Lisa A. Kramer

University of Toronto - Rotman School of Management

Professor of Finance

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

http://www.chass.utoronto.ca/~lkramer

SCHOLARLY PAPERS

16

DOWNLOADS
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11,308

CITATIONS
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in Total Papers Citations

187

Scholarly Papers (16)

1.
Downloads 2,578 ( 3,514)
Citation 80

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 2,578 (3,434)
Citation 80

Abstract:

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

Winter Blues: A SAD Stock Market Cycle

American Economic Review, March 2003
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

Abstract:

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

Alternative Methods for Robust Analysis in Event Study Applications

Number of pages: 28 Posted: 27 Jul 2001
Lisa A. Kramer
University of Toronto - Rotman School of Management
Downloads 2,096 (4,910)
Citation 9

Abstract:

Alternative Methods for Robust Analysis in Event Study Applications

INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT, C.F. Lee, ed., Vol. 8, pp. 109-132, Elsevier Science Ltd., 2001
Posted: 13 Sep 2001
Lisa A. Kramer
University of Toronto - Rotman School of Management

Abstract:

3.
Downloads 1,365 ( 10,351)
Citation 10

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 1,365 (10,138)
Citation 10

Abstract:

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

Abstract:

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

4.
Downloads 1,098 ( 14,579)
Citation 43

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 1,098 (14,286)
Citation 43

Abstract:

Losing Sleep at the Market: The Daylight-Savings Anomaly

American Economic Review, September 2000
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

Abstract:

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
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 1,047 (15,741)
Citation 5

Abstract:

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

6.

Intraday Stock Returns, Time-Varying Risk Premia, and Diurnal Mood Variation

Number of pages: 25 Posted: 22 Nov 2000
Lisa A. Kramer
University of Toronto - Rotman School of Management
Downloads 789 (22,725)
Citation 2

Abstract:

Intraday stock returns, behavioral finance

7.

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 731 (25,888)
Citation 5

Abstract:

equity risk premium, simulated method of moments, SMM

8.
Downloads 567 ( 37,657)
Citation 21

Winter Blues and Time Variation in the Price of Risk

EFA 2003 Annual Conference Paper No. 263
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 567 (37,106)
Citation 21

Abstract:

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

Winter Blues and Time Variation in the Price of Risk

Journal of Empirical Finance, Forthcoming
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

Abstract:

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

9.

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 446 (46,490)
Citation 4

Abstract:

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

10.

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 265 (92,595)
Citation 2

Abstract:

equity risk premium, equity premium puzzle, Monte Carlo simulation

11.

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 188 (126,395)
Citation 3

Abstract:

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

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
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 49 (330,982)
Citation 3

Abstract:

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
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

Abstract:

13.

The Spillover Effects of Management Overconfidence on Analyst Forecasts

Journal of Behavioral and Experimental Finance 12 (2016): 79-92. DOI: 10.1016/j.jbef.2016.10.004, Rotman School of Management Working Paper No. 2867634
Posted: 15 Nov 2016
Lisa A. Kramer and Chi Liao
University of Toronto - Rotman School of Management and University of Manitoba - Asper School of Business

Abstract:

Analyst Forecasts, Manager Overconfidence, Earnings Forecasts, Market Efficiency

14.

Chapter 20: Human Psychology and Market Seasonality

Investor Behavior: The Psychology of Financial Planning and Investing. H. Kent Baker and Victor Ricciardi, editors, 25-41. Hoboken, NJ: John Wiley & Sons, Inc., 2014
Posted: 15 Feb 2014
Lisa A. Kramer
University of Toronto - Rotman School of Management

Abstract:

anomalies, emotions, financial decisions, market seasonality, mood, sentiment

15.

This is Your Portfolio on Winter: Seasonal Affective Disorder and Risk Aversion in Financial Decision Making

Social Psychological and Personality Science, Vol. 3, No. 2, pp. 193-199, Rotman School of Management Working Paper No. 1885665
Posted: 21 Jul 2011 Last Revised: 13 Feb 2012
Lisa A. Kramer and J. Mark Weber
University of Toronto - Rotman School of Management and University of Waterloo

Abstract:

decision making, individual differences, seasonal variations, financial risk tolerance, seasonal depression, behavioral economics, economic behavior

16.

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

Abstract:

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