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A Survey of Behavioural Finance
NICHOLAS BARBERIS
University of Chicago
RICHARD THALER
University of Chicago
Contents
Abstract 1052
Keywords 1052
1. Introduction 1053
2. Limits to arbitrage 1054
2.1. Market efficiency 1054
2.2. Theory 1056
2.3. Evidence 1059
2.3.1. Twin shares 1059
2.3.2. Index inclusions 1061
2.3.3. Internet carve-outs 1062
3. Psychology 1063
3.1. Beliefs 1063
3.2. Preferences 1067
3.2.1. Prospect theory 1067
3.2.2. Ambiguity aversion 1072
4. Application: The aggregate stock market 1073
4.1. The equity premium puzzle 1076
4.1.1. Prospect theory 1077
4.1.2. Ambiguity aversion 1080
4.2. The volatility puzzle 1081
4.2.1. Beliefs 1082
4.2.2. Preferences 1084
5. Application: The cross-section of average returns 1085
5.1. Belief-based models 1090

5.2. Belief-based models with institutional frictions 1093
5.3. Preferences 1095
6. Application: Closed-end funds and comovement 1096
6.1. Closed-end funds 1096
6.2. Comovement 1097
7. Application: Investor behavior 1099
7.1. Insufficient diversification 1099
7.2. Naive diversification 1101
7.3. Excessive trading 1101
7.4. The selling decision 1102
7.5. The buying decision 1103
8. Application: Corporate finance 1104
8.1. Security issuance, capital structure and investment 1104
8.2. Dividends 1107
8.3. Models of managerial irrationality 1109
9. Conclusion 1111
Appendix A 1113
References 1114

Abstract
Behavioral finance argues that some financial phenomena can plausibly be understood
using models in which some agents are not fully rational. The field has two building
blocks: limits to arbitrage, which argues that it can be difficult for rational traders to
undo the dislocations caused by less rational traders; and psychology, which catalogues
the kinds of deviations from full rationality we might expect to see. We discuss
these two topics, and then present a number of behavioral finance applications: to the
aggregate stock market, to the cross-section of average returns, to individual trading
behavior, and to corporate finance. We close by assessing progress in the field and
speculating about its future course.
Keywords
behavioral finance, market efficiency, prospect theory, limits to arbitrage, investor
psychology, investor behavior