Details about Donald B. Keim

Access statistics for papers by Donald B. Keim.

Last updated 2009-10-02. Update your information in the RePEc Author Service.

Short-id: pke165

Working Papers

2018

1. First to \"Read\" the News: New Analytics and Algorithmic Trading
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

2016

2. Simplifying Choices in Defined Contribution Retirement Plan Design
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
3. Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

1997

4. The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
   INSEAD, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration. View citations (2)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (12)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

1991

5. The Myths and Reality of Low-Grade Bonds
   Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

1990

6. THE RISK AND RETURN CHARACTERISTICS OF STOCK MARKET-BASED REAL ESTATE INDEXES AND THEIR RELATION TO APPRAISAL- BASED RETURNS
   Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (2)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

Undated

7. An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
   See also Journal Article An analysis of mutual fund design: the case of investing in small-cap stocks, Journal of Financial Economics, Elsevier (1999) View citations (40) (1999)
8. 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, Wharton School Rodney L. White Center for Financial Research
9. 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, Wharton School Rodney L. White Center for Financial Research
10. Direct Evidence of Non-Trading of NYSE and AMEX Stocks
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
11. Dividend Yields and Stock Returns: Implications of Abnormal January Returns
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (38)
    See also Journal Article Dividend yields and stock returns: Implications of abnormal January returns, Journal of Financial Economics, Elsevier (1985) View citations (41) (1985)
12. Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
13. 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, Wharton School Rodney L. White Center for Financial Research View citations (7)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
14. General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
15. On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (23)
16. 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, Wharton School Rodney L. White Center for Financial Research View citations (1)
17. Predicting Returns in the Stock and Bond Markets
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)
    See also Journal Article Predicting returns in the stock and bond markets, Journal of Financial Economics, Elsevier (1986) View citations (699) (1986)
18. 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, Wharton School Rodney L. White Center for Financial Research
19. Return Indexes for Lower Grade Bonds
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
20. Return Indexes for Lower Grade Bonds: 1977-1987
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
21. Returns and Volatility of Low-Grade Bonds 1977-1988
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
22. Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
23. Risk and Return Characteristics of Lower Grade Bonds
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
24. Risk and Return Characteristics of Lower-Grade Bonds 1977-1987
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
25. Risks and Returns of Low-Grade Bonds: An Update (Reprint 027)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
26. Tests of Asset Pricing Models with Changing Expectations
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
27. The Cost of Institutional Equity Trades
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (73)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (79)
28. The Information Contained in Stock Exchange Seat Prices
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
29. 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, Wharton School Rodney L. White Center for Financial Research
30. 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, Wharton School Rodney L. White Center for Financial Research View citations (1)
31. The Valuation of Callable Bonds
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
32. 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, Wharton School Rodney L. White Center for Financial Research View citations (36)
33. Volatility Patterns of Fixed Income Securities
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
34. What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
35. 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, Wharton School Rodney L. White Center for Financial Research View citations (105)

Journal Articles

2005

1. Packaging Liquidity: Blind Auctions and Transaction Efficiencies
   Journal of Financial and Quantitative Analysis, 2005, 40, (3), 465-492 View citations (19)

2000

2. The Relation between Stock Market Movements and NYSE Seat Prices
   Journal of Finance, 2000, 55, (6), 2817-2840 View citations (11)

1999

3. An analysis of mutual fund design: the case of investing in small-cap stocks
   Journal of Financial Economics, 1999, 51, (2), 173-194 View citations (40)
   See also Working Paper An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks, Rodney L. White Center for Financial Research Working Papers

1997

4. Transactions costs and investment style: an inter-exchange analysis of institutional equity trades
   Journal of Financial Economics, 1997, 46, (3), 265-292 View citations (209)

1996

5. The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
   The Review of Financial Studies, 1996, 9, (1), 1-36 View citations (209)

1995

6. Anatomy of the trading process Empirical evidence on the behavior of institutional traders
   Journal of Financial Economics, 1995, 37, (3), 371-398 View citations (178)

1993

7. General Tests of Latent Variable Models and Mean-Variance Spanning
   Journal of Finance, 1993, 48, (1), 131-56 View citations (50)

1992

8. What Does the Stock Market Tell Us About Real Estate Returns?
   Real Estate Economics, 1992, 20, (3), 457-485 View citations (149)

1991

9. Returns and Volatility of Low-Grade Bonds: 1977-1989
   Journal of Finance, 1991, 46, (1), 49-74 View citations (42)

1989

10. Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points
    Journal of Financial Economics, 1989, 25, (1), 75-97 View citations (65)

1986

11. Predicting returns in the stock and bond markets
    Journal of Financial Economics, 1986, 17, (2), 357-390 View citations (699)
    See also Working Paper Predicting Returns in the Stock and Bond Markets, Rodney L. White Center for Financial Research Working Papers View citations (7)

1985

12. Dividend yields and stock returns: Implications of abnormal January returns
    Journal of Financial Economics, 1985, 14, (3), 473-489 View citations (41)
    See also Working Paper Dividend Yields and Stock Returns: Implications of Abnormal January Returns, Rodney L. White Center for Financial Research Working Papers View citations (38)

1984

13. A Further Investigation of the Weekend Effect in Stock Returns
    Journal of Finance, 1984, 39, (3), 819-35 View citations (224)

1983

14. Size-related anomalies and stock return seasonality: Further empirical evidence
    Journal of Financial Economics, 1983, 12, (1), 13-32 View citations (462)
15. Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence
    Journal of Financial Economics, 1983, 12, (1), 105-127 View citations (91)