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Publications

by alumni of

Finance Division
Sauder School of Business
University of British Columbia
Vancouver, Canada

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2013

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2013. "Seasonal asset allocation: Evidence from mutual fund flows," CFR Working Papers 13-09, University of Cologne, Centre for Financial Research (CFR).

2004

  1. Ian Garrett & Mark Kamstra & Lisa Kramer, 2004. "Winter blues and time variation in the price of risk," FRB Atlanta Working Paper 2004-8, Federal Reserve Bank of Atlanta.

2003

  1. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," FRB Atlanta Working Paper 2003-4, Federal Reserve Bank of Atlanta.

2002

  1. Mark Kamstra & Lisa Kramer & Maurice D. Levi, 2002. "Winter blues: a SAD stock market cycle," FRB Atlanta Working Paper 2002-13, Federal Reserve Bank of Atlanta.

1998

  1. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Discussion Papers dp98-04, Department of Economics, Simon Fraser University.

Journal articles

2017

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2017. "Seasonal Asset Allocation: Evidence from Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 71-109, February.

2016

  1. Kramer, Lisa A. & Liao, Chi M., 2016. "The spillover effects of management overconfidence on analyst forecasts," Journal of Behavioral and Experimental Finance, Elsevier, vol. 12(C), pages 79-92.

2015

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015. "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, vol. 4(1), pages 45-115, June.

2014

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi & Tan Wang, 2014. "Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 4(1), pages 39-77.

2012

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012. "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 934-956.

2010

  1. Donaldson, R. Glen & Kamstra, Mark J. & Kramer, Lisa A., 2010. "Estimating the Equity Premium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 813-846, August.

2009

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2009. "Is it the weather? Comment," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 578-582, March.

2005

  1. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.

2003

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.

2002

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September.

2000

  1. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.

Chapters

2023

  1. Mark J. Kamstra & Lisa A. Kramer, 2023. "Seasonality in stock returns and government bond returns," Chapters, in: Gilles Hilary & David McLean (ed.), Handbook of Financial Decision Making, chapter 2, pages 36-62, Edward Elgar Publishing.

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