Citations to Lisa Kramer’s Research September...

Citations to Lisa Kramer’s ResearchSeptember 2010

Peer-reviewed journal articles and books that cite this published paper:

Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2003, Winter Blues:A SAD Stock Market Cycle, American Economic Review 93(1), 324-343.

1. Al-Khazali, Osamah M., Evangelos P. Koumanakos, and Chong Soo Pyun, 2008, Calen-dar anomaly in the Greek stock market: Stochastic dominance analysis, InternationalReview of Financial Analysis 17(3), 461-474.

2. Baddeley, Michelle, 2010, Herding, social influence and economic decision-making:socio-psychological and neuroscientific analyses, Philosophical Transactions of the RoyalSociety. Series B, Biological Sciences 354(1538), 281-290.

3. Baker, Malcolm and Jeffrey Wurgler, 2007, Investor sentiment in the stock market,Journal of Economic Perspectives 2(21), 129-151.

4. Baker, H. Kent and John R. Nofsinger, 2002, Psychological Biases of Investors, Finan-cial Services Review 11(2), 97-116.

5. Bhattarai, Ram Chandra and Nayan Krishna Joshi, 2007, Stock Returns and Eco-nomically Neutral Behavioural Variables: Evidence from the Nepalese Stock Market,Economic Review Occasional Paper 19, 43-58.

6. Berry, Brian J.L. and Adam Okulicz-Kozaryn, 2008, Are there ENSO signals in themacroeconomy? Ecological Economics 64(3), 625-633.

7. Berument, H., Y. Akdi, and C. Atakan, 2005, An empirical analysis of Istanbul stockexchanges and sub-indexes, Studies in Nonlinear Dynamics and Econometrics 9(3),1081-1826.

8. Bohl, Martin T., Christianne Goodfellow, and Jedrzej Bialkowski, forthcoming, In-dividual investors surpass their reputation: Trading behaviour on the Polish futuresmarket, Economic Systems.

9. Brounen, Dirk and Yair Ben-Hamo, 2009, Calendar Anomalies: The Case of Inter-national Property Shares, The Journal of Real Estate Finance and Economics 38(2),115-136.

10. Cao, Melanie and Jason Wei, 2005, Stock Market Returns: A Note on TemperatureAnomaly, Journal of Banking and Finance 29(6), 1559-1574.

11. Chang, T.Y., C.C. Nieh, M.J. Yang, and T.Y. Yang, 2006, Are stock market returnsrelated to the weather effects? Empirical evidence from Taiwan, Physica A - StatisticalMechanics and Its Applications 364, 343-354.

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12. Conlin, Michael, Ted O’Donoghue, and Timothy J. Vogelsang, 2007, Projection Biasin Catalog Orders, American Economic Review, 97(4), 1217-1249.

13. Cumming, Douglas and Na Dai, 2009, Capital Flows and Hedge Fund Regulation,Journal of Empirical Legal Studies 6(4), 848-873.

14. Daniel, Kent, David Hirshleifer, and Siew Hong Teoh, 2002, Investor Psychology inCapital Markets: Evidence and Policy Implications, Journal of Monetary Economics49(1), 139-209.

15. Dichev, Ilia D. and Troy D. Janes, 2003, Lunar cycle effects in stock returns, Journalof Private Equity, Fall, 8-29

16. Dolvin, Steven D. and Mark K. Pyles, 2007, Seasonal Affective Disorder and the Pricingof IPOs, Review of Accounting and Finance 6(2), 214-228.

17. Dolvin, Steven D., Mark K. Pyles, and Q. Wu, 2009, Analysts Get SAD Too: theEffect of Seasonal Affective Disorder on Stock Analysts’ Earnings Forecasts, Journalof Behavioural Finance 10(4), 214-225.

18. Doeswijk, Ronald Q., 2008, The Optimism Cycle: Sell in May, De Economist 156(2)175-200.

19. Dowling, Michael, and Brian M. Lucey, 2005, Weather, Biorhythms, and Stock Re-turns: Some Preliminary Irish Evidence, International Review of Financial Analysis14(03), 337-355.

20. Dowling, Michael and Brian M. Lucey, 2008, Robust global mood influences in equitypricing, Journal of Multinational Financial Management 18(2), 145-164.

21. Dowling, Michael and Brian M. Lucey, 2008, Mood and UK equity pricing, AppliedFinancial Economics Letters 4(4), 233-240.

22. Drakos, Konstantinos, 2010, Terrorism activity, investor sentiment, and stock returns,Review of Financial Economics 19(3), 128-135.

23. Durand, Robert B., Marta Simon, and Alex Szimayer, 2009, Anger, sadness and bearmarkets, Applied Financial Economics 19(5), 357-369.

24. Dzvonik, Oliver, Jana Stetiarova, Kate Kudela, and Peter Daxner, 2006, A monitoringof space weather effects on some parameters of mental performance and health inaviation personnel, Studia Psychologica 48(4), 273-292.

25. Edmans, Alex, Diego Garcıa, and Øyvind Norli, 2007, Sports sentiment and stockreturns, Journal of Finance, 62(4), 1967-1998.

26. Falato, Antonio, 2009, Happiness Maintenance and Asset Prices, Journal of EconomicDynamics and Control 33(6), 1247-1262.

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27. Fehle, Frank, Sergey Tsyplakov, and Vladimir Zdorovtsov, 2005, Can Companies In-fluence Investor Behaviour through Advertising? Super Bowl Commercials and StockReturns, European Financial Management 11(5), 625-647.

28. Floros, Christos, 2008, Stock market returns and the temperature effect: new evidencefrom Europe, Applied Financial Economics Letters 4(6), 416-467.

29. Frieder, Laura and A. Subrahmanyam, 2004, Nonsecular Regularities in Returns andVolume, Financial Analyst Journal 60(4), 29-34.

30. Gilad, Dalia and Doron Kliger, 2008, Priming the Risk Attitudes of Professionals inFinancial Decision Making, Review of Finance 12(3), 567-586.

31. Goetzmann, William N. and Ning Zhu, 2005, Rain or Shine: Where is the WeatherEffect? European Financial Management 11(5), 559-578.

32. Goodfellow, Christianne, Dirk Schiereck, and Tatjana Verrier, 2010, Does screen trad-ing weather the weather? A note on cloudy skies, liquidity, and computerized stockmarkets, International Review of Financial Analysis 19(2), 77-80.

33. Grable, John and Michael Roszkowski, 2008, The influence of mood on the willingnessto take financial risks, Journal of Risk Research 11(7), 905-923.

34. Hammami, Fatma and Ezzeddine Abaoub, 2010, Lunar Phases, Investor Mood, and theStock Market Returns: Evidence from the Tunisian Stock Exchange, Global Journalof Finance and Management 2(1), 1-18.

35. Heston, Steven L. and Ronnie Sadka, 2008, Seasonality in the Cross-Section of StockReturns, Journal of Financial Economics, 87, 418-445.

36. Heston, Steven L., Robert A. Korajczyk, and Ronnie Sadka, 2010, Intraday Patternsin the Cross-section of Stock Returns, Journal of Finance 64(4), 1369-1407.

37. Hirshleifer, David, 2001, Investor Psychology and Asset Pricing, Journal of Finance,56(4) 1533-1597.

38. Hirshleifer, David and Tyler Shumway, 2003, Good Day Sunshine: Stock Returns andthe Weather, Journal of Finance 58(3), 1009-1032.

39. Huang, Peter H., 2005, Moody Investing and the Supreme Court: Rethinking theMateriality of Information and the Reasonableness of Investors, in Parisi, Francescoand Daniel D. Polsby (eds) The Supreme Court Economic Review 13, University ofChicago Press.

40. Huang, Peter H., 2008, How do Securities Laws Influence Affect, Happiness, & Trust?Journal of Business and Technology Law 3, 257-308.

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41. Jacobsen, Ben and Wessel Marquering, 2008, Is it the Weather? Journal of Bankingand Finance 32(4), 526-540.

42. Jacobsen, Ben and Wessel Marquering, 2009, Is it the weather? Response, Journal ofBanking and Finance, 33(3), 583-587.

43. Jacobsen, Ben and Nuttawat Visaltanachoti, 2009, The Halloween Effect in US Sectors,Financial Review 44(3), 437-459.

44. Kang, Sang Hoon, Zhuhua Jiang, Yeonjeong Lee, and Seong-Min Yoon, 2010, Weathereffects on the returns and volatility of the Shanghai stock market, Physica A: StatisticalMechanics and its Applications 389(1), 91-99.

45. Kaplanski, Guy and Haim Levy, 2010, Sentiment and Stock Prices: The Case of Avi-ation Disasters, Journal of Financial Economics 95(2), 174-201.

46. Kaplanski, Guy and Haim Levy, 2010, Exploitable Predictable Irrationality: The FIFAWorld Cup Effect on the U.S. Stock Market, Journal of Financial and QuantitativeAnalysis 45(2), 535-553.

47. Kasof, J., 2009, Cultural variation in seasonal depression: cross-national differencesin winter versus summer patterns of seasonal affective disorder, Journal of AffectiveDisorders 115, 79-86.

48. Kelly, Patrick and Felix Meschke, 2010, Sentiment and stock returns: The SADanomaly revisited, Journal of Banking and Finance 34, 1308-1326.

49. Kliger, Doron and Ori Levy, 2003, Mood and Judgment of Subjective Probabilities:Evidence from the US Index Option Market, European Finance Review (now the Reviewof Finance) 7(2), 235-248.

50. Kliger, Doron and Ori Levy, 2008, Mood impacts on probability weighting functions:“Large-gamble” evidence, Journal of Socio-Economics 37(4), 1397-1411.

51. Lee, Way Lee, forthcoming, The mood of a firm, Journal of Socio-Economics.

52. Lee, Yuan-Ming and Kuan-Min Wang, 2010, The asymmetric impulse of the sunshineeffect on stock returns and volatilities, Amfiteatru Economic 12(28) 606-633.

53. Lenkkeri, V., W. Marquering, and B. Strunkmann-Meister 2006, The Friday Effect inEuropean Securitized Real Estate Index Returns, Journal of Real Estate Finance andEconomics 33(1) 31-50.

54. Lerner, Jennifer S., Deborah A. Small, and George Loewenstein, 2004, Heart stringsand purse strings: Carry-over effects of emotions on economic transactions, Psycholog-ical Science 15(5), 337-341.

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55. Levy, Ori and Itai Galili, 2008, Stock purchase and the weather: Individual differences,Journal of Economic Behavior and Organization 67(3-4), 755-767.

56. Limpaphayom, Piman, Peter R. Locke, and Pattarake Sarajoti, 2007, Gone with theWind: Chicago’s Weather and Futures Trading, Review of Futures Markets 16(1).

57. Lo, A.W., Repin, D.V., and Steenbarger, B.N., 2005, Fear and greed in financial mar-kets: A clinical study of day-traders, American Economic Review 95(2), 352-359.

58. Loughran, Tim and Paul Schultz, 2004, Weather, Stock Returns, and the Impact ofLocalized Trading Behavior, Journal of Financial and Quantitative Analysis 39(2),343-364.

59. Lucey, Brian M., 2000, Friday the 13th and the Philosophical Basis of Financial Eco-nomics, Journal of Economics and Finance 24(3), 294-301.

60. Lucey, Brian M., 2010, Lunar seasonality in precious metal returns? Applied EconomicsLetters 17(9),835-838.

61. Lucey, Brian M. and Michael Dowling 2005, The Role of Feelings in Investor Decision-Making, Journal of Economic Surveys 19(2), 211-237.

62. Mehra, Rajnish and Raaj Sah, 2002, Mood fluctuations, projection bias, and volatilityof equity prices, Journal of Economic Dynamics and Control 26, 869-887.

63. Mercado-Mendez, Jose, Roger J. Best, and Ronald W. Best, 2006, Earnings Surpriseand the Relative Information Content of Short Interest, in Cheng-Few Lee, ed., Ad-vances in Quantatative Analysis of Finance and Accounting, Volume 4, 121-135.

64. Murray, Kyle B., Fabrizio Di Muro, Adam Finn, and Peter Popkowski Leszczyc, 2010,The effect of weather on consumer spending, Journal of Retailing and Consumer Ser-vices, forthcoming.

65. Nofsinger, John R., 2005, Social Mood and Financial Economics, Journal of BehavioralFinance 6(3), 144-160.

66. Palomino, Frederic, Luc Reneboog, and Chendi Zhang, 2009, Information salience,investor sentiment, and stock returns: The case of British soccer betting, Journal ofCorporate Finance 15(3), 368-387.

67. Pardo, Angel and Enric Valor, 2003, Spanish Stock Returns - Rational or WeatherInfluenced? European Financial Management 9, 117-126.

68. Peterson, Richard L., 2007, Affect and Financial Decision-Making: How NeuroscienceCan Inform Market Participants, Journal of Behavioral Finance 8(2), 70-78.

69. Peterson, Richard L. 2005, The neuroscience of investing: fMRI of the reward system,Brain Research Bulletin, 67(5), 391-397.

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70. Peterson, Richard L., 2002, Buy on the Rumor: Anticipatory Affect and InvestorBehavior, Journal of Psychology and Financial Markets 3(4), 218-226.

71. Pham, Michel Tuan, 2007, Emotion and Rationality: A Critical Review and Interpre-tation of Empirical Evidence, Review of General Psychology 11(1), 155-178.

72. Raifman, Lawrence J., 2003, A Family Tale: Behavioral Finance and the Seagram-Vivendi Merger, Journal of International Business and Law 2, 7-26.

73. Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou, and Yueh-Hsiang Lin, 2008,Weather and Intraday Trading Activity, Journal of Banking and Finance 32(9), 1754-1766.

74. Shu, Hui-Chu, forthcoming, Investor mood and financial markets, Journal of EconomicBehavior and Organization.

75. Shu, Hui-Chu and Mao-Wei Hung, 2009, Effect of wind on stock market returns: evi-dence from European markets, Applied Financial Economics 19, 893-904.

76. Stout, Lynn A., 2003, The Mechanisms of Market Inefficiency: An Introduction to theNew Finance, Journal of Corporate Law 28, 635-669.

77. Stout, Lynn A., 2005, Inefficient Markets and the New Finance, Journal of FinancialTransformation 14, 94-105.

78. Symeonidis, Lazaros, Geoge Daskalakis, Raphael N. Markellos, and Y. House, forth-coming, Does the Weather Affect Stock Market Volatility? Finance Research Letters.

79. Tufan, Ekrem and Bahattin Hamarat, 2003, Do Cloudy Days Affect Stock ExchangeReturns: Evidence from the Istanbul Stock Exchange, Journal of Naval Science andEngineering 2(1) 117-126.

80. Worthington, Andrew C., 2009, An Empirical Note on Weather Effects in the Aus-tralian Stock Market, Economic Papers 28(2), 148-154.

81. Yoon, Seong-Min and Sang Hoon Kang, 2009, Weather effects on returns: Evidencefrom the Korean stock market, Physica A: Statistical Mechanics and its Applications388(5), 682-690.

82. Yuan, Kathy, Lu Zheng, and Quaoqiao Zhu, 2006, Are Investors Moonstruck? LunarPhases and Stock Returns, Journal of Empirical Finance 13(1), 1-23.

Peer-reviewed journal articles that cite this published paper:

Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2000, Losing Sleep atthe Market: The Daylight Saving Anomaly, American Economic Review90(4), 1005-1011.

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1. Alonso, Abel D. and Alfred Ogle, 2009, Impact of daylight saving on small hospitalityand tourism businesses: A Western Australian case study, Tourism and HospitalityResearch 9, 314-324.

2. Barnes, Christopher M. and David T. Wagner, 2009, Changing to daylight saving timecuts into sleep and increases workplace injuries, Journal of Applied Psychology 94(5),1305-1317.

3. Berument, Hakan, Nukhet Dogan, and Bahar Onar, 2010, Effects of Daylight SavingsTime Changes on Stock Market Volatility, Psychological Reports 106(2), 632-640.

4. Boyle, Glenn and Brett Walter, 2003, Reflected glory and failure: international sportingsuccess and the stock market, Applied Financial Economics 13(3), 225-235.

5. Brockett, Patrick L., Mulong Wang, and Chuanhou Yang, 2005, Weather Derivativesand Weather Risk Management, Risk Management and Insurance Review 8(1) 127-140.

6. Brockett, Patrick L., Mulong Wang, and H. Zou, 2006, Portfolio Effects and Valuationof Weather Derivatives, The Financial Review 41, 55-76.

7. Cao, Melanie and Jason Wei, 2005, Stock Market Returns: A Note on TemperatureAnomaly, Journal of Banking and Finance 29(6), 1559-1573.

8. Chen, Honghui and Vijay Singal, 2003, Role of Speculative Short Sales in Price For-mation, Journal of Finance 58(2), 685-705.

9. Choi, Stephen J. and A.C. Pritchard, 2003, Behavioral Economics and the SEC, Stan-ford Law Review 56(1), 1-74.

10. Daniel, Kent, David Hirshleifer, and Siew Hong Teoh, 2002. Investor Psychology inCapital Markets: Evidence and Policy Implications, Journal of Monetary Economics49(1), 139-209.

11. Dickinson, David L. and Sean P.A. Drummond, 2008, The Effects of Total Sleep De-privation on Bayesian Updating, Judgment and Decision Making 3(2), 181-190.

12. Dowling, Michael, and Brian M. Lucey, 2005, Weather, Biorhythms, and Stock Re-turns: Some Preliminary Irish Evidence, International Review of Financial Analysis14(03), 337-355.


14. Dowling, Michael and Brian M. Lucey, 2008, Mood and UK equity pricing, AppliedFinancial Economics Letters 4(4), 233-240.

15. Drakos, Konstantinos, 2010, Terrorism activity, investor sentiment, and stock returns,Review of Financial Economics 19(3), 128-135.

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16. Durand, Robert B., Marta Simon, and Alex Szimayer, 2009, Anger, sadness and bearmarkets, Applied Financial Economics 19(5), 357-369.

17. Edmans, Alex, Diego Garcıa, and Øyvind Norli, 2007, Sports sentiment and stockreturns, Journal of Finance, 62(4), 1967-1998.

18. Gerlach, Jeffrey R., 2007, Macroeconomic News and Stock Market Calendar andWeather Anomalies, 2007, Journal of Financial Research, 30(2), 283-300.


20. Hamermesh, Daniel S., Caitlin Knowles Myers, and Mark L. Pocock, 2008, Cues forCoordination: Latitude, Letterman, and Longitude, Journal of Labor Economics 26(2),223-246.


22. Hirshleifer, David, 2001, Investor Psychology and Asset Pricing, Journal of Finance,56(4) 1533-1597.


24. Huang, Peter H., 2005, Moody Investing and the Supreme Court: Rethinking theMateriality of Information and the Reasonableness of Investors, in Parisi, Francescoand Daniel D. Polsby (eds) The Supreme Court Economic Review 13, University ofChicago Press.

25. Jacobsen, Ben and Wessel Marquering, 2008, Is it the Weather? Journal of Bankingand Finance 32(4), 526-540.



28. Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2002, Losing Sleep at theMarket: The Daylight Saving Anomaly: Reply, American Economic Review 92(4)1257-1263.


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30. Kellogg, Ryan and Hendrik Wolff, 2008, Daylight time and energy: Evidence froman Australian Experiment, Journal of Environmental Economics and Management 56,207-220.

31. Klein, Christian, Bernhard Zwergel, and J. Henning Fock, 2009, Reconsidering theimpact of national soccer results on the FTSE100, Applied Economics 41(25), 3287-3294.

32. Klein, Christian, Bernhard Zwergel, and Sebastian Heiden, 2009, On the existence ofsports sentiment: the relation between football match resuls and stock index returnsin Europe, Review of Managerial Science 3, 191-208.



35. Kourtidis, Dimitrios, Zeljko Sevic, and Prodromos Chatzoglou, 2010, Investors’ tradingactivity: a behavioural perspective, International Journal of Trade and Global Markets3(1) 52-6.

36. Muhammad, Nik Maheran Nik, 2009, Behavioral Finance vs Traditional Finance Ad-vances in Management 2(6).

37. Lamb, Reinhold P., Richard A. Zuber, and John M. Gandar, 2004, Don’t Lose Sleepon It: A Re-Examination of the Daylight Saving Time Anomaly, Applied FinancialEconomics 14(6), March, 443-446.

38. Levy, Ori and Itai Galili, 2008, Stock purchase and the weather: Individual differences,Journal of Economic Behavior and Organization 67(3-4), 755-767.

39. Limpaphayom, Piman, Peter R. Locke, and Pattarake Sarajoti, 2007, Gone with theWind: Chicago’s Weather and Futures Trading, Review of Futures Markets 16(1).

40. Lucey, Brian M., 2000, Friday the 13th and the Philosophical Basis of Financial Eco-nomics, Journal of Economics and Finance 24(3), 294-301.

41. Lucey, Brian M., 2010, Lunar seasonality in precious metal returns? Applied EconomicsLetters 17(9),835-838.


43. Mehra, Rajnish and Raaj Sah, 2002, Mood fluctuations, projection bias, and volatilityof equity prices, Journal of Economic Dynamics and Control 26, 869-887.

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44. Muller, Luisa, Dirk Schiereck, Mark W. Simpson, Christian Voigt, 2009, Daylightsaving effect, Journal of Multinational Financial Management 19, 127-138.

45. Pardo, Angel and Enric Valor, 2003, Spanish Stock Returns - Rational or WeatherInfluenced? European Financial Management 9, 117-126.

46. Peterson, Richard L., 2002, Buy on the Rumor: Anticipatory Affect and InvestorBehavior, Journal of Psychology and Financial Markets 3(4), 218-226.

47. Peterson, Richard L. 2005, The neuroscience of investing: fMRI of the reward system,Brain Research Bulletin, 67(5), 391-397.

48. Pinegar, J. Michael, 2002, Losing Sleep at the Market: Comment, American EconomicReview 92(4), 1251-1256.

49. Shao-Chi Chang, Sheng-Syan Chen, Robin K. Chou, and Yueh-Hsiang Lin, 2008,Weather and Intraday Trading Activity, Journal of Banking and Finance 32(9), 1754-1766.

50. Shefrin, Hersh, 2010, Behavioralizing Finance, Foundations and Trends in Finance 4(1-2), 1-184.

51. Sood, Neeraj, and Arkadipta Ghosh, 2007, The Short and Long Run Effects of Day-light Saving Time on Fatal Automobile Crashes, The Berkeley Electronic Journal ofEconomic Analysis and Policy 7(1), Article 11.

52. Stein, Ernesto and Christian Daude, 2007, Longitude Matters: Time Zones and theLocation of Foreign Direct Investment. Journal of International Economics, 71(1),96-112.

53. Stracca, Livio, 2002, Behavioural finance and asset prices: Where do we stand? Journalof Economic Psychology 25(3), 373-405.

54. Subrahmanyam, Avanidhar, 2008, Behavioral Finance: A Review and Synthesis, Eu-ropean Financial Management, 14, 1, 12-29.

55. Symeonidis, Lazaros, Geoge Daskalakis, Raphael N. Markellos, and Y. House, 2010,Does the Weather Affect Stock Market Volatility? Finance Research Letters.

56. Thompson, Simon, 2009, Trading Secrets: 20 Hard and Fast Rules to Help You Beatthe Stock Market, Pearson Education Limited.

57. Worthington, Andrew C., 2003, Losing sleep at the market: An empirical note on thedaylight saving anomaly in Australia, Economic Papers 22(4), 83-93.

58. Worthington, Andrew C., 2005, Business expectations and preferences regarding theintroduction of daylight saving in Queensland, Economic Analysis and Policy, 34(1),1-18.

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60. Yuan, Kathy, Lu Zheng, and Quaoqiao Zhu, 2006, Are Investors Moonstruck? LunarPhases and Stock Returns, Journal of Empirical Finance 13(1), 1-23.


Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2002, Losing Sleep atthe Market: The Daylight Saving Anomaly: Reply, American EconomicReview 92(4) 1257-1263

1. Berument, Hakan, Nukhet Dogan, and Bahar Onar, 2010, Effects of Daylight SavingsTime Changes on Stock Market Volatility, Psychological Reports 106(2), 632-640.






7. Shu, Hui-Chu and Mao-Wei Hung, 2009, Effect of wind on stock market returns: evi-dence from European markets, Applied Financial Economics 19, 893-904.

8. Worthington, Andrew C., 2003, Losing sleep at the market: An empirical note on thedaylight saving anomaly in Australia, Economic Papers 22(4), 83-93.

9. Worthington, Andrew C., 2005, Business expectations and preferences regarding theintroduction of daylight saving in Queensland, Economic Analysis and Policy, 34(1),1-18.


Garrett, I., M. Kamstra, and L. Kramer, 2005, Winter Blues and Time Variationin the Price of Risk, Journal of Empirical Finance 12(2), 291-316.

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2. Bohl, Martin T., Christianne Goodfellow, and Jedrzej Bialkowski, forthcoming, In-dividual investors surpass their reputation: Trading behaviour on the Polish futuresmarket, Economic Systems.

3. Brounen, Dirk and Yair Ben-Hamo, 2009, Calendar Anomalies: The Case of Inter-national Property Shares, The Journal of Real Estate Finance and Economics 38(2),115-136.

4. Doeswijk, Ronald Q., 2008, The Optimism Cycle: Sell in May, De Economist 156(2)175-200.

5. Dolvin, Steven D., Mark K. Pyles, and Q. Wu, 2009, Analysts Get SAD Too: theEffect of Seasonal Affective Disorder on Stock Analysts’ Earnings Forecasts, Journalof Behavioural Finance 10(4), 214-225.


7. Jacobsen, Ben and Wessel Marquering, 2009, Is it the Weather? Journal of Bankingand Finance.



10. Moskalenko, Elena and Peter Reichling, 2008, “Sell in May and Go Away” on the Rus-sian Stock Market, in Transformation in der Okonomie, Gisher, Horst, Peter Reichling,Thomas Spengler, and Alois Wenig (Eds.), Gabler, 257-267.

11. Symeonidis, Lazaros, Geoge Daskalakis, Raphael N. Markellos, and Y. House, forth-coming, Does the Weather Affect Stock Market Volatility? Finance Research Letters.

12. Verma, Rahul and Gokce Soydemir, 2009, The impact of individual and institutionalinvestor sentiment on the market price of risk, Quarterly Review of Economics andFinance 49(3), 1129-1145.


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Donaldson, R.G., Kamstra, M. and L. Kramer, 2010, Estimating the Equity Pre-mium, Journal of Financial and Quantitative Analysis 45(4) (previouslytitled Estimating the Ex Ante Equity Premium; Stare Down the Barreland Center the Crosshairs: Estimating the Ex Ante Equity Premium).

1. Maheu, John M. and Tom H. McCurdy, 2009, How useful are historical data for fore-casting the long-run equity return distribution? Journal of Business and EconomicStatistics 27(1), 95-112.

2. Maheu, John M. and Tom H. McCurdy, 2007, Components of Market Risk and Return,Journal of Financial Econometrics 5(4), 560-590.


Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2009, Is it the weather?Comment, Journal of Banking and Finance, 33(3), 578-582.

1. Dorfleitner, Gregor and Maximilian Wimmer, 2010, The pricing of temperature futuresat the Chicago Mercantile Exchange, Journal of Banking and Finance, 34(6), 1360-1370.



Kramer, Lisa A., 2001, Alternative Methods for Robust Analysis in Event StudyApplications, in C.F. Lee, ed., Advances in Investment Analysis andPortfolio Management 8, 109-132, Elsevier Science Ltd.

1. Ben Arab, Mounira, Adel Karaa, 2006, IPO’s Initial Returns: Underpricing VersusNoisy Trading, Euro-Mediterranean Economics and Finance Review 1(5), 48-70.

2. Chatterjee, Debabroto, Vernon J. Richardson, and Robert W. Zmud, 2001, Examiningthe Shareholder Wealth Effects of Announcements of Newly Created CIO Positions,MIS Quarterly 25(1), 43-70.

3. Corrado, Charles J. and Cameron Truong, 2008, Conducting Event Studies With Asia-Pacific Security Market Data, Pacific-Basin Finance Journal 16, 493-521.

4. Gilbert, Aaron, Alireza Tourani-Rad, and Tomasz Piort Wisnieweski, 2005, The impactof regulatory change on insider trading profitability: Some early evidence from NewZealand, in Mark Hirschey, Kose John, Anil Makhija (Eds.) Corporate Governance(Advances in Financial Economics) 11, 109-126.

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5. Hein, Scott and Peter Westfall, 2004, Improving Tests of Abnormal Returns by Boot-strapping the Multivariate Regression Model with Event Parameter Estimation Ap-proach, Journal of Financial Econometrics 2(30), 451-471.

6. Jackson, John D., Audrey D. Kline, Sarah J. Skinner, 2006, The Impact of Non-Normality and Misspecification on Merger Event Studies, International Journal of theEconomics of Business 13(2), 247-264.

7. Johnston, Margaret A., 2007, A Review of the Application of Event Studies in Mar-keting, Academy of Marketing Sciences Review 11(4), 1-33.

8. Samitas, Aristeidis G., 2004, Banking Sector Financial Restructuring: Some Evidencefor the Last Decade in the United Kingdom, Spoudai 54(1), 12-32.

9. Samitas, Aristeidis G. and Dimitris F. Kenourgios, 2007, Impact of mergers and ac-quisitions on stock returns of tramp shipping firms, International Journal of FinancialServices Management 2(4), 327-343.

10. Samitas, Aristeidis, Dimitris Kenourgios, and Peter Zounis, 2008, Athens’ OlympicGames 2004 impact on sponsors’ stock returns, Applied Financial Economics 18(19),1569-1580.

11. Tsiotsou, Rodoula and Dionysis Lalountas, 2005, Applying event study analysis toassess the impact of marketing communication strategies: the case of sponsorship,Applied Financial Economics Letters 1(4), 259-262.

12. Wisniewski, Tomasz P. and Martin T. Bohl, 2005, The Informatino Content of Regis-tered Insider Trading Under Lax Law Enforcement, International Review of Law andEconomics 25(2), 169-185.

13. Wolmarans, H. and Sartorius, K., 2009, Corporate social responsibility: the financialimpact of black economic empowerment transactions in South Africa, South AfricanJournal of Economic and Management Sciences 12(2) 180-193.

Peer-reviewed journal articles that cite this unpublished manuscript:

M. Kamstra, L. Kramer, and M. Levi, 2009, Opposing Seasonality in Treasuryversus Equity Returns, University of Toronto Manuscript.


2. Kelly, Patrick and Felix Meschke, 2010, Sentiment and stock returns: The SADanomaly revisited, Journal of Banking and Finance 34, 1308-1326.

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Kamstra, M., L. Kramer, M. Levi, and T. Wang, 2010, Seasonally Varying Pref-erences: Support from an Asset Pricing Model, University of TorontoManuscript.

1. Shefrin, Hersh, 2010, Behavioralizing Finance, Foundations and Trends in Finance 4(1-2), 1-184.


Kamstra, M., L. Kramer, M. Levi, and R. Wermers, 2008, Seasonal AssetAllocation: Evidence from Mutual Fund Flows, University of TorontoManuscript.

1. Ben-Rephael, Azi, Shmuel Kandel, and Avi Wohl, forthcoming, Measuring InvestorSentiment with Mutual Fund Flows, Journal of Financial Economics.


DeGennaro, R., M. Kamstra, and L. Kramer, 2006, Seasonal Variation in Bid-Ask Spreads, University of Toronto Manuscript.

1. Heston, Steven L. and Ronnie Sadka, 2008, Seasonality in the Cross-Section of StockReturns, Journal of Financial Economics, 87, 418-445.


15


Kramer, Lisa A., 2001, Intraday Stock Returns, Time-Varying Risk Premia, andDiurnal Mood Variation, University of Toronto Manuscript.

1. Dowling, Michael and Brian M. Lucey, 2005, The Role of Feelings in Investor Decision-Making, Journal of Economic Surveys 19(2), 211-237.


3. Huang, Peter H., 2005, Regulating Irrational Exuberance and Anxiety in SecuritiesMarkets, in Parisi, Francesco and Vernon L. Smith (eds) The Law and Economics ofIrrational Behavior, Chicago University Press.


Working papers, books, and non-refereed publications that cite this publishedpaper:

Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2003, Winter Blues:A SAD Stock Market Cycle, American Economic Review 93(1), 324-343

1. Abadir, Karim M. and Laura Spierdijk, 2005, Liquidity constraints and the demand forassets: an application to the festivity effect, Imperial College of London Manuscript.Available from SSRN: http://ssrn.com/abstract=829484

2. Ackert, Lucy F., Bryan K. Church, and Richard Deaves, 2003, Emotion and FinancialMarkets, Federal Reserve Bank of Atlanta Economic Review 88(2), 33-41.

3. Al-Ississ, Mohamad, 2010, The Impact of Religious Experience on Financial Markets,Harvard Kennedy School of Government Manuscript.

4. Athanassakos, George, 2005, Seasonal Patterns in Canadian Financial Markets and theImpact of Professional Portfolio Rebalancing: Evidence of Profitable Opportunities,University of Western Ontario Manuscript.

5. Baddeley, Michelle, Demetris Pillas, Yorgos Christopoulos, Wolfram Schultz, and PhillipeTobler, 2007, Herding and Social Pressure in Trading Tasks: A Behavioural Analysis,Gonville & Caius College Manuscript.

6. Balvers, Ronald, Ding Du, and Xiaobing Zhao, 2009, What Do Financial MarketsReveal about Global Warming? West Virginia University Manuscript.

7. Bernile, Gennaro and Evgeny Lyandres, 2008, Understanding Investor Sentiment: TheCase of Soccer, Rice University Manuscript.

16

8. Bialkowski, Jedrzej, Ahmad Etebari, and Tomasz Piotr Wisniewki, 2009, Piety andProfits: Stock Market Anomaly during the Muslim Holy Month,University of Canter-bury Manuscript.Available from SSRN: http://ssrn.com/abstract=1470048

9. Boido, Claudio and Antonio Fasano, 2005, Calendar Anomalies: Daylight Saving Ef-fects, Manuscript.

10. Bogan, Vicki and Angela Fertig, 2010, Portfolio Choice and Mental Health, CornellUniversity Manuscript.Available from SSRN: http://ssrn.com/abstract=1507190

11. Brochu, Pierre, Catherine Deri Armstrong, and Louis-Philippe Morin, 2009, The ‘Trendi-ness’ of Sleep: An Empirical Investigation into the Cyclical Nature of Sleep Time,University of Ottawa Manuscript.

12. Byrne, Alistair and Mike Brooks, 2008, Behavioral Finance: Theories and Evidence,The Research Foundation of CFA Institute Literature Review.

13. Cao, Melanie and Jason Wei, 2005, An Expanded Study on the Stock Market Temper-ature Anomaly, University of Toronto Manuscript.

14. Charoenrook, Anchada, 2005, Does Sentiment Matter? Vanderbilt University Manuscript.

15. Chincarini, Ludwig B. and Deahwan Kim, 2006, Quantitative Equity Portfolio Man-agement, McGraw Hill.

16. Chirinko, Robert S. and Hisham Foad, 2006, Noise vs. news in equity returns, EmoryUniversity Manuscript.

17. Da, Zhi, Joseph Engelberg, and Pengjie Gao, 2010, The Sum of All FEARS: InvestorSentiment and Asset Prices, University of Notre Dame Manuscript.Available from SSRN: http://ssrn.com/abstract=1509162

18. Dare, William H., William B. Elliott, and Thomas F. Gosnell, 2002. Forget aboutCNBC, Turn on the Weather Channel, Oklahoma State University Manuscript.

19. Diao, Xifeng and Maurice D. Levi, 2004, Seasonality in Equilibrium Stock Returns: ADynamic Perspective on SAD, University of British Columbia Manuscript.

20. Dolvin, Steven D., Mark K. Pyles, and Q. Wu, 2009, Further Examination of EquityReturns and Seasonal Depression, University of Arkansas Manuscript.

21. Doeswijk, Ronald Q., 2007, Ape or Art: Investment Strategies, Haveka: Alblasserdam,The Netherlands.

22. Dowling, Michael, 2003, Emotional Decision-Making by Investors, The State We’re In:Irish Society of New Economists Conference Proceedings, 9-22.

17

23. Eckett, Stephen (ed), 2005, The UK Stock Market Almanac 2005: Facts, Figures,Analysis and Fascinating Trivia that Every Investor Should Know about the UK StockMarket, Harriman House.

24. Edmans, Alexander James, 2001, Essays in Financial Economics, Ph.D. Dissertation,MIT.

25. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann,2007, Modern Portfolio Theory and Investment Analysis, 7th edition, John Wiley andSons.

26. Ferguson, Michael and H. Douglas Witte, 2006, Congress and the Stock Market, Uni-versity of Cincinnati Manuscript.

27. Fich, Eliezer M. and Dazhi Zheng, 2009, National Happiness and Stock Returns, DrexelUniversity Manuscript.

28. Frieder, Laura, 2003, Evidence on Behavioral Biases in Trading Activity, University ofCalifornia at Los Angeles Manuscript.

29. Garrett, Ian, 2003, A Question of Risk, Professional Investor: The Official Journal ofthe UK Society of Investment Professionals 13(10), 22-26.

30. Gaul, Lewis, Pinar Uysal, and Michael Jacobs Jr., 2010, Risk Aversion, the Demandfor Risky Assets, and Recoveries on Defaulted Corporate Debt Securities, Office of theComptroller of the Currency Manuscript.

31. Guven, Cahit, 2009, Weather and Financial Risk-Taking: Is Happiness the Channel?Deakin University Manuscript.

32. Gilovich, T.D. and D.W. Griffin, 2008, Judgment and Decision-Making, in Handbookof Social Psychology, 5th edition, Volume 1, Susan T. Fiske, Daniel T. Gilbert, andGarnder Lindzey (Eds.), John Wiley and Sons: Hoboken, NJ.

33. Goodfellow, Christiane, 2008, Stock Index Futures Trading Behaviour of Individualand Institutional Investors, University of Munster Manuscript.

34. Gregory-Allen, Russell, Ben Jacobsen, and Wessel Marquering, 2009, The DaylightSaving Time Anomaly in Stock Return: Fact or Fiction? Massey University Manuscript.

35. Grimbacher, Stefan, Laurens Swinkels, and Pim Van Vliet, 2010, An Anatomy ofCalendar Effects, Erasmus Research Institute of Management Manuscript.

36. Hariharan, Gurushyam, 2004, News Mining Agent for Automated Stock Trading, M.Sc.Dissertation, University of Texas at Austin.

37. Haug, Mark and Mark Hirschey, 2007, The September Swoon, University of KansasManuscript.

18

38. Heston, Steven L. and Ronnie Sadka, 2007, Common Patterns of Predictability in theCross-Section of International Stock Returns, University of Maryland Manuscript.Available from SSRN: http://ssrn.com/abstract=1108452

39. Hong, Harrison and Jailin Yu, 2005, Gone Fishin’: Seasonality in Speculative Tradingand Asset Prices, Princeton University Manuscript.

40. Hu, Jian, 2008, Does Weather Matter? Southern Methodist University Manuscript.Available from SSRN: http://ssrn.com/abstract=1299769

41. Huang, Peter H., 2005, Regulating Irrational Exuberance and Anxiety in SecuritiesMarkets, in Parisi, Francesco and Vernon L. Smith (eds) The Law and Economics ofIrrational Behavior, Chicago University Press.

42. Hwang, Byoung-Hyoun, 2010, Country-Specific Sentiment and Security Prices, PurdueUniversity Manuscript.Available from SSRN: http://ssrn.com/abstract=1195317

43. Jacobsen, Ben, Abdullah Mamun, and Nuttawat Visaltanachoti, 2005, The HalloweenEffect in US Sectors, FSR Forum 7(5), August, 30-39.

44. Jacobsen, Ben, Abdullah Mamun, and Nuttawat Visaltanachoti, 2005, Seasonal, Sizeand Value Anomalies, Erasmus University Manuscript.

45. Kamstra, Mark J., Reduced Daylight and Investors, 2005, Canadian Investment Re-view, Winter, 15.

46. Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2005, Stock Market Season-alities: Anomalies or Rational? FSR Forum (Erasmus University, Rotterdam), 7(5),August, 20-25.

47. Kang, Sang Hoon, Zhuhua Jiang, and Seong-Min Yoon, 2010, Weather effects on thereturns and volatility of Hong Kong and Shenzhen stock markets, Pusan NationalUniversity Manuscript.

48. Kaplanski, Guy and Haim Levy, 2007, Does the Market have Predictable Mood Swings(PMS)? Hebrew University of Jerusalem manuscript.Available from SSRN: http://ssrn.com/abstract=1084533

49. Kaplanski, Guy and Haim Levy, 2009, Seasonality in Perceived Risk: A SentimentEffect, Hebrew University of Jerusalem Manuscript.

50. Kaplanski, Guy and Haim Levy, 2009, Real Estate Prices: Seasonality’s SentimentEffect, Hebrew University of Jerusalem Manuscript.

51. Kaplanski, Guy and Haim Levy, 2009, Risk Sentiment Index (RSI) and Market Anoma-lies, Hebrew University of Jerusalem Manuscript.

19

52. Kim, Kihyung, 2008, How Much Investors are Willing to Pay for the Risk? ImpliedRisk Appetite, Texas A&M University Manuscript.

53. Kliger, Doron, Gregory Gurevich, and Abraham Haim, 2009, When ChronobiologyMet Economics – Seasonal Affective Impact on the Demand for IPOs, University ofHaifa Manuscript.

54. Kliger, Doron, Yaron Raviv, and Joshua Rosett, 2010, Auction Prices and the Weather:New Evidence from Old Masters, Clarement McKenna College Manuscript.

55. Krivelyova, Anna and Cesare Robotti, 2004, Playing the Field: Geomagnetic Stormsand International Stock Markets, Federal Reserve Bank of Atlanta Manuscript.

56. Leeahtam, Pisit, Songsak Sriboonchitta, Jittaporn Sriboonjit, Nader Tajvidi, PrasertChaitip, and Chukiat Chaiboonsri, 2010, Stock market returns and the temperatureeffect of Thailand: The GEV and GPD estimation, Chiang Mai University Manuscript.

57. Lepori, Gabriele M., 2008, Environmental Stressors, Mood, and Investment Decisions:Evidence from Ambient Air Pollution, Copenhagen Business School Manuscript.

58. Lepori, Gabriele M., 2009, Dark Omens in the Sky: Do Superstitious Beliefs AffectInvestment Decisions? Copenhagen Business School Manuscript.

59. Lin, Chien-Ting, Chia-Cheng Ho, and Victor Fang, 2004, Australian Consumer Senti-ment and Sector Returns. Monash University Manuscript.

60. Linnainmaa, Juhani and Ioanid Rosu, 2009, Weather and Time Series Determinantsof Liquidity in a Limit Order Market, University of Chicago Manuscript.Available from SSRN:

61. Lo, Kin and Serena Shuo Wu, 2008, The impact of Seasonal Affective Disorder on finan-cial analysts and equity market returns, University of British Columbia Manuscript.

62. LoCasio, Claudio, 2009, Sleep-Trading: The Impact of Jetlag and Longitudinal Dis-tance on International Bilateral Trade in Goods, Equity and Foreign Direct Investment,Carroll Round Proceedings 4, 3-17.

63. Lu, Jing, 2010, Does Weather Have Impact on Returns and Trading Activities inOrder Driven Stock Market: Some Evidences from Chinese Stock Market, ChongqingUniversity Manuscript.Available from SSRN: http://ssrn.com/abstract=1593037

64. McTier, Brian C., Yiuman Tse, and John K. Wald, 2009, Do Stock Markets Catch theFlu? University of Texas at San Antonio Manuscript.

65. Merkle, Christoph, 2007, Emotion and Finance: An Interdisciplinary Approach to theImpact of Emotions on Financial Decision Making, University of Mannheim Manuscript.Available from SSRN: http://ssrn.com/abstract=1097131

20

66. Miller, Toby, 2007, Cultural Citizenship: Cosmopolitanism, Consumerism, and Televi-sion in a Neoliberal Age, Temple University Press: Philadelphia PA.

67. Nofsinger, John R., 2002, Investment Blunders of the Rich and Famous ... And WhatYou Can Learn From Them, Financial Times Prentice Hall.

68. Pazner, Michael J., 2005, New Laws of the Stock Market Jungle, Financial TimesPrentice Hall.

69. Peterson, Richard L., 2007, Inside the Investor’s Brain: The Power of Mind overMoney, John Wiley & Sons, Inc.

70. Redhead, Keith, 2008, A Behavioural Model of the Dot.com Bubble and Crash, Coven-try University Manuscript.

71. Richards, Keith G., 2009, Smartbounce: 3 Action Steps to Portfolio Recovery, BPSBooks: New York, NY.

72. Schabas, Margaret, The natural origins of economics, 2005, University of ChicagoPress.

73. Seybert, Nick, 2004, Mood and Equity Markets: An Experimental Test of the Effectsof Mood on Investor Behavior, Cornell University Manuscript.

74. Singal, Vijay, 2003, Beyond the Random Walk: A Guide to Stock Market Anomaliesand Low Risk Investing, Oxford University Press.

75. Shon, John J. and Ping Zhou, 2006, Are earnings surprises interpreted more optimisti-cally on sunny days? Accounting information and the sunshine effect, Baruch CollegeManuscript.

76. Tefft, Nathan, 2007, Mental Health and Employment: The SAD Story, University ofWisconsin-Madison Manuscript.

77. Tetlock, Paul C., 2003, Giving Content to Investor Sentiment: The Role of Media inthe Stock Market, Harvard University Manuscript.

78. Thompson, Simon, 2009, Trading Secrets: 20 Hard and Fast Rules to Help You Beatthe Stock Market, Pearson Education Limited.

79. Tufan, Ekrem, 2005, Do World Cup Football Matches Affect Istanbul Stock Exchange?Anadolu University Manuscript.

80. Tufan, Ekrem and Bahattin Hamarat, 2004, Weather Effect: An Evidence from TurkishStock Exchange, Anadolu University Manuscript.

81. Weisman, Steve, 2003, A Guide to Elder Planning: Everything You Need to Know toProtect Yourself Legally and Financially, Financial Times Prentice Hall.

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82. Zussman, Asaf, Noam Zussman, and Dmitri Romanov, Does Terrorism Demoralize?Evidence from Israel, 2007, Cornell University Manuscript.

Working papers, books, and non-refereed publications that cite this publishedpaper:Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2000, Losing Sleep at

the Market: The Daylight Saving Anomaly, American Economic Review90(4), 1005-1011.

1. Al-Ississ, Mohamad, 2010, The Impact of Religious Experience on Financial Markets,Harvard Kennedy School of Government Manuscript.

2. Batyrbekov, Kuanysh Y., 2007, “Soccer Stocks”: Market Reactin to Game Results ofProfessional Soccer Franchises, B.A. Thesis, Harvard College.

3. Bernile, Gennaro and Evgeny Lyandres, 2008, Understanding Investor Sentiment: TheCase of Soccer, Rice University Manuscript.

4. Bialkowski, Jedrzej, Ahmad Etebari, and Tomasz Piotr Wisniewki, 2009, Piety andProfits: Stock Market Anomaly during the Muslim Holy Month,University of Canter-bury Manuscript, available from http://ssrn.com/abstract=1470048.


6. Boyle, Glenn, Andrew Hagan, Rebecca O’Connor, and Nick Whitwell, 2002, Emo-tion, Fear, and Superstition in the New Zealand Stock Market, University of OtagoManuscript.

7. Chakrabarti, Gagari and Chitrakalpa Sen, 2008, November Effect: An Example ofCalender Anomaly in Indian Stock Market, West Bengal University of TechnologyManuscript.Available from SSRN: http://ssrn.com/abstract=1121606

8. Chen, Honghui and Vijay Singal, 2003, Do Short Sellers Cause the Weekend Effect?Virginia Tech Manuscript.Available from SSRN: http://ssrn.com/abstract=429844

9. Chen, Kun-chih, 2008, Investor Sentiment and Use of Accounting Information, 2008,University of Southern California Manuscript.

10. Chincarini, Ludwig B. and Deahwan Kim, 2006, Quantitative Equity Portfolio Man-agement, McGraw Hill.

11. Chirinko, Robert S. and Hisham Foad, 2006, Noise vs. news in equity returns, EmoryUniversity Manuscript.

22

12. Conte, Marc N. and Douglas G. Steigerwald, 2007, Do Daylight-Saving Time Adjust-ments Impact Human Performance? University of California Santa Barbara Manuscript.

13. Dickinson, David L. and Todd McElroy, Naturally-occuring sleep choice and time ofday effects on p-beauty contest outcomes, Appalachian State University Manuscript.

14. Drummond, Sean P., 2006, The Effects of Total Sleep Deprivation and Recovery Sleepon Cognitive Performance and Brain Function, Veterans Medical Research FoundationReport.

15. Eckett, Stephen (ed), 2005, The UK Stock Market Almanac 2005: Facts, Figures,Analysis and Fascinating Trivia that Every Investor Should Know about the UK StockMarket, Harriman House.

16. Edmans, Alexander James, 2001, Essays in Financial Economics, Ph.D. Dissertation,MIT.

17. Fich, Eliezer M. and Dazhi Zheng, 2009, National Happiness and Stock Returns, DrexelUniversity Manuscript.

18. Foo, S.M., 2008, Market impacts in major events: an analysis using state price distri-butions. Queen’s University PhD Dissertation.

19. Garrett, Ian, 2003, A Question of Risk, Professional Investor: The Official Journal ofthe UK Society of Investment Professionals 13(10), 22-26.

20. Gao, Pengjie, Ivalina Kalcheva, and Tongshu Ma, 2006, Short Sales and the WeekendEffect - Evidence from Hong Kong, Northwestern University Manuscript.


22. Gerlach, Jeffrey R., 2008, Daylight and Investor Sentiment: A Second Look at TwoStock Market Behavioral Anomalies, SKK Graduate School of Business Manuscript.


24. Haug, Mark and Mark Hirschey, 2007, The September Swoon, University of KansasManuscript.

25. Hughes, Margaret, 2008, Investors Reactions to Competitive Actions Among Rivals: AStep Toward Strategic Asset Pricing Theory, University of Kentucky PhD Dissertation.

26. Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2005, Stock Market Season-alities: Anomalies or Rational? FSR Forum (Erasmus University, Rotterdam), 7(5),August, 20-25.

23


28. Kaplanski, Guy and Haim Levy, 2007, Does the Market have Predictable Mood Swings(PMS)? Hebrew University of Jerusalem Manuscript.Available from SSRN: http://ssrn.com/abstract=1084533

29. Kotchen, M.J. and L.E. Grant, 2008, Does Daylight Saving Time Save Energy? Evi-dence from a Natural Experiment in Indiana, NBER Manuscript.

30. Lin, Chien-Ting, Chia-Cheng Ho, and Victor Fang, 2004, Australian Consumer Senti-ment and Sector Returns, Monash University Manuscript.

31. Liu, Shu-Ing and Jauling Tseng, 2009, A Bayesian Analysis of Lunar Effects on StockReturns, Shih Hsin University Manuscript.

32. Peterson, Richard L., 2007, Inside the Investor’s Brain, John Wiley & Sons, Inc.

33. Pinegar, J. Michael, 2003, The Daylight Saving Anomaly: Concessions, Concerns, andNew Evidence, Brigham Young University Manuscript.

34. Sewell, Martin, 2008, Characterization of Financial Time Series, University CollegeLondon Manuscript.

35. Steigerwald, Douglas G. and Marc Conte, 2007, Do Daylight-Saving Time AdjustmentsReally Impact Stock Returns? University of California, Santa Barbara Manuscript.

Working papers and non-refereed publications that cite this published paper:Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2002, Losing Sleep at

the Market: The Daylight Saving Anomaly: Reply, American EconomicReview 92(4) 1257-1263


2. Conte, Marc N. and Douglas G. Steigerwald, 2007, Do Daylight-Saving Time Adjust-ments Impact Human Performance? University of California Santa Barbara Manuscript.

3. Gerlach, Jeffrey R., 2008, Daylight and Investor Sentiment: A Second Look at TwoStock Market Behavioral Anomalies, SKK Graduate School of Business Manuscript.


5. Steigerwald, Douglas G. and Marc Conte, 2007, Do Daylight-Saving Time AdjustmentsReally Impact Stock Returns? University of California, Santa Barbara Manuscript.

24


Garrett, I., M. Kamstra, and L. Kramer, 2005, Winter Blues and Time Variationin the Price of Risk, Journal of Empirical Finance 12(2), 291-316.

1. Doeswijk, Ronald Q., Ape or Art: Investment Strategies, 2007, Haveka: Alblasserdam,The Netherlands.

2. Goodfellow, Christiane, 2008, Stock Index Futures Trading Behaviour of Individualand Institutional Investors, University of Munster Manuscript.



5. Kelly, Patrick J. and J. Felix Meschke, 2004, The Link Between Depression and StockReturns: A Reexamination, Arizona State University Manuscript.

6. Kliger, Doron, Gregory Gurevich, and Abraham Haim, 2009, When ChronobiologyMet Economics – Seasonal Affective Impact on the Demand for IPOs, University ofHaifa Manuscript.

7. Kliger, Doron, Yaron Raviv, and Joshua Rosett, 2010, Auction Prices and the Weather:New Evidence from Old Masters, Clarement McKenna College Manuscript.

8. McTier, Brian C., Yiuman Tse, and John K. Wald, 2009, Do Stock Markets Catch theFlu? University of Texas at San Antonio Manuscript.

9. Rotheli, Tobias F., 2007, International Experimental Evidence on Investors’ Pattern-Based Expectations, University of Erfurt Manuscript.

Working papers that cite this published paper:

Donaldson, R.G., Kamstra, M. and L. Kramer, forthcoming Estimating the Eq-uity Premium, Journal of Financial and Quantitative Analysis (previ-ously titled Estimating the Ex Ante Equity Premium; Stare Down theBarrel and Center the Crosshairs: Estimating the Ex Ante Equity Pre-mium).

1. Brockman, Paul and H.J. Turtle, 2004, Failure Barriers and the Equity PremiumPuzzle, University of Missouri Manuscript.

25

2. Donaldson, R. Glen, and Mikhail Simutin, 2009, Risk Factors and Distributions fromLong-Short Trading Strategies: A Monte Carlo Approach, University of British ColumbiaManuscript.

3. Fernandez, Pablo, Javie Aguirremalloa, and Heinrich Liechtenstein, 2008, The equitypremium puzzle: High required equity premium, undervaluation, and self fulfillingprophecy, IESE Manuscript.

4. Fernandez, Pablo, 2007, Equity Premium: Historical, Expected, Required, and Im-plied, IESE Manuscript.

5. Freeman, Mark, 2006, An explanation of the declining ex-ante equity risk premium,University of Exeter Manuscript.

6. Hsu, Jason C., 2003, What Drives Equity Market Non-Participation? University ofCalifornia at Los Angeles Manuscript.

7. Wang, Wei Pierre, 2002, Asset Pricing and the Equity Premium Puzzle: A ReviewEssay, Queen’s University Manuscript.


Kamstra, Mark J., Lisa A. Kramer, and Maurice D. Levi, 2009, Is it the weather?Comment, Journal of Banking and Finance, 33(3), 578-582.

1. Doyle, John R. and Catherine H. Chen, 2010, Market Inefficiency is Multi-Dimensional:Evidence from 76 Price Indicesi, Cardiff University Manuscript.Available from SSRN: http://ssrn.com/abstract=1604420


Kramer, Lisa A., 2001, Alternative Methods for Robust Analysis in Event StudyApplications, in C.F. Lee, ed., Advances in Investment Analysis andPortfolio Management 8, 109-132, Elsevier Science Ltd.

1. Bessen, James and Michael J. Meurer, 2008, The Private Costs of Patent Litigation,Boston University Manuscript.Available from SSRN: http://ssrn.com/abstract=983736

2. Corrado, Charles J., 2009, Event Studies: A Methodology Review, Deakin UniversityManuscript.

3. Elshahat, A., 2007, Effect of the FBAs announcement on the banking sector stock-return and its implication on operational risk assessment, Florida International Uni-versity Manuscript.

26

4. Ford, George S. and Audrey D. Kline, 2007, Event Studies for Merger Analysis: AnEvaluation of the Effects of Non-Normality on Hypothesis Testing, in Antitrust PolicyIssues, Patrick Moriati (Ed.), Nova Science Publishers, 135-156.

5. Gelbach, Jonah B., Eric Helland, and Jonathan Klick, 2009, Valid Inference in Single-Firm, Single-Event Studies, Claremont McKenna College Manuscript.Available from SSRN: http://ssrn.com/abstract=1442222

6. Gilbert, Aaron, Alireza Tourani-Rad, and Tomasz Piort Wisnieweski, 2004, Do InsidersCrowd Out Analysts? Auckland University of Technology Manuscript.

7. Humphery, Mark L. and Ronan G. Powell, 2008, Anti-Takeover Provisions and TakeoverReturns, University of New South Wales Manuscript.

8. Lefebvre, Jeremie, 2007, The bootstrap in event study methodology, M.Sc. Thesis,Universite de Montreal.

9. Samitas, A.G., D.F. Kenourgios, and N.E. Paltalidis, 2006, Creating efficient portfolioreturns applying forecasting techniques and boostrapping in FTSE 100 and XETRA,University of the Aegean Manuscript.

10. Wisniewski, Tomasz Piotr, 2004, Empirical Evidence on Economic and Financial As-pects of Intensive Insider Trading, Ph.D. Disseration, European University Viadrinain Germany.

Working papers that cite this unpublished manuscript:

M. Kamstra, L. Kramer, and M. Levi, 2009, Opposing Seasonality in Treasuryversus Equity Returns, University of Toronto Manuscript.

1. Bayar, Onur, Thomas J. Chemmanur, and Mark H. Liu, 2009, Management of In-novation, Equity Carve-outs, and Negative Stub Values under Heterogeneous Beliefs,Boston College Manuscript.Available from SSRN: http://ssrn.com/abstract=1101825

2. Chemmanur, Thomas, Debarshi Nandy, and An Yan, 2007, Capital Structure andSecurity Issuance under Heterogeneous Beliefs, Boston College Manuscript.Available from SSRN: http://ssrn.com/abstract=965923

3. Dolvin, Steven D., Mark K. Pyles, and Q. Wu, 2009, Further Examination of EquityReturns and Seasonal Depression, University of Arkansas Manuscript.

4. Kaplanski, Guy and Haim Levy, 2009, Seasonality in Perceived Risk: A SentimentEffect, Hebrew University of Jerusalem Manuscript.

5. Kaplanski, Guy and Haim Levy, 2009, Risk Sentiment Index (RSI) and Market Anoma-lies, Hebrew University of Jerusalem Manuscript.

27


DeGennaro, R., M. Kamstra, and L. Kramer, 2008, Seasonal Variation in Bid-Ask Spreads, University of Toronto Manuscript.

1. Bogan, Vicki and Angela Fertig, 2010, Portfolio Choice and Mental Health, CornellUniversity Manuscript.Available from SSRN: http://ssrn.com/abstract=1507190

2. Dunbar, Craig G. and Mark R. Huson, 2005, Do IPO investors get the blues? SeasonalAffective Disorder and initial public offerings, University of Alberta Manuscript.


Kramer, Lisa A., 2001, Intraday Stock Returns, Time-Varying Risk Premia, andDiurnal Mood Variation, University of Toronto Manuscript.

1. Fehle, Frank and Vladimir Zdorovtsov, 2005, Large Price Declines, News, Liquidity,and Trading Strategies: An Intraday Analysis, University of South Carolina Manuscript.

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