World Beta Blog

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.

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.

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.

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.

I've always liked Irving Fisher.

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

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

two more

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

Book
-A Monetary History of the United States, by Milton Friedman

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)

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

Misbehavior of Markets: Mandelbrot

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

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)