Mark J. Kamstra

York University - Schulich School of Business

Professor of Finance

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

  • York University - Schulich School of Business

SCHOLARLY PAPERS

27

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73

CROSSREF CITATIONS

45

Scholarly Papers (27)

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1.

Winter Blues: A Sad Stock Market Cycle

Downloads 3,190 ( 5,140)
Citation 38

Winter Blues: A Sad Stock Market Cycle

Federal Reserve Bank of Atlanta Working Paper No. 2002-13a, Sauder School of Business Working Paper
Number of pages: 37 Posted: 07 Mar 2000
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 3,190 (5,043)
Citation 38

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Stock returns, seasonality, behavioral finance, seasonal affective disorder, SAD, depression

Winter Blues: A Sad Stock Market Cycle

Posted: 12 Dec 2002
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

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stock returns, seasonality, behavioral finance, seasonal affective disorder, SAD, depression

2.

Seasonal Variation in Treasury Returns

Downloads 1,521 ( 16,853)
Citation 12

Seasonal Variation in Treasury Returns

Rotman School of Management Working Paper No. 1076644
Number of pages: 51 Posted: 20 Dec 2007 Last Revised: 29 Jan 2014
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,521 (16,555)
Citation 12

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Treasury bond returns, Treasury note returns, market seasonality, time-varying risk aversion, SAD

Seasonal Variation in Treasury Returns

Critical Finance Review, 4(1), 45-115, 2015, Rotman School of Management Working Paper No. 2620912
Posted: 21 Jun 2015
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

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Treasury bond returns, Treasury note returns, Market seasonality, Time-varying risk aversion

3.

Volatility Forecasts, Trading Volume and the Arch vs Option-Implied Volatility Tradeoff

SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
Number of pages: 25 Posted: 21 Feb 2001
R. Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 1,494 (17,316)
Citation 2

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return volatility, ARCH models, options-implied volatility, trading volume, combining models

4.

Losing Sleep at the Market: The Daylight-Savings Anomaly

Downloads 1,354 ( 20,078)

Losing Sleep at the Market: The Daylight-Savings Anomaly

Sauder School of Business Working Paper
Number of pages: 20 Posted: 29 Feb 2000
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,354 (19,729)
Citation 2

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Losing Sleep at the Market: The Daylight-Savings Anomaly

Posted: 29 Feb 2000
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

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5.

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 127 Posted: 17 Nov 2011 Last Revised: 04 Sep 2015
Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi and Russ Wermers
York University - Schulich School of Business, University of Toronto - Rotman School of Management, University of British Columbia (UBC) - Sauder School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,329 (20,652)
Citation 22

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household finance, mutual fund flow seasonality, net exchanges, net flows, sentiment, time-varying risk aversion, risk tolerance

6.

Fundamental Valuation of Zero-Dividend Firms

Simon Fraser University Department of Economics Working Paper
Number of pages: 26 Posted: 15 Jul 2000
Mark J. Kamstra
York University - Schulich School of Business
Downloads 1,065 (28,563)
Citation 1

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Fundamental asset pricing

7.

Forecasting Fundamental Stock Price Distributions

Simon Fraser University Working Paper No. 96-2, Sauder School of Business Working Paper
Number of pages: 52 Posted: 30 Oct 2000
R. Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 924 (34,953)
Citation 1

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Fundamental asset pricing, forecasting, volatility, bubbles

8.

Rational Exuberance: The Fundamentals of Pricing Firms, from Blue Chip to 'Dot-Com'

FRB Atlanta Working Paper No. 2001-21
Number of pages: 29 Posted: 08 Nov 2001
Mark J. Kamstra
York University - Schulich School of Business
Downloads 822 (41,123)
Citation 1

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Fundamental asset pricing; Free cash flow model; Residual income model; Gordon growth model

9.

Estimating the Equity Premium

Journal of Financial and Quantitative Analysis, August 2010, 45(4) , Rotman School of Management Working Paper No. 07-02
Number of pages: 52 Posted: 19 Nov 2006 Last Revised: 30 Jul 2010
Glen Donaldson, Mark J. Kamstra and Lisa A. Kramer
University of British Columbia (UBC) - Sauder School of Business, York University - Schulich School of Business and University of Toronto - Rotman School of Management
Downloads 792 (43,247)
Citation 2

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equity risk premium, simulated method of moments, SMM

10.

The Annuity Duration Puzzle

Number of pages: 52 Posted: 15 Mar 2012
Narat Charupat, Mark J. Kamstra and Moshe A. Milevsky
McMaster University - DeGroote School of Business, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 713 (49,782)
Citation 2

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Retirement, Pensions, Lifecycle, Portfolio Choice, Insurance, Mortality

11.

Winter Blues and Time Variation in the Price of Risk

Downloads 610 ( 60,881)
Citation 4

Winter Blues and Time Variation in the Price of Risk

Number of pages: 33 Posted: 18 Jul 2003
Mark J. Kamstra, Lisa A. Kramer and Ian Garrett
York University - Schulich School of Business, University of Toronto - Rotman School of Management and Manchester Business School
Downloads 610 (60,156)
Citation 4

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stock market seasonality, Conditional CAPM, time-varying risk aversion, behavioral finance, Seasonal Affective Disorder

Winter Blues and Time Variation in the Price of Risk

Posted: 28 Feb 2004
Mark J. Kamstra, Lisa A. Kramer and Ian Garrett
York University - Schulich School of Business, University of Toronto - Rotman School of Management and Manchester Business School

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Stock market seasonality, conditional CAPM, time-varying risk aversion, behavioral finance, seasonal affective disorder

12.

Estimating and Testing Fundamental Stock Prices: Evidence from Simulated Economies

SFU Discussion Paper, Sauder School of Business Working Paper
Number of pages: 43 Posted: 30 Oct 2000
R. Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 565 (67,119)

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13.

Does Risk Aversion Vary During the Year? Evidence from Bid-Ask Spreads

Number of pages: 42 Posted: 07 Dec 2004 Last Revised: 30 Jul 2010
Ramon P. DeGennaro, Mark J. Kamstra and Lisa A. Kramer
University of Tennessee, Knoxville - Department of Finance, York University - Schulich School of Business and University of Toronto - Rotman School of Management
Downloads 545 (70,209)
Citation 6

Abstract:

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time-varying risk aversion, seasonal affective disorder, seasonal depression, SAD

14.

A Note on the GRS Test

Number of pages: 37 Posted: 18 Feb 2021
Mark J. Kamstra and Ruoyao Shi
York University - Schulich School of Business and UC Riverside
Downloads 525 (73,899)

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GRS test, degrees of freedom adjustment

15.

Momentum, Reversals, and other Puzzles in Fama-MacBeth Cross-Sectional Regressions

Number of pages: 46 Posted: 08 Apr 2017 Last Revised: 14 Dec 2017
Mark J. Kamstra
York University - Schulich School of Business
Downloads 461 (86,457)
Citation 3

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Momentum, Reversals, Autocorrelation, Fama-MacBeth

16.

The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation

Cowles Foundation Discussion Paper No. 1717, Yale ICF Working Paper No. 16
Number of pages: 31 Posted: 09 Aug 2009
Mark J. Kamstra and Robert J. Shiller
York University - Schulich School of Business and Yale University - Cowles Foundation
Downloads 349 (118,394)
Citation 15

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GDP-linked bonds, Aggregate risk, Income risk, Inflation-indexed bonds, MacroShares, U.S. Treasury, Treasury Inflation Protection Securities (TIPS), Intergenerational risk sharing, International risk sharing, Hedging, Portfolio diversification, Market portfolio

17.

Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium

FRB of Atlanta Working Paper No. 2003-4, Sauder School of Business Working Paper
Number of pages: 63 Posted: 19 Mar 2003
R. Glen Donaldson, Mark J. Kamstra and Lisa A. Kramer
University of British Columbia (UBC) - Sauder School of Business, York University - Schulich School of Business and University of Toronto - Rotman School of Management
Downloads 279 (149,988)

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equity risk premium, equity premium puzzle, Monte Carlo simulation

18.

Loan Resales, Asset Selection and Borrowing Cost

EFA 2006 Zurich Meetings
Number of pages: 61 Posted: 16 Mar 2006
Mark J. Kamstra, Gordon S. Roberts and Pei Shao
York University - Schulich School of Business, York University - Schulich School of Business and University of Northern British Columbia
Downloads 236 (177,020)
Citation 5

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Loan resales, syndicated loan, secondary loan market, financial institutions

19.

A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns

Rotman School of Management Working Paper No. 1668984
Number of pages: 58 Posted: 11 Aug 2011 Last Revised: 10 Oct 2011
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 223 (186,666)
Citation 3

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SAD, seasonal affective disorder, seasonal depression, stock market cycles, return seasonality

20.

Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions

Number of pages: 24 Posted: 31 Dec 2004
Mark J. Kamstra and Moshe A. Milevsky
York University - Schulich School of Business and York University - Schulich School of Business
Downloads 178 (228,868)

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Diffusion, duality, inverse guassian, GBM, First Passage Time

21.

Does the Secondary Loan Market Reduce Borrowing Costs?

Forthcoming in the Review of Finance
Number of pages: 57 Posted: 08 Aug 2012 Last Revised: 28 Feb 2013
Mark J. Kamstra, Gordon S. Roberts and Pei Shao
York University - Schulich School of Business, York University - Schulich School of Business and Dhillon School of Business, University of Lethbridge
Downloads 130 (294,973)

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Secondary loan pricing, banking, financial institutions

22.

Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity

Downloads 70 (437,533)
Citation 9

Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity

AFA 2012 Chicago Meetings Paper
Number of pages: 61 Posted: 23 Mar 2011 Last Revised: 31 Jan 2014
Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi and Tan Wang
York University - Schulich School of Business, University of Toronto - Rotman School of Management, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 70 (443,047)
Citation 9

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Time-varying preferences, time-varying expected returns, stock returns, SAD, Treasury-bill returns, equity premium

Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity

Review of Asset Pricing Studies, Vol. 4, No. 1, pp. 39-77, 2014
Posted: 16 May 2014 Last Revised: 20 May 2014
Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi and Tan Wang
York University - Schulich School of Business, University of Toronto - Rotman School of Management, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance

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23.

The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 519-555, 2016
Number of pages: 37 Posted: 09 Aug 2016
Narat Charupat, Mark J. Kamstra and Moshe A. Milevsky
McMaster University - DeGroote School of Business, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 0 (875,962)
Citation 2

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24.

Is it the Weather? Comment

Journal of Banking and Finance, Forthcoming, Rotman School of Management Working Paper No. 1317939
Posted: 19 Dec 2008 Last Revised: 26 Jan 2009
Mark J. Kamstra, Lisa A. Kramer and Maurice D. Levi
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

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Seasonal affective disorder, SAD, Sell in May, Stock market cycles, Return seasonality

25.

Volatility Forecasts, Trading Volume, and the Arch Versus Option-Implied Volatility Trade-Off

Posted: 14 Nov 2004
Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business

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Volatility forecasts, ARCH

26.

Combining Bond Rating Forecasts Using Logit

Posted: 16 Aug 2001
Mark J. Kamstra, Peter E. Kennedy and Teck-Kin Suan
York University - Schulich School of Business, Simon Fraser University (SFU) - Department of Economics and Simon Fraser University (SFU) - Department of Economics

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27.

A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of the 1929's Stock Crash

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 20 Apr 1998
R. Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business

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