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58 records from EconBiz based on author Name
1. Race, police violence, and financial decision-making
Bogan, Vicki; Kramer, Lisa A.; Liao, Chi; Niessen-Ruenzi, Alexandra;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Research Data:
2. Seasonal asset allocation : evidence from mutual fund flows
abstractOver the past 30 years, mutual funds have become the dominant vehicle through which individual investors prepare for retirement via defined contribution plans. Further, money market mutual funds, which hold $2.7 trillion as of September 2013, are now a major part of the cash economy in the U.S. Accordingly, the flow of money to and from different mutual fund categories (e.g., equities vs. money funds) increasingly reflects the sentiment or risk aversion of the general population. In this study, we analyze flows between different categories of mutual funds, and find strong evidence of a seasonality in risk aversion of individual investors. Specifically, we find that aggregate investor flow data reveals an investor preference for U.S. money market and government bond mutual funds in the autumn, and equity funds in the spring, controlling for the influence of seasonality in past performance, advertising, liquidity needs, and capital gains overhang on fund flows. This movement of large amounts of money between fund categories is correlated with a proxy for variation in investor risk aversion across the seasons, consistent with investors' revealed preferences for safer investments in the fall, and riskier investments in the spring. We find similar evidence in Canadian mutual fund flows, and in flows among Australian funds, where the seasons are six months out of phase relative to Canada and the U.S. While prior evidence regarding the influence of seasonally changing risk aversion on financial markets relies on seasonal patterns in asset returns, we provide the first direct trade-related evidence.
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; Wermers, Russ;2013
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
Link 3. The Spillover Effects of Management Overconfidence on Analyst Forecasts
abstractOverconfident CEOs are known to overestimate their ability to generate returns, overpay for target firms, and take excessive risks. We find a CEO's overconfidence can also indirectly affect other market participants, specifically analysts who issue earnings forecasts. First, firms with overconfident CEOs are more likely to have analysts issue earnings forecasts that are optimistic relative to actual earnings; that is, the earnings forecasts more frequently exceed the actual realized earnings than the reverse. Second, firms with overconfident CEOs tend to have less dispersed analyst earnings forecasts. And third, smaller analyst forecast errors are associated with firms that have overconfident CEOs. These findings demonstrate the importance of CEOs' behavioral characteristics in shaping the environment in which analysts and other market participants make important financial decisions, in some cases improving the information environment
Kramer, Lisa A.; Liao, Chi;2017
Availability: Link
4. Seasonal asset allocation : evidence from mutual fund flows
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; Wermers, Russ;2017
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
5. Seasonal Asset Allocation : Evidence from Mutual Fund Flows
abstractWe analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gain overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada, and in Australia where seasons are offset by six months
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; Wermers, Russ;2015
Availability: Link Link
Citations: 12 (based on OpenCitations)
6. Seasonally Varying Preferences : Theoretical Foundations for an Empirical Regularity
abstractWe investigate an asset pricing model with preferences cycling between high risk aversion and low EIS in fall/winter and the reverse in spring/summer. Calibrating to consumption data and allowing plausible preference parameter values, we produce returns that match observed equity and Treasury returns across the seasons: risky returns are higher and risk-free returns are lower or stable in fall/winter, and they reverse in spring/summer. Further, risky returns vary more than risk-free returns. A novel finding is that both EIS and risk aversion must vary seasonally to match observed returns. Further, the degree of necessary seasonal change in EIS is small
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; Wang, Tan;2014
Availability: Link Link
Citations: 3 (based on OpenCitations)
7. Stare Down the Barrel and Center the Crosshairs : Targeting the Ex Ante Equity Premium
abstractThe equity premium of interest in theoretical models is the extra return investors anticipate when purchasing risky stock instead of risk-free debt. Unfortunately, we do not observe this ex ante premium in the data; we only observe the returns that investors actually receive ex post, after they purchase the stock and hold it over some period of time during which random economic shocks affect prices. Over the past century U.S. stocks have returned roughly 6 percent more than risk-free debt, which is higher than warranted by standard economic theory; hence the quot;equity premium puzzle.quot; In this paper we devise a method to simulate the distribution from which ex post equity premia are drawn, conditional on various assumptions about investors' ex ante equity premium. Comparing statistics that arise from our simulations with key financial characteristics of the U.S. economy, including dividend yields, Sharpe ratios, and interest rates, suggests a much narrower range of plausible equity premia than has been supported to date. Our results imply that the true ex ante equity premium likely lies very close to 4 percent
Donaldson, R. Glen; Kamstra, Mark J.; Kramer, Lisa A.;2014
Availability: Link Link
8. Winter Blues : A Sad Stock Market Cycle
abstractThis paper investigates the role of seasonal affective disorder (SAD) in the seasonal time-variation of stock market returns. SAD is an extensively documented medical condition whereby the shortness of the days in fall and winter leads to depression for many people. Experimental research in psychology and economics indicates that depression, in turn, causes heightened risk aversion. Building on these links between the length of day, depression, and risk aversion, we provide international evidence that stock market returns vary seasonally with the length of the day, a result we call the SAD effect. Using data from numerous stock exchanges and controlling for well-known market seasonals as well as other environmental factors, stock returns are shown to be significantly related to the amount of daylight through the fall and winter. Patterns at different latitudes and in both hemispheres provide compelling evidence of a link between seasonal depression and seasonal variation in stock returns: Higher latitude markets show more pronounced SAD effects and results in the Southern Hemisphere are six months out of phase, as are the seasons. Overall, the economic magnitude of the SAD effect is large
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.;2014
Availability: Link Link
Citations: 5 (based on OpenCitations)
9. Seasonal Variation in Treasury Returns
abstractWe document a novel and striking annual cycle in the U.S. Treasury market, with a variation in mean monthly returns of over 80 basis points from peak to trough. We show that this seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, the weather, cross-hedging between equity and Treasury markets, conventional measures of investor sentiment, seasonalities in the Treasury market auction schedule, seasonalities in the Treasury debt supply, seasonalities in the FOMC cycle, or peculiarities of the sample period considered. Rather, the seasonal pattern in Treasury returns is significantly correlated with a proxy for variation in investor risk aversion across the seasons, and a model based on that proxy is able to explain more than sixty percent of the average seasonal variation in monthly Treasury returns. The White (2000) reality test confirms that the correlation between returns and the proxy for seasonal variation in investor risk aversion cannot be easily dismissed as the simple result of data snooping
Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.;2014
Availability: Link Link
Citations: 7 (based on OpenCitations)
10. Winter Blues and Time Variation in the Price of Risk
abstractPrevious research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. We study the SAD effect in the context of an equilibrium asset pricing model to determine whether the seasonality can be explained using a conditional version of the CAPM that allows the price of risk to vary over time. Using daily and monthly data for the US, Sweden, New Zealand, the UK, Japan, and Australia, we find that a conditional CAPM that allows the price of risk to vary in relation to seasonal variation in the length of day fully captures the SAD effect. This is consistent with the notion that the SAD effect arises due to the heightened risk aversion that comes with seasonal depression, reflected by a changing risk premium
Kamstra, Mark J.; Kramer, Lisa A.; Garrett, Ian;2014
Availability: Link Link