Publications Database

Welcome to the new Schulich Peer-Reviewed Publication Database!

The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:

  • Faculty Member’s Name;
  • Area of Expertise;
  • Whether the Publication is Open-Access (free for public download);
  • Journal Name; and
  • Date Range.

At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.

If you have any questions or input, please don’t hesitate to get in touch.

 

Search Results

Mark J. Kamstra and Lisa A. Kramer (2023). "Seasonality in stock returns and government bond returns", Handbook of Financial Decision Making, 36–62.

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Keywords
Abstract We examine seasonality in stock and government bond returns arising from seasonal variation in daylight, investor mood, and investor risk aversion, known as the seasonal affective disorder (SAD) effect. We consider US Treasury returns and equity returns for the US, Canada, the UK, Germany, and Australia. New contributions include the following. For the first time, we consider the SAD effect across size-sorted stock return deciles, and we consider individual firm-level return data for the US and internationally. Additionally, we develop a new proxy to capture seasonality in investor risk aversion arising from seasonality in daylight, based on Google searches for “seasonal affective disorder” within each country. Using the new country-specific Google search proxy, we find evidence of a SAD effect in US government bond returns and international stock returns is at least as strong as it is when using a proxy based clinical timing of symptoms among SAD patients. In particular, international evidence for the SAD effect strengthens considerably using this new proxy. We also find the magnitude of the Monday and tax-loss effects in stock returns appear to be weakening over time, globally.

Kamstra, M., Kramer, L.A. and Levi, M.D. (2013). "A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns", Journal of Banking and Finance, 36, 934-956.

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Keywords
Abstract In questioning Kamstra, Kramer, and Levi’s (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due to a “mechanically induced” effect that is non-existent, labeling the SAD effect a “turn-of-year” effect (when in fact their models and ours separately control for turn-of-year effects), and ignoring coefficient-estimate patterns that strongly support the SAD effect. Our analysis of their data shows, even using their low-power statistical tests, there is significant international evidence supporting the SAD effect. Employing modern, panel/time-series statistical methods strengthens the case dramatically. Additionally, Kelly and Meschke represent the finance, psychology, and medical literatures in misleading ways, describing some findings as opposite to those reported by the researchers themselves, and choosing selective quotes that could easily lead readers to a distorted understanding of these findings.