This is my reading list for taught Masters level behavioural finance, now in its second year.
Ackert, L.F. and Deaves, R. (2009). Behavioural Finance: Psychology, Decision-Making, and Markets. Ohio, USA: Cengage Learning
Forbes, W. (2009). Behavioural Finance. Chichester, West Sussex, UK: John Wiley & Sons
Kindleberger, C.P. and Aliber, R.Z. (2011). Manias, Panics and Crashes: A History of Financial Crises. Basingstoke, Hampshire, UK: Palgrave MacMillan, 6th Edition
Thaler, R. (2015). Misbehaving: the making of behavioural economics. London: W.W. Norton and Company Ltd
Baker, M., Bradley, B., & Wurgler, J. (2001). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40–54. doi:10.2469/faj.v67.n1.4
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18.
Bernard, V. (1992). Stock price reactions to earnings announcements: a summary of recent anomalous evidence and possible explanations (No. 703). (R. H. Thaler, Ed.). Michigan. Available from: http://hdl.handle.net/2027.42/35405
De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793–805.
Fama, E. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5), 1575–1617. Available from: http://www.jstor.org/stable/2328565
French, C. W. (2003). The Treynor Capital Asset Pricing Model. Journal of Investment Management, 1(2), 60–72.
Froot, K., & Thaler, R. (1990). Anomalies: Foreign Exchange. Journal of Economic Perspectives, 4(3), 179–192. Available from: http://www.jstor.org/stable/1942936
Minsky, H. P. (1992). The Financial Instability Hypothesis (No.74). The Levy Economics Institute. Annandale-on-Hudson, New York: The Levy Economics Institute. Available from: http://www.levyinstitute.org/pubs/wp74.pdf
Mehrling, P. (2013). Essential hybridity: A money view of FX. Journal of Comparative Economics, 41(2), 355–363. doi:10.1016/j.jce.2013.03.007
Sewell, M. (2007). Introduction to Behavioural Finance. Available from http://www.behaviouralfinance.net/behavioural-finance.pdf
Sarno, L., Thornton, D. L., & Valente, G. (2007). The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. Journal of Financial and Quantitative Analysis, 42(1), 81–100.
Treynor, J. L. (1987). The economics of the dealer function. Financial Analysts Journal, November-D, 27–34.
Knight, F. H. (1921). Risk, uncertainty and profit. Boston: Houghton Mifflin Company.
Popper, K. (1951). The logic of scientific discovery. London: Hutchinson.