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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143

CROSSREF CITATIONS

43

Scholarly Papers (27)

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1.

Winter Blues: A Sad Stock Market Cycle

Downloads 3,426 ( 5,972)
Citation 86

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 3,426 (5,860)
Citation 86

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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 1,587 (20,143)
Citation 14

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 1,587 (19,791)
Citation 14

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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 1,521 (21,523)
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 1,441 (23,316)

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 1,441 (22,898)
Citation 8

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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 1,395 (24,481)
Citation 34

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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 1,085 (35,236)
Citation 1

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Fundamental asset pricing

7.

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 985 (40,514)

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GRS test, degrees of freedom adjustment

8.

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 943 (43,040)
Citation 1

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Fundamental asset pricing, forecasting, volatility, bubbles

9.

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 838 (50,571)
Citation 1

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

10.

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 818 (52,299)
Citation 2

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equity risk premium, simulated method of moments, SMM

11.

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 814 (52,652)
Citation 1

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

12.

Winter Blues and Time Variation in the Price of Risk

Downloads 644 (71,622)
Citation 9

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 644 (70,686)
Citation 9

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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

13.

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 580 (81,486)

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14.

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 575 (82,397)
Citation 6

Abstract:

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

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 534 (90,466)
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 403 (126,766)
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 295 (177,290)

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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 250 (209,541)
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 242 (216,288)
Citation 4

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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 200 (258,698)

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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 158 (317,645)
Citation 1

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Secondary loan pricing, banking, financial institutions

22.

Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity

Downloads 86 (494,286)
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 86 (498,987)
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.

Testing and Ranking of Asset Pricing Models Using the Grs Statistic

Number of pages: 37 Posted: 01 Mar 2023
Mark J. Kamstra and Ruoyao Shi
York University - Schulich School of Business and UC Riverside
Downloads 30 (791,710)

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GRS test, CAPM, multivariate test, portfolio efficiency, Sharpe ratio, over-rejection, model ranking

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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