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Economics and Finance

D-Index
39
Citations
17346
World Ranking
2342
National Ranking
1327

Overview

Donald B. Keim is affiliated with the University of Pennsylvania in the United States. Their research primarily focuses on the fields of Economics, Econometrics, and Finance. Within these broad fields, their work covers subfields including Finance, Accounting, and Economics and Econometrics.

The scientist's research explores topics related to Financial Markets and Investment Strategies, Corporate Finance and Governance, and Complex Systems and Time Series Analysis.

Some recent papers authored or coauthored by Donald B. Keim include:

  • Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies (2024, Critical Finance Review)
  • Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds (2022, European Finance Review)
  • Passive Growth, Active Response: The Effect of Indexing on Informed Trading (2025, SSRN Electronic Journal)

Frequent coauthors collaborating with Donald B. Keim are:

  • Ian Appel
  • Todd A. Gormley
  • Susan Kerr Christoffersen
  • David K. Musto
  • Aleksandra Rzeźnik

Their work has appeared in publication venues such as:

  • Critical Finance Review
  • European Finance Review
  • SSRN Electronic Journal

Best Publications

  • SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical Evidence

    Donald B. Keim

  • Predicting returns in the stock and bond markets

    Donald B. Keim;Robert F. Stambaugh

  • A Further Investigation of the Weekend Effect in Stock Returns

    Donald B. Keim;Robert F. Stambaugh

  • Passive Investors, Not Passive Owners *

    Ian R. Appel;Todd A. Gormley;Donald B. Keim

  • The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

    Donald B. Keim;Ananth Madhavan

  • Earnings Yields, Market Values, and Stock Returns

    Jeffrey Jaffe;Donald B. Keim;Randolph Westerfield

  • Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

    Donald B. Keim;Ananth Madhavan

  • Anatomy of the Trading Process Empirical Evidence on the Behavior of Institutional Traders

    Donald B. Keim;Ananth Madhavan

  • What Does the Stock Market Tell Us About Real Estate Returns

    Joseph Gyourko;Donald B. Keim

  • Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

    Philip Brown;Donald B. Keim;Allan W. Kleidon;Terry A. Marsh

  • Trading patterns, bid-ask spreads, and estimated security returns

    Donald B. Keim

  • Dividend yields and stock returns: Implications of abnormal January returns

    Donald B. Keim

  • Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism

    Ian R Appel;Todd A Gormley;Donald B Keim

  • Returns and Volatility of Low-Grade Bonds 1977–1989

    Marshall E Blume;Donald B Keim;Sandeep Anubhai Patel

  • Stock return seasonalities and the tax-loss selling hypothesis

    Unknown

  • The Cost of Institutional Equity Trades

    Unknown

  • A Further Investigation of the Weekend Effect in Stock Returns

    Unknown

  • On the Predictability of Common Stock Returns: World-Wide Evidence

    Gabriel Hawawini;Donald B. Keim

  • An analysis of mutual fund design: the case of investing in small-cap stocks11I have benefited from generous access to the portfolio managers and trade room personnel at Dimensional Fund Advisors. Thanks also to Marshall Blume, David Booth, Truman Clark, Gene Fama, Gene Fama, Jr., Ken French, Ananth Madhavan, David Musto, Jay Ritter, Rex Sinquefield, and Mitchell Petersen (the referee) for helpful comments and discussions.

    Donald B. Keim

  • General Tests of Latent Variable Models and Mean-Variance Spanning

    Wayne E. Ferson;Stephen R. Foerster;Donald B. Keim

  • The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings

    Gabriel Hawawini;Donald Keim

  • Institutional Investors and Stock Market Liquidity: Trends and Relationships

    Marshall E. Blume;Donald B. Keim

  • The cross section of common stock returns : a review of the evidence and some new findings

    Gabriel Hawawini;Donald B. Keim;Fontainebleau

Frequent Co-Authors

Marshall E. Blume
Marshall E. Blume University of Pennsylvania
Ananth Madhavan
Ananth Madhavan University of California, Berkeley
Olivia S. Mitchell
Olivia S. Mitchell University of Pennsylvania
Joseph Gyourko
Joseph Gyourko University of Pennsylvania
Robert F. Stambaugh
Robert F. Stambaugh University of Pennsylvania
Wayne E. Ferson
Wayne E. Ferson University of Southern California
Philip Brown
Philip Brown University of Western Australia
William T. Ziemba
William T. Ziemba University of British Columbia

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