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Books

Psychology

Recommended: Kahneman and Tversky (2000) and Kahneman, Slovic and Tversky (1982)

Efficient Markets Hypothesis

Recommended: Campbell, Lo And Mackinlay (1996), Malkiel (various) and Shleifer (2000)

Behavioural Finance

Recommended: Shefrin (2000), Shiller (2000) and Shleifer (2000)