit comparable to three constructed equity factors.* (Ch 19)
* Adrian, T., R. Crump and E. Moench (2013). "Pricing the Term Structure with Linear Regressions." *Journal of Financial Economics* 110(1): 110-138. *The affine model estimated by OLS instead of likelihood, which is why its term premium series is published daily and can be reproduced by a student; the practical output §9.2 uses.* (Ch 9)
* Aghion, P. and P. Bolton (1992). "An Incomplete Contracts Approach to Financial Contracting." *Review of Economic Studies* 59(3): 473-494. *The formal version of §21.4's bridge: state-contingent control as the optimal financial contract, with control shifting to the investor in bad states.* (Ch 21)
* Allen, F. and G. Gorton (1993). "Churning Bubbles." *Review of Economic Studies* 60(4): 813-836. *The source for Box 7.1. A bubble constructed from an agency relation with no irrational agent anywhere in it — a clean counterexample to the claim that persistent mispricing requires mistaken beliefs.* (Ch 7)
* Allen, F. and R. Michaely (2003). "Payout Policy." In *Handbook of the Economics of Finance*, Volume 1A. Elsevier. *The survey §23.5 lacks one of its own. Comprehensive on the taxes, signaling, and clientele evidence, and it predates the full repurchase transition, which makes it useful for seeing which of the old dividend puzzles the transition disposed of and which it did not.* (Ch 23)
* Amihud, Y. (2002). "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." *Journal of Financial Markets* 5(1): 31-56. *Introduces the ILLIQ measure and establishes both halves of the pricing result — illiquid stocks earn more, and expected market illiquidity forecasts market returns. The measure's durability comes from its data requirements, which are nil.* (Ch 11)
* Amihud, Y. and H. Mendelson (1986). "Asset Pricing and the Bid-Ask Spread." *Journal of Financial Economics* 17(2): 223-249. *The horizon-clientele argument of §11.5 in its original form, including the concavity of the premium in the spread — the first paper to derive an asset pricing result from who holds a claim and for how long.* (Ch 11)
* Amihud, Y., H. Mendelson and L. H. Pedersen (2005). "Liquidity and Asset Prices." *Foundations and Trends in Finance* 1(4): 269-364. *The survey behind §6.4's one line on liquidity, covering both the trading-cost level and the systematic-liquidity loading; the natural bridge to Chapter 11 §11.5.* (Ch 6)
* Andrade, G., M. Mitchell and E. Stafford (2001). "New Evidence and Perspectives on Mergers." *Journal of Economic Perspectives* 15(2): 103-120. *The survey behind Table 22.4 and the best twenty pages on what the merger evidence does and does not establish. Note their care about the acquirer result's dispersion, and their industry-shock account of waves.* (Ch 22)
* Ang, A. (2014). *Asset Management: A Systematic Approach to Factor Investing*. Oxford University Press. Chapters on illiquid assets. *The standard treatment of illiquidity premia, liquidity management, and the allocator's problem — this chapter deliberately does not duplicate it.* (Ch 18)
* Arellano, C. (2008). "Default Risk and Income Fluctuations in Emerging Economies." *American Economic Review* 98(3): 690-712. *The modern quantitative Eaton-Gersovitz model: default is countercyclical, and calibrated spreads look like observed ones without an exogenous credit shock.* (Ch 10)
* Arrow, K. J. (1971). "Insurance, Risk and Resource Allocation." In *Essays in the Theory of Risk-Bearing*. North-Holland. *The functional test stated well before Tobin's lecture and in fewer pages: what an insurance market accomplishes is a reallocation of risk-bearing to those able to carry it, and the welfare gain is real even though nothing is produced. The pre-history of §27.1's answer, and the verbal form of Chapter 3's state prices.* (Ch 27)
* Artzner, P., F. Delbaen, J.-M. Eber and D. Heath (1999). "Coherent Measures of Risk." *Mathematical Finance* 9(3): 203-228. *The axiomatic paper behind §26.3. It is short, and the subadditivity axiom is worth reading in the authors' own framing as a statement about whether a firm can decentralize risk limits at all.* (Ch 26)
* Asness, C., T. Moskowitz and L. Pedersen (2013). "Value and Momentum Everywhere." *Journal of Finance* 68(3): 929-985. *Value and momentum across eight markets and asset classes, with the correlation structure — negative within, positive across — that is the strongest single argument against the data-mining reading.* (Ch 6)
* Asquith, P., M. Mikhail and A. Au (2005). "Information Content of Equity Analyst Reports." *Journal of Financial Economics* 75(2): 245-282. *Gives §7.2's cost of information some institutional content by looking at who actually produces it. Read it for the finding that the report's text moves prices beyond the recommendation and the earnings forecast.* (Ch 6, Ch 7)
* Azar, J., M. Schmalz and I. Tecu (2018). "Anticompetitive Effects of Common Ownership." *Journal of Finance* 73(4): 1513-1565. *Read alongside the replication and measurement critiques discussed in §17.7.* (Ch 17)

## B

* Baker, M. and J. Wurgler (2002). "Market Timing and Capital Structure." *Journal of Finance* 57(1): 1-32. *The third theory, and a lesson in variable construction — the external-finance-weighted market-to-book ratio is what makes the test sharp. Read the persistence results with Leary and Roberts's mechanical-drift objection in hand.* (Ch 23)
* Baker, M. and J. Wurgler (2006). "Investor Sentiment and the Cross-Section of Stock Returns." *Journal of Finance* 61(4): 1645-1680. *The index and, more importantly, the conditional cross-sectional predictions. The index itself is free to download from Wurgler's page and is the basis of the data exercise.* (Ch 15)
* Bansal, R. and A. Yaron (2004). "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles." *Journal of Finance* 59(4): 1481-1509. *Long-run risk, and the clearest demonstration of why Epstein-Zin preferences are needed for news about the distant future to be priced.* (Ch 5)
* Barber, B. and T. Odean (2001). "Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment." *Quarterly Journal of Economics* 116(1): 261-292. *Overconfidence identified off a variable that is plausibly unrelated to information.* (Ch 15)
* Barber, B. and T. Odean (2008). "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors." *Review of Financial Studies* 21(2): 785-818. *The buy-versus-sell search asymmetry of §15.3.* (Ch 15)
* Barberis, N. and M. Huang (2008). "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices." *American Economic Review* 98(5): 2066-2100. *Probability weighting taken to its asset-pricing conclusion, including the result that a skewed security can be overpriced even for an investor holding a diversified portfolio.* (Ch 15)
* Barberis, N. and R. Thaler (2003). "A Survey of Behavioral Finance." In G. Constantinides, M. Harris and R. Stulz (eds.), *Handbook of the Economics of Finance*, Volume 1B, Chapter 18. Elsevier. *The best single map of the field, organized exactly as this chapter is: limits to arbitrage first, then psychology, then applications. Use it as the syllabus for anything here treated in a paragraph.* (Ch 15)
* Barro, R. (2006). "Rare Disasters and Asset Markets in the Twentieth Century." *Quarterly Journal of Economics* 121(3): 823-866. *Takes Rietz's idea and measures it, assembling international twentieth-century contractions into a disaster distribution; read it for the empirical construction, which is what made the mechanism respectable.* (Ch 5)
* Bebchuk, L. A. and S. Hirst (2019). "Index Funds and the Future of Corporate Governance: Theory, Evidence, and Policy." *Columbia Law Review* 119(8): 2029-2146. *Long, and the second half can be skimmed. The incentive argument in the first half is the foundation of §24.4 and of Chapter 17 §17.7, and the stewardship-resource evidence is the empirical core.* (Ch 24)
* Bebchuk, L., A. Cohen and A. Ferrell (2009). "What Matters in Corporate Governance?" *Review of Financial Studies* 22(2): 783-827. *The successor to the governance index of the preceding entry. Six of the twenty-four provisions do the work — staggered board, limits to bylaw amendment, supermajority requirements for mergers and for charter amendments, poison pills, golden parachutes — and the other eighteen are not associated with anything. Read it for the method as much as the entrenchment index: this is what narrowing an index down to what it measures looks like.* (Ch 24)
* Bebchuk, L. A., Y. Grinstein and U. Peyer (2010). "Lucky CEOs and Lucky Directors." *Journal of Finance* 65(6): 2363-2401. *Option grants dated at local price minima far more often than chance allows. A measurement warning for §24.3: a pay-performance sensitivity is only as good as the grant dates it is computed from, and for a period those dates were partly chosen after the fact.* (Ch 24)
* Becht, M., P. Bolton and A. Röell (2003). "Corporate Governance and Control." In *Handbook of the Economics of Finance*, Volume 1A. Elsevier. *The comparative complement to Shleifer-Vishny, written with the European blockholder case in view rather than the dispersed American one. The right survey for §24.3's blockholder subsection and for anyone who found the separation-of-ownership-and-control premise too readily granted.* (Ch 24)
* Becker, B. and V. Ivashina (2015). "Reaching for Yield in the Bond Market." *Journal of Finance* 70(5): 1863-1902. *The cleanest identification of a holder constraint moving credit prices: insurers buy the highest-yielding bond inside each rating bucket, more so when their capital is tight. The empirical spine of Section 10.9.* (Ch 10 R, Ch 16)
* Beeler, J. and J. Y. Campbell (2012). "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment." *Critical Finance Review* 1(1): 141-182. *The audit §5.5 owes long-run risk: the model is confronted with the predictability and consumption-growth implications it makes along the way, not only with the moments it was built to match. Read it against Table 5.5's "testable elsewhere" row.* (Ch 5)
* Benartzi, S. and R. Thaler (1995). "Myopic Loss Aversion and the Equity Premium Puzzle." *Quarterly Journal of Economics* 110(1): 73-92. *Read against Chapter 5.* (Ch 15)
* Benartzi, S. and R. Thaler (2004). "Save More Tomorrow: Using Behavioral Economics to Increase Employee Saving." *Journal of Political Economy* 112(S1): S164-S187. *Automatic escalation as a design that exploits inertia rather than fighting it.* (Ch 14)
* Benveniste, L. M. and P. A. Spindt (1989). "How Investment Bankers Determine the Offer Price and Allocation of New Issues." *Journal of Financial Economics* 24(2): 343-361. *The theory that turns the underwriter's discretion into the mechanism rather than the abuse. It is also the strongest available argument against auctions, and should be read against the Google episode.* (Ch 12)
* Berk, J. and J. van Binsbergen (2025). "The Impact of Impact Investing." *Journal of Financial Economics* 164: 103972. *The divestment arithmetic of §16.6, worked through with deliberately generous assumptions.* (Ch 16)
* Berk, J. and R. Green (2004). "Mutual Fund Flows and Performance in Rational Markets." *Journal of Political Economy* 112(6): 1269-1295. *The equilibrium model of §17.3; read it as a holders-move-markets argument, not a defense of the fund industry.* (Ch 17 R)
* Bernanke, B. and M. Gertler (1989). "Agency Costs, Net Worth, and Business Fluctuations." *American Economic Review* 79(1): 14-31. *The agency-cost version of §27.3's one line, in general equilibrium.* (Ch 27)
* Bernstein, P. L. (1996). *Against the Gods: The Remarkable Story of Risk*. Wiley. *The long history of measuring risk, from which Box 26.1's claim borrows its force: quantification arrived late, it arrived as a set of conventions, and each convention reorganized the practice that adopted it.* (Ch 26)
* Beunza, D. and D. Stark (2008). "Reflexive Modeling: The Social Calculus of the Arbitrageur." Working paper (SSRN). *The mechanism of §7.6 observed rather than inferred, on a live merger-arbitrage desk: the same model that lets a trader interpret an uncertain world also tells him what everyone else is looking at.* (Ch 7)
* Beunza, D., I. Hardie and D. MacKenzie (2006). "A Price Is a Social Thing: Towards a Material Sociology of Arbitrage." *Organization Studies* 27(5): 721-745. *Four trading-floor ethnographies synthesized, and the source of §7.6's claim that arbitrage rests on a theory of the similarity between assets. The connection to §7.5 and to Chapter 15 §15.5 runs through that formulation.* (Ch 7)
* Black, F. (1972). "Capital Market Equilibrium with Restricted Borrowing." *Journal of Business* 45(3): 444-455. *Derives the CAPM without a riskless asset and gets a flatter line with a zero-beta intercept — the theoretical ancestor of everything in §4.9.* (Ch 4)
* Black, F. and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities." *Journal of Political Economy* 81(3): 637-654. *The paper. Read it for the hedged-portfolio argument in §II and for the closing sections on corporate liabilities, which show the authors understood from the start that equity in a levered firm is a call option — the idea Chapter 10 builds credit risk on.* (Ch 1, Ch 8 R)
* Bloomfield, R. and M. O'Hara (1999). "Market Transparency: Who Wins and Who Loses?" *Review of Financial Studies* 12(1): 5-35. *Transparency is not Pareto-improving: dealers, informed traders, and uninformed traders are affected in different directions, and the aggregate verdict depends on which of them the designer is trying to protect. The honest framing of the venue-design debate Box 11.1 compresses.* (Ch 11)
* Bloomfield, R., M. O'Hara and G. Saar (2005). "The Make or Take Decision in an Electronic Market: Evidence on the Evolution of Liquidity." *Journal of Financial Economics* 75(1): 165-199. *Supplying liquidity and consuming it are the same trader's choice, made order by order, which is the experimental counterpart of §11.6's question about who is standing in the middle. Read it against the make-take fee schedules that now price that choice explicitly.* (Ch 11)
* Board of Governors of the Federal Reserve System. *Financial Accounts Guide* (online, `federalreserve.gov/apps/fof/`), together with the current Z.1 release, *Financial Accounts of the United States*. *The guide indexes every table by code and explains what each series measures and how it is estimated. Read the guide's description of the household sector as a residual before using any household figure in this chapter.* (Ch 2 R)
* Bodie, Z. (1995). "On the Risk of Stocks in the Long Run." *Financial Analysts Journal* 51(3): 18-22. *Prices the cost of insuring an equity position over a long horizon and finds it rising, not falling, with the horizon; the sharpest available correction to the time-diversification intuition behind §5.7's account of who can bear equity risk.* (Ch 5)
* Bodie, Z. and R. C. Merton (2000). *Finance*. Prentice Hall (later editions, with D. L. Cleeton, as *Financial Economics*). *The standard institutional map in its textbook form, organized by sector and function. Read the first two chapters as the treatment §2.2's claim-first taxonomy defines itself against.* (Ch 2)
* Bolton, P. and F. Samama (2012). "Capital Access Bonds: Contingent Capital with an Option to Convert." *Economic Policy* 27(70): 275-317. *A worked security design aimed at one row of Table 23.1, and the concrete case for §23.1's claim that the assumption list is a research agenda. Read with Chapter 19 §19.2 on bank capital and Chapter 8 on the option the conversion trigger creates.* (Ch 23)
* Bolton, P. and F. Samama (2013). "Loyalty-Shares: Rewarding Long-Term Investors." *Journal of Applied Corporate Finance* 25(3): 86-97. *A designed instrument for the horizon problem §24.4 treats in the abstract: rights that vest with holding period, so that the control content of a share depends on how long it has been held. Read it as security design (Chapter 21 §21.4) applied to governance rather than to financing.* (Ch 24)
* Bolton, P. and H. Rosenthal (2002). "Political Intervention in Debt Contracts." *Journal of Political Economy* 110(5): 1103-1134. *The reading behind §25.4's amendment. Ex-post intervention — moratoria, stays, forced restructurings — can be efficient in aggregate states where enforcement would destroy value, and is anticipated by lenders, so the political process is inside the credit contract rather than outside it.* (Ch 25)
* Bolton, P., J. Scheinkman and W. Xiong (2006). "Executive Compensation and Short-Termist Behaviour in Speculative Markets." *Review of Economic Studies* 73(3): 577-610. *A reminder for §21.5 that the manager's own contract is one of the contracts in the nexus, and that its optimal design depends on what the firm's shares are doing — which makes the pay contract an object jointly owned by this chapter, Chapter 15, and Chapter 24 §24.3.* (Ch 21)
* Bolton, P., T. Santos and J. Scheinkman (2012). "Shadow Finance." *Why credit intermediation migrates to whichever balance sheet carries the lightest capital requirement, and why that migration is a predictable consequence of the requirement rather than an evasion of it.* (Ch 16)
* Bond, P. (2004). "Bank and Nonbank Financial Intermediation." *Journal of Finance* 59(6): 2489-2529. *The boundary of §19.4 drawn formally: what distinguishes an intermediary funded by depositors from one funded by the investors whose claims it originates, and why the two coexist rather than one displacing the other.* (Ch 19)
* Bond, P., A. Edmans and I. Goldstein (2012). "The Real Effects of Financial Markets." *Annual Review of Financial Economics* 4: 339-360. *The survey behind §7.6's economic-register paragraph: prices are inputs to the decisions they are forecasting, so the feedback loop the performativity literature describes has a corporate-investment counterpart with measurable outcomes.* (Ch 7)
* Boyarchenko, N., A. Fuster and D. Lucca (2019). "Understanding Mortgage Spreads." *Review of Financial Studies* 32(10): 3799-3850. *Decomposes the agency MBS spread and finds that prepayment risk is priced by a segmented set of MBS investors rather than by the marginal investor of a representative-agent model — Chapter 3 §3.7's question, answered in this market.* (Ch 13)
* Brav, A., W. Jiang, F. Partnoy and R. Thomas (2008). "Hedge Fund Activism, Corporate Governance, and Firm Performance." *Journal of Finance* 63(4): 1729-1775. *The paper that established the modern activism facts. The hand-collected sample and the classification of campaign objectives are as valuable as the returns, because they show how rarely activists demand the thing they are accused of demanding.* (Ch 24)
* Brunnermeier, M. and L. Pedersen (2009). "Market Liquidity and Funding Liquidity." *Review of Financial Studies* 22(6): 2201-2238. *The formal statement of the margin spiral in §16.5.* (Ch 16 R)
* Brunnermeier, M. K. *Institutional Finance* (ECO467) course materials, Princeton University. *A graduate course on the constrained-holder half of this chapter, with modules on hedge fund performance evaluation, merger arbitrage worked end to end, and arbitrage under a capital constraint. Useful where §18.4 compresses: one strategy carried through its whole mechanics is the anchor a short section cannot supply.* (Ch 18)
* Brunnermeier, M. K. and M. Oehmke (2013). "The Maturity Rat Race." *Journal of Finance* 68(2): 483-521. *Why each lender's rational shortening of funding maturity worsens every other lender's position, and why the equilibrium maturity is inefficiently short. The liability-side complement to the asset-side margin spiral, and the source for the maturity paragraph in §16.5.* (Ch 16)
* Brunnermeier, M. K. and M. Yogo (2009). "A Note on Liquidity Risk Management." *American Economic Review Papers and Proceedings* 99(2): 578-583. *Four pages on how a firm should manage the risk of being unable to roll its funding. The formal version of §16.2's claim that the liability side drives the asset side.* (Ch 16)
* Brunnermeier, M. K., S. Nagel and L. H. Pedersen (2008). "Carry Trades and Currency Crashes." *NBER Macroeconomics Annual* 23: 313-347. *One trade in which the unwinding of a funding constraint is visible in the return distribution: gradual gains, sudden crashes, with the skew appearing exactly where speculator positions were largest. The currency material belongs to International Finance, Chapter 16; the constraint argument belongs here.* (Ch 16)

## C

* Caballero, R. J., E. Farhi and M. L. Hammour (2006). "Speculative Growth: Hints from the U.S. Economy." *American Economic Review* 96(4): 1159-1192. *Asset prices and investment in one model, with the mechanism §27.4 asserts made explicit and given a speculative component: a rise in valuations that is not warranted by fundamentals still raises investment while it lasts. The closest thing in the literature to §27.4's transmission argument taken seriously as macroeconomics.* (Ch 27)
* Calvet, L., J. Y. Campbell and P. Sodini (2007). "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes." *Journal of Political Economy* 115(5): 707-747. *Complete portfolios for an entire population. The result is deliberately two-sided: modest median diversification losses, a long and costly tail, and the mistakes concentrated where they can least be afforded.* (Ch 14)
* Calvet, L., J. Y. Campbell and P. Sodini (2009). "Measuring the Financial Sophistication of Households." *American Economic Review* 99(2): 393-398. *The companion to "Down or Out," and the paper that makes §14.2's tail claim quantitative: an index of sophistication built from the Swedish register, and the demonstration that the costly mistakes sort on it.* (Ch 14)
* Camerer, C., G. Loewenstein and D. Prelec (2005). "Neuroeconomics: How Neuroscience Can Inform Economics." *Journal of Economic Literature* 43(1): 9-64. *One citation to the discipline immediately beyond §15.6's boundary. Useful for seeing what behavioral finance declines to claim: nothing in §§15.1-15.5 requires a mechanism below the level of choice.* (Ch 15)
* Campbell, J. Y. (2006). "Household Finance." *Journal of Finance* 61(4): 1553-1604. *The presidential address that named the field. Sets out the normative benchmark, the catalogue of household deviations from it, and the distinction between mistakes that are cheap and mistakes that are expensive. Read it as the syllabus for this chapter.* (Ch 14 R)
* Campbell, J. Y. (2008). "Risk and Return in Stocks and Bonds." Lecture series. *States the premium for two asset classes at once, which is the form §5.4's bound actually wants; the term premium is the second observation any candidate discount factor has to price.* (Ch 5)
* Campbell, J. Y. (2013). "Mortgage Market Design." *Review of Finance* 17(1): 1-33. *The comparative treatment of mortgage contracts across countries and of who bears the interest-rate and prepayment risk under each; the natural companion to §13.1's international contrast.* (Ch 13)
* Campbell, J. Y. (2018). *Financial Decisions and Markets: A Course in Asset Pricing*. Princeton University Press. *The full theory §14.1 compresses, including intertemporal portfolio choice with labor income. The deferral target named in "Elsewhere in the Series."* (Ch 14)
* Campbell, J. Y. and J. Cochrane (1999). "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." *Journal of Political Economy* 107(2): 205-251. *The habit model, engineered so that effective risk aversion is countercyclical and the riskless rate is nearly constant; the joint delivery of the premium and of return predictability is the achievement.* (Ch 5)
* Campbell, J. Y. and R. Shiller (1991). "Yield Spreads and Interest Rate Movements: A Bird's Eye View." *Review of Economic Studies* 58(3): 495-514. *The canonical rejection of the expectations hypothesis; read it for the pattern of coefficients across maturities rather than for any single number.* (Ch 9)
* Carroll, C. D. Graduate lecture notes on portfolio choice under CARA utility with normally distributed returns, Johns Hopkins University. *Works §4.1's arithmetic in the preference form Chapter 7 §7.2 then requires, where demand is linear in the expected excess return and independent of wealth.* (Ch 4)
* Carroll, C. D. Graduate lecture notes on the consumption-based capital asset pricing model and on the equity premium puzzle, Johns Hopkins University. *Two short notes that work the derivation §5.1 compresses and the calibration §5.3 reports; work them as a "do the arithmetic yourself" companion.* (Ch 5)
* Case, K. E., R. J. Shiller and A. N. Weiss (1995). "Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate." *The proposal for index-based futures and options on house prices, from the authors of the index. It is the missing answer to the question §13.4 raises and does not settle — why a household cannot hedge the largest asset it owns — and it sends the option machinery back to Chapter 8.* (Ch 13)
* Chen, G., K. A. Kim, J. R. Nofsinger and O. M. Rui (2007). "Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors." *Journal of Behavioral Decision Making* 20(4): 425-451. *An external-validity check on §§15.1-15.3 and on §15.7's transfer statistic, which rests on one market. The biases replicate outside the United States, and experience attenuates some of them but not all.* (Ch 15)
* Chen, J., S. Hanson, H. Hong and J. Stein (2008). "Do Hedge Funds Profit from Mutual-Fund Distress?" NBER Working Paper 13786. *The other side of §16.5's fire sale. Forced selling is predictable, so it is traded against, and the paper measures what the anticipation costs the distressed fund. The clearest available demonstration that a holder's constraint is a tradeable object.* (Ch 16, Ch 18)
* Chen, N.-F., R. Roll and S. Ross (1986). "Economic Forces and the Stock Market." *Journal of Business* 59(3): 383-403. *The macro-factor tradition behind §6.1: factors named in advance from the macroeconomy rather than extracted from the returns they price. Read it for what an APT test looks like when the antecedent is filled in honestly.* (Ch 6)
* Chiquier, L. and M. Lea, eds. *Housing Finance Policy in Emerging Markets*. World Bank, 2009. *The cross-country contract comparison of §13.1 at book length, and well beyond the American agency system: covered bonds, mortgage insurance, state housing banks, and lending to borrowers no securitization pipeline reaches.* (Ch 13)
* Chodorow-Reich, G. (2014). "The Employment Effects of Credit Market Disruptions: Firm-Level Evidence from the 2008-9 Financial Crisis." *Quarterly Journal of Economics* 129(1): 1-59. *Khwaja-Mian's identification transplanted to the United States, using pre-crisis syndicate composition as the source of lender variation. The estimate of how much of the small-firm employment decline is attributable to credit rather than demand is the number §25.3 cites.* (Ch 25)
* Chordia, T., R. Roll and A. Subrahmanyam (2000). "Commonality in Liquidity." *Journal of Financial Economics* 56(1): 3-28. *Individual stocks' spreads and depths move together, which is the precondition for treating aggregate liquidity as a state variable at all. Without this result, Pástor and Stambaugh's factor would have nothing to load on.* (Ch 11)
* Coase, R. H. (1937). "The Nature of the Firm." *Economica* 4(16): 386-405. *Twenty pages, no mathematics, and the question that organizes this chapter. Read it for the margin at the end — the firm expands until internal and market organizing costs are equal — which is where the economics is.* (Ch 21 R)
* Coase, R. H. (2000). "The Acquisition of Fisher Body by General Motors." *Journal of Law and Economics* 43(1): 15-31. *The revisionist piece. It appeared in a symposium issue alongside Freeland's and Casadesus-Masanell and Spulber's reconsiderations and Klein's reply; read at least two of the four, and treat the exchange as a case study in what it takes to establish a fact about one firm.* (Ch 21)
* Cochrane, J. (2005). *Asset Pricing*, revised edition. Princeton University Press. Chapters 1-3. *The canonical modern statement of the pricing equation and the source of this chapter's organizing claim that every asset-pricing model is a specification of the discount factor; read Chapter 1 before Chapter 4 of this book.* (Ch 3 R, Ch 5 R)
* Cochrane, J. (2008). "The Dog That Did Not Bark: A Defense of Return Predictability." *Review of Financial Studies* 21(4): 1533-1575. *The mechanical result behind §7.4: it is the failure of dividend growth to be predictable that forces returns to be predictable, so the two cannot both be dismissed as statistical artifacts. The 2011 address states the conclusion; this paper is the argument.* (Ch 7)
* Cochrane, J. (2011). "Presidential Address: Discount Rates." *Journal of Finance* 66(4): 1047-1108. *The statement of record on predictability. Its organizing claim — that all valuation-ratio variation is discount-rate news, in every asset class — is the single most useful thing to take from this chapter.* (Ch 7)
* Cochrane, J. Lecture notes on portfolio theory, University of Chicago. *Restates §§4.1-4.3 in the discount-factor language of §4.6, which is the cleanest available bridge between this chapter's two halves.* (Ch 4)
* Collin-Dufresne, P., R. Goldstein and J. S. Martin (2001). "The Determinants of Credit Spread Changes." *Journal of Finance* 56(6): 2177-2207. *Structural variables explain little of the variation in spread changes, and the residuals share a common factor. The puzzle stated in first differences.* (Ch 10)
* Copeland, A. (2012). "Evolution and Heterogeneity among Larger Bank Holding Companies: 1994 to 2010." Federal Reserve Bank of New York *Economic Policy Review* 18(2): 83-93. *The composition data behind §19.3's claim about what banks and dealers hold, from the supervisory series, and the evidence that the sector's largest firms became less alike rather than more.* (Ch 19)
* Copeland, M. A. (1952). *A Study of Moneyflows in the United States*. National Bureau of Economic Research. *The origin document. The introduction and the statement of the accounting framework are what to read; the empirical chapters are of historical interest.* (Ch 2)
* Coval, J., J. Jurek and E. Stafford (2009). "The Economics of Structured Finance." *Journal of Economic Perspectives* 23(1): 3-25. *How pooling and tranching manufacture apparently safe claims, and why a senior tranche's rating is far more sensitive to the assumed correlation across the pool than the rating scale ever admits.* (Ch 16)
* Cox, J., S. Ross and M. Rubinstein (1979). "Option Pricing: A Simplified Approach." *Journal of Financial Economics* 7(3): 229-263. *The binomial model, and the source of §8.3. Written explicitly to make the argument accessible without stochastic calculus; it remains the clearest statement of why the drift drops out.* (Ch 8 R)
* Culp, C. L. and M. H. Miller (1995). "Metallgesellschaft and the Economics of Synthetic Storage." *Journal of Applied Corporate Finance* 7(4): 62-76. *The defense of MGRM's program, and the more instructive half of the debate to read first because it forces the reader to see what the hedge was actually doing.* (Ch 26)

## D

* Damodaran, A. (2005). "Marketability and Value: Measuring the Illiquidity Discount." Working paper, Stern School of Business, New York University. *The practitioner's treatment of the marketability discount applied when there is no traded price. It is the missing step between §22.2's multiples and the private-firm valuations Chapter 25 §25.3 and Chapter 18 §18.2 depend on.* (Ch 22)
* Damodaran, A. "The Promise and Peril of Real Options." Working paper, Stern School of Business, New York University. *More permissive than Dixit-Pindyck about when the option framing applies, and useful for exactly that reason: read it against §22.3's three conditions and mark the places where an option is being claimed for a project whose exclusivity nobody has established.* (Ch 22)
* Daniel, K. and T. Moskowitz (2016). "Momentum Crashes." *Journal of Financial Economics* 122(2): 221-247. *Why momentum's payoff resembles a written option on the market, and what happened in 1932 and 2009.* (Ch 6)
* De Long, J. B., A. Shleifer, L. Summers and R. Waldmann (1990). "Noise Trader Risk in Financial Markets." *Journal of Political Economy* 98(4): 703-738. *The canonical formal answer to §7.5's question. Sentiment risk is created by the noise traders themselves, cannot be hedged, and bounds the size of the rational position — which is why mispricing survives in equilibrium rather than merely for a while.* (Ch 3, Ch 7, Ch 15)
* Degryse, H. and S. Ongena (2005). "Distance, Lending Relationships, and Competition." *Journal of Finance* 60(1): 231-266. *The European continuation of Petersen-Rajan, and the one that puts geography into the relationship. Loan rates fall with the distance between the borrower and competing lenders and rise with the distance to the lender that actually makes the loan, which is informational holdup measured in kilometers.* (Ch 25)
* Del Negro, M., G. Eggertsson, A. Ferrero and N. Kiyotaki (2017). "The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities." *American Economic Review* 107(3): 824-857. *The central bank's balance sheet as a price, not as an operating procedure: what happens to the return on liquid assets when the official sector supplies liquidity against illiquid collateral. The pricing channel §9.5 keeps while routing the operating framework to the companion volume on international finance.* (Ch 9)
* Derman, E. Conference papers and retrospective essays on the use of models on a derivatives desk, including his 2009 appreciation of Fischer Black. *The practitioner's own epistemics of models, and the second witness Box 8.1 otherwise lacks: the same phenomenon reported from inside the trading operation rather than by an observer of it.* (Ch 8)
* Diamond, D. (1984). "Financial Intermediation and Delegated Monitoring." *Review of Economic Studies* 51(3): 393-414. *Why the delegated monitor is debt-funded and diversified — the two features §19.1 carries forward.* (Ch 19)
* Diamond, D. and P. Dybvig (1983). "Bank Runs, Deposit Insurance, and Liquidity." *Journal of Political Economy* 91(3): 401-419. *The model of §19.2 in four pages of algebra; read it for the structure of the argument, which recurs in every runnable institution in this book.* (Ch 19 R)
* Dimson, E. and M. Mussavian (1999). "Three Centuries of Asset Pricing." *Journal of Banking and Finance* 23(12): 1745-1769. *A compact intellectual history of where the pricing equation came from, useful placed against §3.6, since each of the three specializations arrived as a separate research program.* (Ch 3)
* Dimson, E., P. Marsh and M. Staunton. *Credit Suisse Global Investment Returns Yearbook 2014*. Credit Suisse Research Institute, 2014. *Long-run real returns on bonds and bills across more than a century and a score of markets. The natural check on §9.3: the real rate is not a constant of nature, and the yearbook's cross-country tables show how wide the historical range has been.* (Ch 9)
* Dimson, E., P. Marsh and M. Staunton (2014). *Credit Suisse Global Investment Returns Yearbook 2014*. Credit Suisse Research Institute. *Long-run equity, bond and bill returns for roughly twenty countries since 1900 — the cross-country twentieth-century record §5.5's disaster subsection describes and the chapter's own data exercise otherwise takes only from the United States.* (Ch 4, Ch 5)
* Dixit, A. K. and R. S. Pindyck (1994). *Investment Under Uncertainty*. Princeton University Press. *The synthesis of the real-options literature, and the source of §22.3's three conditions. The first two chapters carry the whole argument without the continuous-time apparatus and are the right assignment for a masters course.* (Ch 22)
* Doidge, C., G. A. Karolyi and R. M. Stulz (2017). "The U.S. Listing Gap." *Journal of Financial Economics* 123(3): 464-487. *The measurement behind §12.7. Read it for the decomposition — the gap comes from too few new listings and too many disappearances by merger — and for the benchmarking exercise that makes "gap" a claim rather than an observation.* (Ch 12)
* Dorn, D. (2009). "Does Sentiment Drive the Retail Demand for IPOs?" *Journal of Financial and Quantitative Analysis* 44(1): 85-108. *Retail demand for new issues measured directly, at the account level. The population Rock's model calls uninformed turns out to overpay in the aftermarket rather than in the allocation, which is a sharper version of §12.3's winner's-curse story than the model states.* (Ch 12)
* Dorn, D. and G. Huberman (2005). "Talk and Action: What Individual Investors Say and What They Do." *Review of Finance* 9(4). *Survey responses matched to the same investors' actual trades. A useful discipline on §14.2, where much of the evidence is either what households say or what they do, rarely both for the same household.* (Ch 14)
* Duffie, D. (2003). "Intertemporal Asset Pricing Theory." In *Handbook of the Economics of Finance*, Volume 1B, ed. G. Constantinides, M. Harris and R. Stulz. Elsevier. *The measure-theoretic version of §3.5, including the change of measure previewed there and the existence results Appendix D defers to.* (Ch 3)
* Duffie, D. (2020). "Still the World's Safe Haven? Redesigning the US Treasury Market After the COVID-19 Crisis." Hutchins Center Working Paper, Brookings Institution. *The opening episode in its clearest published account, with the dealer-capacity ratio that organizes §19.3.* (Ch 19)
* Duffie, D. and H. Zhu (2011). "Does a Central Clearing Counterparty Reduce Counterparty Risk?" *Review of Asset Pricing Studies* 1(1): 74-95. *The netting arithmetic behind an answer §8.6 does not give: whether interposing a clearinghouse reduces a dealer's exposure depends on how many contract classes it clears, and adding one clearinghouse per asset class can raise total exposure rather than lower it.* (Ch 8)
* Duffie, D. and K. Singleton (1999). "Modeling Term Structures of Defaultable Bonds." *Review of Financial Studies* 12(4): 687-720. *The reduction that made intensity models the market standard: a defaultable bond prices like a riskless one at a default-adjusted short rate.* (Ch 10)
* Dybvig, P. (1999). "Using Asset Allocation to Protect Spending." *Financial Analysts Journal* 55(1): 49-62. *An endowment's version of the problem, and the most concrete instance of a holder who cannot hold the market: the spending obligation, not risk aversion, determines the portfolio.* (Ch 4)
* Dybvig, P. and S. Ross (1987). "Arbitrage." In *The New Palgrave: A Dictionary of Economics*, ed. Eatwell, Milgate and Newman. Macmillan. *Five pages that get the definitions right, including the distinctions among arbitrage, dominance, and the law of one price that §3.2 follows.* (Ch 3 R)

## E

* Easley, D., S. Hvidkjaer and M. O'Hara (2002). "Is Information Risk a Determinant of Asset Returns?" *Journal of Finance* 57(5): 2185-2221. *Takes §11.2's adverse-selection component, estimates it stock by stock as a probability of informed trading, and asks whether it is priced. A third candidate measure alongside ILLIQ and Pástor-Stambaugh, and the one closest to the theory in this chapter.* (Ch 11)
* Easterbrook, F. H. (1984). "Two Agency-Cost Explanations of Dividends." *American Economic Review* 74(4): 650-659. *The missing anchor for §23.5's governance material: a dividend forces the firm back to the capital market, where new investors and their underwriters perform the monitoring that dispersed existing shareholders will not. Payout as a governance device rather than a tax puzzle.* (Ch 23)
* Eaton, J. and M. Gersovitz (1981). "Debt with Potential Repudiation: Theoretical and Empirical Analysis." *Review of Economic Studies* 48(2): 289-309. *Sovereign lending sustained by exclusion rather than enforcement, and the endogenous credit ceiling that follows. Read alongside Bulow and Rogoff (1989), "Sovereign Debt: Is to Forgive to Forget?", American Economic Review 79(1): 43-50, which explains why reputation alone is not enough.* (Ch 10)
* Edwards, F. R. and E. R. Morrison (2005). "Derivatives and the Bankruptcy Code: Why the Special Treatment?" *Yale Journal on Regulation* 22(1): 91-122. *Where §25.1's menu ends. Bankruptcy's safe harbors exempt one class of counterparty from the stay that binds everyone else, so the resolution regime is not neutral across the claims on the firm — which is the sharpest available illustration that insolvency law is part of the price of each rung. Read with Chapter 10 §10.1 and Chapter 26.* (Ch 25)
* Ellul, A., C. Jotikasthira and C. Lundblad (2011). "Regulatory Pressure and Fire Sales in the Corporate Bond Market." *Journal of Financial Economics* 101(3): 596-620. *Downgrades across the investment-grade boundary, insurers as the forced sellers, and the price decline that reverses. The measured footprint of the opening episode.* (Ch 10)
* Elton, E., M. Gruber, D. Agrawal and C. Mann (2001). "Explaining the Rate Spread on Corporate Bonds." *Journal of Finance* 56(1): 247-277. *The decomposition that put the state-tax term on the map, and found it larger than expected default loss for investment-grade bonds.* (Ch 10)

## F

* Fabozzi, F. J., ed. *The Handbook of Fixed Income Securities*, 7th ed. McGraw-Hill, 2005. *The manual counterpart to the mortgage handbook Chapter 13 requires, and the reference for everything §9.1 states without deriving: settlement and accrual conventions, the full duration and convexity apparatus, and the sector-by-sector institutional detail this chapter compresses into a paragraph each.* (Ch 9, Ch 13 R)
* Fama, E. (1970). "Efficient Capital Markets: A Review of Theory and Empirical Work." *Journal of Finance* 25(2): 383-417. *The paper that made efficiency a testable proposition by defining it relative to an information set and stating the joint-hypothesis problem plainly; read §§I-II for the framework and skim the rest as a survey of what was known in 1970.* (Ch 1, Ch 7 R)
* Fama, E. (1991). "Efficient Capital Markets II." *Journal of Finance* 46(5): 1575-1617. *Fama's own twenty-year reassessment, and the clearest statement anywhere of why he reads predictability as time-varying expected returns rather than as mispricing.* (Ch 7)
* Fama, E. and K. French (1992). "The Cross-Section of Expected Stock Returns." *Journal of Finance* 47(2): 427-465. *The paper of the opening episode: read §II for the bivariate sorts that flatten beta, and the conclusion for the authors' own insistence that this is a finding about a model of expected returns.* (Ch 6 R)
* Fama, E. and K. French (1993). "Common Risk Factors in the Returns on Stocks and Bonds." *Journal of Financial Economics* 33(1): 3-56. *The replacement model and, more usefully for a student, the definitive statement of how SMB and HML are actually built — the 2×3 sort of §6.2 in the authors' own words.* (Ch 1, Ch 6 R)
* Fama, E. and K. French (1996). "Multifactor Explanations of Asset Pricing Anomalies." *Journal of Finance* 51(1): 55-84. *The follow-up to the two Required papers, and the one that answers §6.2's "risk or mispricing" objection directly by testing the three-factor model against the anomaly set instead of merely constructing it.* (Ch 6)
* Fenn, G. W., N. Liang and S. Prowse (1995). *The Economics of the Private Equity Market*. Board of Governors of the Federal Reserve System, Staff Study 168. *The market described from fieldwork before it had a performance literature: who the issuers, intermediaries, investors, and agents were, and how the limited partnership came to dominate. It is the source for §18.1's claim that the fund form is an institutional innovation rather than a given, and its 1980-1994 growth accounting shows that committed-but-uncalled capital is a decades-old feature and not a recent anomaly. Free from the Federal Reserve.* (Ch 18)
* Financial Conduct Authority (2016). "Investment and Corporate Banking Market Study: Interim Report." MS15/1.2. *A regulator's evidence on how mandates are actually won, how league tables function as a marketing instrument, and how allocations are actually made — from outside the United States, and gathered with powers no academic has. The institutional counterpart to §12.2 and §12.3.* (Ch 12)
* Financial Economists Roundtable (2002). "Statement on the Structure of Securities Markets." *What a group of senior financial economists collectively thought public-market structure should be, dated just before the listing decline of §12.7 set in. Useful as a period document: read what they worried about against what actually happened.* (Ch 12)
* Fisch, J. E. (2010). "The Overstated Promise of Corporate Governance." *University of Chicago Law Review* 77: 923-958. *The skeptical review, and the counterweight §24.3's toolkit framing needs. The argument is that the governance instruments are weaker, more contingent, and worse identified than either the indices or the reform advocacy admit.* (Ch 24)
* Foucault, T., M. Pagano and A. Röell (2013). *Market Liquidity: Theory, Evidence, and Policy*. Oxford University Press. *The depth reference for this chapter and the natural next book. Everything Box 11.1 compresses into a paragraph is developed there at length, with the limit order book models this chapter omits entirely.* (Ch 11)
* Frank, M. Z. and V. K. Goyal (2009). "Capital Structure Decisions: Which Factors Are Reliably Important?" *Financial Management* 38(1): 1-37. *The audit §23.6 relies on. Six factors survive; the explanatory power is modest; and the profitability sign is where every theory in the chapter has to be confronted with the data.* (Ch 23)
* Frazzini, A. and L. Pedersen (2014). "Betting Against Beta." *Journal of Financial Economics* 111(1): 1-25. *Turns Black's constraint into a demand mechanism and a tradable factor, and documents the flat SML across equities, bonds, credit, futures, and currencies.* (Ch 4)
* Freixas, X. and J.-C. Rochet. *Microeconomics of Banking*. MIT Press. *The natural next book, and the depth reference this chapter deliberately does not duplicate — what Foucault, Pagano and Röell are to Chapter 11. Delegated monitoring, runs, credit rationing, competition among banks, and regulation, all derived rather than described. Sections 19.1 and 19.2 compress two models out of a field that has a textbook.* (Ch 19)
* French, K. (2008). "Presidential Address: The Cost of Active Investing." *Journal of Finance* 63(4): 1537-1573. *Puts an aggregate price on the search for alpha and turns Sharpe's identity into a measured quantity.* (Ch 17 R)
* Froot, K. (2001). "The Market for Catastrophe Risk: A Clinical Examination." *Journal of Financial Economics* 60(2-3): 529-571. *Catastrophe risk transfer examined at close range, with the puzzle that insurers ceded so little of it at spreads standing well above expected loss.* (Ch 16)
* Froot, K. A., D. S. Scharfstein and J. C. Stein (1993). "Risk Management: Coordinating Corporate Investment and Financing Policies." *Journal of Finance* 48(5): 1629-1658. *The version of the theory with the sharpest empirical content. The object being smoothed is not income but the match between internal funds and investment opportunities, which yields the prediction that the optimal hedge depends on the correlation between the risk and the value of the firm's projects — and can be far from full coverage.* (Ch 26 R)

## G

* Gabaix, X. and R. S. J. Koijen (2021). "In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis." NBER Working Paper 28967; also CEPR Discussion Paper 16290 and SSRN 3686935, subsequently revised. *Still a working paper, and cite it as one: as of August 2026 it appears under working papers on Koijen's own research page and carries no journal publication. It has circulated widely — the Q-Group Treynor Prize and the AQR Insight Award — and been debated intensively, so cite the version you read, and check the state of the debate over the multiplier before quoting a number from it.* (Ch 20 R)
* Gårleanu, N., L. H. Pedersen and A. Poteshman (2009). "Demand-Based Option Pricing." *Review of Financial Studies* 22(10): 4259-4299. *The holder section's source. Read §I for the model and the empirical sections for the decomposition of end-user demand into index and single-name flows, which is where §8.6's asymmetry comes from.* (Ch 8)
* Geanakoplos, J., M. Magill and M. Quinzii (2004). "Demography and the Long-Run Predictability of the Stock Market." *Brookings Papers on Economic Activity* 2004(1): 241-307. *The life-cycle machinery of §14.1 aggregated up: if households save and dissave by age, the age composition of the household sector is itself a pricing input. The strongest version of §14.6's claim that the identity of the holder is data.* (Ch 14)
* Getmansky, M., A. Lo and I. Makarov (2004). "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns." *Journal of Financial Economics* 74(3): 529-609. *The smoothing model of §18.2, with the estimated smoothing weights by strategy.* (Ch 18)
* Gilson, R. J. and R. H. Kraakman (1984). "The Mechanisms of Market Efficiency." *Virginia Law Review* 70(4): 549-644. *The doctrinal source of the fraud-on-the-market premise Box 24.1 rests on, and the piece that took efficiency apart into the specific mechanisms — informed trading, professional arbitrage, derivatively informed trade — by which information reaches a price. The natural bridge from Chapter 7 §7.2 into securities litigation.* (Ch 24)
* Glaeser, E. L. and J. Scheinkman (1998). "Neither a Borrower Nor a Lender Be: An Economic Analysis of Interest Restrictions and Usury Laws." *Journal of Law and Economics* 41(1): 1-36. *Interest ceilings as social insurance rather than as simple price control, with the historical range of the restriction. The oldest version of §25.3's question about which door opens, and the link to the household credit of Chapter 14.* (Ch 25)
* Glosten, L. R. and P. R. Milgrom (1985). "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." *Journal of Financial Economics* 14(1): 71-100. *The spread derived from adverse selection alone, with no inventory and no costs. The result that quotes are conditional expectations, and therefore that prices are a martingale in the market maker's information, is what makes the model tractable and what §11.2's table illustrates.* (Ch 11 R)
* Godley, W. and M. Lavoie (2007). *Monetary Economics: An Integrated Approach to Credit, Money, Income, Production and Wealth*. Palgrave Macmillan, chapters 1-2. *Sectoral-balance accounting used as a modeling discipline: because every financial asset is somebody's liability, sector surpluses must sum to zero, and a model that violates the identity is rejected before it is estimated. Section 2.1's identity, taken as a constraint rather than an observation.* (Ch 2)
* Gompers, P., J. Ishii and A. Metrick (2003). "Corporate Governance and Equity Prices." *Quarterly Journal of Economics* 118(1): 107-155. *The governance index, and the paper that made governance an empirical asset-pricing variable. Read alongside Chapter 22 §22.6's note that the return result did not persist out of sample while the value and operating results held up better.* (Ch 24)
* Gorton, G. and A. Metrick (2012). "Securitized Banking and the Run on Repo." *Journal of Financial Economics* 104(3): 425-451. *The 2007-2008 crisis told as a run on repo, with rising haircuts on collateral rather than queues of depositors as the observable.* (Ch 16)
* Gorton, G. and A. Winton (2003). "Financial Intermediation." In G. M. Constantinides, M. Harris and R. M. Stulz (eds.), *Handbook of the Economics of Finance*, Volume 1A, Chapter 8. North-Holland. *The field survey, and the natural step past the two models §19.1 and §19.2 keep. Its organizing question — why the intermediary's liability is fragile by design rather than by accident — is the one this chapter carries into §19.5.* (Ch 19)
* Graham, J. R. and C. R. Harvey (2001). "The Theory and Practice of Corporate Finance: Evidence from the Field." *Journal of Financial Economics* 60(2-3): 187-243. *The survey that established what firms actually do: net present value and internal rate of return dominate, the CAPM dominates for the cost of equity, and small firms behave differently from large ones. The starting point for the hurdle-rate literature §22.1 draws on.* (Ch 22, Ch 23)
* Greenwood, R. and A. Shleifer (2014). "Expectations of Returns and Expected Returns." *Review of Financial Studies* 27(3): 714-746. *Six survey series, all extrapolative, all pointing the wrong way relative to model-based expected returns. The single most useful piece of evidence in the rational-versus-behavioral debate over predictability.* (Ch 15)
* Greenwood, R. and D. Scharfstein (2013). "The Growth of Finance." *Journal of Economic Perspectives* 27(2): 3-28. *Decomposes the doubling of finance's GDP share into asset management and household credit, and asks what society got for it. The empirical backbone of §2.4's last paragraph.* (Ch 2)
* Greenwood, R., S. Hanson and J. C. Stein (2010). "A Gap-Filling Theory of Corporate Debt Maturity Choice." *Journal of Finance* 65(3): 993-1028. *The supply-side counterpart of this book's demand system, and the paper §23.7 is built on. The concentration of the effect among large, unconstrained issuers is the identifying detail; the excess-return prediction is the payoff.* (Ch 23)
* Grossman, S. and J. Stiglitz (1980). "On the Impossibility of Informationally Efficient Markets." *American Economic Review* 70(3): 393-408. *Short, and the whole argument is in it; read it for the free-entry condition and the non-existence result, which are what §7.2 reconstructs.* (Ch 1, Ch 7 R, Ch 17)
* Grossman, S. J. and M. H. Miller (1988). "Liquidity and Market Structure." *Journal of Finance* 43(3): 617-633. *The supply side of the spiral in §26.6. Liquidity is produced by market makers who must be paid to carry inventory, which is why a simultaneous tightening of everyone's risk limits raises the price of immediacy exactly when it is most demanded; connects to Chapters 11 and 16.* (Ch 26)
* Grossman, S. J. and O. D. Hart (1986). "The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration." *Journal of Political Economy* 94(4): 691-719. *The definition of ownership as residual control rights, and the result that integration is never a free improvement because it necessarily weakens the non-owner's incentives. The formal sections repay working through with Table 21.2 in hand.* (Ch 21 R)
* Gu, S., B. Kelly and D. Xiu (2020). "Empirical Asset Pricing via Machine Learning." *Review of Financial Studies* 33(5): 2223-2273. *The methods comparison of §6.5; read the variable-importance results, which say the gains come from interactions among familiar predictors.* (Ch 6)
* Gürkaynak, R. (2008). "Econometric Tests of Asset Price Bubbles: Taking Stock." *Journal of Economic Surveys* 22(1): 166-186. *Where §15.4's single paragraph on bubbles points. The survey's conclusion is the useful one for this book: the econometric tests cannot separate a bubble from a misspecified fundamental, which is why the chapter treats short-sale constraints and resale options as the identifiable content rather than the detection problem.* (Ch 15)
* Gürkaynak, R., B. Sack and J. Wright (2007). "The U.S. Treasury Yield Curve: 1961 to the Present." *Journal of Monetary Economics* 54(8): 2291-2304. *Documents the fitted zero-coupon curve the Federal Reserve Board publishes and updates; the data behind most of the empirical work in this chapter, and free.* (Ch 9)
* Gyourko, J. (2009). "Understanding Commercial Real Estate: Just How Different from Housing Is It?" *Journal of Portfolio Management*, Special Real Estate Issue. *Section 13.4 asserts that commercial property is a different asset from owner-occupied housing and moves on; this paper is that assertion argued, on supply elasticity, cash-flow volatility, and the leverage and holder structure of the two sectors. Read it before accepting any statistic that pools them.* (Ch 13)

## H

* Haddad, V., P. Huebner and E. Loualiche (2025). "How Competitive Is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing." *American Economic Review* 115(3): 975-1018. *The strategic-response objection of §20.5: active investors' elasticities are endogenous to how much competition they face, so a rising passive share need not lower aggregate elasticity proportionally.* (Ch 20)
* Hansen, L. P. and R. Jagannathan (1991). "Implications of Security Market Data for Models of Dynamic Economies." *Journal of Political Economy* 99(2): 225-262. *The bound of §5.4, plus the mean-standard-deviation region and the distance measure that turn it into a full model-diagnostic apparatus.* (Ch 5)
* Hansen, L. P. and S. Richard (1987). "The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models." *Econometrica* 55(3): 587-613. *Sits underneath §6.3's Fama-MacBeth machinery: a conditional model implies restrictions that unconditional tests do not recover, which is why the standard cross-sectional regression is weaker evidence than it appears.* (Ch 3, Ch 6)
* Hanson, S. G. (2014). "Mortgage Convexity." *Journal of Financial Economics* 113(2): 270-299. *Shows that the aggregate duration of the mortgage universe forecasts both the volatility and the term premium of long-dated Treasuries — the formal statement of this chapter's opening episode.* (Ch 13)
* Hanson, S. G., A. K. Kashyap and J. C. Stein (2011). "A Macroprudential Approach to Financial Regulation." *Journal of Economic Perspectives* 25(1): 3-28. *The survey statement of why capital and risk rules calibrated firm by firm can be destabilizing in aggregate; the policy face of the pricing mechanism §26.6 describes.* (Ch 26)
* Harris, L. (1999). "Trading in Pennies: A Survey of the Issues." Working paper, University of Southern California, prepared for the New York Stock Exchange. *Written before decimalization, it forecasts what a one-cent tick would do: narrower quoted spreads, less displayed depth, flickering quotes, weakened time precedence, and liquidity supply shifting from public limit orders to fast dealers. A rare teachable artifact — microstructure theory used to predict, and then checkable against the record — and the source for the tick paragraph in §11.4.* (Ch 11)
* Harris, L. and E. Gurel (1986). "Price and Volume Effects Associated with Changes in the S\&P 500 List: New Evidence for the Existence of Price Pressures." *Journal of Finance* 41(4): 815-829. *The same experiment read as temporary price pressure. Reading the two papers together is the cleanest introduction to what is at stake in the word "permanent."* (Ch 20)
* Harris, R., T. Jenkinson and S. Kaplan (2014). "Private Equity Performance: What Do We Know?" *Journal of Finance* 69(5): 1851-1882. *The broader-data revisit; read it against the measurement critiques, since the disagreement is about benchmarks and leverage rather than about the cash flows.* (Ch 18 R)
* Hart, O. (2001). "Financial Contracting." *Journal of Economic Literature* 39(4): 1079-1100. *The single best companion to §21.4's bridge: it carries the incomplete-contracts argument from Grossman-Hart through Aghion-Bolton to security design in one continuous piece, and it is the survey to read if only one is read.* (Ch 21)
* Hart, O. and J. Moore (1990). "Property Rights and the Nature of the Firm." *Journal of Political Economy* 98(6): 1119-1158. *Extends Grossman-Hart to many assets and many agents, and delivers the results on complementary assets and on why joint ownership is generally dominated.* (Ch 21)
* Harvey, C., Y. Liu and H. Zhu (2016). "…and the Cross-Section of Expected Returns." *Review of Financial Studies* 29(1): 5-68. *Counts the factors, applies multiple-testing corrections, and proposes the raised hurdle; the framing of the whole replication debate.* (Ch 6)
* Hasbrouck, J. (2009). "Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data." *Journal of Finance* 64(3): 1445-1477. *The repair job on Roll's estimator: a Bayesian version that survives the positive-autocovariance problem of §11.4 and yields a long panel of effective costs. It then measures the level-of-cost result of §11.5 directly rather than through a proxy.* (Ch 11)
* Hayashi, F. (1982). "Tobin's Marginal q and Average q: A Neoclassical Interpretation." *Econometrica* 50(1): 213-224. *The paper that turns Tobin's intuition into a theorem with conditions attached. Read it for the conditions — constant returns in production and adjustment costs, and price-taking — because every empirical use of average Q since has been an argument about whether they hold.* (Ch 22 R)
* He, Z. and A. Krishnamurthy (2013). "Intermediary Asset Pricing." *American Economic Review* 103(2): 732-770. *The equity capital constraint, the capital ratio as the state variable, and the nonlinearity that lets the model be quiet for years and then explain a crisis.* (Ch 19 R)
* He, Z., B. Kelly and A. Manela (2017). "Intermediary Asset Pricing: New Evidence from Many Asset Classes." *Journal of Financial Economics* 126(1): 1-35. *The test across many asset classes at once, including the ones households never touch. The factor series is posted publicly.* (Ch 19)
* Hong, H. and M. Kacperczyk (2009). "The Price of Sin: The Effects of Social Norms on Markets." *Journal of Financial Economics* 93(1): 15-36. *The return premium on stocks that norm-constrained institutions will not hold, which is §16.6's nonpecuniary demand measured in the cross-section.* (Ch 16)
* Hong, H., J. Kubik and J. Stein (2004). "Social Interaction and Stock-Market Participation." *Journal of Finance* 59(1): 137-163. *The fourth channel in §14.2's list. Sociable households participate more, and the effect is stronger where local participation is already high — a peer mechanism rather than an information one.* (Ch 14)
* Hou, K., C. Xue and L. Zhang (2015). "Digesting Anomalies: An Investment Approach." *Review of Financial Studies* 28(3): 650-705. *The q-factor model, and the source of §22.4's argument. Read the derivation of the investment return first and the anomaly tables second; the point is that the factors come out of the firm's first-order condition rather than out of a search over characteristics.* (Ch 22)
* Huang, J.-Z. and M. Huang (2012). "How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?" *Review of Asset Pricing Studies* 2(2): 153-202. *The disciplined statement of the puzzle: several structural models, each forced to match historical default and recovery, and the spread each can then produce. Around 20 percent of a ten-year Baa spread.* (Ch 10)
* Hull, J. *Options, Futures, and Other Derivatives.* Pearson, current edition. *The technical reference for everything this chapter compresses: numerical methods, exotic payoffs, interest-rate derivatives, and the mechanics of margining. Both this chapter and International Finance Chapter 13 defer to it, from opposite directions.* (Ch 8)

## I

* Ilmanen, A., S. Chandra and N. McQuinn (2019). "Demystifying Illiquid Assets: Expected Returns for Private Equity." *Journal of Alternative Investments* 22(3): 8-22. *The case that the private equity return advantage has compressed as capital arrived.* (Ch 18)
* Investment Company Institute, *Investment Company Fact Book*, and Employee Benefit Research Institute / ICI, *401(k) Plan Asset Allocation, Account Balances, and Loan Activity* (both annual, free online). *The standing free sources for target-date assets, plan-level allocations, and the employer-stock series of §14.2.* (Ch 2, Ch 14)

## J

* James, C. (1987). "Some Evidence on the Uniqueness of Bank Loans." *Journal of Financial Economics* 19(2): 217-235. *A short result students can check: announcing a bank credit agreement moves the borrower's share price, announcing a comparable public issue does not. If the bank were only a conduit for funds, the two announcements would be the same event.* (Ch 19)
* Jegadeesh, N. and S. Titman (1993). "Returns to Buying Winners and Selling Losers." *Journal of Finance* 48(1): 65-91. *The momentum paper; note the care taken over formation and holding periods, which is what made the result survive.* (Ch 6)
* Jensen, M. C. (1986). "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers." *American Economic Review* 76(2): 323-329. *Six pages, and the most cited six pages in corporate finance. The argument for debt and payout as bonding devices, and the theoretical engine behind both Chapter 22 §22.6's account of the 1980s and this chapter's §24.2.* (Ch 24)
* Jensen, M. C. (2005). "Agency Costs of Overvalued Equity." *Financial Management* 34(1): 5-19. *The agency cost that runs the other way. When the stock is worth more than the business can justify, managers are obliged to manufacture the growth the price implies, and acquisitions, accounting aggression, and value destruction follow — which extends §24.2 and connects it to the hubris material in Chapter 22 §22.5.* (Ch 24)
* Jensen, M. C. and K. J. Murphy (1990). "Performance Pay and Top-Management Incentives." *Journal of Political Economy* 98(2): 225-264. *The source of the three-dollars-and-twenty-five-cents estimate. Read it for the measurement — how the sensitivity is constructed from salary, bonus, option holdings and share holdings — because everything since has argued about the construction as much as the number.* (Ch 24)
* Jensen, M. C. and W. H. Meckling (1976). "Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure." *Journal of Financial Economics* 3(4): 305-360. *The founding text of the subject and the source of §24.2's model. Read the first thirty pages, where the owner-manager's perquisite problem is set up and the point that matters is made: the outside investors price the agency cost, so the entrepreneur bears it and has an incentive to bond against it. The later sections on the agency cost of debt are what Chapter 23 uses.* (Ch 21, Ch 24 R)
* Jorion, P. *Value at Risk: The New Benchmark for Managing Financial Risk*, 3rd edition. McGraw-Hill. *The technical reference for everything in §26.3 that this chapter states without deriving — mapping positions to risk factors, the delta-gamma approximation for optioned books, and the full apparatus of backtesting tests beyond the exception count.* (Ch 26)

## K

* Kahneman, D. and A. Tversky (1979). "Prospect Theory: An Analysis of Decision under Risk." *Econometrica* 47(2): 263-291. *The founding paper, and short. Read the numbered problem pairs first and answer them yourself before reading the analysis; the point is that you will make the same choices the subjects made. The value function of §15.1 is Figure 3.* (Ch 15 R)
* Kaplan, S. and A. Schoar (2005). "Private Equity Performance: Returns, Persistence, and Capital Flows." *Journal of Finance* 60(4): 1791-1823. *The paper that introduced the PME used throughout §18.2 and established both the modest average net return and the strong early persistence.* (Ch 18 R)
* Kaplan, S. N. and P. Strömberg (2003). "Financial Contracting Theory Meets the Real World: An Empirical Analysis of Venture Capital Contracts." *Review of Economic Studies* 70(2): 281-315. *What Table 21.3's last row looks like in actual documents. The evidence that cash-flow, board, voting and liquidation rights are allocated separately and made contingent on performance is the closest thing the literature has to a direct test of the incomplete-contracts view of securities.* (Ch 21)
* Kerr, W., R. Nanda and M. Rhodes-Kropf (2014). "Entrepreneurship as Experimentation." *Journal of Economic Perspectives* 28(3): 25-48. *Why the power law and the staging technology are the same fact.* (Ch 18)
* Keys, B., D. Pope and J. Pope (2016). "Failure to Refinance." *Journal of Financial Economics*. *The refinancing inertia of §14.4, with the dollar cost of inaction.* (Ch 14)
* Khwaja, A. I. and A. Mian (2008). "Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market." *American Economic Review* 98(4): 1413-1442. *The design that organized the credit-supply literature. Read §25.5 alongside it and watch what the firm fixed effect does — and read the second half, on which firms could and could not substitute, because that is the part this chapter needs most.* (Ch 25)
* King, R. and R. Levine (1993). "Finance and Growth: Schumpeter Might Be Right." *Quarterly Journal of Economics* 108(3): 717-737. *The cross-country result that founded the modern literature. Read §§II-III for the design and for the authors' own statement of what initial values do and do not rule out.* (Ch 27 R)
* Kiyotaki, N. and J. Moore (1997). "Credit Cycles." *Journal of Political Economy* 105(2): 211-248. *The collateral version, in which the borrowing limit depends on the price of an asset that the borrowing itself helps determine. The clearest statement of why small shocks persist.* (Ch 27)
* Klausner, M., M. Ohlrogge and E. Ruan (2022). "A Sober Look at SPACs." *Yale Journal on Regulation* 39(1): 228-303. *The dilution arithmetic behind §12.7's two hedged sentences, worked through for a specific cohort. Read the objections to it as well; the structure is more durable than the point estimates.* (Ch 12)
* Klein, B., R. G. Crawford and A. A. Alchian (1978). "Vertical Integration, Appropriable Rents, and the Competitive Contracting Process." *Journal of Law and Economics* 21(2): 297-326. *The source of the standard Fisher Body account and of "appropriable quasi-rent" as the object at stake.* (Ch 21)
* Kohn, R. V. *Derivative Securities.* Course notes, syllabus, section handouts and problem sets, Courant Institute, New York University. *A complete graduate course running arbitrage to binomial to Black-Scholes to stochastic differential equations to rates and credit — that is, §§8.1-8.5 in order, continuing into the continuous-time route this chapter defers to Appendix D. Freely available and the obvious source of additional problems.* (Ch 8)
* Koijen, R. and M. Yogo (2015). "The Cost of Financial Frictions for Life Insurers." *American Economic Review* 105(1): 445-475. *An insurer selling its own liabilities below actuarial value to relieve a capital constraint.* (Ch 16)
* Koijen, R. S. J. and M. Yogo (2019). "A Demand System Approach to Asset Pricing." *Journal of Political Economy* 127(4): 1475-1515. *The canonical statement. Read §§I-III for the specification and market clearing; the instrument is the paper's hardest and most important section, and §20.2's starred subsection is a guide to it, not a substitute.* (Ch 1, Ch 20 R)
* Kozak, S., S. Nagel and S. Santosh (2020). "Shrinking the Cross-Section." *Journal of Financial Economics* 135(2): 271-292. *Shrinkage beats selection, and there is no near-sparse SDF — the most consequential negative result in the zoo literature.* (Ch 6)
* Krishnamurthy, A. and A. Vissing-Jorgensen (2012). "The Aggregate Demand for Treasury Debt." *Journal of Political Economy* 120(2): 233-267. *Establishes that Treasuries carry a convenience yield by showing the Aaa-Treasury spread falls systematically as the quantity of debt rises — a demand curve for safety, estimated, and the empirical foundation of §9.4.* (Ch 9 R)
* Kroszner, R. S. (1999). "Can the Financial Markets Privately Regulate Risk? The Development of Derivatives Clearinghouses and Recent Over-the-Counter Innovations." *Journal of Money, Credit and Banking* 31(3): 596-618. *Central counterparties as a private solution to counterparty risk, written before the post-2008 clearing mandate made them public infrastructure. Background for §19.3's third change, and for the question of what happens when the institution that absorbs everyone else's counterparty risk is itself constrained.* (Ch 19)
* Kyle, A. S. (1985). "Continuous Auctions and Insider Trading." *Econometrica* 53(6): 1315-1335. *The origin of price impact as an equilibrium object. Read the single-period model in Section 2 for the three formulas of §11.3; the continuous-time version that gives the paper its title is the same economics with the informed trader smoothing his order over the day.* (Ch 11 R)

## L

* La Porta, R., F. Lopez-de-Silanes, A. Shleifer and R. W. Vishny (2002). "Investor Protection and Corporate Valuation." *Journal of Finance* 57(3): 1147-1170. *Valuation as a function of the legal regime the firm is incorporated in. It routes §22.2's discount rate out to Chapter 25 §25.4 and makes the point that a multiple is not comparable across countries without an adjustment nobody has a clean estimate of.* (Ch 22)
* Lafontaine, F. and M. Slade (2007). "Vertical Integration and Firm Boundaries: The Evidence." *Journal of Economic Literature* 45(3): 629-685. *The survey to read before believing any single vertical-integration study, including the ones cited in §21.2.* (Ch 21)
* Lamont, O. and R. Thaler (2003). "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs." *Journal of Political Economy* 111(2): 227-268. *The Palm paper. Documents six negative-stub episodes and shows the mispricing survived both publicity and the presence of sophisticated arbitrageurs; the short-sale cost data are the empirical heart of this chapter's opening episode.* (Ch 3)
* Lee, C., A. Shleifer and R. Thaler (1991). "Investor Sentiment and the Closed-End Fund Puzzle." *Journal of Finance* 46(1): 75-109. *Noise-trader theory's first serious empirical outing.* (Ch 15)
* Leland, H. E. and D. H. Pyle (1977). "Informational Asymmetries, Financial Structure, and Financial Intermediation." *Journal of Finance* 32(2): 371-387. *The pre-Diamond answer to §19.1's question: intermediaries exist because an informed agent can signal the quality of what it originates by retaining a stake in it. Read next to Diamond (1984) to see that delegated monitoring was one answer among several, and note that the retained-stake mechanism is what post-2008 securitization rules eventually mandated.* (Ch 19)
* Lerner, J. (1997). "Venture Capital and Private Equity: A Course Overview." Harvard Business School working paper. *The canonical teaching sequence — raising the fund, sourcing, structuring and staging the investment, exiting — from which §18.3's treatment of staging and control as the financing technology descends. The institutional companion to Kerr, Nanda and Rhodes-Kropf above.* (Ch 18)
* Leuz, C. and P. D. Wysocki (2016). "The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research." *Journal of Accounting Research* 54(2): 525-622. *Disclosure regulation as the third governance instrument beside boards and pay, and the one §24.3 does not have. Their treatment of what is and is not identified in the mandatory-disclosure literature is the honest counterpart to this chapter's own audit.* (Ch 24)
* Lintner, J. (1956). "Distribution of Incomes of Corporations Among Dividends, Retained Earnings and Taxes." *American Economic Review* 46(2): 97-113. *A survey of managers that produced a partial-adjustment equation still fitting seventy years later. Worth reading as evidence that asking people what they do is a legitimate research method when the alternative is inferring it from an equilibrium condition.* (Ch 23)
* Longstaff, F. (2011). "Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?" *Journal of Finance* 66(3): 721-751. *Uses short-dated tax-exempt and taxable money-market rates to measure what the exemption is actually worth, and finds more than the statutory rate explains. The best entry point to Section 10.7's puzzle.* (Ch 10)
* Longstaff, F., S. Mithal and E. Neis (2005). "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market." *Journal of Finance* 60(5): 2213-2253. *The decomposition that uses the swap to isolate the default leg, and the argument for a large non-default component.* (Ch 10)
* Loughran, T. and J. R. Ritter (2002). "Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?" *Review of Financial Studies* 15(2): 413-443. *The behavioral answer to §12.3's last question, and the paper that made mental accounting a standard part of this literature. Read alongside Chapter 15.* (Ch 12)
* Lucas, R. (1978). "Asset Prices in an Exchange Economy." *Econometrica* 46(6): 1429-1445. *The general-equilibrium step §3.5 skips: the discount factor is not posited but produced by a household consuming an endowment, which is where §3.6's consumption specialization comes from.* (Ch 3)
* Lucas, R. E. (1978). "Asset Prices in an Exchange Economy." *Econometrica* 46(6): 1429-1445. *The pricing kernel that §9.2's affine models presuppose and never restate. Read it to see where the risk-neutral measure of the term-structure literature comes from, and why a term premium is a covariance before it is a regression residual.* (Ch 9)

## M

* MacKenzie, D. (2006). *An Engine, Not a Camera: How Financial Models Shape Markets*. MIT Press. *The performativity argument with the archival work behind it; Chapters 5-6 on option pricing and Chapter 7 on 1987 are the ones §7.6 draws on.* (Ch 7, Ch 8)
* MacKenzie, D. (2010). "Models as Coordination Devices." In M. Akrich, Y. Barthe, F. Muniesa and P. Mustar (eds.), *Débordements: Mélanges offerts à Michel Callon*. Paris: Presses des Mines, 299-302. *The argument behind Box 26.1, in general form: a model in wide use is valuable as a shared language and not only as a representation, which is why one known to be inaccurate can be retained rather than replaced. Extends the performativity account of Chapter 7 §7.6 that the box is an instance of, and is the one sociology-of-finance entry this chapter's reader needs.* (Ch 7, Ch 8, Ch 26)
* Madrian, B. and D. Shea (2001). "The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior." *Quarterly Journal of Economics* 116(4): 1149-1187. *The opening episode. Read the tables on the fraction of automatically enrolled participants sitting at both the default contribution rate and the default fund; that joint statistic is the chapter's thesis in one number.* (Ch 14 R)
* Mankiw, N. G. and S. Zeldes (1991). "The Consumption of Stockholders and Nonstockholders." *Journal of Financial Economics* 29(1): 97-112. *The participation paper behind §5.7: separate the two groups in panel data and stockholders' consumption is more volatile and more correlated with returns, which shrinks the required risk aversion substantially without eliminating the gap.* (Ch 5, Ch 14)
* Markowitz, H. (1952). "Portfolio Selection." *Journal of Finance* 7(1): 77-91. *Fourteen pages that replace "pick good stocks" with "choose a point on a frontier"; read it for the argument that a security's risk is a property of the portfolio, not of the security.* (Ch 1, Ch 4 R)
* Martin, I. (2012). "On the Valuation of Long-Dated Assets." *Journal of Political Economy* 120(2): 346-358. *Carries §3.1's present-value arithmetic out to horizons at which the choice of discount rate dominates every other input; read it with Discussion Question 6.* (Ch 3)
* McLean, R. D. and J. Pontiff (2016). "Does Academic Research Destroy Stock Return Predictability?" *Journal of Finance* 71(1): 5-32. *The 26-versus-58 percent decomposition; the single most important empirical result in this chapter for the book's thesis, because the second number is capital and not statistics.* (Ch 6, Ch 15)
* Mehra, R. and E. Prescott (1985). "The Equity Premium: A Puzzle." *Journal of Monetary Economics* 15(2): 145-161. *The paper. Read it for the calibration discipline more than the result: the argument is that the model is being given every advantage and still misses by an order of magnitude.* (Ch 1, Ch 5 R)
* Mehrling, P. (2011). *The New Lombard Street: How the Fed Became the Dealer of Last Resort*. Princeton University Press, Chapter 1. *The balance-sheet way of seeing, stated compactly. Read it as the argument that you cannot understand a financial event without drawing the balance sheets of everyone involved.* (Ch 2, Ch 16 R)
* Mello, A. S. and J. E. Parsons (1995). "Maturity Structure of a Hedge Matters: Lessons from the Metallgesellschaft Debacle." *Journal of Applied Corporate Finance* 8(1): 106-120. *The reply, and the source of §26.2's point about hedge ratios below one. Read the two together; the disagreement is more useful than either verdict.* (Ch 26)
* Menkveld, A. J. (2013). "High Frequency Trading and the New Market Makers." *Journal of Financial Markets* 16(4): 712-740. *One high-frequency market maker's trading reconstructed in full, with its inventory, its holding periods, and its dependence on a new venue's fee schedule. The bridge from Glosten-Milgrom's abstract quoter to the population that actually quotes in §11.6.* (Ch 11)
* Merton, R. (1973). "Theory of Rational Option Pricing." *Bell Journal of Economics and Management Science* 4(1): 141-183. *The companion paper. Establishes the no-arbitrage bounds of §8.1 in generality, proves that an American call on a non-dividend-paying stock is never exercised early, and extends the formula to stochastic interest rates.* (Ch 8)
* Merton, R. C. (1974). "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." *Journal of Finance* 29(2): 449-470. *The founding paper of structural credit modeling, and short. Read it for the two sentences that organize Section 10.2 — equity is a call on the firm, risky debt is a riskless bond minus a put — and then for how much follows from them.* (Ch 10 R)
* Merton, R. C. (1982). *Finance Theory*. Unpublished lecture notes, MIT Sloan School of Management, chapters IV and V. *Chapter IV, "On the Role of Business Firms, Financial Instruments and Markets," derives the instrument taxonomy of §2.2 from what each instrument does rather than from what it is called; chapter V does the same for intermediation, and is §2.5's argument in its original setting.* (Ch 2, Ch 27)
* Miller, M. H. (1991). "Leverage." *Journal of Finance* 46(2): 479-488. *The Nobel lecture, and a first-person account of what the 1958 proof was and was not claiming. Read it for the treatment of the tax correction and of the leverage-and-financial-stability debate, on which Miller is more careful than the literature that cites him.* (Ch 23)
* Miller, M. H. (1996). "The Social Costs of Some Recent Derivatives Disasters." *Pacific-Basin Finance Journal* 4(2-3): 113-127. *Miller generalizing a year after the Metallgesellschaft defense of §26.2: which of the celebrated derivatives losses imposed costs on anyone other than the losing firm's own claimants, and which merely transferred wealth.* (Ch 26)
* MIT OpenCourseWare, 11.432J *Real Estate Capital Markets* (Spring 2007), readings list. *A full semester on the material §§13.4-13.5 compress into two sections — cap rates, REIT structure, CMBS, and the private-versus-public valuation gap — with a free and stable bibliography.* (Ch 13)
* Mitchell, M., T. Pulvino and E. Stafford (2002). "Limited Arbitrage in Equity Markets." *Journal of Finance* 57(2): 551-584. *The complementary study of negative stubs, with an accounting of why the trades were not taken; read it as the transition from §3.2's definitions to §3.7's question.* (Ch 3)
* Mizrach, B. and C. J. Neely (2007). "The Microstructure of the U.S. Treasury Market." Federal Reserve Bank of St. Louis working paper. *The institutional survey for the market where §11.5's flight-to-liquidity result matters most — interdealer platforms, the on-the-run and off-the-run distinction, and the price impact of announcement flow. Read it with Chapter 9 §9.4 and Chapter 19's opening episode.* (Ch 11)
* Modigliani, F. and M. H. Miller (1958). "The Cost of Capital, Corporation Finance and the Theory of Investment." *American Economic Review* 48(3): 261-297. *Read the arbitrage argument in Section I and skip nothing else that is not algebra: the paper's lasting contribution is a method — replication, later Chapter 3's — applied to a question everyone had been answering with accounting intuition. The assumption list is the field's research agenda for the following sixty years.* (Ch 23 R)
* Modigliani, F. and M. Miller (1958). "The Cost of Capital, Corporation Finance and the Theory of Investment." *American Economic Review* 48(3): 261-297. — Chapter 23 (Ch 1)
* Morris, S. and H. S. Shin (2008). "Financial Regulation in a System Context." *Brookings Papers on Economic Activity*, Fall 2008. *Risk models as a source of procyclicality rather than a measurement of it — the system-level reading of §26.6, written while the mechanism was operating.* (Ch 26)
* Morrison, A. D. and W. J. Wilhelm (2008). "The Demise of Investment Banking Partnerships: Theory and Evidence." *Journal of Finance* 63(1): 311-350. *Why underwriting was organized as a partnership for a century and why it stopped being one. Read it for §12.2's caveat: the discretion that Benveniste-Spindt makes efficient was exercised by a firm whose partners' own capital stood behind the reputation, and that firm no longer exists.* (Ch 12)
* Myers, S. C. (1984). "The Capital Structure Puzzle." *Journal of Finance* 39(3): 574-592. *The presidential address that states the pecking order and, more usefully for this chapter, states the aggregate fact the ordering is built on: firms finance investment out of retained earnings first, debt next, and equity last and rarely. Read it for the framing of the puzzle rather than for the resolution, which Chapter 23 shows has not held up as well as the framing.* (Ch 25 R)
* Myers, S. C. (2001). "Capital Structure." *Journal of Economic Perspectives* 15(2): 81-102. *The retrospective from the author of the pecking order, twenty pages and no algebra. The best bridge between §23.2 and §23.3 for a reader not yet ready for Myers-Majluf, and unusually candid about how little the three theories jointly explain.* (Ch 23)
* Myers, S. C. and N. S. Majluf (1984). "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have." *Journal of Financial Economics* 13(2): 187-221. *The pecking order derived rather than asserted. Note that the result is about underinvestment, not about a preference ordering over securities: the ordering is what the underinvestment problem implies, and the paper is careful about the difference in a way most secondary accounts are not.* (Ch 23 R)

## N

* North, D. C. (1991). "Institutions." *Journal of Economic Perspectives* 5(1): 97-112. *Twelve pages on institutions as the rules within which contracts get written and enforced. It is the bridge from §21.5's last paragraph to Chapter 25 §25.4's cross-country variation, and it is where the claim that enforceability is itself an outcome is stated most compactly.* (Ch 21)

## O

* Odean, T. (1998). "Are Investors Reluctant to Realize Their Losses?" *Journal of Finance* 53(5): 1775-1798. *The opening episode. The methodological contribution is the construction of the proportion of gains and losses realized relative to what was available to realize; understand that denominator before reading the results.* (Ch 14, Ch 15)

## P

* Pástor, Ľ. (2000). "Portfolio Selection and Asset Pricing Models." *Journal of Finance* 55(1): 179-223. *The estimation-error answer to §4.4 and to Box 4.1: portfolio weights are derived from a prior over pricing models rather than from sample moments, which makes explicit how much of an optimized portfolio is data and how much is belief.* (Ch 4)
* Pástor, Ľ. and R. F. Stambaugh (2003). "Liquidity Risk and Expected Stock Returns." *Journal of Political Economy* 111(3): 642-685. *The move from level to risk: aggregate liquidity as a priced state variable rather than a cost. Read it alongside Chapter 6 as a factor-construction paper, and note how much of the result depends on the choice of liquidity proxy.* (Ch 11)
* Pástor, Ľ., R. Stambaugh and L. Taylor (2021). "Sustainable Investing in Equilibrium." *Journal of Financial Economics* 142(2): 550-571. *The equilibrium greenium, and why realized and expected green returns can have opposite signs.* (Ch 16)
* Pedersen, L. H. (2015). *Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined*. Princeton University Press. *Owns the hedge fund strategy detail compressed into §18.4.* (Ch 18)
* Petersen, M. A. and R. G. Rajan (1994). "The Benefits of Lending Relationships: Evidence from Small Business Data." *Journal of Finance* 49(1): 3-37. *The paper behind §25.2. Note carefully which coefficient is large: relationship length and concentration raise the availability of credit substantially and lower its price only a little, and that asymmetry is the whole economics of the arrangement.* (Ch 19, Ch 25 R)
* Philippon, T. (2015). "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation." *American Economic Review* 105(4): 1408-1438. *Constructs a unit cost of intermediation over more than a century and finds it roughly flat. The measurement is the contribution; the interpretation is the argument.* (Ch 2, Ch 27)

## R

* Rabin, M. (2000). "Risk Aversion and Expected-Utility Theory: A Calibration Theorem." *Econometrica* 68(5): 1281-1292. *The argument added to §15.1: small-stakes risk aversion, taken seriously inside expected utility, implies absurd large-stakes behavior. The Rabin and Thaler "Anomalies" column of 2001 is the readable restatement, and the one to assign.* (Ch 15)
* Rajan, R. and L. Zingales (1998). "Financial Dependence and Growth." *American Economic Review* 88(3): 559-586. *The identification improvement: external dependence measured as a technological characteristic, interacted with financial development, with country and industry effects absorbed. The paper to imitate when a cross-country correlation needs a design.* (Ch 27)
* Rajan, R. G. and L. Zingales (1995). "What Do We Know about Capital Structure? Some Evidence from International Data." *Journal of Finance* 50(5): 1421-1460. *The corrective to any simple bank-based-versus-market-based story. Leverage across the G-7 turns out to be more similar than the institutional contrast suggests, and the firm-level correlates carry over; what differs is the composition of the debt.* (Ch 25)
* Ritter, J. R. (2003). "Investment Banking and Securities Issuance." In G. M. Constantinides, M. Harris and R. M. Stulz (eds.), *Handbook of the Economics of Finance*, Volume 1A, Chapter 5. North-Holland. *The long-form companion to the required Ritter-Welch survey, by the same author at roughly four times the length. Its taxonomy of competing underpricing explanations maps onto §12.3 subsection by subsection, its treatment of alternative pricing and allocation mechanisms is the auction-versus-bookbuilding comparison the opening episode needs, and its sections on announcement effects and long-run performance of seasoned offerings are the source for §12.5, which otherwise has no reading of its own.* (Ch 12)
* Ritter, J. R. and I. Welch (2002). "A Review of IPO Activity, Pricing, and Allocations." *Journal of Finance* 57(4): 1795-1828. *The survey to read first. It states the three facts — underpricing, cycles in volume, and long-run underperformance — and grades the competing explanations of each. The verdict that asymmetric-information theories cannot carry the whole load, and that allocation and agency channels must be part of the answer, is the frame of §12.3.* (Ch 12 R)
* Ritter, J. R. IPO statistics tables and working papers, University of Florida (free online, updated annually). *Not a paper but the field's shared dataset: first-day returns by year, by size, by venture backing and by industry, with money left on the table and long-run performance tabulated. The chapter's data exercise runs on it.* (Ch 12)
* Robb, A. M. and D. T. Robinson (2014). "The Capital Structure Decisions of New Firms." *Review of Financial Studies* 27(1): 153-179. *The correction to the founder-and-friends story of startup finance, using the Kauffman panel. New firms use far more formal bank debt — much of it personally guaranteed — than the folk account allows, which is why household and small-business credit are the same subject.* (Ch 25)
* Rock, K. (1986). "Why New Issues Are Underpriced." *Journal of Financial Economics* 15(1-2): 187-212. *The winner's-curse model, short and worth reading in the original. The result to extract is that underpricing is the price of retaining uninformed capital, and that its magnitude therefore depends on how much informed capital is competing for the same allocations. Problem 1 is this paper in numbers.* (Ch 12 R)
* Roll, R. (1977). "A Critique of the Asset Pricing Theory's Tests: Part I." *Journal of Financial Economics* 4(2): 129-176. *Shows that the SML's validity and the market proxy's mean-variance efficiency are the same statement, so no test of the CAPM can separate the model from the proxy.* (Ch 4)
* Roll, R. (1984). "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market." *Journal of Finance* 39(4): 1127-1139. *Two pages of algebra that made spread estimation possible for every security with a price history. The paper is candid about the positive-autocovariance problem, which later work has repeatedly rediscovered.* (Ch 11)
* Roll, R. (1986). "The Hubris Hypothesis of Corporate Takeovers." *Journal of Business* 59(2): 197-216. *Short, and best read as a piece of reasoning rather than a piece of evidence. Roll shows how far the acquirer-loses fact can be explained with no agency conflict and no irrationality beyond a failure to apply the winner's curse to oneself, and states the testable implication that combined gains should be zero — which is where the data part company with him.* (Ch 22 R)
* Roll, R. (1992). "A Mean/Variance Analysis of Tracking Error." *Journal of Portfolio Management* 18(4): 13-22. *Benchmark-relative optimization worked out: a manager minimizing tracking error is efficient in deviations from an index, which is a different frontier from §4.2's; it is the tracking-error constraint §4.9 names alongside leverage.* (Ch 4)
* Ross, S. (1976). "The Arbitrage Theory of Capital Asset Pricing." *Journal of Economic Theory* 13(3): 341-360. *The original near-arbitrage argument; read it for how little is assumed and how much less is delivered than a CAPM-trained reader expects.* (Ch 6)
* Ross, S. (1978). "A Simple Approach to the Valuation of Risky Streams." *Journal of Business* 51(3): 453-475. *Establishes that absence of arbitrage is equivalent to the existence of a positive linear pricing rule — the formal content of §3.2 and §3.4.2, written before the machinery became standard.* (Ch 3 R)
* Roumasset, J. (1978). "The New Institutional Economics and Agricultural Organization." *Philippine Economic Journal*. *Transaction and enforcement costs applied to sharecropping and tenancy rather than to make-or-buy. Useful in §21.5 precisely because the setting is so far from Fisher Body: the same first-best/second-best reasoning, and no vertical integration anywhere in it.* (Ch 21)
* Ruback, R. S. (2002). "Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows." *Financial Management* 31(2): 85-103. *The alternative to §22.1's WACC. Discount cash flows that include the interest tax shield at the unlevered cost of capital, and the discount rate stops depending on a leverage ratio that has to be forecast. Read it as a check on how much of a valuation is riding on the tax shield's discount rate, which Chapter 23 §23.2 shows can halve the shield.* (Ch 22)

## S

* Scharfstein, D. S. and J. C. Stein (2000). "The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment." *Journal of Finance* 55(6): 2537-2564. *The counterweight §22.1 needs to the assumption that a firm applies one hurdle rate correctly to every project. In a multi-division firm the capital budget is a bargaining outcome, and the direction of the distortion — socialism toward weak divisions — is the opposite of what an efficient internal market would produce.* (Ch 22)
* Sharpe, W. (1964). "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." *Journal of Finance* 19(3): 425-442. *The step from Markowitz's decision problem to an equilibrium, and the origin of the security market line — the derivation in §4.5 is Sharpe's argument in modern notation.* (Ch 1, Ch 4 R)
* Shiller, R. (1981). "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?" *American Economic Review* 71(3): 421-436. *The volatility bound and its violation; read it alongside the standard objections, since the modern form of the result is the Campbell-Shiller identity rather than the original bound.* (Ch 7)
* Shiller, R. J. (2003). "The Invention of Inflation-Indexed Bonds in Early America." NBER Working Paper 10183. *An instrument-design counterpart to §14.3's risk-transfer list: how a security that protects real income gets invented, and how long it takes to be adopted. Short, and useful against the decumulation problem of §14.4.* (Ch 14)
* Shiller, R. J. (2003). "From Efficient Markets Theory to Behavioral Finance." *Journal of Economic Perspectives* 17(1): 83-104. *The other side of the exchange from Fama (1998). Reading the pair makes §15.6 self-contained: the same evidence on long-horizon returns and excess volatility, and two incompatible readings of it.* (Ch 15)
* Shiller, R. J. (2005). "Behavioral Economics and Institutional Innovation." *Southern Economic Journal* 72(2): 269-283. *The design argument behind §14.3's "defaults as infrastructure." Behavioral findings can be turned into institutions rather than into warnings, which is what automatic enrollment and the QDIA rules did. Read next to Benartzi and Thaler.* (Ch 14)
* Shiller, R. J. and A. N. Weiss (1999). "Home Equity Insurance." *Journal of Real Estate Finance and Economics* 19(1): 21-47. *The proposal named in §14.4: index-settled insurance against a fall in house prices, designed around the moral hazard and appraisal problems that keep the market from existing. The theory-side answer to Discussion Question 4.* (Ch 14)
* Shin, H. S. (2003). "Disclosures and Asset Returns." *Econometrica* 71(1): 105-133. *A third explanation for why characteristics predict returns, alongside risk and data mining: what firms disclose, and what they are permitted to withhold, generates cross-sectional variation in expected returns without either.* (Ch 6, Ch 26)
* Shleifer, A. (1986). "Do Demand Curves for Stocks Slope Down?" *Journal of Finance* 41(3): 579-590. *Short, and the origin of everything in this chapter. The finding that the effect grew with index-fund assets is the one to notice.* (Ch 20)
* Shleifer, A. and R. Vishny (1997). "The Limits of Arbitrage." *Journal of Finance* 52(1): 35-55. *The structural argument that makes this a Part IV chapter. Read section II's model for the mechanism and section IV for the implications, particularly the claim that arbitrage is least effective in extreme states — the exact opposite of the standard efficiency defense.* (Ch 1, Ch 3, Ch 7, Ch 15 R, Ch 16)
* Shleifer, A. and R. W. Vishny (1997). "A Survey of Corporate Governance." *Journal of Finance* 52(2): 737-783. *The organizing survey for the whole chapter, and the one to read if only one is read. Note that this is their governance survey in the June issue, not the limits-of-arbitrage paper in the same volume's first issue. Their framing question — how do suppliers of finance get their money back? — is the control-rights question of Chapter 21 §21.4 asked from the investor's side, and their comparative treatment of legal protection and concentrated ownership is the bridge to Chapter 25.* (Ch 24 R)
* Simon, H. A. (1955). "A Behavioral Model of Rational Choice." *Quarterly Journal of Economics* 69(1): 99-118. *The pre-history §15.6 needs. The claim that agents satisfice within cognitive limits was made respectable long before the anomalies literature, which matters for the boundary the section is drawing: behavioral finance is a continuation of an old argument, not a reaction to recent data.* (Ch 15)
* Smith, C. W. and R. M. Stulz (1985). "The Determinants of Firms' Hedging Policies." *Journal of Financial and Quantitative Analysis* 20(4): 391-405. *The paper that made corporate risk management a question in the Modigliani-Miller tradition rather than a treasury practice. Read it for the structure of the argument — irrelevance first, then the list of frictions that break it — and notice that the tax argument, which comes first in the paper, is the smallest of the four in every subsequent measurement.* (Ch 26 R)
* Standard and Poor's (2008). *A Guide to the Loan Market*. *The leveraged loan market as it stood before private credit displaced part of it — covenants, syndication, ratings, and who the buyers were. The reference point §18.5 needs to say what private credit actually replaced.* (Ch 18)
* Stein, J. C. (2003). "Agency, Information and Corporate Investment." In *Handbook of the Economics of Finance*, Volume 1A. Elsevier. *The survey that connects financing frictions to the investment decision, and the right reading beside §22.4's gap between marginal and average Q: if investment responds to cash flow and to internal politics as well as to Q, the regression's residual has structure.* (Ch 22)
* Swedberg, R. (2005). "Conflicts of Interests in the U.S. Brokerage Industry." *§12.3's agency channel stated institutionally rather than as a model parameter: how research, underwriting, and distribution came to sit inside one firm, and what the settlements of the early 2000s did and did not change.* (Ch 12)
* Swensen, D. (2009). *Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment*. Free Press. *The opening episode's argument in its author's own words; read it as a claim about who the investor is, not about which assets are good.* (Ch 18)

## T

* Thau, A. *The Bond Book*, 2nd ed. McGraw-Hill, 2001. *The practitioner's register, aimed at the individual investor. Useful for §9.1 precisely because it explains the price-yield asymmetry without a derivative in sight, which is a good test of whether the reader has understood convexity or only computed it.* (Ch 9)
* Tirole, J. (2006). *The Theory of Corporate Finance*. Princeton University Press. *The standard graduate formalization of everything Part V treats verbally. Chapter 1 is the §21.6 companion; Chapter 3 up to §3.4 is the workhorse moral-hazard model that recurs throughout the book; Chapters 10-11 are the control-rights and takeover material. The exercise volume is the natural source of harder problems for this chapter and Chapter 24.* (Ch 21)
* Tobin, J. (1984). "On the Efficiency of the Financial System." *Lloyds Bank Review* 153: 1-15. *Fifteen pages that set this chapter's agenda: the four-way distinction among senses of efficiency, and the question of whether a rapidly growing financial sector was improving the one that matters. Read it before the chapter, and again after.* (Ch 27 R)
* Tversky, A. and D. Kahneman (1981). "The Framing of Decisions and the Psychology of Choice." *Science* 211(4481): 453-458. *Four pages, and the source for §15.2's opening. The public-health problem is the demonstration; the accompanying discussion of why a normatively irrelevant description changes the choice is what a finance reader should take away.* (Ch 15)
* Tversky, A. and D. Kahneman (1992). "Advances in Prospect Theory: Cumulative Representation of Uncertainty." *Journal of Risk and Uncertainty* 5(4): 297-323. *Where the value function of §15.1 gets the parameters this chapter quotes and where probability weighting is given a usable rank-dependent form. The 1979 paper states the theory; this one makes it something you can compute with, which is what the lottery-stock result requires.* (Ch 15)

## V

* Vayanos, D. and J.-L. Vila (2021). "A Preferred-Habitat Model of the Term Structure of Interest Rates." *Econometrica* 89(1): 77-112. *Turns Modigliani and Sutch's descriptive idea into a general equilibrium model with risk-averse arbitrageurs, delivering the pricing equation of §9.5 and, as a corollary, the transmission channel of quantitative easing.* (Ch 9 R)
* Vickery, J. and J. Wright (2013). "TBA Trading and Liquidity in the Agency MBS Market." *Federal Reserve Bank of New York Economic Policy Review* 19(1): 1-18. *The clearest account of why the forward market exists, what it does for liquidity and for the rate lock, and what the cheapest-to-deliver option costs; free.* (Ch 13 R)
* Villamil, A. P. (2008). "Modigliani-Miller Theorem." In *The New Palgrave Dictionary of Economics*, 2nd edn. Palgrave Macmillan. *Four pages stating the proposition and its assumption list. The ideal thing to read before §23.1 rather than after, because it separates the theorem from the sixty years of commentary attached to it.* (Ch 23)

## W

* Welch, I. (2011). "Two Common Problems in Capital Structure Research: The Financial-Debt-to-Asset Ratio and Issuing Activity versus Leverage Changes." *International Review of Finance* 11(1): 1-17. *The measurement objection behind §23.6's starred paragraph, circulated for years under the blunter working title "Why I Do Not Understand Capital Structure Research." Read it before running any leverage regression of your own; the argument is about the denominator and about what a market-leverage change actually records.* (Ch 23)
* Weston, J. F., M. L. Mitchell and J. H. Mulherin (2004). *Takeovers, Restructuring, and Corporate Governance*. 4th edn. Pearson Prentice Hall. *The practitioner scaffolding behind §§22.5-22.6 — merger waves, the arithmetic of accretion and dilution, defensive tactics, and the deal-structure vocabulary the academic literature assumes its readers already have.* (Ch 22)
* Wigglesworth, R. (2021). *Trillions: How a Band of Wall Street Renegades Invented the Index Fund and Changed Finance Forever*. Portfolio/Penguin. *The narrative history — Bogle, Wells Fargo, Dimensional, BlackRock — and the best account of how the product was actually built.* (Ch 17)
* Williamson, O. E. (1979). "Transaction-Cost Economics: The Governance of Contractual Relations." *Journal of Law and Economics* 22(2): 233-261. *The clearest single statement of discriminating alignment: transaction attributes on one axis, governance structures on the other.* (Ch 21)
* Williamson, O. E. (2005). "The Economics of Governance." *American Economic Review* 95(2): 1-18. *A short late restatement of discriminating alignment by its author, and the practical substitute for the 1979 article in §21.2 for readers who will not sit with the original.* (Ch 21)

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300 distinct works; 30 are assigned in more than one chapter.