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Research
Published Papers
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Losing Sleep at the Market: The Daylight Saving Anomaly,
with Mark Kamstra and Maurice Levi,
American Economic Review, September 2000, 90(4), 1005-1011.
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Alternative Methods for Robust Analysis in
Event Study Applications,
in Advances in Investment Analysis and
Portfolio Management, C.F. Lee, ed., Vol. 8, 109-132,
Elsevier Science Ltd., 2001.
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Losing Sleep at the Market: The Daylight Saving Anomaly: Reply,
with Mark Kamstra and Maurice Levi, American Economic Review,
September 2002, 92(4), 1257-1263.
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The "Losing Sleep...: Reply" paper is a reply to a
comment in the same issue.
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Winter Blues: Seasonal Affective Disorder (SAD) and Stock Market Returns,
with Mark Kamstra and Maurice Levi, American Economic Review, March
2003, 93(1), 324-343.
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Supplemental materials are available to accompany this paper, including
a SAS program, actual values of the variables used to capture the SAD effect,
and a detailed appendix.
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Winter Blues and Time Variation in the Price of Risk,
with Ian Garrett and Mark Kamstra, Journal of
Empirical Finance, 2005, 12(2), 291-316.
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Is It the Weather? Comment,
with Mark Kamstra and Maurice Levi, 2009,
Journal of Banking and Finance,
33(3), 578-582.
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Time Variation in the Market Return, with Mark Kamstra, 2009,
Encyclopedia of Complexity and System Science, Bruce Mizrach (Ed.), Springer-Verlag.
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Estimating the Equity Premium,
with Glen Donaldson and Mark Kamstra, 2010,
Journal of Financial and Quantitative Analysis 45(4), 813-846.
(Issue Lead Article)
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Effects of Daylight-Saving Time Changes on Stock Market Volatility:
a Comment,
with Mark Kamstra and Maurice Levi, 2010,
Psychological Reports 107(3), 877-887.
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This is Your Portfolio on Winter: Seasonal Affective Disorder
and Risk Aversion in Financial Decision Making, with J. Mark Weber,
2012,
Social Psychological and Personality Science 3(2), 193-199.
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Supplemental materials are available to accompany this paper, including
details on how to implement and score the Safe Asset Versus Risky (SAVR)
task, a measure of financial risk aversion.
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A Careful Re-Examination of Seasonality in International
Stock Markets: Comment on Sentiment and Stock Returns,
with Mark Kamstra and Maurice Levi, 2012,
Journal of Banking and Finance, 36(4),
934-956.
- This paper comments on a paper written by Patrick Kelly and
Felix Meschke (published in Journal of Banking and Finance),
addressing their critiques of Kamstra, Kramer, and Levi (2003, AER).
Submitted Manuscripts
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Seasonal Variation in Treasury Returns
with Mark Kamstra and Maurice Levi.
(Formerly titled ''Opposing Seasonalties in Treasury versus Equity Returns'')
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Supplemental materials are available to accompany this paper, including
a detailed set of appendices and
data on
the Onset/Recovery variable used to test for an opposing effect of time-varying
risk aversion on Treasury and equity returns.
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Seasonal Asset Allocation: Evidence from Mutual Fund Flows,
with Mark Kamstra, Maurice Levi, and Russ Wermers.
Partial List of Additional Working Papers and Works In Progress
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Seasonally Varying Preferences: Theoretical Foundations for an Empirical
Regularity, with Mark Kamstra, Maurice Levi, and Tan Wang.
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Seasonal Variation in Bid-Ask Spreads
with Mark Kamstra and Ramon DeGennaro.
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Supplemental materials are available to accompany this paper, including
data on the Incidence variable used to test for the effect of time-varying risk
aversion on spreads.
Other (Non-Refereed) Publications
- Behavioural Finance: The Influence of Investor Behaviour, 2008,
in
The Finance Crisis and Rescue:
What Went Wrong? Why? What Lessons Can Be Learned? (Rotman / UofT Press)
- Weathering the Seasons: A Behavioural Perspective on Stock Market Ups and Downs, 2009, Dynamic
Advisor, April 2008, 19-20
- Stock Market Seasonalities: Anomalies or Rational? (with Mark Kamstra and Maurice Levi), FSR Forum
(Erasmus University, Rotterdam), August 2005, 20-25.
Copyright notice: The publishers of the articles posted above hold the copyright, and you may use these PDFs only in a manner consistent with the fair-use provisions of international copyright laws. In particular, you may not distribute them, make them available for download by others, or use them for any profit-making enterprise.
