Mark J. Kamstra
My current research interests revolve around topics in behavioral finance and empirical asset pricing. My research on the behavioral underpinning of 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. Other interests in behavioral finance focus on investor attention and social interaction, exploiting conventional statistical modelling as well as machine learning. My interests in empirical asset pricing overlap with my work on behavioral finance and extend to methodological contributions.