Research
Published Papers in Finance, Economics, and
Psychology
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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.
Published Papers on Animals & Society (Additional Related Material Available
here)
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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.
Partial List of Additional Working Papers and Works In Progress
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.
