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About Mark J. Kamstra
My current research interests revolve around the equity risk premium related to price bubbles and the equity premium puzzle, and as related to time-varying risk premia. I use simulation methods to explore price bubbles, and patterns in returns to various classes of assets to explore time-variation in risk premia. My research on time-varying risk premia is based on links between human sentiment and financial risk tolerance, which are well supported in the medical, psychology, and economics literatures. This work provides a bridge between a classic notion of rationality and irrational behavioural finance notions that investor mood or bias causes swings in asset prices.
Honours
2015-2019 Canadian Securities Institute Research Foundation Limited Term Professorship- $150,000
Recent Publications
Seasonal Asset Allocation: Evidence from Mutual Fund Flows" with Lisa A. Kramer, Mau-rice D. Levi, and Russ Wermers, Journal of Financial and Quantitative Analysis, accepted and forthcoming, 2016.
The Sluggish and Asymmetric Reaction of Life Annuity Prices to Chances in Interest Rates" with Narat Charupat and Moshe A. Milevsky. Journal of Risk and Insurance, accepted and forthcoming, 2015 (formerly titled The Annuity Duration Puzzle").
“Seasonal Variation in Treasury Returns” with Lisa A. Kramer, and Maurice D. Levi. Critical Finance Review, 4 (1), 45-115, 2015.
“Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity” with Lisa A. Kramer, Maurice D. Levi, and Tan Wang. Review of Asset Pricing Studies, 4 (1), 39-77, June 2014.
“Does the Secondary Loan Market Reduce Borrowing Costs?” with Gordon S. Roberts and Pei Shao, Review of Finance, 18 (3), 1139-1181, 2014.
“Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal”, with Lisa A. Kramer, and Maurice D. Levi. Psychological Reports, 112, 1, 1-11, 2013.
“A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns” with Lisa A. Kramer and Maurice D. Levi, Journal of Banking and Finance, 36, 934-956, 2012.
“The Effects of Daylight-Saving Time Changes on Stock Market Volatility: Comment” with Lisa A. Kramer and Maurice D. Levi, Psychological Reports, 107(3), 1-11, 2010.
“Trills Instead of T-Bills: It’s Time to Replace Part of Government Debt with Shares in GDP” with Robert J. Shiller, The Economists’ Voice, 7(3), 2010.
“Estimating the Equity Premium” with R. Glen Donaldson and Lisa A. Kramer, Journal of Financial and Quantitative Analysis, 45(4), 813-846, 2010 (Issue Lead Article).
Courses Taught
MGMT 2000 Quantitative Analysis for Management Decisions
FINE 4200 (now numbered 3200) Investments
FINE 6200 Investments,
FINE 6310 Econometrics of Finance Markets
FINE 6500 Behavioral Finance
FINE 7300 Topics in Finance
DCAD 7500 Quantitative Analysis
Grants
Project Title Role Award Amount Year Awarded Granting Agency Project Title Role Award Amount$150,000.00 Year Awarded2015-2019 Granting AgencyCanadian Securities Institute Research Foundation Limited Term Professorship Project Title Role Award Amount$114,230.00 Year Awarded2015-2018 Granting AgencySSHRC Insight Research Grant Project Title RoleCo-Investigator Award Amount$71,899.00 Year Awarded2011-2014 Granting AgencySocial Sciences and Humanities Research Council - Insight Development Research Grant Project Title RoleCo-Investigator Award Amount$78,700.00 Year Awarded2010-2013 Granting AgencySocial Sciences and Humanities Research Council - Research Grant Project TitleFundamental valuation, bubbles, and fads: estimating prices and risk premia RolePrincipal Investigator Award Amount$65,500.00 Year Awarded2010-2013 Granting AgencySocial Sciences and Humanities Research Council - Research Grant Project TitleIndividual investors' portfolio adjustments and implications for time-varying risk aversion RolePrincipal Investigator Award Amount$58,000.00 Year Awarded2007-2010 Granting AgencySocial Sciences and Humanities Research Council - Research Grant Project Title RoleCo-Investigator Award Amount$65,000.00 Year Awarded1996-1999 Granting AgencySSHRC Research Grant Project Title Role Award Amount$36,000.00 Year Awarded1993-1996 Granting AgencySSHRC Research Grant Project Title Role Award Amount$17,500.00 Year Awarded1992-1997 Granting AgencySSHRC Small Grants, Simon Fraser University Project Title Role Award Amount$7,000.00 Year Awarded1992 Granting AgencyPresident's Research Grant Award, Simon Fraser University Project Title Role Award Amount$45,000.00 Year Awarded1985-1989 Granting AgencySSHRC Doctoral Fellowship Project Title Role Award Amount$11,000.00 Year Awarded1984-1985 Granting AgencySSHRC Special Master of Arts Fellowship
Mark J. Kamstra
Professor of Finance
PhD in Economics (University of California)M.A. in Economics (University of British Columbia)
B.A. in Economics (Queen's University)