Asset Pricing Theory(A) Introduction and Basic ModelsCochrane, John H. (2001) Chapter 1, 2 & 21.Breeden, Douglas T. (1979) “An Intertemporal Asset Pricing Model with Stochastic Consumptio n and Investment Opportunities,”Journal of Financial Economics, 7, 265-296.*Campbell, John Y. (2000) “Asset Pricing in the New Millenium,” Journal of Finance, 55, 1515-1567.**Lucas, Robert E. (1978) “Asset Prices in an Exchange Economy," Econometrica, 46, 1429-1446.Rubinstein, Mark(1976) “The Valuation of Uncertain Income Streams and the Price of Options,”Bell Journal of Economics, 7, 407-425.*Sundaresan, S.(2000) “Continuous Time Methods in Finance: A Review and an Assessment, 55:1569-1622.(B) Habit FormationAbel, Andrew B.(1990) “Asset Prices Under Habit Formation and Catching Up with the Jone s.”American Economic Review, 80, 38-42.**Campbell, John Y. and John H. Cochrane(1999) “By Force of Habit: A Consumption Based Explanation of Aggregate Stock Market Behavior.” Journal of Political Economy, 107, 205-251.*Chan, Lewis and Leonid Kogan(2002) “Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices,” Journal of Political Economy, 110, 1255-1285.Constantinides, Georg e (1990) “Habit Formation: A Resolution of the Equity Premium Puzzle,” Journal of Political Economy 98, 519-543.*Detemple, Jerome and F. Zapatero(1991) “Asset Prices in an Excha nge Economy with Habit Formation,” Econometrica 59, 1633-1657.**Epstein, Larry G. and Stanley Zin(1989) “Substitution, Risk Aversion and the Temporal Behavior of Asset Returns,” Journal of Political Economy, 99, 263-286.*Ferson, Wayne and George Constantinides(1991) “Habit Persistence and Durability in Aggregate Consumption: Empirical Tests.” Journal of Financial Economics, 29, 199-240.Weil, Phillipe(1989) “The Equity Premium Puzzle and the Risk Free Rate Puzzle,”Journal of Monetary Economics, 24, 401-421.(C) Long Run Risk*Bansal, R., R. Gallant, and G. Tauchen(2007) “Rational Pessimism, Rational Exuberance, and Asset Pricing Models,” Review of Economic Studies, forthcoming.**Bansal, Ravi and Amir Yaron(2005) “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,” Journal of Finance.Beeler, J., and J. Y. Campbell (2009) “The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment,” Working Paper Harvard University.(D) Heterogeneity*Basak, S., 2000, “A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk,” Journal of Economic Dynamics and Control, 24, 63-95.Brav, Alon, George Constantinides, and Christopher Geczy(2002) “Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,”Journal of Political Economy, August.**Buraschi ,A. and A. Jiltsov, 2006. Model uncertainty and option markets with heterogeneous beliefs, Journal of Finance 61, 2841-2897.Constantinides, George and Darrell Duffie (1996) “Asset Pricing with Heterogeneous Consumers,”Journal of Political Economy, 104, 219-240.**Croitoru, Benjamin and Lei Lu (2010)“Asset Pricing in a Monetary Economy with Heterogeneous Beliefs,”Working paper*Harrison, J. Michael, and David M. Kreps(1978) “Speculative investor behavior in a stock market with heterogeneous expectations,” Quarterly Journal of Economics 93, 323–336.*Xiong, Wei and Hongjun Yan(2010), “Heterogeneous expectations and bondmarkets,” Review of Financial Studies(E) Incomplete information and learning*Detemple, J.(1986), Asset pricing in a production economy with incomplete information, Journal of Finance 41, 383-392.Gennotte, G.(1986), “Optimal portfolio choice under incomplete information, Journal of Finance 41, 733-746.*Veronesi, Pietro.(1999), “Stock market overreaction to bad news in good times: A rational expectations equilibrium model, Review of Financial Studies12, 975-1007.**Veronesi, Pietro. and Lubos Pastor (2003), “Stock Valuation and Learning about Profitability,”Journal of Finance , 58,**Veronesi, Pietro. and Lubos Pastor(2009), “Learning in Financial Markets,” (survey article), Annual Review of Financial Economics, 1, 361 -- 381(F) HousingLustig, Hanno and Stijn Van Nieuwerburgh(2005) “Housing Collateral, Consumption Insurance and Risk Premia,”Journal of Finance, vol. 60 (3), 1167-1219.**Piazzesi, Monika, Martin Schneider, and Selale Tuzel(2007) “Housing, Consumption, and Asset Prices," Journal of Financial Economics, 83, March, 531-569.(G) Behavior finance*Barberis, Nicholas, Andrei Shleifer, and Robert W. Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307–343.Berrada, T., 2008. Bounded rationality and asset pricing with intermediate consumption, Review of Finance.*Daniel, Kent D., David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and security market under- and over-reactions, Journal of Finance 53, 1839–1885.Dumas, B., A. Kurshev and R. Uppal, 2009. Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility, Journal of Finance 64, 579-629. Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in astock market with heterogeneous expectations, Quarterly Journal of Economics 93, 323–336.*Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143–2184.Hong, Harrison, Jeremy C. Stein, and Jialin Yu(2007) “Simple Forecasts and Paradigm Shifts” Journal of Finance**Lu, Lei, 2010, “Asset Pricing and Welfare Analysis with Bounded Rational Investors,”The Financial Review 45Peng, Lin, and Wei Xiong, 2006, Investor attention, overconfidence and category learning, Journal of Financial Economics 80, 563–602.**Scheinkman, Jose, and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 1183–1219.。