Maurice D. Levi

Maurice D. Levi
University of British Columbia - Vancouver | UBC · Division of Finance

PhD

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102
Publications
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3,536
Citations

Publications

Publications (102)
Article
We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal an 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 docume...
Article
Full-text available
It is commonly believed that women are more likely to seek advice than men; for example, on aspects of health or asking for directions when lost. This paper investigates whether women’s relatively greater propensity for advice seeking extends to important business decisions, specifically those involving corporate takeovers. Consistent with the evid...
Book
If you always thought that macroeconomics was too complex and theoretical to understand, this book is the perfect introduction to the subject. The Macroeconomic Environment of Business provides a clear understanding of the economy by focusing on core issues such as inflation, unemployment, interest rates, and economic growth. Each issue and topic i...
Article
This paper examines the association between the presence of female directors on a corporate board and mergers and acquisitions (M&As). Using acquisition bids initiated by S&P 1500 firms during the period 1997-2009, we find that each ten percent of female directors on a board is associated with a reduction in the number of a company’s acquisition bi...
Article
In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra...
Article
We explore U.S. mutual fund flows, finding strong evidence of seasonal reallocation across funds based on fund risk exposure. We show that substantial money moves from U.S. equity to U.S. money market and government bond mutual funds in autumn, then back to equity funds in spring, controlling for the influence of past performance, advertising, liqu...
Article
This paper finds that the number of CEOs born in June and July is disproportionately small relative to the number of CEOs born in other months. Our evidence is consistent with the “relative-age effect” due to school admissions grouping together children with age differences up to one year, with children born in June and July disadvantaged throughou...
Article
We document a novel and striking annual cycle in the U.S. Treasury market, with a variation in monthly returns of over 80 basis points from peak to trough. We show that this seasonal Treasury return pattern is unlikely to arise due to macroeconomic seasonalities, seasonal variation in risk, cross-hedging between equity and Treasury markets, convent...
Article
International commodity market arbitrage is generally based on moving the commodity between countries to exploit price differences, making allowance for exchange rates. This form of arbitrage is clearly impossible for services and immobile objects such as real estate. However, there is the possibility of another form of arbitrage when the buyer can...
Article
Adjustment of behavior to maintain risk, known as risk homeostasis, has previously been studied in a variety of psychological, health, social and economic contexts. This paper examines the evidence for risk homeostasis in corporate financial decisions involving mergers and acquisitions (M&As). We first show that when bidder corporations’ risks decl...
Article
Equity and Treasury returns exhibit distinct seasonal cycles that are difficult to reconcile in a standard asset pricing framework with rational utility-maximizing behavior. We investigate a representative agent asset pricing model with levered equity, allowing us to match equity and bond return levels. We allow agents' preferences to cycle between...
Article
International commodity market arbitrage and its corollary, the law of one price, are generally based on moving the commodity between markets to exploit price differences, making allowance for prevailing exchange rates. This form of arbitrage is clearly impossible for services and immobile objects such as real estate. However, there is the possibil...
Article
In questioning Kamstra, Kramer, and Levi’s (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due to a "mechanically induced" effect that is non-existe...
Article
Technology today permits all payments to be made electronically. As a result, the economy can easily function without currency and coins. This paper shows the consequences of eliminating these media of exchange. A cost-benefit analysis of elimination of coins and currency shows that all levels of government gain from such an action. Even the issuer...
Article
Full-text available
We thank the Social Sciences and Humanities Research Council of Canada for financial support. Any remaining errors are our own.
Article
This paper examines the influence of female directors on corporate boards on mergers and acquisitions (M&As). Using acquisition bids initiated by S&P 1500 firms during 1997-2009, we find that each ten-percent representation of female directors on a corporate board is associated with a reduction in the number of a company's acquisition bids by 7.5 p...
Article
Full-text available
This paper investigates the interaction between antitakeover provisions and managerial ownership, two corporate governance mechanisms. Antitakeover provi-sions weaken the incentive effect of managerial ownership and magnify its entrench-ment effect, and thus will decrease the effect of managerial ownership on firm value. I show that the effect of m...
Article
Full-text available
In a recent article in this journal, Berument, Dogan, and Onar (2010) challenged the existence of the previously documented daylight-saving effect. Kamstra, Kramer, and Levi's original finding (2000) was that average stock market returns on Mondays following time changes are economically and statistically significantly lower than typical Monday ret...
Article
Young male CEOs appear to be combative: they are 4% more likely to be acquisitive and, having initiated an acquisition, they are over 20% more likely to withdraw an offer. Furthermore, a young target male CEO is 2% more likely to force a bidder to resort to a tender offer. We argue that this combative nature is a result of testosterone levels that...
Article
Full-text available
The idea of adjusting behavior to maintain risk is known as "risk homeostasis." This paper considers the implications of this idea in the context of mergers and acquisitions (M&As). Using a sample of M&As over 1980-2007, we first show that when bidders' risks happen to decline relative to industry-and size-matching non-bidding peer firms prior to a...
Article
We investigate a representative agent consumption-based asset pricing model with two states: low risk aversion and high risk aversion. We explore whether there is a reasonable parameterization capable of generating the empirically observed seasonally-varying equity and Treasury returns documented by Kamstra, Kramer, and Levi (2008). Calibrating the...
Article
This paper shows that the time of year of a person's birth is an important factor in the likelihood they become a CEO, and conditional on becoming a CEO, on the performance of the firms they manage. Based on a sample of 321 CEOs of S&P 500 companies from 1992 to 2006 we find that (1) the number of CEOs born in the summer is disproportionately small...
Article
This comment discusses some errors in a recent paper by Jacobsen and Marquering [Jacobsen, B., Marquering, W., 2008. Is it the weather? Journal of Banking and Finance 32 (4), 526–540], in which the authors challenge our previous finding that stock market returns exhibit seasonal patterns consistent with the influence of seasonal affective disorder...
Article
This paper examines whether the presence of women directors on corporate boards plays a role in the pricing and form of mergers and acquisitions. We show that the bid premium over the pre-announcement target share price is statistically and economically smaller the larger is the proportion of women on the bidder and target boards, provided that the...
Article
This paper shows that the time of year of a person's birth is an important factor in the likelihood they become a CEO, and conditional on becoming a CEO, on the performance of the firms they manage. Based on a sample of 321 CEOs of S&P 500 companies from 1992 to 2006 we find that (1) the number of CEOs born in the summer is disproportionately small...
Article
In the ongoing Canadian debate on confederation, variations across the country are almost invariably viewed as conditions that must be removed or at best tolerated. This paper provides an alternative view and model of confederation that builds on portfolio notions of diversification. Here, instead of seeing regional differences as barriers to a str...
Article
We study investment restrictions in a dynamic, two-country, two-good general equilibrium model. The issues that we are concerned with are the impact of the investment restrictions on the cost of capital, the asset returns' volatilities, the international stock market co-movement, and the optimal timing for removing the investment restrictions. On t...
Article
We demonstrate a novel and striking annual cycle in the US Treasury market, with a variation of over 80 basis points from peak to trough in monthly returns. The Treasury return seasonal pattern is opposite to that evident in equity returns, and the opposing patterns are not due to unconditional negative correlation between Treasury and stock return...
Article
Migration flows are shaped by a complex combination of self-selection and out-selection mechanisms. In this paper, the authors analyze how existing diasporas (the stock of people born in a country and living in another one) affect the size and human-capital structure of current migration flows. The analysis exploits a bilateral data set on internat...
Article
This paper demonstrates that globalization, taking the form of a higher import component of consumption and a larger export component of GDP, is the cause of the apparent breakdown in the relationship between excess demand and inflation. Within a parsimonious empirical framework, we show that increasing openness of the US economy is all that is nee...
Article
Ownership restrictons in stock markets exist or have existed in a number of countries, with shares available to foreign investors normally having higher prices than shares restricted to domestic investors. However, in China the shares open to foreign investors, B-Shares, have much lower prices than shares available to domestic investors, A-Shares....
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Full-text available
There are many situations where policy makers would like to induce firms to make a major discrete conversion in production technology to help the environment. This paper examines how heterogeneity in the operating condition of firms' plant and equipment, which cannot be observed by policy makers, can affect the choice between incentives to encourag...
Article
Recent research has investigated the role of depression induced by seasonal affective disorder, SAD, for stock market returns. This paper extends this enquiry by developing the implications of SAD in a continuous-time equilibrium-return framework with time-varying risk aversion. This approach identifies three ways by which SAD can affect returns. Q...
Article
This 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 tur...
Article
This 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 tur...
Article
This paper finds that approximately one-third of the items in the CPI are governed by price regulations that can slow and add noise to the response of prices to changes in cost or demand conditions. Consequently, regulation is a possible partial explanation of sticky prices in the overall rate of inflation, and delayed response to changes in the mo...
Article
This paper considers the choice between two foreign exchange management protocols, namely whether to hold currencies received until required, or whether to convert foreign currencies into the home reporting currency and back as needed. The alternative protocols involve a tradeoff between saving transaction costs versus stability of home currency va...
Article
This paper evaluates the foreign exchange currency management problem facing a multinational firm in terms of a generalized network flow problem. Qualitative sensitivity analysis is applied to the currency management problem in this form to investigate the sensitivities and interdependencies in sources of and needs for currencies. The analysis reve...
Article
Full-text available
We explore the connection between equity returns and sleep disruptions following daylight-savings time changes. In international markets, the average Friday-to-Monday return on daylight-savings weekends is markedly lower than expected, with a magnitude 200 to 500 percent larger than the average negative return for other weekends of the year. This `...
Article
This paper applies portfolio principles to explore potential diversification benefits of the European Union (EU). We apply the portfolio approach to judge whether a particular membership configuration of the EU dominates alternative possibilities based on growth rates and growth rate volatilities. Our conclusions are that, for the original six memb...
Article
With different countries' price indexes being abased on different baskets of goods, measures of inflation-differentials and price-level ratios are intrinsically subject to error. These measurement errors could bias the outcome of PPP tests which include price indexes as regressors. We apply two-way regressions to gauge whether such index-induced er...
Article
Motivated by the recent flurry of activity in sleep research, this paper explores the connection between sleep disruptions following Spring and Fall clock shifts associated with daylight-savings time, and equity returns. It is shown that the "weekend effect" in the form of the lower-than-expected Friday-to Monday returns is particularly pronounced...
Article
This paper re-examines the stability of the income-velocity of money by allowing for the effects of the housing and stock markets. It is shown that much of the hitherto unexplained behavior of velocity can be explained by housing transactions. The importance of housing transactions is shown to be robust to the allowance for stock market transaction...
Article
Full-text available
Canada can be viewed as a politically-created portfolio of ten provinces plus two territories, with weights in that portfolio also determined by political rather than economic considerations. Viewing Canada in this way allows one to use principles of modern portfolio of provinces. This paper considers the economic efficiency of the current politica...
Article
This paper explores the implications of setting a minimum ratification level on an international agreement to tackle the greenhouse effect. Several aspects of the ratification level are considered, including the threshold number of signatories required to affect agreement, the potential number of participating countries, and the distribution of ben...
Article
By constructing component indices for Canadian prices that are judged by a panel of experts to be either freely-determined or regulated, the authors are able to show that regulated prices respond less systematically and less quickly to changes in the money supply. They also show that idiosyncrasies in the relationship between money and the differen...
Article
This paper considers the implications of non-reversed investing and borrowing for covered interest disparity and for equilibrium in the foreign exchange markets. Non-reversed investment, for example, occurs when a holder of domestic currency wants foreign exchange in the future. They can invest in domestic currency and buy forward foreign exchange,...
Article
This paper uses a three-sector, pseudo-general equilibrium model to investigate the implications of different types of technological progress in the manufacturing sector. We show that the increased relative importance of services that has occurred could be the consequence of such rapid technological advance in manufacturing that the relative price...
Article
This paper investigates the factors that determine the number and form of foreign banking operations from 60 foreign countries in the United States. Our equilibrium model of three banking forms (representative offices, agencies and branches) and three explanatory variables (export activity, merchant banking activity, and capital market development)...
Article
This paper describes the remarkable parallels between the problems faced in the drafting of the 1944 Bretton Woods Agreement, which established the rules and institutions governing the international financial system, and the problems faced in drafting a greenhouse gas agreement. The parallels include the need to induce countries to sacrifice econom...
Article
This paper examines the evidence for stability in the income-velocity of money by allowing for the effects of the housing and stock markets. It is shown that much of the hitherto unexplained behavior of the income velocity (the so-called "velocity puzzle") can be explained by housing transactions as well as the returns on housing. Stock market tran...
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Full-text available
GOLDBERG M. A., HELSLEY R. W. and LEVI M. D. (1989) The location of international financial activity: an interregional analysis, Reg. Studies 23, 1--7. This paper examines the determinants of the spatial distribution of financial activity. The determinants of the sizes of the financial services sector are estimated using data for a sample of US sta...
Chapter
Full-text available
With the dramatic increase in the importance of the Asia-Pacific region as a source of international trade, there has been an explosion of interest in where the financial activity generated by that trade will be located. Those cities which have dominated the international financial marketplace and which are located in the European-Atlantic Region,...
Article
This paper tests the rational expectations-natural rate hypothesis withou t basing expectations on time series estimates. Instead, market-based data are used. Unexpected money supply changes are determined via th e Fisher Effect and the Quantity Equation. This introduces errors of a very different kind than the traditional approach, and yet the res...
Article
It has recently been recognized that the controversial implication of the Modern Theory of Forward Exchange, that the forward rate can differ from the rate required for interest parity, no longer holds when speculators are allowed to choose between spot and forward speculation. This paper shows this result within the diagrammatic apparatus usually...
Article
SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the distribution of stock returns depends on the day of the week.' Kenneth French [3], for example, in testing whether daily stock returns are generated by a trading time or calendar time hypothesis, provided convincing evidence of a negative market return on Mondays. As French carefu...
Article
THE PURPOSE OF THIS paper is to demonstrate that empirical findings, which persistently appear to contradict the Fisher hypothesis that the nominal rate of interest should rise by the full amount of an increase in anticipated inflation, are due basically to a failure to control for changes in the real rate of interest that are associated with chang...
Article
In a multiple linear regression model with one mismeasured independent variable, all coefficients are asymptotically biased. It is shown how in OLS, an examination of the sign of the cofactors of the variance-covariance matrix of measured values can be used to obtain large sample bounds on the coefficients. The method involves forward regression an...
Article
If the choice of domestic versus foreign money and capital market instruments was on the basis of covered yields, funds would universally flow in one direction, from the smallest incentive, to the instruments of highest yields. This paper shows the consequences of different rates of taxation on interest and on exchange gains, the two components of...
Article
This paper shows that estimates of import demand elasticities will be biased towards zero from the exclusion of any variable that has internationally common or world-wide effects. This is true for both demand- and supply-affecting variables. The bias from world-wide effects is demonstrated in conjunction with the bias from mismeasured prices and qu...
Article
In order to induce firms to feel indifferent towards the sexes in their recruitment for the administrative level, the cause of preference towards males must be eliminated. In this paper the author discusses the preference for males that arise out of expected lower turnover for male employees.
Article
The buffer motive for holding inventories would lead us to expect that at any point in time inventory stocks might deviate from their long-run desired level. These undesired inventory stocks will have subsequent effects upon output. This paper shows that if we fail to include a measure of the deviation of stocks from desired levels in a study of th...
Article
We show that immigrant managers are substantially more likely to hire immigrants than are native managers. The finding holds when comparing establishments in the same 5-digit industry and location, when comparing different establishments within the same firm, when analyzing establishments that change management over time, and when accounting for wi...
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Full-text available
We examine the effect of an important friction in the labor market, that generated by labor unions, on the cross-section of expected stock returns. We hypothesize that labor unions increase expected stock returns by increasing firms' share of fixed labor costs in total labor costs and thus their operating leverage. Consistent with our hypothesis, w...
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We examine the effect of labor unions on the cross-section of expected stock returns. We find that expected returns are higher for firms in more unionized industries. The effect holds after we control for a host of industry-and firm-level characteristics, and is stronger when unions face a more favorable bargaining environment. The results cannot b...
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Full-text available
This paper investigates whether dominating leadership behavior, driven by testosterone, can scuttle merger and acquisition (M&A) negotiations. M&As represent an ideal arena in which to consider dominance which represents a challenge between the CEOs of bidder and target companies. Testosterone is proxied by CEO age. The outcomes of interest are bid...
Article
Full-text available
Testosterone, a hormone associated with male dominance seeking, has been shown to influence prospects for a cooperative outcome of the ultimatum game. Specifically, high- testosterone responders tend to reject low offers even though this is against their interest. It has been argued that this is consistent with a low offer being seen as a challenge...
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Full-text available
The historical accidents that shaped the division of the Hudson's Bay Company's Oregon Territory and that resulted in the purchase of Alaska, detached from the "Lower Forty-Eight" by a sovereign state in between, have no bearing on the economic realities of the region, which has become known as Cascadia. The national and state borders that cross th...
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This paper identifies asymmetric investor attention as a potential explanation for the neglected firm premium in the cross-section of stock returns. Utilizing ex ante predicted probability of media coverage (PMC) with respect to earnings news as a measure of investor attention, I show that a portfolio strategy based on long positions in low-attenti...
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Traducción de: International Finance: The Markets and Financial Management of Multinational Business Tr. de la 3a ed. en inglés
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Traducción de: International Finance: The Markets and Financial Management of Multinational Business Tr. de la 3a ed. en inglés
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Traducción de: International Finance: The Markets and Financial Management of Multinational Business Tr. de la 3a ed. en inglés Título en la cubierta: Finanzas internacionales: inversiones, financiación e instituciones
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Thesis (Ph. D.)--University of Chicago, Department of Economics. Includes bibliographical references.
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Traduccion de: International finance: the markets and financial management Incluye bibliografía e índice

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