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1. David Stern says:

   July 17, 2009 at 10:51 pm

   I'd start with the most cited papers and books in the field to look at this issue. We did this for ecological and environmental economics in a couple of papers published in Ecological Economics in 2004 and 2006.
2. keithpiccirillo says:

   July 18, 2009 at 9:16 pm

   Dr. Andrew Lo and behavioural finance might be worth some space.

   http://papers.ssrn.com/sol3/papers.cfm?abstract...

   I have been following his Natixis fund, and he's had some innovative evolution ideas, as well as monitoring traders by recording their pulse rates, etc. Even finger length has a correlation to how well a trader may do.
   He also has some kind of plans to tailor make strategies on some of his findings, that could then be marketed.

   Our citizens futures would be in a better state if the educational curricula could get started soon at the earliest grade levels. Perhaps we would have no need to implement some of his futuristic strategies then.
3. AlanPendleton says:

   July 18, 2009 at 11:15 pm

   A good source would be Mark Rubinstein's book A History of the Theory of Investments. It's an annotated bibliography of his 180 or so favorite finance-related papers.

   My personal favorite, though perhaps not in the class of those you mention, is more useful to a typical investor: Arnott & Bernstein “What Risk Premium Is Normal?” (FAJ March/April 2002). Summarized in one sentence: just because stocks have returned 8% real for the last 100 years doesn't mean they will continue to do so; 2-4% is more likely.
4. jorgeskverer says:

   July 19, 2009 at 2:30 am

   I just finished reading Evidince-Based Technical Analysis. I would recommend this as one of the top 100 in the last few years. I don't know if it would qualify in the top of the last 100 years.
5. Eli D says:

   July 19, 2009 at 3:59 am

   I've always liked Irving Fisher.

   The nature of capital and income: http://www.archive.org/details/natureofcapitali...
6. tweakie says:

   July 19, 2009 at 5:04 am

   Excellent idea Mebane,

   Here's a list for your consideration (in no particular order).

   Papers
   -Quantitative Approach to Tactical Asset Allocation, by Mebane Faber
   -Adaptive Market Hypothesis, by Andrew Lo
   -The Capital Asset Pricing Model, by Fama and French
   -Capital Asset Prices, by William Sharpe
   -The Sharpe Ratio, by William Sharpe
   -Liquidity preference as behaviour towards risk, by James Tobin
   -The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, by John Lintner
   -Financial Instability Hypothesis by Hyman Minsky
   -The Pricing of Options and Corporate Liabilities, by Black and Scholes
   -The Cost of Capital, Corporation Finance and the Theory of Investment, by Modigliani and Miller
   -Portfolio Selection, by Harry Markowitz
   -The arbitrage theory of capital asset pricing, by Stephen Ross

   Books
   -Securities Analysis, by Ben Graham
   -The Intelligent Investor by Ben Graham
   -Common Stocks and Uncommon Profits, by Phillip Fisher
   -General Theory of Employment, Interest, and Money, by John Maynard Keynes
   -Booms and Depressions, by Irving Fisher
   -The Holy Grail of Macroeconomics, by Richard Koo
   -Evidence-Based Technical Analysis, by David Aronson
   -Inefficient markets, by Andrei Shleifer
   -The Volatility Edge in Options Trading, by Jeff Augen
   -International Economics, by Paul Krugman
   -Investments, by Bodie, Kane, Marcus

   Can't wait to see your list.

   Best,

   Henry Bee
7. Henry Bee says:

   July 19, 2009 at 5:22 am

   two more

   Paper
   -Prospect Theory, by Kahneman, Daniel, and Amos Tversky

   Book
   -A Monetary History of the United States, by Milton Friedman
8. macclary says:

   July 19, 2009 at 11:55 pm

   Loomis, Carol J. “The Jones Nobody Keeps Up With.” Fortune April 1966: 237, 240, 242, 247

   J. L. Kelly, Jr, “A New Interpretation of Information Rate”, Bell System Technical Journal, 35, (1956), 917–926
   – Original source of Kelly Criterion

   Browne, Harry “Fail-Safe Investing” (1998)
9. Preston says:

   July 20, 2009 at 7:29 am

   The World is Flat — Thomas L. Friedman
   The Choice: A Fable of Free Trade — Russell Roberts
   Econometric Analysis — William H. Greene
10. Woodshedder says:

    July 21, 2009 at 1:30 pm

    Misbehavior of Markets: Mandelbrot
11. julietanapo says:

    July 23, 2009 at 12:36 pm

    Great Idea!!!
    Books:
    The Intelligent Investor, ben Graham
    The J curve, Ian Bremmer
    One up on Wall Street, Peter Lynch
12. Pierre says:

    July 24, 2009 at 7:53 am

    My suggestions :
    Books :
    - your Ivy Portfolio, which deserves a good place in the list
    - A Non-Random Walk Down Wall Street (Andrew Lo)
    - Irrational Exuberance (Robert J.Schiller)
    - New trading systems and methods (Perry J.Kaufman) A must read in Technical Analysis
    - The Black Swan (Nassim N.Taleb)
    - Why stock markets crash (Didier Sornette)

    Working papers :
    http://www.ecb.int/pub/pdf/scpwps/ecbwp195.pdf (About in-sample and out-of sample tests of predictability)
    http://www.advisorperspectives.com/newsletters0... (Different approach of your model)
    http://papers.ssrn.com/sol3/papers.cfm?abstract... (Case closed by Haugen and Backer)
13. Pierre says:

    July 24, 2009 at 12:53 pm

    My suggestions :
    Books :
    - your Ivy Portfolio, which deserves a good place in the list
    - A Non-Random Walk Down Wall Street (Andrew Lo)
    - Irrational Exuberance (Robert J.Schiller)
    - New trading systems and methods (Perry J.Kaufman) A must read in Technical Analysis
    - The Black Swan (Nassim N.Taleb)
    - Why stock markets crash (Didier Sornette)

    Working papers :
    http://www.ecb.int/pub/pdf/scpwps/ecbwp195.pdf (About in-sample and out-of sample tests of predictability)
    http://www.advisorperspectives.com/newsletters0... (Different approach of your model)
    http://papers.ssrn.com/sol3/papers.cfm?abstract... (Case closed by Haugen and Backer)