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On Kernels and Sentiment

References E-P

Edwards, Ward. 1982. “Conservatism in Human Information Processing,” in Judgment Under Uncertainty: Heuristics and Biases, edited by Daniel Kahneman, Paul Slovic, and

Amos Tversky, Cambridge University Press, Cambridge, MA. Emmanuel, D.C. and J.D. MacBeth, 1982. “Further Tests on the Constant Elasticity of Variance Option Pricing Model.” Journal of Financial and Quantitative Analysis, 17, 533- 554.

Feiger, G., 1978. “Divergent Rational Expectations Equilibrium in a Dynamic Model of a Futures Market.” Journal Economic Theory, v17(2), 164-178.

Glassman, J. and K. Hassett, 1999. Dow 36,000: The New Strategy for Profiting from the Coming Rise in the Stock Market, New York: Times Books.

Gonz´alez de la Mota, A., 2000. “The Relevance of the Market Price of Risk and Multi- Scale Stochastic Volatility for the Dynamics of Smile Curves: Insights from Endogenous Uncertainty and Heterogeneous Beliefs,” Working paper Stanford University.

Gonz´alez de la Mota, A., 2000. “Essays on Asset Pricing and Risk-Management under Endogenous Uncertainty: the Infinite Dimensional Case,” Working paper Stanford University

Gorman, W., 1953. “Community Preference Fields,” Econometrica, Vol. 21

Grether, D., 1980. “Bayes Rule as a Descriptive Model: The Representativeness Heuristic,” Quarterly Journal of Economics, 95, 537-57.

Harris, M. and A. Raviv, 1991. “Differences of Opinion Make a Horserace,” Review of Financial Studies, v6(3), 473-506.

Heineke, J. and H. Shefrin, 1988. “Exact Aggregation and the Finite Basis Property,” International Economic Review, Vol. 29, No. 3, 525-538.

Heston, S., 1993. “A Closed Form Solution of Options with Stochastic Volatility with Applications to Bond and Currency Options,” Review of Financial Studies 6, 327-343.

Hull, J., 1989. Options, Futures, and Derivative Securities, Englewood Cliffs: Prentice-Hall.

Jackwerth, J.C. and M. Rubinstein, 1996. ”Recovering Probability Distributions from Contemporaneous Security Prices,” Journal of Finance, Vol. 51, No. 5, pp. 1611-1631.

Jackwerth, J.C., 2000. “Recovering Risk Aversion from Options Prices and Realized Returns,” Review of Financial Studies 13, 433-451.

Karolyi, G.A., 1993. “A Bayesian Approach to Modelling Stock Return Volatility for Option Evaluation,” Journal of Financial and Quantitative Analysis, 28, 579-594.

Kurz, M. , 1997. Endogenous Economic Fluctuations: Studies in the Theory of Rational Beliefs. Studies in Economic Theory No. 6, Springer-Verlag: Berlin and New York.

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Madan, D., F. Milne, and H. Shefrin, 1989. “The Multinomial Option Pricing Model and Its Brownian and Poisson Limits,” Review of Financial Studies 2, 251-265.

MacBeth, J.D. and Merville, 1980. “Tests of the Black-Scholes and Cox Call Option Valuation Models,” Journal of Finance 35, 285-301.

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Mehra, R. and E.C. Prescott, 1985.“The Equity Premium Puzzle,” Journal of Monetary
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Milne, F. and S. Turnbull, 1996. “Theoretical Methods for Security Pricing,” Queen’s
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Naik, V. and M.H. Lee, 1990. “General Equilibrium Pricing of Options on the Market
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Odean, Terrance, 1998a. “Are Investors Reluctant to Realize Their Losses?,” Journal of
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Odean, Terrance, 1998b. “Volume, Volatility, Price, and Profit When All Traders Are
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Pan, J., 2001. “The Jump-risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study,” Journal of Financial Economics, forthcoming.

Poteshman, Allen 2001a. “Underreaction, Overreaction and the Increasing Misreaction to Information in the Option Market,” Journal of Finance, Vol. 56, No. 3.

Poteshman, Allen 2001b. “ Forecasting Future Volatility from Option Prices,” working paper, University of Illinois at Urbana-Champaign.

Prof. Hersh Shefrin

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