Mark Kamstra

Research

Publications

Fisar, M., Greiner, B., Huber, C., Katok, E., Ozkes, A., and the Management Science Reproducibility Collaboration 2023 "Reproducibility in Management Science" Management Science, (forthcoming). Note: Member of the Management Science Reproducibility Collaboration
M. Kamstra, and Lisa A. Kramer [2023] "Seasonality in stock returns and government bond returns" Handbook of Financial Decision Making, ed. G. Hilary and D. McLean Research Handbooks in Money and Finance, Edward Elgar Publishing: Northampton Massachusetts.
M. Kamstra and Narat Charupat [2023] "The Behavior of Canadian Life Annuity Prices" Journal of Pension Economics and Finance, June, 1-22.
M. Kamstra, Lisa A. Kramer, Maurice D. Levi, and Russ Wermers [2017] "Seasonal Asset Allocation: Evidence from Mutual Fund Flows", Journal of Financial and Quantitative Analysis, 52 (1), 71-109.
- Supplemental materials are available to accompany this paper, including a detailed set of appendices.
M. Kamstra,Narat Charupat and Moshe A. Milevsky [2016] "The Sluggish and Asymmetric Reaction of Life Annuity Prices to Chances in Interest Rates" Journal of Risk and Insurance, 4(1), 45-115.
M. Kamstra, Lisa A. Kramer and Maurice D. Levi [2015] "Seasonal Variation in Treasury Returns", Critical Finance Review, 4(1), 45-115.
M. Kamstra, Gordon S. Roberts and Pei Shao [2014] "Does the Secondary Loan Market Reduce Borrowing Costs?", Review of Finance, 18(3), 1139-1181.
M. Kamstra, Lisa A. Kramer, Maurice D. Levi, and Tan Wang [2014] "Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity", Review of Asset Pricing Studies, 4 (1), 39-77.
M. Kamstra, Lisa A. Kramer, and Maurice D. Levi [2013] "Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal", Psychological Reports, 112, 1, 1-11.
M. Kamstra, Lisa A. Kramer and Maurice D. Levi [2012] "A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns", Journal of Banking and Finance, 36, 934-956.
M. Kamstra, Lisa A. Kramer and Maurice D. Levi [2010] " The Effects of Daylight-Saving Time Changes on Stock Market Volatility: a Comment " Psychological Reports, 107(3), 877-887.
M. Kamstra and Robert J. Shiller [2010] "Trills Instead of T-Bills: It's Time to Replace Part of Government Debt with Shares in GDP" The Economists' Voice, 7(3).
R. Glen Donaldson, M. Kamstra and Lisa A. Kramer [2010] "Estimating the Ex Ante Equity Premium" Journal of Financial and Quantitative Analysis, 45(4) 813-846 (Issue Lead Article).
M. Kamstra, Lisa A. Kramer and Maurice D. Levi [2009] " Is it the weather? Comment" Journal of Banking and Finance, 33, 578-582.
M. Kamstra and L. Kramer [2009] "Time Variation in the Market Return", Encyclopedia of Complexity and System Science, Bruce Mizrach (Ed.), Springer-Verlag.
M. Kamstra and Moshe A. Milevsky [2005] "Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions" Quantitative Finance, 5 (3), June, 237-244, 2005.
I. Garrett, M. Kamstra and L.A. Kramer [2005] "Winter Blues and Time Variation in the Price of Risk" Journal of Empirical Finance, 12, 291-316, 2005.
R.G. Donaldson and M. Kamstra [2005] "Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff " Journal of Financial Research, 27 (4), Winter, 519-538, 2005.
- Supplemental materials are available to accompany this paper.
M. Kamstra, L.A. Kramer and M.D. Levi [2003] "Winter Blues: A SAD Stock Market Cycle" American Economic Review, March, 93 (1), 324-343.
- Supplemental materials are available to accompany the "Winter Blues" paper.
R.G. Donaldson and M. Kamstra, [2003] "Estimating and Testing Fundamental Stock Prices: Evidence from Simulated Economies" Computer-Intensive Econometrics, ed. D. Giles, Statistics Textbooks & Monographs, Marcel Dekker: New York.
M. Kamstra, L.A. Kramer and M.D. Levi. [2002] "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply" American Economic Review, September, 92 (4), 1257-1263.
M. Kamstra, P. Kennedy and T.K. Suan. [2001] "Combining Bond Rating Forecasts Using Logit" The Financial Review, 37 (2), May, 75-96.
M. Kamstra, L.A. Kramer and M. Levi, [2000] "Losing Sleep at the Market: The Daylight Saving Anomaly" American Economic Review, 90 (4), Sept., pp.1005-1011.
M. Kamstra, [1999] "An Observation on Regression-Based Specification Tests" Communications in Statistics, Theory and Methods, 28 (6), pp.1435-1446.
R.G. Donaldson and M. Kamstra, [1999] "Neural Network Forecast Combining with Interaction Effects" Journal of the Franklin Institute, 336B (2) pp.227-236.
M. Kamstra and P. Kennedy, [1998] "Combining Qualitative Forecasts Using Logit" International Journal of Forecasting, 14, pp.83-93.
R.G. Donaldson and M. Kamstra, [1997] "An Artificial Neural Network - GARCH Model for International Stock Return Volatility" Journal of Empirical Finance, 4 (1), pp. 17-46.
P. Harrald and M. Kamstra, [1997] "Evolving Artificial Neural Networks to Combine Financial Forecasts" IEEE Transactions on Evolutionary Computation, 1 (1), pp.40-52.
R.G. Donaldson and M. Kamstra, [1996] "Using Dividend Forecasting Models to Reject Bubbles in Asset Prices: The Case of the Crash of 1929" Review of Financial Studies, 9, pp.333-383 (Issue Lead Article) .
R.G. Donaldson and M. Kamstra, [1996] "Using Artificial Neural Networks to Combine Forecasts" Journal of Forecasting, 15, pp.49-61.
J. Hallman and M. Kamstra, [1989] "Combining Algorithms Based on Cointegrating Restrictions Together with Robust Estimation Techniques" Journal of Forecasting, 8, pp.189-198.
C.W.J. Granger, H. White and M. Kamstra, [1989] "Interval Forecasting: An Analysis Based on ARCH - Quantile Estimators" Journal of Econometrics, 40, pp.87-96.

Scholarly Conference Papers

Together with R.G. Donaldson, [1996] "Neural Network Forecast Combining with Interaction Effects" Proceedings, Workshop on Foundations of Information/Decision Fusion, Washington, DC August 7-9, 1996.
Together with R.G. Donaldson, [1996] "Artificial Neural Networks in Fundamental Asset Pricing and Volatility Forecasting" Proceedings, CIFO , Montreal, Quebec, September 16-18, 1996.

Some of My Working Papers and Work In Progress

Seasonal Variation in Treasury Returns, (formerly titled "Opposing Seasonalities in Treasury versus Equity Returns") with Lisa Kramer and Maurice Levi.
- 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.
Seasonal Asset Allocation: Evidence from Mutual Fund Flows with Lisa Kramer, Maurice Levi, and Russell Wermers
- Supplemental materials are available to accompany this paper, including a detailed set of appendices.
Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity, with Mark Kamstra, Maurice Levi, and Tan Wang.
Seasonal Variation in Bid-Ask Spreads with Lisa Kramer and Ramon DeGennaro
- Supplemental materials are available to accompany this paper, including data on the Incidence variable used to test for the effect of time-varying risk aversion on spreads.

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