0

enter image description here

\documentclass[12pt]{report}
\usepackage[utf8]{inputenc}
\usepackage{graphicx}
\graphicspath{{images/}}
\usepackage[utf8]{inputenc}
\usepackage[english]{babel}
\usepackage{multirow}
\usepackage{amscd}
\usepackage{amsmath}
\usepackage{amssymb}
\usepackage{amsthm}
%\usepackage{xcolor}
\usepackage{epsfig}
\usepackage{verbatim}
\usepackage{graphicx}
\usepackage{amsthm}
\usepackage{color}
\usepackage{float}
\usepackage{lscape}
\usepackage{enumerate}
\usepackage{pdflscape}
\usepackage{tocbibind}
\usepackage{tocloft}
\usepackage{blindtext}
\newtheorem{theorem}{Theorem}[section]
\newtheorem{lemma}[theorem]{Lemma}
\newtheorem{note}[theorem]{Note}
\newtheorem{corollary}[theorem]{Corollary}
\newtheorem{prop}[theorem]{Proposition}
\usepackage{atbegshi}%http://ctan.org/pkg/atbegshi

\AtBeginDocument{\AtBeginShipoutNext{\AtBeginShipoutDiscard}}
\backgroundsetup{scale=1,angle=0,firstpage=false, opacity=0.5,
contents={\begin{tikzpicture}[remember picture,overlay]
\node at ([yshift=0pt, xshift=0pt]current page.center)
\setlength{\textheight}{8.5in} \setlength{\topmargin}{0.0in}
\setlength{\headheight}{0.0in} \setlength{\headsep}{0.0in}
\setlength{\leftmargin}{0.5in}
\setlength{\oddsidemargin}{0.0in}
%\setlength{\parindent}{1pc}
\setlength{\textwidth}{6.5in}

\renewcommand{\contentsname}{Table of Contents}
\begin{document}

\begin{thebibliography}{9}

\bibitem{Agapova2011} Agapova,A.(2011). Conventional mutual index funds versus exchange-traded funds, Journal of Financial Markets, 14(2): 323-343.

\bibitem{Aminetal2009} Amin, A., Shoukat, S., and Khan, Z. (2009). Gambler’s Fallacy and Behavioral Finance in the Financial Markets (A Case Study of Lahore Stock Exchange). Abasyn University Journal of Social Sciences, 3(2), 67-73. 

\bibitem{Anandetal2018} Anand, A., Jothikasthira, C.and K. Venkataraman.(2018). Do buy-side institutions supply liquidity in bond markets? Evidence from mutual funds, working paper, Southern Methodist University. 

\bibitem{AntoniewiczHeinrichs2015} Antoniewicz, R. and  Heinrichs J.(2015). The role and activities of Authorized Participants of exchange-traded funds (March), Investment Company Institute, Washington DC.

\bibitem{Antony2019}Anu, A. (2019). Behavioral finance and portfolio management: Review of
theory and literature



\bibitem{AnagnostopoulosMamanis2010} Anagnostopoulos, K. P.,and Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers and Operations Research, 37(7), 1285–1297. https://doi.org/10.1016/j.cor.2009.09.009.

\bibitem{Aquilinaetal2020} Aquilina, M.,  Croxson, K.,  et.al. (2020). Fixed-income ETFs: Primary market participation and resilience of liquidity during periods of stress. Economic Letters, Volume 193.

\bibitem{Arrow1952} Arrow.K.(1952).Alternative Approaches to the Theory of Choice in Risk-Taking Situations.Econometrica
Vol. 19, No. 4 (Oct., 1951), pp. 404-437 (34 pages)
Published By: The Econometric Society.DOI:10.2307/1907465. Retrieved from.https://www.jstor.org/stable/1907465

\bibitem{AzracBawa1977} Arzac, E. R., and Bawa, V. S. (1977). Portfolio choice and equilibrium in capital markets with safety-first investors. Journal of Financial Economics, 4(3), 277–288. https://doi.org/10.1016/0304-405X(77)90003-4 

\bibitem{BaeKim2020} Bae, K.and Kim, D. (2020). Liquidity risk and exchange-traded fund returns, variances, and tracking errors. Journal of Financial Economics.

\bibitem{Banerjee1992}  Banerjee, A. (1992). A simple model of herd behavior. Quarterly Journal of Economics, 107, 797-817.

\bibitem{BarberOdean2001} Barber, B. M.,and Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The quarterly journal of economics, 116(1), 261-292

\bibitem{Bessembinderetal2018} Bessembinder, H., Spatt, C., and K. Venkataraman.(2019). A survey of the microstructure of fixed income markets, Journal of Financial and Quantitative Analysis, forthcoming.

\bibitem{Ben-Davidetal2017} Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi, 2017. Exchange-traded funds (ETFs), Annual Review of Financial Economics, Vol. 9.

\bibitem{Bergeretal2018} Berger, S., Feldhaus, C., and Ockenfels, A. (2018). A shared identity promotes herding in an information cascade game. Journal of the Economic Science Association, 4(1), 63-72.

\bibitem{BhattacharyaOHara2017} Bhattacharya, A., and M. O’Hara.(2017). Can ETFs increase market fragility? The Effect of information linkages in ETF markets. Working paper. Cornell University

\bibitem{Bikhchandietal1992} Bikhchandi, S., Hirschleifer, D., and Welch, I. (1992). A theory of fads, fashion, custom and cultural change as informational cascades. Journal of Political Economy, 100, 992-1026

\bibitem{BlitzHuij2012} Blitz, D.and Huij, J.(2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), pp.149-158.

\bibitem{CampbellViciera2003} Campbell, J., and Viciera, L. (2003). Strategic Asset Allocation: Portfolio Choice for Long Term Investors. The Economic Journal.  Retrieved from. DOI. 10.1093/0198296940.001.0001 

\bibitem{Changetal2015} Chang,  K. H, Young, M. N,  Hildawa, M. I,  Santos, I. J.R and  Pan, C.H. (2015) "Portfolio selection problem considering behavioral stocks," in Proc. the World Congress on Engineering.
 
\bibitem{Changetal2016} Chang, K.H, Young, M.N, and   Lin, W.K. ( 2016).” Portfolio Selection Problem Considering Behavioral Stocks under Holding Periods”, International Journal of Modeling and Optimization, Volume 6, No.4.

\bibitem{Changetal2018} Chang, K.-H., Young, M. N., and Diaz, J. F. T. (2018). Portfolio Optimization Utilizing the Framework of Behavioral Portfolio Theory. International Journal of Operations Research, 15(1), 1–13. https://doi.org/10.6886/IJOR.201803_15(1).0001
\newpage

\bibitem{Chen2020} Chen,J.(2020). Exchange-Traded Funds.Retrieved from from.https://www.investopedia.com/terms/e/etf.as

\bibitem{Chen2018} Chen, J. (2018).  Safety-First Rule. Retrieved from.https://www.investopedia.com/terms/s/safety-first-rule.asp

\bibitem{ChernenkoSunderam2016} Chernenko, S., and A. Sunderam. (2016) , Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds, working paper, Purdue University.

\bibitem{Chopra1993}Chopra, V .(1993). The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice. The Journal of Portfolio Management, Vol. 19, no.2  pp. 6-11. Retrieved from. DOI: 10.3905/jpm.1993.409440

 \bibitem{CoxPeterson1994} Cox, D. R and. Peterson D.R. (1994). "Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance," The Journal of Finance, vol. 49, no. 1

\bibitem{DaShive2017} Da, Z., and S. Shive, (2017), Exchange-traded funds and asset return correlations, Financial Management, Vol. 24, 136-168.

\bibitem{DalthineDonaldson2015a} Dalthine, J.P., and Donaldson, J. (2015). Risk Aversion and Investment Decisions, Part II: Modern Portfolio Theory.  Intermediate Financial  Theory( 3rd edition) Pp. 143-179.

\bibitem{DalthineDonaldson2015} Dalthine, J.P., and Donaldson, J. (2015). The Arbitrage Pricing Theory. Intermediate Financial Theory  3rd edition Pp. 417-442.

\bibitem{Dannhauser2017} Dannhauser, C.(2017). The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). Journal of Financial Economics, 125(3), pp.537-560.

\bibitem{Dyl1977} Dyl, E.(1977).Capital Gains Taxation and Year-End Stock Market Behavior.Journal of Finance, Vol. 32, issue 1, 165-75.Retrieved from.https://econpapers.repec.org/article/blajfinan/v_3a32_3ay_3a1977_3ai_3a1_3ap_3a165-75.htm

\bibitem{Economouetal2018} Economou, F., Hassapis, C., & Philippas, N. (2018). Investors’ fear and herding in the stock market. Applied Economics, 50(34-35), 3654-3663.

\bibitem{Engle1982}Engle, Robert F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. 50 (4): 987–1008. DOI:10.2307/1912773. JSTOR 1912773

\bibitem{Farley2020}Farley,A.(2020).Why Should I Consider Investing? Retrieved from https://www.investopedia.com/ask/answers/why-should-i-invest.

\bibitem{Ferrisetal1988}  Ferris S.P ,  Haugen,R.A  and  Makhija, A.K.( 1988) , "Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect," The Journal of Finance, vol. 43, no. 3, pp. 677-697.

\bibitem{FriedmanSavage1948} Friedman, M.and Savage, L. (1948). The Utility Analysis of Choices Involving Risk. The Journal of Political Economy (Vol. 56, Issue 4, pp. 279–304).

\bibitem{Gilovic1985} Gilovich, T., Vallone, R., and  Tversky, A.  (1985). The hot hand in basketball: On the misperception of random sequences. Cognitive Psychology. [Online]. 17(3). pp. 295-314. Available: doi:http://dx.doi.org/10.1016/0010-0285(85)90010-6 

\bibitem{GlasserWeber2007} Glaser, M. and Weber, M. (2007). Why inexperienced investors do not learn: They do not know their past portfolio performance. Finance Research Letters, 4(4), 203-216. 

\bibitem{GortonPennecchi1993} Gorton, G.B., and  Pennacchi.G.G. (1993). Security baskets and index linked securities, Journal of Business, Vol. 66, 1-27.

\bibitem{Goldsteinetal2017} Goldstein, I., Jiang, H., and D.T. Ng. (2017). Investor flows and fragility in corporate bond funds, Journal of Financial Economics, Vol. 126, 592-613.

\bibitem{Hirshleiferetal2001} Hirshleifer, J.; Glazer, A.; Hirshleifer, D. (2005). Price theory and applications: Decisions, markets, and information (7 ed.). Cambridge University Press. ISBN 9780521523424.

\bibitem{HoffmanPost2017} Hoffman A. and Post T.How return and risk experiences shape investor beliefs and preferences Accounting and Finance 57 (2017) 759–788

\bibitem{HubermanWang2005} Huberman, G.and Wang, Z. (2005). Arbitrage Pricing Theory. Federal Reserve Bank of New York Staff Reports No. 216. Retrieved from. https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr216.pdf
\newpage

\bibitem{ICI2018} Investment Company Institute, 2018. 2017 Investment Company Fact Book, available at https://www.ici.org/pdf/2017_factbook.pdf. 

\bibitem{Islam2012} Islam, S.(2012). Behavioral finance of an inefficient market. Global Journal of Management and Business Research, 12(14). 

\bibitem{Israelietal2017} Israeli, D., Lee, C.M., and S. Sridhar.(2017).Is there a dark side to exchange-traded funds (ETFs)? An information perspective, Review of Accounting Studies, Vol. 22, 1048-1083.

\bibitem{JagadeeshSubrahmanyam1993} Jagadeesh, N. and Subrahmanyam,A.(1993). Liquidity effects of the introduction of the S&P 500 index futures contract on the underlying stocks, Journal of Business, Vol. 66 (2), 171-187.

\bibitem{Jiangetal2013} Jiang, C., Ma, Y. and An, Y.(2013). International portfolio selection with exchange rate risk: A behavioral portfolio theory perspective. Journal of Banking & Finance, 37(2), pp.648-659.

\bibitem{Kataoka1963} Kataoka, S.(1963). A Stochastic Programming Model. Journal of Econometric Society, 31(1/2), 181–196. http://www.jstor.org/stable/1910956 

\bibitem{T}Kahneman, D.and Tversky, A.(2009). Prospect Theory: An Analysis of Decision under Risk. Journal of Econometric Society, 47(2), 263–291. http://www.jstor.org/stable/1914185 

\bibitem{Kenton2019} Kenton,W.(2019). Roy’s Safety-First Criterion (SF Ratio) Definition. Retrieved from. https://www.investopedia.com/terms/r/roys-safety-first-criterion.asp

\bibitem{DunningKruger1999} Kruger, J. and  Dunning,D.(1999). Unskilled and unaware of it: How difficulties in recognizing one's incompetence lead to inflated self-assessments. Journal of Personality and Social Psychology, 77(6), 1121–1134.  Retrieved from https://doi.org/10.1037/0022-3514.77.6.1121

\bibitem{Kwongetal2016} Kwong, R. Et.al.(2016).  Enhancing mean-variance portfolio selection by modeling distributional asymmetries. Journal of Economics and Business. Retrieved from DOI: http://dx.doi.org/doi:10.1016/j.jeconbus.2016.01.003 

\bibitem{Lin2018} Lin, M. C.(2018). The impact of aggregate uncertainty on herding in analysts’ stock recommendations. International Review of Financial Analysis, 57, 90-105.

\bibitem{Lopes1987} Lopes,L.(1987). Between Hope and Fear: The Psychology of Risk Original Research Article. Advances in Experimental Social Psychology, 20, 255–295. 

\bibitem{LopesOden1999} Lopes, L. L., and G. C. Oden. (1999).  The Role of Aspiration Level in Risk Choice: A Comparison of Cumulative Prospect Theory and SP/A Theory. Journal of Mathematical Psychology, 43 286-313. 

\bibitem{Lucas1976} Lucas, R.( 1976).  Understanding Business Cycles. Carnegie-Rochester Conference Series on Public Policy, Volume 5,  Pp. 7-29

\bibitem{MadhavanAnanth2012} Madhavan, Ananth. (2012). Exchange-traded funds, market structure, and the Flash Crash. Financial Analysts Journal, Vol 68 (3), 20-35

\bibitem{Madhavanetal2016a} Madhavan, Ananth. (2016). Exchange-traded funds and the new dynamics of investing. Oxford University Press: New York, NY.

\bibitem{MadhavanSobczyk2016} Madhavan, Ananth, and Aleksander Sobczyk, (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, Vol. 14, No. 2, pp. 1–17.

\bibitem{MaduraRichie2010} Madura, J.  and  Richie, N. (2010)  "Overreaction of exchange-traded funds during the bubble of 1998-2002," Handbook of Behavioral Finance: Edward Elgar Publishing Limited. 

\bibitem{MassaSimonov2005} Massa, M., & Simonov, A. (2005). Behavioral biases and investment. Review of Finance, 9(4), 483-507. 

\bibitem{Markowitz1952} Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x 

\bibitem{Markowitz1956} Markowitz, H.(1956).  The optimization of a quadratic function subject to linear constraints. https://doi.org/10.1002/nav.3800030110

\bibitem{MarkLechman2019} Mark, A., and Lechman, E.(2019). Exchange-Traded Funds: Concepts and Contexts. Exchange-Traded Funds in Europe, pp.7-59.
\newpage

\bibitem{MarkzLechman2019} Mark, A., and Lechman, E.,( 2019). New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies. Journal of Macroeconomics, 62, p.103064.

\bibitem{MassaSimonov2005} Massa, M., & Simonov, A. (2005). Behavioral biases and investment. Review of Finance, 9(4), 483-507. 

\bibitem{Michaud1989} Michaud R. (1989). The Markowitz Optimization Enigma is ‘Optimized’ Optimal? Financial Analysis Journal. Retrieved from. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2387669


\bibitem{Nam2018} Nam, J., (2017).Market accessibility, corporate bond ETFs, liquidity. Working paper, Southern Methodist University.

\bibitem{Roy1952} Roy, Arthur D. (1952). "Safety First and the Holding of Assets". Econometrica. 20 (July): 431–450. DOI:10.2307/1907413.

\bibitem{Saglametal2018} Saglam, Mehmet, Tuzun T, and Russ W. (2018). Do ETFs increase liquidity, working paper, University of Maryland

\bibitem{Scott2019}  Scott,G.(2019).House Money Effect, Retrieved from. https://www.investopedia.com/terms/h/house-money-effect.
\bibitem{Segal2019} Segal,T.(2019).Advantages and Disadvantages of ETFs.Retrieved from.https://www.investopedia.com/articles/exchangetradedfunds/11/advantages-disadvantages-etfs.asp

\bibitem{SherfinStatman1985} Shefrin, H., and  Statman, M. (1985).  "The disposition to sell winners too early and ride losers too long: Theory and evidence," The Journal of Finance, vol. 40, no. 3, pp. 777-790.

\bibitem{SherfinStatman2000} Sherfin, H., and  Statman M.(2000).Behavioral Portfolio Theory. The Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (Jun. 2000), pp. 127 -151. Retrieved from.. http://www.jstor.org/stable/2676187

\bibitem{Smith2019} Smith, L. (2019). Modern Portfolio Theory vs. Behavioral Finance. Retrieved from.  https://www.investopedia.com/articles/investing/041213/modern-portfolio-theory-vs-behavioral-finance.asp


\bibitem{ShapiraVenezia2001} Shapira,  Z. and Venezia, I. (2001). "Patterns of  behavior of professionally managed and independent investors," Journal of Banking and Finance, vol. 25, no. 8, pp. 1573-1587,  

 \bibitem{SherfinStatman1985} Shefrin, H.  and Statman, M. (1985).  "The disposition to sell winners too early and ride losers too long: Theory and evidence," The Journal of Finance, vol. 40, no. 3, pp. 777-790,. 

 \bibitem{Sherfin2008} Sherfin, H. (2008). SP/A Theory. A Behavioral Approach to Asset Pricing (pp.429-436). Retrieved from.DOI: 10.1016/B978-012374356-5.50029-2

 \bibitem{Siewetal2015} Siew, L., Jarman, S. and Ismail, H., (2015). The Impact of Human Behaviour Towards Portfolio Selection in Malaysia. Procedia - Social and Behavioral Sciences, 172, pp.674-678.

 \bibitem{Subrahmanyam1991} Subrahmanyam, A., (1991), A theory of trading in stock index futures, Review of Financial Studies, Vol. 4, 17-51. 

  \bibitem{Telser1955} Telser, L. G. (1955). Safety First and Hedging. The Review of Economic Studies, 23(1), 1–16. https://sci-hub.tw/https://doi.org/10.2307/2296146.

   \bibitem{ThalerJohnson1990} Thaler, J, Richard H.; Johnson, Eric J. (1990).  Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes  On  Risky Choice Management Science;36, 6; ABI/INFORM Global  pg. 643
 

\bibitem{TuckerLaipply2013} Tucker, M., and  Laipply, S. (2013). Bond Market Price Discovery: Clarity through the lens of an exchange. . Journal of Portfolio Management, Volume 39, No. 2. pp 49-62.


\bibitem{UnitedStatesSecurityExchangeCommission} U.S. Securities & Exchange Commission. (2020). "Investor Bulletin: Exchange-Traded Funds (ETFs)," Page 2. 


\bibitem{Wangetal2018} Wang, J., H. Zhang, and X. Zhang, (2018), Fire sales and liquidity provision in the corporate bond market, working paper, ssrn.com/abstract_id=2644098.

\bibitem{OrtecFinance2018} N/A. (2018). Advancements in Modern Portfolio Theory. Retrieved From.https://www.ortecfinance.com/en/insights/blog/advancements-in-modern-portfolio-theory?fbclid=IwAR1ruMm2tNdAnZmUCt8gXrvT1Tl9RQIi2T9eppBgW1PL-p7k0zQvPDhcZ_c



\end{thebibliography}
    
\end{document}
4
  • 1
    Hey Edsel, welcome to Tex-Stackexchange. Could you make a MWE, so we can understand your problem?
    – nhck
    Oct 13, 2020 at 8:04
  • Hi sorry, what does MWE mean? I just started yesterday. Oct 13, 2020 at 8:53
  • Minimum Working Example :-) Nothing to worry about. Have a look here: tex.meta.stackexchange.com/questions/3300/…
    – nhck
    Oct 13, 2020 at 9:14
  • 1
    What's the purpose of the \AtBeginDocument{\AtBeginShipoutNext{\AtBeginShipoutDiscard}} instruction? AFAICT, it discards the first page of output. Is this intended?
    – Mico
    Oct 13, 2020 at 9:35

1 Answer 1

1

Your references contain quite a few syntax errors, e.g., unescaped & characters. Moreover, the URL strings aren't encased in \url directives. You must have been getting a ton of error messages. What did you do with them? Ignore them? Your thebibliography environments also contains several \newpage directives: Why?

Anyway, once I fixed these issues and changed \begin{thebibliography}{9} to \begin{thebibliography}{99} (since the environment contains more than 9 but fewer than 100 entries), the bibliography compiles without crashing.

There are still quite a few factual errors and formatting mistakes; for instance, I have reason to believe that the piece by Kahneman and Tversky was published in 1979, not in 2009... Moreover, two entries (with keys MassaSimonov2005 and SherfinStatman1985) are provided twice; that just can't be right, can it? However, I still think (fingers crossed!) that there are no further syntax errors.

enter image description here

\documentclass[12pt]{report}
\usepackage[utf8]{inputenc}
\usepackage[T1]{fontenc}
\usepackage[english]{babel}
\usepackage{xurl} % for '\url' macro

\setlength{\textheight}{8.5in} 
\setlength{\textwidth}{6.5in}
\setlength{\topmargin}{0.0in}
\setlength{\headheight}{0.0in} 
\setlength{\headsep}{0.0in}
\setlength{\leftmargin}{0.5in}
\setlength{\oddsidemargin}{0.0in}

% commented out the remainder of the preamble
%\usepackage{graphicx}
%\graphicspath{{images/}}
%\usepackage{multirow}
%\usepackage{amscd}
%\usepackage{amsmath}
%\usepackage{amssymb}
%\usepackage{amsthm}
%%\usepackage{xcolor}
%\usepackage{epsfig}
%\usepackage{verbatim}
%\usepackage{graphicx}
%\usepackage{amsthm}
%\usepackage{color}
%\usepackage{float}
%\usepackage{lscape}
%\usepackage{enumerate}
%\usepackage{pdflscape}
%\usepackage{tocbibind}
%\usepackage{tocloft}
%\usepackage{blindtext}
%\newtheorem{theorem}{Theorem}[section]
%\newtheorem{lemma}[theorem]{Lemma}
%\newtheorem{note}[theorem]{Note}
%\newtheorem{corollary}[theorem]{Corollary}
%\newtheorem{prop}[theorem]{Proposition}
%\usepackage{atbegshi}%http://ctan.org/pkg/atbegshi
%\AtBeginDocument{\AtBeginShipoutNext{\AtBeginShipoutDiscard}}
%\backgroundsetup{scale=1,angle=0,firstpage=false, opacity=0.5,
%contents={\begin{tikzpicture}[remember picture,overlay]
%\node at ([yshift=0pt, xshift=0pt]current page.center)
%\setlength{\parindent}{1pc}
%\renewcommand{\contentsname}{Table of Contents}

\begin{document}

\begin{thebibliography}{99}

\bibitem{Agapova2011} Agapova, A. (2011). Conventional mutual index funds versus exchange-traded funds, Journal of Financial Markets, 14(2): 323-343.

\bibitem{Aminetal2009} Amin, A., Shoukat, S., and Khan, Z. (2009). Gambler's Fallacy and Behavioral Finance in the Financial Markets (A Case Study of Lahore Stock Exchange). Abasyn University Journal of Social Sciences, 3(2), 67-73. 

\bibitem{Anandetal2018} Anand, A., Jothikasthira, C.and K. Venkataraman.(2018). Do buy-side institutions supply liquidity in bond markets? Evidence from mutual funds, working paper, Southern Methodist University. 

\bibitem{AntoniewiczHeinrichs2015} Antoniewicz, R. and  Heinrichs J.(2015). The role and activities of Authorized Participants of exchange-traded funds (March), Investment Company Institute, Washington DC.

\bibitem{Antony2019}Anu, A. (2019). Behavioral finance and portfolio management: Review of theory and literature

\bibitem{AnagnostopoulosMamanis2010} Anagnostopoulos, K. P.,and Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers and Operations Research, 37(7), 1285–1297. \url{https://doi.org/10.1016/j.cor.2009.09.009}.

\bibitem{Aquilinaetal2020} Aquilina, M.,  Croxson, K.,  et.al. (2020). Fixed-income ETFs: Primary market participation and resilience of liquidity during periods of stress. Economic Letters, Volume 193.

\bibitem{Arrow1952} Arrow.K.(1952).Alternative Approaches to the Theory of Choice in Risk-Taking Situations.Econometrica
Vol. 19, No. 4 (Oct., 1951), pp. 404-437 (34 pages)
Published By: The Econometric Society.DOI:10.2307/1907465. Retrieved from \url{https://www.jstor.org/stable/1907465}

\bibitem{AzracBawa1977} Arzac, E. R., and Bawa, V. S. (1977). Portfolio choice and equilibrium in capital markets with safety-first investors. Journal of Financial Economics, 4(3), 277–288. \url{https://doi.org/10.1016/0304-405X(77)90003-4}

\bibitem{BaeKim2020} Bae, K.and Kim, D. (2020). Liquidity risk and exchange-traded fund returns, variances, and tracking errors. Journal of Financial Economics.

\bibitem{Banerjee1992}  Banerjee, A. (1992). A simple model of herd behavior. Quarterly Journal of Economics, 107, 797-817.

\bibitem{BarberOdean2001} Barber, B. M.,and Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The quarterly journal of economics, 116(1), 261-292

\bibitem{Bessembinderetal2018} Bessembinder, H., Spatt, C., and K. Venkataraman.(2019). A survey of the microstructure of fixed income markets, Journal of Financial and Quantitative Analysis, forthcoming.

\bibitem{Ben-Davidetal2017} Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi, 2017. Exchange-traded funds (ETFs), Annual Review of Financial Economics, Vol. 9.

\bibitem{Bergeretal2018} Berger, S., Feldhaus, C., and Ockenfels, A. (2018). A shared identity promotes herding in an information cascade game. Journal of the Economic Science Association, 4(1), 63-72.

\bibitem{BhattacharyaOHara2017} Bhattacharya, A., and M. O'Hara.(2017). Can ETFs increase market fragility? The Effect of information linkages in ETF markets. Working paper. Cornell University

\bibitem{Bikhchandietal1992} Bikhchandi, S., Hirschleifer, D., and Welch, I. (1992). A theory of fads, fashion, custom and cultural change as informational cascades. Journal of Political Economy, 100, 992-1026

\bibitem{BlitzHuij2012} Blitz, D.and Huij, J.(2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), pp.149-158.

\bibitem{CampbellViciera2003} Campbell, J., and Viciera, L. (2003). Strategic Asset Allocation: Portfolio Choice for Long Term Investors. The Economic Journal.  Retrieved from. DOI. 10.1093/0198296940.001.0001 

\bibitem{Changetal2015} Chang,  K. H, Young, M. N,  Hildawa, M. I,  Santos, I. J.R and  Pan, C.H. (2015) ``Portfolio selection problem considering behavioral stocks,'' in Proc. the World Congress on Engineering.
 
\bibitem{Changetal2016} Chang, K.H, Young, M.N, and   Lin, W.K. ( 2016).” Portfolio Selection Problem Considering Behavioral Stocks under Holding Periods”, International Journal of Modeling and Optimization, Volume 6, No.4.

\bibitem{Changetal2018} Chang, K.-H., Young, M. N., and Diaz, J. F. T. (2018). Portfolio Optimization Utilizing the Framework of Behavioral Portfolio Theory. International Journal of Operations Research, 15(1), 1–13. \url{https://doi.org/10.6886/IJOR.201803_15(1).0001}

\bibitem{Chen2020} Chen,J.(2020). Exchange-Traded Funds. Retrieved from \url{https://www.investopedia.com/terms/e/etf.as}

\bibitem{Chen2018} Chen, J. (2018).  Safety-First Rule. Retrieved from \url{https://www.investopedia.com/terms/s/safety-first-rule.asp}

\bibitem{ChernenkoSunderam2016} Chernenko, S., and A. Sunderam. (2016) , Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds, working paper, Purdue University.

\bibitem{Chopra1993}Chopra, V .(1993). The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice. The Journal of Portfolio Management, Vol. 19, no.2  pp. 6-11. Retrieved from. DOI: 10.3905/jpm.1993.409440

 \bibitem{CoxPeterson1994} Cox, D. R and. Peterson D.R. (1994). ``Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance,'' The Journal of Finance, vol. 49, no. 1

\bibitem{DaShive2017} Da, Z., and S. Shive, (2017), Exchange-traded funds and asset return correlations, Financial Management, Vol. 24, 136-168.

\bibitem{DalthineDonaldson2015a} Dalthine, J.P., and Donaldson, J. (2015). Risk Aversion and Investment Decisions, Part II: Modern Portfolio Theory.  Intermediate Financial  Theory( 3rd edition) Pp. 143-179.

\bibitem{DalthineDonaldson2015} Dalthine, J.P., and Donaldson, J. (2015). The Arbitrage Pricing Theory. Intermediate Financial Theory  3rd edition Pp. 417-442.

\bibitem{Dannhauser2017} Dannhauser, C.(2017). The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). Journal of Financial Economics, 125(3), pp.537-560.

\bibitem{Dyl1977} Dyl, E.(1977).Capital Gains Taxation and Year-End Stock Market Behavior.Journal of Finance, Vol. 32, issue 1, 165-75.Retrieved from \url{https://econpapers.repec.org/article/blajfinan/v_3a32_3ay_3a1977_3ai_3a1_3ap_3a165-75.htm}

\bibitem{Economouetal2018} Economou, F., Hassapis, C., \& Philippas, N. (2018). Investors' fear and herding in the stock market. Applied Economics, 50(34-35), 3654-3663.

\bibitem{Engle1982}Engle, Robert F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. 50 (4): 987–1008. DOI:10.2307/1912773. JSTOR 1912773

\bibitem{Farley2020}Farley, A. (2020). Why Should I Consider Investing? Retrieved from https://www.investopedia.com/ask/answers/why-should-i-invest.

\bibitem{Ferrisetal1988}  Ferris, S.P. ,  Haugen, R.A.,  and  Makhija, A.K. (1988). ``Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect,'' The Journal of Finance, vol. 43, no. 3, pp. 677-697.

\bibitem{FriedmanSavage1948} Friedman, M.and Savage, L. (1948). The Utility Analysis of Choices Involving Risk. The Journal of Political Economy (Vol. 56, Issue 4, pp. 279–304).

\bibitem{Gilovic1985} Gilovich, T., Vallone, R., and  Tversky, A.  (1985). The hot hand in basketball: On the misperception of random sequences. Cognitive Psychology. [Online]. 17(3). pp. 295-314. Available: doi \url{http://dx.doi.org/10.1016/0010-0285(85)90010-6}

\bibitem{GlasserWeber2007} Glaser, M. and Weber, M. (2007). Why inexperienced investors do not learn: They do not know their past portfolio performance. Finance Research Letters, 4(4), 203-216. 

\bibitem{GortonPennecchi1993} Gorton, G.B., and  Pennacchi.G.G. (1993). Security baskets and index linked securities, Journal of Business, Vol. 66, 1-27.

\bibitem{Goldsteinetal2017} Goldstein, I., Jiang, H., and D.T. Ng. (2017). Investor flows and fragility in corporate bond funds, Journal of Financial Economics, Vol. 126, 592-613.

\bibitem{Hirshleiferetal2001} Hirshleifer, J.; Glazer, A.; Hirshleifer, D. (2005). Price theory and applications: Decisions, markets, and information (7 ed.). Cambridge University Press. ISBN 9780521523424.

\bibitem{HoffmanPost2017} Hoffman A. and Post T.How return and risk experiences shape investor beliefs and preferences Accounting and Finance 57 (2017) 759–788

\bibitem{HubermanWang2005} Huberman, G.and Wang, Z. (2005). Arbitrage Pricing Theory. Federal Reserve Bank of New York Staff Reports No. 216. Retrieved from. \url{https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr216.pdf}

\bibitem{ICI2018} Investment Company Institute, 2018. 2017 Investment Company Fact Book, available at \url{https://www.ici.org/pdf/2017_factbook.pdf}.

\bibitem{Islam2012} Islam, S.(2012). Behavioral finance of an inefficient market. Global Journal of Management and Business Research, 12(14). 

\bibitem{Israelietal2017} Israeli, D., Lee, C.M., and S. Sridhar.(2017).Is there a dark side to exchange-traded funds (ETFs)? An information perspective, Review of Accounting Studies, Vol. 22, 1048-1083.

\bibitem{JagadeeshSubrahmanyam1993} Jagadeesh, N. and Subrahmanyam,A.(1993). Liquidity effects of the introduction of the S\&P 500 index futures contract on the underlying stocks, Journal of Business, Vol. 66 (2), 171-187.

\bibitem{Jiangetal2013} Jiang, C., Ma, Y. and An, Y.(2013). International portfolio selection with exchange rate risk: A behavioral portfolio theory perspective. Journal of Banking \& Finance, 37(2), pp.648-659.

\bibitem{Kataoka1963} Kataoka, S.(1963). A Stochastic Programming Model. Journal of Econometric Society, 31(1/2), 181–196. \url{http://www.jstor.org/stable/1910956}

\bibitem{T}Kahneman, D.and Tversky, A.(2009). Prospect Theory: An Analysis of Decision under Risk. Journal of Econometric Society, 47(2), 263–291. \url{http://www.jstor.org/stable/1914185}

\bibitem{Kenton2019} Kenton,W.(2019). Roy's Safety-First Criterion (SF Ratio) Definition. Retrieved from. \url{https://www.investopedia.com/terms/r/roys-safety-first-criterion.asp}

\bibitem{DunningKruger1999} Kruger, J. and  Dunning,D.(1999). Unskilled and unaware of it: How difficulties in recognizing one's incompetence lead to inflated self-assessments. Journal of Personality and Social Psychology, 77(6), 1121–1134.  Retrieved from \url{https://doi.org/10.1037/0022-3514.77.6.1121}

\bibitem{Kwongetal2016} Kwong, R. et al.(2016).  Enhancing mean-variance portfolio selection by modeling distributional asymmetries. Journal of Economics and Business. Retrieved from DOI: \url{http://dx.doi.org/doi:10.1016/j.jeconbus.2016.01.003}

\bibitem{Lin2018} Lin, M. C.(2018). The impact of aggregate uncertainty on herding in analysts' stock recommendations. International Review of Financial Analysis, 57, 90-105.

\bibitem{Lopes1987} Lopes,L.(1987). Between Hope and Fear: The Psychology of Risk Original Research Article. Advances in Experimental Social Psychology, 20, 255–295. 

\bibitem{LopesOden1999} Lopes, L. L., and G. C. Oden. (1999).  The Role of Aspiration Level in Risk Choice: A Comparison of Cumulative Prospect Theory and SP/A Theory. Journal of Mathematical Psychology, 43 286-313. 

\bibitem{Lucas1976} Lucas, R.( 1976).  Understanding Business Cycles. Carnegie-Rochester Conference Series on Public Policy, Volume 5,  Pp. 7-29

\bibitem{MadhavanAnanth2012} Madhavan, Ananth. (2012). Exchange-traded funds, market structure, and the Flash Crash. Financial Analysts Journal, Vol 68 (3), 20-35

\bibitem{Madhavanetal2016a} Madhavan, Ananth. (2016). Exchange-traded funds and the new dynamics of investing. Oxford University Press: New York, NY.

\bibitem{MadhavanSobczyk2016} Madhavan, Ananth, and Aleksander Sobczyk, (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, Vol. 14, No. 2, pp. 1–17.

\bibitem{MaduraRichie2010} Madura, J.  and  Richie, N. (2010)  ``Overreaction of exchange-traded funds during the bubble of 1998-2002,'' Handbook of Behavioral Finance: Edward Elgar Publishing Limited. 

\bibitem{MassaSimonov2005} Massa, M., \& Simonov, A. (2005). Behavioral biases and investment. Review of Finance, 9(4), 483-507. 

\bibitem{Markowitz1952} Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91. \url{https://doi.org/10.1111/j.1540-6261.1952.tb01525.x}

\bibitem{Markowitz1956} Markowitz, H.(1956).  The optimization of a quadratic function subject to linear constraints. \url{https://doi.org/10.1002/nav.3800030110}

\bibitem{MarkLechman2019} Mark, A., and Lechman, E. (2019). Exchange-Traded Funds: Concepts and Contexts. Exchange-Traded Funds in Europe, pp.7-59.

\bibitem{MarkzLechman2019} Mark, A., and Lechman, E.,( 2019). New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies. Journal of Macroeconomics, 62, p.103064.

\bibitem{MassaSimonov2005} Massa, M., \& Simonov, A. (2005). Behavioral biases and investment. Review of Finance, 9(4), 483-507. 

\bibitem{Michaud1989} Michaud R. (1989). The Markowitz Optimization Enigma is `Optimized' Optimal? Financial Analysis Journal. Retrieved from. \url{https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2387669}

\bibitem{Nam2018} Nam, J., (2017).Market accessibility, corporate bond ETFs, liquidity. Working paper, Southern Methodist University.

\bibitem{Roy1952} Roy, Arthur D. (1952). ``Safety First and the Holding of Assets.'' Econometrica. 20 (July): 431–450. DOI:10.2307/1907413.

\bibitem{Saglametal2018} Saglam, Mehmet, Tuzun T, and Russ W. (2018). Do ETFs increase liquidity, working paper, University of Maryland

\bibitem{Scott2019}  Scott,G.(2019).House Money Effect, Retrieved from. \url{https://www.investopedia.com/terms/h/house-money-effect}.

\bibitem{Segal2019} Segal,T.(2019).Advantages and Disadvantages of ETFs.Retrieved from \url{https://www.investopedia.com/articles/exchangetradedfunds/11/advantages-disadvantages-etfs.asp}

\bibitem{SherfinStatman1985} Shefrin, H., and  Statman, M. (1985).  ``The disposition to sell winners too early and ride losers too long: Theory and evidence,'' The Journal of Finance, vol. 40, no. 3, pp. 777-790.

\bibitem{SherfinStatman2000} Sherfin, H., and  Statman M.(2000).Behavioral Portfolio Theory. The Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (Jun. 2000), pp. 127 -151. Retrieved from. \url{ttp://www.jstor.org/stable/2676187}

\bibitem{Smith2019} Smith, L. (2019). Modern Portfolio Theory vs. Behavioral Finance. Retrieved from.  \url{https://www.investopedia.com/articles/investing/041213/modern-portfolio-theory-vs-behavioral-finance.asp}

\bibitem{ShapiraVenezia2001} Shapira,  Z. and Venezia, I. (2001). ``Patterns of  behavior of professionally managed and independent investors,'' Journal of Banking and Finance, vol. 25, no. 8, pp. 1573-1587,  

\bibitem{SherfinStatman1985} Shefrin, H.  and Statman, M. (1985).  ``The disposition to sell winners too early and ride losers too long: Theory and evidence,'' The Journal of Finance, vol. 40, no. 3, pp. 777-790,. 

\bibitem{Sherfin2008} Sherfin, H. (2008). SP/A Theory. A Behavioral Approach to Asset Pricing (pp.429-436). Retrieved from.DOI: 10.1016/B978-012374356-5.50029-2

\bibitem{Siewetal2015} Siew, L., Jarman, S. and Ismail, H., (2015). The Impact of Human Behaviour Towards Portfolio Selection in Malaysia. Procedia - Social and Behavioral Sciences, 172, pp.674-678.

\bibitem{Subrahmanyam1991} Subrahmanyam, A., (1991), A theory of trading in stock index futures, Review of Financial Studies, Vol. 4, 17-51. 

\bibitem{Telser1955} Telser, L. G. (1955). Safety First and Hedging. The Review of Economic Studies, 23(1), 1–16. \url{https://sci-hub.tw/https://doi.org/10.2307/2296146}.

\bibitem{ThalerJohnson1990} Thaler, J, Richard H.; Johnson, Eric J. (1990).  Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes  On  Risky Choice Management Science;36, 6; ABI/INFORM Global  pg. 643
 
\bibitem{TuckerLaipply2013} Tucker, M., and  Laipply, S. (2013). Bond Market Price Discovery: Clarity through the lens of an exchange. . Journal of Portfolio Management, Volume 39, No. 2. pp 49-62.

\bibitem{UnitedStatesSecurityExchangeCommission} U.S. Securities \& Exchange Commission. (2020). ``Investor Bulletin: Exchange-Traded Funds (ETFs),'' Page 2. 

\bibitem{Wangetal2018} Wang, J., H. Zhang, and X. Zhang, (2018), Fire sales and liquidity provision in the corporate bond market, working paper, \url{ssrn.com/abstract_id=2644098}.

\bibitem{OrtecFinance2018} N/A. (2018). Advancements in Modern Portfolio Theory. Retrieved From \url{https://www.ortecfinance.com/en/insights/blog/advancements-in-modern-portfolio-theory?fbclid=IwAR1ruMm2tNdAnZmUCt8gXrvT1Tl9RQIi2T9eppBgW1PL-p7k0zQvPDhcZ_c}

\end{thebibliography}
    
\end{document}

You must log in to answer this question.

Not the answer you're looking for? Browse other questions tagged .