Lisa Kramer

Professor of Finance University of Toronto

  • Toronto ON

Lisa Kramer studies the way human characteristics play a role in investor decisions and financial markets

Contact

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Biography

Lisa Kramer is Professor of Finance at the University of Toronto. An expert in behavioural finance, she primarily studies the way human characteristics such as risk aversion, mood, and emotions play a role in investor decisions and financial markets, with implications for portfolio management, investments, asset pricing, capital markets, and corporate decisions. Her scholarly work has appeared in economics, finance, and psychology journals, including the American Economic Review, the Journal of Financial and Quantitative Analysis, and Social Psychological and Personality Science. Her research findings have been profiled by the popular media, including The Washington Post, Bloomberg Business, Business Week, and The National Post. Her op/eds have appeared in outlets including The Wall Street Journal and The Globe and Mail. Originally from Vancouver, her PhD in finance is from the University of British Columbia and her undergraduate degree in economics and finance (honours) is from Simon Fraser University. Lisa is currently a Visiting Scholar at the University of California San Diego's Rady School of Management, and she previously spent a year as a Visiting Scholar in the Department of Psychology at Stanford University. She teaches undergraduate and graduate courses on behavioural finance and investments.

Industry Expertise

Investment Management
Financial Services
Research
Education/Learning
Professional Training and Coaching
Non-Profit/Charitable
Pharmaceuticals
Writing and Editing

Areas of Expertise

Behavioral Finance
Behavioral Economics
Investment
Financial Market Seasonality
Empirical Finance

Education

University of British Columbia

Ph.D.

Finance

1998

Simon Fraser University

B.B.A.

Finance & Economics

1991

Honours

Affiliations

  • Justwealth Financial : Advisory Board Member
  • Northern Finance Association : Board of Directors
  • Critical Finance Review : Associate Editor
  • Journal of Multinational Financial Management : Associate Editor
  • Journal of Behavioral and Experimental Finance : Editorial Board Member
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Media Appearances

How to keep personal biases from torpedoing your retirement plan

The Globe and Mail  online

2016-06-09

University of Toronto finance professor Lisa Kramer, who examines human behaviour in financial decision making, says seasonal depression can spur people to sell in a volatile market because they become despondent and risk averse.

“What people will do is panic and sell, rather than riding it out,” she says. “A big implication for people close to retirement is that they will sell their whole nest egg right at the market crash and lock in at a low value.”

A counter-strategy, she suggests, is to have a financial plan and stick to it. “The worst thing to do can be to act when we are feeling emotional.”

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How robo-advisers are changing the way financial planning gets done

CBC/Radio-Canada  online

2016-02-23

"Generally when I talk to Canadian investors, they have no idea that our country's mutual fund fees are among the highest in the world," says Lisa Kramer, who teaches finance at the University of Toronto's Rotman School of Management.

"And they also tend not to understand that they are literally paying their mutual fund company as much as three per cent of the value of their portfolio each year, whether their holdings go up or down in value," says Kramer. "So I expect we'll see some shock waves as the fee disclosures start to circulate."

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Behavioural Finance 101

TVO: The Agenda with Steve Paikin  tv

2015-06-10

Ever since the market crash of 2008, people have become more familiar with the term behavioural economics, but what is behavioural finance? Steve Paikin speaks with the University of Toronto's Lisa Kramer about this new field of study and the implications of Seasonal Affective Disorder on the market crashes of the past.

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Research Grants

Insight Grant

SSHRC

2014‐present

Insight Grant

SSHRC

2013‐present

Insight Development Grant

SSHRC

2011‐2014

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Articles

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Journal of Financial and Quantitative Analysis

Forthcoming

We 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.

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Seasonal Variation in Treasury Returns

Critical Finance Review

2015

We 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.

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Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity

Review of Asset Pricing Studies

2014

We 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.

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