Research
Forthcoming Papers and Published Papers
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Race, Police Violence, and Financial Decision-Making, with
Vicki E. Bogan, Chi Liao, and Alexandra Niessen-Ruenzi, 2024,
American Economic Association Papers & Proceedings 114, 163-168.
NOTE: Also available
here without a paywall.
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Seasonality in Stock Returns and Government Bond Returns, with Mark J. Kamstra,
2023, in Hilary, G. and McLean, D., eds.
Handbook
of Financial Decision Making,
Edward Elgar Publishing,
Research Handbooks in Money and Finance, 36-62.
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The Scientific Problems with Using Non-Human Animals to Predict Human
Response to Drugs and Disease, with Ray Greek.
In Hermann, K. and Jayne, K., eds. Animal Experimentation: Working Towards a
Paradigm Change, Vol. X., Brill Human Animal Studies Series, 2019.
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How to Evaluate the Science of Non-human Animal Use in Biomedical Research
and Testing: A Proposed Format for Debate, with Ray Greek.
In Hermann, K. and Jayne, K., eds. Animal Experimentation: Working Towards a
Paradigm Change, Vol. X., Brill Human Animal Studies Series, 2019.
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Human Stakeholders and the Use of Animals in Drug Development,
with Ray Greek,
Business and Society Review, Spring 2018, 123(1), 3-58.
(Issue and Year Lead Article)
- Challenging the Iconography of Oppression in Marketing: Confronting
Speciesism Through Art and Visual Culture
, with J. Keri Cronin,
Journal of Animal Ethics,
Spring 2018,
8(1), 80-92.
NOTE: Also available
here without a paywall.
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Seasonal Asset Allocation: Evidence from Mutual Fund Flows,
with Mark Kamstra, Maurice Levi, and Russ Wermers, 2017, Journal
of Financial and Quantitative Analysis 52(1), 71-109.
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The Spillover Effects of Management Overconfidence on Analyst Forecasts,
with Chi Liao, 2016, Journal
of Behavioral and Experimental Finance 12, 79-92.
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Seasonal Variation in Treasury Returns
with Mark Kamstra and Maurice Levi, 2015, Critical Finance
Review, 4(1), 45-115.
(Formerly titled ''Opposing Seasonalities 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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Seasonally Varying Preferences: Theoretical Foundations for an Empirical
Regularity, with Mark Kamstra, Maurice Levi, and Tan Wang, 2014,
Review of Asset Pricing Studies, 4(1), 39-77.
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Effects of Daylight-Saving Time Changes on Stock Market Returns
and Stock Market Volatility:
Rebuttal,
with Mark Kamstra and Maurice Levi, 2013,
Psychological Reports 112(1), 89-99.
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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).
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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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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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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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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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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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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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Winter Blues: A SAD Stock Market Cycle,
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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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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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,
with Mark Kamstra and Maurice Levi,
American Economic Review, September 2000, 90(4), 1005-1011.
Permanent Working Paper
Other (Non-Refereed) Publications
- Stock Market Seasonalities: Anomalies or Rational? (with Mark Kamstra and Maurice Levi), FSR Forum
(Erasmus University, Rotterdam), August 2005, 20-25.
- 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, Dynamic
Advisor, April 2008, 19-20.
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Seasonal Variation in Depression and in Markets, 2012, Canadian Securities Institute Research Foundation Journal (Anniversary Edition), 1, 1-2.
- Human Psychology and Market Seasonality, Investor Behavior - The Psychology of Financial Planning and Investing, 2014, H. Kent Baker and Victor Ricciardi (Eds.), Wiley.
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.
