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BA (Queen's); MA (UBC); PhD (California, San Diego)
Associate Professor of Finance
Chair, Finance Area
Area(s):
Finance
E-mail:
mkamstra@schulich.yorku.ca
Telephone:
(416) 736-2100 ext. 33302
Office:
Room N225, SSB
Personal Website:
markkamstra.com
RESEARCH
Areas of Expertise
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Investments, Capital Markets, Financial Econometrics |
Current Research Projects
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Asset valuation, Investments, Capital Markets, Empirical Finance |
TEACHING
2004 - Present
|
Schulich School of Business, York University |
Teaching Area/s
|
Finance |
Courses Taught
|
Investments, Empirical Finance, Statistical Research Methods |
Previous Appointments
|
Simon Fraser University, Associate Professor, 1998-2001
Simon Fraser University, Assistant Professor, 1992-1998 |
Professional and Teaching Awards
|
Awarded $65,000 SSHRC Research Grant, 1996
Awarded NYSE Best Paper on Equity Trading at the 1994 Western Finance Association meetings for “Using Dividend Forecasting Models to Reject Bubbles in Asset Prices: The Case of the Crash of 1929”
Awarded $36,000 SSHRC Research Grant, 1993 |
WORK EXPERIENCE
Atlanta Federal Reserve Bank, Financial Economist, 2001-2004
PROFESSIONAL LEADERSHIP
- Member of American Economic Association,
- American Finance association,
- Western Finance Association,
- Canadian Economic Association
REPRESENTATIVE PUBLICATIONS
“Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff,” with R. Glen Donaldson, Journal of Financial Research 27 (4), Winter 2005, 519-538.
“Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions,” with Moshe A. Milevsky. Quantitative Finance 5 (3), June 2005, 237-244
“Winter Blues and Time Variation in the Price of Risk,” with Ian Garrett and Lisa A.Kramer, Journal of Empirical Finance 12, 291-316, 2005.
"Winter Blues: Seasonal Affective Disorder (SAD) and Stock Market Returns” with Lisa A. Kramer and Maurice D. Levi, American Economic Review,93 (1), 324-343, March 2003
“Losing Sleep at the Market: The Daylight-Saving Anomaly: Reply” with Lisa A. Kramer and Maurice D. Levi, American Economic Review, 92 (4), 1257-1263, September 2002.
“Losing Sleep at the Market: The Daylight-Saving Anomaly”, with Lisa A. Kramer and Maurice D. Levi, American Economic Review, 90 (4), 1005-1011, September 2000
“An Artificial Neural Network GARCH Model for International Stock Market Volatility”, with R. Glen Donaldson, Journal of Empirical Finance, 4 (1), 17-46, 1997
“A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash”, with R.G. Donaldson, Review of Financial Studies, 9, 333-383, 1996
“Interval Forecasting: An Analysis Based on ARCH – Quantile Estimators” with Clive W.J. Granger and Halbert White, Journal of Econometrics, 40, 87-96, 1989
CURRICULUM VITAE
Name
Mark J Kamstra
Rank
Associate Professor
Education
University of California, San Diego, PhD in Economics, March 1992
University of British Columbia, MA in Economics, October 1985
Queen’s University at Kingston, BA (Honours) in Economics, June 1984
Scholarly and Professional Activities
Member of the Canadian Econometrics Study Group Executive Board, 1999-2001
Ad hoc reviewer for:
American Economic Review,
Applied Econometrics,
Canadian Journal of Economics,
Communications in Statistics,
Econometrica,
Financial Analysts Journal,
Financial Management,
IEEE Transactions on Neural Networks,
International Journal of Forecasting,
International Review of Economics and Finance,
Journal of Applied Econometrics,
Journal of Economic Dynamics and Control,
Journal of Economics Education,
Journal of Empirical Finance,
Journal of Finance,
Journal of Financial and Quantitative Analysis,
Journal of Forecasting,
Journal of International Economics,
Macroeconomic Dynamics,
Management Science,
The Manchester School,
Pacific-Basin Finance Journal,
The Quarterly Review of Finance and Economics,
Studies in Nonlinear Dynamics and Econometrics.
Graduate Thesis Supervisions
PhD dissertation and masters thesis supervision: 39 students over 1992-2001
Research Funding
Awarded $65,000 SSHRC Research Grant, 1996
Awarded $36,000 SSHRC Research Grant, 1993
Publications
Books
Refereed Full Journal Papers
“Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff,” with R. Glen Donaldson, Journal of Financial Research 27 (4), Winter 2005, 519-538.
“Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions,” with Moshe A. Milevsky. Quantitative Finance 5 (3), June 2005, 237-244
“Winter Blues and Time Variation in the Price of Risk,” with Ian Garrett and Lisa A.Kramer, Journal of Empirical Finance 12, 291-316, 2005.
“Winter Blues: Seasonal Affective Disorder (SAD) and Stock Market Returns” with Lisa A. Kramer and Maurice D. Levi, American Economic Review,93 (1), 324-343, March 2003
“Estimating and Testing Fundamental Stock Prices: Evidence from Simulated Economies”, with R. Glen Donaldson, Computer-Intensive Econometrics, ed. D. Giles, Statistics Textbooks & Monographs, Marcel Dekker: New York, 2003
“Losing Sleep at the Market: The Daylight-Saving Anomaly: Reply” with Lisa A. Kramer and Maurice D. Levi, American Economic Review, 92 (4), 1257-1263, September 2002
“Combining Bond Rating Forecasts Using Logit”, with Peter Kennedy and Teck-Kin Suan, The Financial Review, 36 (2), 75-96, May 2001
“Losing Sleep at the Market: The Daylight-Saving Anomaly”, with Lisa A. Kramer and Maurice D. Levi, American Economic Review, 90 (4), 1005-1011, September 2000
“An Observation on Regression-Based Specification Tests”, Communication in Statistics, Theory and Methods, 28 (6), 1435-1446, 1999
“Neural Network Forecast Combining with Interaction Effects”, with R. Glen Donaldson, Journal of the Franklin Institute, 336 (2), 227-236, 1999
“Combining Qualitative Forecasts Using Logit”, with Peter Kennedy, International Journal of Forecasting, 14, 83-93, 1998
“An Artificial Neural Network GARCH Model for International Stock Market Volatility”, with R. Glen Donaldson, Journal of Empirical Finance, 4 (1), 17-46, 1997
“Evolving Artificial Neural Networks to Combine Financial Forecasts”, with Paul Harrald, IEEE Transactions on Evolutionary Computation, 1 (1), 40-52, 1997
“A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash”, with R.G. Donaldson, Review of Financial Studies, 9, 333-383, 1996
“Forecast Combining with Neural Networks”, with R. Glen Donaldson, Journal of Forecasting, 15, 49-61, 1996
“Combining Algorithms Based on Cointergrating Restrictions Together with Robust Estimation Techniques”, with Jeffrey Hallman, Journal of Forecasting, 8, 189-198, 1989
“Interval Forecasting: An Analysis Based on ARCH – Quantile Estimators” with Clive W.J. Granger and Halbert White, Journal of Econometrics, 40, 87-96, 1989
Refereed Conference Proceedings
“Loan Resales, Asset Selection and Borrowing Cost,” European Finance Association meetings, Zurich, CH, Aug. 2006.
“Seasonal Affective Disorder (SAD) and Financial Markets,” invited speaker at the Canadian Investment Review Annual conference on Risk Management, 2005.
“Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions,” at the Northern Finance Association Meetings, 2005.
“Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium” at the Burridge Center for Securities Analysis and Valuation Annual Conference, Denver Colorado, Fall 2003; meetings of the European Econometrics Society, Venice Italy, Summer 2002; meetings of the Western Finance Association, Park City UT, Summer 2002 (presented by co-author); Federal Reserve Bank of Atlanta, Spring 2002 Queen’s University, Spring 2002; and Wilfrid Laurier University, Fall 2001
“SAD Investors: Implications of Seasonal Variations in Risk Aversion” at the Atlanta Federal Reserve Bank, Summer 2003; University of British Columbia, Summer 2003
“A SAD Day for Behaviour Finance? Winter Blues and Time Variation in the Price of Risk” at Northern Finance Association, Fall 2003
“Discount Rates, Equity Premia, and Asset Valuation: Mind the Gap” at Emory University, Fall 2002; Manchester School of Accounting and Finance, Spring 2003
“Rational Exuberance: The Fundamentals of Pricing Firms, from Blue Chips to Dot-Com” at University of Toronto, Fall 2001; All Georgia Finance Conference, Atlanta GA, Fall 2001; University of British Columbia, Fall 2001; Simon Fraser University, Spring 2001; University of Victoria, Fall 2000; and Canadian Economics Association Annual Meetings, Vancouver BC, Spring 2000
“Forecasting Fundamental Stock Price Distributions” at Federal Reserve Bank of Atlanta, Spring 2001; and McGill University, Spring 2001
“Winter Blues; A SAD Stock Market” at meetings of the American Finaqnce Association, New Orleans LA, Winter 2001 (presented by co-author); and Canadian Econometrics Study Group, Guelph ON, Fall 2000
“Forecasting Volatility with ARCH, Trading Volume and Options” at University of Manchester, Fall 2000; Royal Holloway University of London, Fall 2000; and University of Victoria One-Day Econometrics Colloquium, Spring 1999
“Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles” at Canadian Econometrics Study Group, Kingston ON, Fall 1997; Third International Conference on Computing in Economics and Finance, Palo Alto CA, Summer 1997; Neural Network Workshop, Montreal QU, Fall 1996; University of Toronto, Spring 1996; University of Alberta, Spring 1996; Wilfrid Laurier University, Spring 1996; and Simon Fraser University, Fall 1995
“Use of Artificial Neural Networks in Forecast Combinationin Economics” at Workshop on Foundations of Information/Decision Fusion (Invited Speaker), Washington DC, Summer 1996
“A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash” at Canadian Econometrics Study Group, Montreal QU, Fall 1995; meetings of the Western Finance Association, Whistler BC, Summer 1994 (presented by co-author); and Simon Fraser University, Fall 1993
“Using Artificial Neural Networks to Combine Financial Forecasts” at University of Victoria, Fall 1994; International Workshop on Neural Networks in Capital Markets, Pasadena CA, Fall 1994; International Conference on Computing in Economics and Finance, Amsterdam, Summer 1994; Simon Fraser University, Spring 1994, and University of British Columbia, Spring 1994
“Evaluating Alternative Models for Conditional Stock Volatility: Evidence From International Data” at Winter Meetings of the Econometric Society, Boston MA, Winter 1994
“A Neural Network Modelling Procedure for Heteroskedastic Effects in Stock Return Data and Demonstration of Non-Stationarities” at Canadian Econometrics Study Group, Quebec City QU, Fall 1991; and Canadian Economics Association Meetings, Kingston ON, Summer 1991 |
RESEARCH