A selection of the key research referenced in the book:
Prospect Theory: An Analysis of Decision under Risk (link)
Luck and Entrepreneurship:
Picking Winners? Investment Consultants’ Recommendations of Fund Managers:
The Capital Asset Pricing Model: Some Empirical Tests (Jensen/Black/Scholes 1972):
On the Evidence Supporting the Existence of Risk Premiums in the Capital Market:
The Cross-Section of Expected Stock Returns (Fama/French 1992):
Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly:
Low Risk Stocks Outperform Within All Observable Markets of the World:
Betting Against Beta:
The Low Risk Anomaly: A Decomposition into Micro and Macro Effects:
The Volatility Effect: Lower Risk Without Lower Return:
The Volatility Effect Revisited: