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Donald B. Keim

Personal Details

First Name:Donald
Middle Name:B.
Last Name:Keim
Suffix:
RePEc Short-ID:pke165

Affiliation

Finance Department
Wharton School of Business
University of Pennsylvania

Philadelphia, Pennsylvania (United States)
http://finance.wharton.upenn.edu/
RePEc:edi:fdupaus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018. "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
  2. Donald B. Keim & Olivia S. Mitchell, 2016. "Simplifying Choices in Defined Contribution Retirement Plan Design," NBER Working Papers 21854, National Bureau of Economic Research, Inc.
  3. Ian R. Appel & Todd A. Gormley & Donald B. Keim, 2016. "Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism," NBER Working Papers 22707, National Bureau of Economic Research, Inc.
  4. Blume, M.E. & Keim, D.B., 1991. "The Myths and Reality of Low-Grade Bonds," Weiss Center Working Papers 27-91, Wharton School - Weiss Center for International Financial Research.
  5. Stephen R. Foerster & Donald B. Keim, "undated". "Direct Evidence of Non-Trading of NYSE and AMEX Stocks," Rodney L. White Center for Financial Research Working Papers 19-93, Wharton School Rodney L. White Center for Financial Research.
  6. Marshall E. Blume & Donald B. Keim, "undated". "Risk and Return Characteristics of Lower-Grade Bonds 1977-1987," Rodney L. White Center for Financial Research Working Papers 08-89, Wharton School Rodney L. White Center for Financial Research.
  7. Gabriel Hawawini & Donald B. Keim, "undated". "On the Predictability of Common Stock Returns: World-Wide Evidence (Revision of 23-92) (Reprint 054)," Rodney L. White Center for Financial Research Working Papers 22-94, Wharton School Rodney L. White Center for Financial Research.
  8. Donald B. Keim & Ananth Madhavan, "undated". "Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18-93) (Reprint 045)," Rodney L. White Center for Financial Research Working Papers 12-94, Wharton School Rodney L. White Center for Financial Research.
  9. Donald B. Keim & Ananth Madhavan, "undated". "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92)," Rodney L. White Center for Financial Research Working Papers 10-94, Wharton School Rodney L. White Center for Financial Research.
  10. Marshall E. Blume & Donald B. Keim, "undated". "Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006)," Rodney L. White Center for Financial Research Working Papers 31-89, Wharton School Rodney L. White Center for Financial Research.
  11. Donald B. Keim & Ananth Madhavan, "undated". "Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)," Rodney L. White Center for Financial Research Working Papers 09-95, Wharton School Rodney L. White Center for Financial Research.
  12. Marshall E. Blume & Donald B. Keim, "undated". "Volatility Patterns of Fixed Income Securities," Rodney L. White Center for Financial Research Working Papers 15-89, Wharton School Rodney L. White Center for Financial Research.
  13. Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, "undated". "General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)," Rodney L. White Center for Financial Research Working Papers 10-92, Wharton School Rodney L. White Center for Financial Research.
  14. Donald B. Keim, "undated". "An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks," Rodney L. White Center for Financial Research Working Papers 05-98, Wharton School Rodney L. White Center for Financial Research.
  15. Wayne Ferson & Stephen Foerster & Donald Keim, "undated". "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 27-87, Wharton School Rodney L. White Center for Financial Research.
  16. Marshall E. Blume & Donald B. Keim, "undated". "Risk and Return Characteristics of Lower-Grade Bonds," Rodney L. White Center for Financial Research Working Papers 17-86, Wharton School Rodney L. White Center for Financial Research.
  17. Joseph Gyourko & Donald B. Keim, "undated". "The Risk and Return Characteristics of Stock Market-Based Real Estate Indexes and Their Relation to Appraisal-Based Returns," Rodney L. White Center for Financial Research Working Papers 5-90, Wharton School Rodney L. White Center for Financial Research.
  18. Donald B. Keim & Robert F. Stambaugh, "undated". "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
  19. Donald B. Keim & Ananth Madhavan, "undated". "Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94)," Rodney L. White Center for Financial Research Working Papers 18-93, Wharton School Rodney L. White Center for Financial Research.
  20. Donald B. Keim, "undated". "Dividend Yields and Stock Returns: Implications of Abnormal January Returns," Rodney L. White Center for Financial Research Working Papers 14-85, Wharton School Rodney L. White Center for Financial Research.
  21. Donald B. Keim & Ananth Madhavan, "undated". "Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)," Rodney L. White Center for Financial Research Working Papers 26-94, Wharton School Rodney L. White Center for Financial Research.
  22. Gabriel Hawawini & Donald B. Keim, "undated". "On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)," Rodney L. White Center for Financial Research Working Papers 23-92, Wharton School Rodney L. White Center for Financial Research.
  23. Joseph Gyourko & Donald B. Keim, "undated". "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
  24. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 07-97, Wharton School Rodney L. White Center for Financial Research.
  25. Marshall E. Blume & Donald B. Keim, "undated". "Return Indexes for Lower Grade Bonds," Rodney L. White Center for Financial Research Working Papers m1-89, Wharton School Rodney L. White Center for Financial Research.
  26. Joseph Gyourko & Donald B. Keim, "undated". "What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92)," Rodney L. White Center for Financial Research Working Papers 18-91, Wharton School Rodney L. White Center for Financial Research.
  27. Marshall E. Blume & Donald B. Keim, "undated". "Risks and Returns of Low-Grade Bonds: An Update (Reprint 027)," Rodney L. White Center for Financial Research Working Papers 15-91, Wharton School Rodney L. White Center for Financial Research.
  28. Marshall E. Blume & Donald B. Keim, "undated". "The Valuation of Callable Bonds," Rodney L. White Center for Financial Research Working Papers 14-89, Wharton School Rodney L. White Center for Financial Research.
  29. Marshall E. Blume & Donald B. Keim & Sandeep A. Patel, "undated". "Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)," Rodney L. White Center for Financial Research Working Papers 24-90, Wharton School Rodney L. White Center for Financial Research.
  30. Donald B. Keim & Ananth Madhavan, "undated". "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94)," Rodney L. White Center for Financial Research Working Papers 21-92, Wharton School Rodney L. White Center for Financial Research.
  31. Donald B. Keim, "undated". "Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008)," Rodney L. White Center for Financial Research Working Papers 22-89, Wharton School Rodney L. White Center for Financial Research.
  32. Marshall E. Blume & Donald B. Keim & Sandeep A. Patel, "undated". "Returns and Volatility of Low-Grade Bonds 1977-1988," Rodney L. White Center for Financial Research Working Papers 38-89, Wharton School Rodney L. White Center for Financial Research.
  33. Donald B. Keim & Ananth Madhavan, "undated". "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 08-98, Wharton School Rodney L. White Center for Financial Research.
  34. M.E Blume & D. B. Keim, "undated". "Return Indexes for Lower Grade Bonds: 1977-1987," Rodney L. White Center for Financial Research Working Papers m1-88, Wharton School Rodney L. White Center for Financial Research.
  35. Donald B. Keim & Ananth Madhavan, "undated". "The Information Contained in Stock Exchange Seat Prices," Rodney L. White Center for Financial Research Working Papers 7-98, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Kavajecz, Kenneth A. & Keim, Donald B., 2005. "Packaging Liquidity: Blind Auctions and Transaction Efficiencies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(3), pages 465-492, September.
  2. Donald B. Keim & Ananth Madhavan, 2000. "The Relation between Stock Market Movements and NYSE Seat Prices," Journal of Finance, American Finance Association, vol. 55(6), pages 2817-2840, December.
  3. Keim, Donald B., 1999. "An analysis of mutual fund design: the case of investing in small-cap stocks," Journal of Financial Economics, Elsevier, vol. 51(2), pages 173-194, February.
  4. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
  5. Keim, Donald B & Madhaven, Ananth, 1996. "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 1-36.
  6. Keim, Donald B. & Madhavan, Ananth, 1995. "Anatomy of the trading process Empirical evidence on the behavior of institutional traders," Journal of Financial Economics, Elsevier, vol. 37(3), pages 371-398, March.
  7. Ferson, Wayne E & Foerster, Stephen R & Keim, Donald B, 1993. "General Tests of Latent Variable Models and Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 48(1), pages 131-156, March.
  8. Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485, September.
  9. Blume, Marshall E & Keim, Donald B & Patel, Sandeep A, 1991. "Returns and Volatility of Low-Grade Bonds: 1977-1989," Journal of Finance, American Finance Association, vol. 46(1), pages 49-74, March.
  10. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
  11. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
  12. Keim, Donald B., 1985. "Dividend yields and stock returns: Implications of abnormal January returns," Journal of Financial Economics, Elsevier, vol. 14(3), pages 473-489, September.
  13. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
  14. Brown, Philip & Keim, Donald B. & Kleidon, Allan W. & Marsh, Terry A., 1983. "Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 105-127, June.
  15. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.

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Rankings

This author is among the top 5% authors according to these criteria:
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  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
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  10. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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  18. Number of Registered Citing Authors
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-AGE: Economics of Ageing (1) 2016-03-23
  2. NEP-CFN: Corporate Finance (1) 2016-10-16
  3. NEP-MAC: Macroeconomics (1) 2016-03-23
  4. NEP-MST: Market Microstructure (1) 2018-08-13

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