Lisa Kramer, PhD Canadian Securities Institute Research Foundation Term Professor Associate Professor of Finance, Rotman School of Management, University of Toronto ON SABBATICAL July 2009 - June 2010: Visiting Scholar, Psychology Department Stanford University 450 Serra Mall, Bldg. 420, Jordan Hall Stanford, CA 94305-2130 Phone at U of Toronto: 416-978-2496 Phone at Stanford U (Pacific time zone): 650-743-4114 Email: Lkramer -at- rotman -dot- utoronto -dot- ca SSRN: papers.ssrn.com/author=209293 LinkedIn: www.linkedin.com/in/lisakramer Web Site at Rotman: rotman.utoronto.ca/facbios/viewFac.asp?facultyID=Lkramer Alternate Web Site: www.lisakramer.com

Curriculum Vitae (in pdf format)

Education

PhD in Finance, University of British Columbia, 1998
BBA in Finance and Economics (Honours), Simon Fraser University, 1991

Employment

Canadian Securities Institute Research Foundation Term Professor, Rotman School of Management, University of Toronto, 2008-present
Associate Professor of Finance, Rotman School of Management, University of Toronto, 2007-present
Assistant Professor of Finance, Rotman School of Management, University of Toronto, 2001-2007

Research

Published Papers

• Losing Sleep at the Market: The Daylight Saving Anomaly, with Mark Kamstra and Maurice Levi, American Economic Review, September 2000, 90(4), 1005-1011.
• Alternative Methods for Robust Analysis in Event Study Applications, in Advances in Investment Analysis and Portfolio Management, C.F. Lee, ed., Vol. 8, 109-132, Elsevier Science Ltd., 2001.
• Losing Sleep at the Market: The Daylight Saving Anomaly: Reply, with Mark Kamstra and Maurice Levi, American Economic Review, September 2002, 92(4), 1257-1263.
  • The "Losing Sleep...: Reply" paper is a reply to a comment in the same issue.
• Winter Blues: Seasonal Affective Disorder (SAD) and Stock Market Returns, with Mark Kamstra and Maurice Levi, American Economic Review, March 2003, 93(1), 324-343.
  • Supplemental materials are available to accompany this paper, including a SAS program, actual values of the variables used to capture the SAD effect, and a detailed appendix.
• Winter Blues and Time Variation in the Price of Risk, with Ian Garrett and Mark Kamstra, Journal of Empirical Finance, 2005, 12(2), 291-316.
• Is It the Weather? Comment, with Mark Kamstra and Maurice Levi, 2009, Journal of Banking and Finance, 33(3), 578-582.
• Time Variation in the Market Return, with Mark Kamstra, 2009, Encyclopedia of Complexity and System Science, Bruce Mizrach (Ed.), Springer-Verlag.
• Estimating the Equity Premium, with Glen Donaldson and Mark Kamstra, forthcoming, Journal of Financial and Quantitative Analysis.

Partial List of Working Papers and Work In Progress

• Opposing Seasonalities in Treasury versus Equity Returns, with Mark Kamstra and Maurice Levi.
  • Supplemental materials are available to accompany this paper, including 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 Mark Kamstra, Maurice Levi, and Russ Wermers. Seasonal Variation in Bid-Ask Spreads with Mark Kamstra 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.
• Time-Varying Risk Aversion and Individual Investors: An Experimental Analysis, with J. Mark Weber.

Media Coverage

• Media coverage of Winter Blues: A SAD Stock Market Cycle and related research:

  Print coverage: The Toronto Star, Oct. 17, 2008; The Guardian, Mar. 29, 2008; Globe and Mail, Dec. 12, 2007; Dallas Morning News, Dec. 6, 2007; The Washington Post, Dec. 2, 2007; The Daily Telegraph, Oct. 28, 2005; Sunday Herald, Aug, 28 2005; The Daily Telegraph, Nov. 1 2004; Money Sense Magazine, Nov. 2004, Toronto Star, Oct. 23 2004; Houston Chronicle, Aug. 15, 2004; Atlanta Journal-Constitution, Aug. 11, 2004; Vancouver Sun, Feb. 25 2004; Wilmott, Oct. 2003; Prevention, Oct. 2003; Washington Post, Apr. 27, 2003; Wall Street Journal, Sept. 2002; SmartMoney Magazine, Oct. 2001; National Post, Nov. 24, 2000; US News and World Reports, Oct. 30, 2000, Globe and Mail, Apr. 19, 2003 and Apr. 22, 2003; Ottawa Citizen, Apr. 22, 2003.
  Television coverage: Associated Press story picked up by 15 US TV stations, Apr. 16, 2003.
  Television interviews: CBC News at Six, Jan. 16, 2008; CTV-CFTO News, Feb. 5, 2005 (co-author); Report on Business TV, Oct. 27, 2003; CBC News, Jan. 25, 2000.
  Radio interviews: CBC Calgary (broadcast nationally), Apr. 4, 2005; The Business Network, CBC Radio One (national), Nov. 30, 2004; Motley Fools (broadcast on NPR affiliate stations), May 2003; Radio Canada International (broadcast in Europe, Africa, and the Middle East), Apr. 16, 2003; 680 News, Apr. 16, 2003; CBC Windsor, Apr. 17, 2003; CBC One, Apr. 22, 2003.
  Other coverage: CXOAdvisory.com, Dec. 20, 2007.

• Media coverage of Losing Sleep at the Market: The Daylight Saving Anomaly:

  Print coverage: Expansion (Spain), Oct. 31 2005; Hamilton Spectator, Oct. 28 2005; The Daily Telegraph, Nov. 1 2004; National Post, Apr. 2, 2001; Newsweek, October 23, 2000; Economic Intuition, Fall, 2000; Money, July 2000; Canadian Business, Apr. 3, 2000; Globe and Mail, Mar. 30, 1999; and The Province, Mar. 17, 1999.
  Radio interviews: a series of ten brief, live CBC Radio interviews in Apr. 2002.
  Radio coverage: Radio National (Australia) Sep. 1, 2003.

• Miscellaneous Media coverage:

  Print coverage: Montreal Gazette, quoted on financial crisis, Nov. 1, 2008; Toronto Star, quoted on new finance lab at UofT, Oct. 23, 2008; Oct. 23, 2008; Ottawa Citizen and Calgary Herald, quoted on behavioral finance, Oct. 8, 2008; National Post, quoted on behavioral finance in front-page article, Oct. 7, 2008; Investment Executive, quoted on behavioral finance, Feb. 2008; National Post, cover story in Financial Post on behavioral investing, July 14, 2007; reprinted in National Post, August 18, 2007; Investor Edge, quoted on behavioral finance, Sep. 4, 2007.
  Other coverage: CXOAdvisory.com, quoted on equity premium research, Nov. 22, 2006.

Grants and Distinctions

• SSHRC Standard Research Grant ($58,000, Co-Investigator), 2007-2010
• SSHRC Institutional Grant, 2007-present
• SSHRC Standard Research Grant ($88,000), 2006-2009
• Connaught New Staff Matching Grant ($25,000) 2006-2008
• SSHRC Institutional Grant, 2005 - present
• SSHRC Standard Research Grant ($68,000) 2003 - present
• SSHRC Institutional Grant, 2002 -2003
• SSHRC Institutional Grant, 2001-2002
• Connaught Start-Up Grant, 2001 - 2003
• SSHRC Doctoral Fellowship, 1994 - 1997
• MacPhee Memorial Fellowship, 1994 - 1995
• Outreach Doctoral Fellowship, 1992 - 1994
• Simcoe Special Fellowship, 1991 - 1992
• Massey College Resident Junior Fellow at University of Toronto, 1991 - 1992

Data and Supplemental Materials

Current Courses (Login required)

• MGT 330
• MGT 2302

Links

• Link to Lisa Kramer's Rotman web page
• Check out the new Master of Finance program at Rotman.