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My authors Follow this authorDonald 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
Jump to: Working papers ArticlesWorking papers
- 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.).
- 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.
- 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.
- 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.
- Marshall E. Blume & Donald B. Keim, "undated". "The Myths and Reality of Low-Grade Bonds," Rodney L. White Center for Financial Research Working Papers 27-91, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 9-95, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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.
- 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.
- Marshall E. Blume & Donald B. Keim, "undated". "Risk and Return Characteristics of Lower Grade Bonds," Rodney L. White Center for Financial Research Working Papers 17-87, Wharton School Rodney L. White Center for Financial Research.
- Marshall Blume & Donald B. Keim, "undated". "Risk and Return Characteristics of Lower-Grade Bonds," Rodney L. White Center for Financial Research Working Papers m2-84, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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 08-99, Wharton School Rodney L. White Center for Financial Research.
- 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 8-99, Wharton School Rodney L. White Center for Financial Research.
- 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 7-97, Wharton School Rodney L. White Center for Financial Research.
- Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 8-89, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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.
- 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.
- 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 5-98, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, "undated". "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 01-91, Wharton School Rodney L. White Center for Financial Research.
- Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim, "undated". "Tests of Asset Pricing Models with Changing Expectations," Rodney L. White Center for Financial Research Working Papers 1-91, Wharton School Rodney L. White Center for Financial Research.
- Ferson, W.E. & Foester, S.R. & Kein, D.B., 1991. "Test of Asset Pricing Models With Changing Expectations," Weiss Center Working Papers 1-91, Wharton School - Weiss Center for International Financial Research.
- 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.
- 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 05-90, Wharton School Rodney L. White Center for Financial Research.
- Gyourko, J. & Keim, D.B., 1990. "The Risk And Return Characteristics Of Stock Market-Based Real Estate Indexes And Their Relation To Appraisal- Based Returns," Weiss Center Working Papers 5-90, Wharton School - Weiss Center for International Financial Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Donald B. Keim & Ananth Madhavan, "undated". "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 8-98, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Donald B. Keim & Ananth Madhavan, "undated". "The Information Contained in Stock Exchange Seat Prices," Rodney L. White Center for Financial Research Working Papers 07-98, Wharton School Rodney L. White Center for Financial Research.
Articles
- 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.
- 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.
- 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.
- 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.
- 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 5-98, Wharton School Rodney L. White Center for Financial Research.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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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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.- NEP-AGE: Economics of Ageing (1) 2016-03-23
- NEP-CFN: Corporate Finance (1) 2016-10-16
- NEP-MAC: Macroeconomics (1) 2016-03-23
- NEP-MST: Market Microstructure (1) 2018-08-13
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