Donald B. Keim : Citation Profile


Are you Donald B. Keim?

University of Pennsylvania

17

H index

19

i10 index

2181

Citations

RESEARCH PRODUCTION:

15

Articles

51

Papers

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 62
   Journals where Donald B. Keim has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 1 (0.05 %)

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   Permalink: http://citec.repec.org/pke165
   Updated: 2020-09-26    RAS profile: 2009-10-02    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Donald B. Keim.

Is cited by:

Campbell, John (22)

GUPTA, RANGAN (20)

Guidolin, Massimo (17)

Gallagher, David (15)

Grinblatt, Mark (14)

van der Sluis, Pieter (14)

Bikker, Jacob (14)

Hirshleifer, David (13)

Wachter, Jessica (11)

Wohar, Mark (11)

Chakravarty, Sugato (11)

Cites to:

Madhavan, Ananth (5)

Campbell, John (4)

Foucault, Thierry (4)

Jiang, Wei (4)

Stoll, Hans (3)

Calvet, Laurent (3)

Menkveld, Albert (2)

peress, joel (2)

Madrian, Brigitte (2)

Liskovich, Inessa (2)

Kyle, Albert (2)

Main data


Where Donald B. Keim has published?


Journals with more than one article published# docs
Journal of Financial Economics8
Journal of Finance4

Recent works citing Donald B. Keim (2020 and 2019)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Large Bets and Stock Market Crashes. (2020). Obizhaeva, Anna A ; Kyle, Albert S. In: Working Papers. RePEc:abo:neswpt:w0269.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2019Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market. (2019). Torrisi, Benedetto ; Pernagallo, Giuseppe. In: Papers. RePEc:arx:papers:1904.03488.

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2019The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925.

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2020Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk. (2019). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1908.01103.

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2019Empirical investigation of state-of-the-art mean reversion strategies for equity markets. (2019). Moon, Byung-Ro ; Kim, Yong-Hyuk. In: Papers. RePEc:arx:papers:1909.04327.

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2019Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach. (2019). Cai, Charlie X ; Rudkin, Wanling. In: Papers. RePEc:arx:papers:1911.12582.

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2020Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B. In: Papers. RePEc:arx:papers:2004.06200.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237.

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2020Calendar Anomalies in the Banking and it Index: The Indian Experience. (2020). Das, Chandrabhanu ; Singh, Shikta. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:439-448.

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2019Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2019FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY. (2019). Novak, Jiri ; Havranek, Tomas ; Astakhov, Anton . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:33:y:2019:i:5:p:1463-1492.

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2019What Constrains Liquidity Provision? Evidence From Hedge Fund Trades. (2019). Cotelioglu, Efe ; Plazzi, Alberto ; Franzoni, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13645.

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2019The Wall Street Stampede: Exit as Governance with Interacting Blockholders. (2019). Zachariadis, Konstantinos ; Dasgupta, Amil ; Cvijanovic, Dragana. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13870.

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2019Holiday Effect on Large Stock Price Changes. (2019). Kudryavtsev, Andrey. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:kudryavtsev.

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2019Pension funds, large capital inflows and stock returns in a thin market. (2019). Serwa, Dobromi ; Bohl, Martin T ; Brzeszczyski, Janusz. In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:18:y:2019:i:03:p:347-387_00.

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2019Stock Prices Behavior Before and After Friday the 13th. (2019). Stefanescu, Razvan ; Dumitriu, Ramona. In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2019:p:20-30.

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2019The significance of calendar effects in the electricity market. (2019). Liang, XI ; Jiang, Mengfei ; Cursio, Joseph D. In: Applied Energy. RePEc:eee:appene:v:235:y:2019:i:c:p:487-494.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2019Rise and fall of calendar anomalies over a century. (2019). Plastun, Alex ; GUPTA, RANGAN ; Wohar, Mark E ; Sibande, Xolani. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:181-205.

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2019Relationship between the United States housing and stock markets: Some evidence from wavelet analysis. (2019). Liow, Kim ; Song, Jeonseop ; Huang, Yuting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081930035x.

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2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

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2019Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification. (2019). Ghafoor, Abdul ; Ur, Ijaz ; Khan, Habib Hussain ; Qureshi, Fiza. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:1:p:130-150.

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2020Institutional investors, selling pressure and crash risk: Evidence from China. (2020). Fu, Hui ; Fan, Yunqi . In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302985.

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2019Portfolio concentration and mutual fund performance. (2019). Riley, Timothy B ; Fulkerson, Jon A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:1-16.

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2019Balanced predictive regressions. (2019). Ren, Yu ; Yi, Yanping ; Tu, Yundong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:118-142.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2019Can investor sentiment predict the size premium?. (2019). Aharon, David Y ; Qadan, Mahmoud. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:10-26.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2019Could crowdsourced financial analysis replace the equity research by investment banks?. (2019). Lubloy, agnes ; Sillasoo, Martin ; Kommel, Karl Arnold. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:280-284.

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2019Business cycle, expected return and momentum payoffs. (2019). Hwang, Hyoseok ; Chen, Jiun-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:83-89.

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2019Conditional pricing of earnings quality. (2019). ZHANG, MINGSHAN. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:306-313.

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2019Can investors profit from security analyst recommendations?: New evidence on the value of consensus recommendations. (2019). Park, Ki Young. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:403-413.

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2019Is there still a weather anomaly? An investigation of stock and foreign exchange markets. (2019). Zheng, Min ; Wang, Changyu ; Andrikopoulos, Athanasios. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:51-59.

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2019Bitcoin and the day-of-the-week effect. (2019). Qadan, Mahmoud ; Aharon, David Yechiam. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612317307894.

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2019An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China. (2019). Shen, Dehua ; Li, Xiao ; Meng, Yongqiang ; Xiong, Xiong. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307785.

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2019Short-term trading skill: An analysis of investor heterogeneity and execution quality. (2019). Sotiropoulos, Michael G ; Moallemi, Ciamac C ; Salam, Mehmet. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:1-28.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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2019Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange. (2019). Lien, Donald ; Hung, Pi-Hsia . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:231-251.

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2019Long-term asset allocation, risk tolerance and market sentiment. (2019). Joliet, Robert ; Erdemlioglu, Deniz. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:1-19.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav ; Barunik, Jozef. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:823-835.

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2019Why has the size effect disappeared?. (2019). Yoon, Bohyun ; Min, Byoung-Kyu ; Ahn, Dong-Hyun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:256-276.

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2020What drives the market for exchange-traded notes?. (2020). Rakowski, David ; Shirley, Sara. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302766.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2019Common risk factors in the cross-section of corporate bond returns. (2019). Wen, Quan ; Bali, Turan G ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:619-642.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2019Information and trading targets in a dynamic market equilibrium. (2019). Choi, Jin Hyuk ; Seppi, Duane J ; Larsen, Kasper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:22-49.

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2019Institutional investor cliques and governance. (2019). Michenaud, Sebastien ; Koch, Andrew ; Crane, Alan D. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:175-197.

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2020Trading out of sight: An analysis of cross-trading in mutual fund families. (2020). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:359-378.

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2020Mood beta and seasonalities in stock returns. (2020). Hirshleifer, David ; Digiovanni, Yuting Meng ; Jiang, Danling. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:272-295.

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2019Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2019). Broeders, Dirk ; Rijsbergen, David R ; van Oord, Arco . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:299-312.

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2019Market specific seasonal trading behavior in NASDAQ OMX electricity options. (2019). Rothovius, Timo ; Nikkinen, Jussi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:16-29.

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2019Expected stock price crash risk and bank loan pricing: Evidence from Chinas listed firms. (2019). Xu, Liping ; Xin, YU ; Gu, Xiaolong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18306036.

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2019Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372.

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2020Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market. (2020). Pernagallo, Giuseppe ; Torrisi, Benedetto. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316462.

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2019The impact of large orders in electronic markets. (2019). Murgia, Maurizio ; Bosetti, Luisella ; Gottardo, Pietro ; Pinna, Andrea . In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:174-192.

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2020Financial crisis, bank diversification, and financial stability: OECD countries. (2020). Kim, Hakkon ; Ryu, Doojin ; Batten, Jonathan A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:94-104.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2019The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK. (2019). Gregoriou, Andros ; Zhang, Sijia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:191-200.

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2020Historical evolution of monthly anomalies in international stock markets. (2020). Plastun, Alex ; GUPTA, RANGAN ; Wohar, Mark E ; Sibande, Xolani. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307743.

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2020Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696.

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2020The Seasonal Effect on the Chinese Gold Market using an Empirical Analysis of the Shanghai Gold Exchange. (2020). Maillebuau, Philippe ; Xiao, Bing. In: Eurasian Journal of Economics and Finance. RePEc:ejn:ejefjr:v:8:y:2020:i:2:p:104-114.

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2019Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P;. (1997). Orphanides, Athanasios ; Douvogiannis, Martha ; Lander, Joel. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:1997-06.

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2019The Turn of the Month Effect on CEE Stock Markets. (2019). Kotlebova, Jana ; Arendas, Peter. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:4:p:57-:d:272661.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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2019The Cross Section of Country Equity Returns: A Review of Empirical Literature. (2019). Zaremba, Adam. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:165-:d:281162.

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2020Credit Spreads, Business Conditions, and Expected Corporate Bond Returns. (2020). Wu, Chunchi ; Wang, Junbo ; Tao, Xinyuan ; Lin, Hai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:20-:d:311789.

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2019The day-of-the-week effects in the exchange rate of Latin American currencies. (2019). Romero, Luis Nelson ; Ramirez, Alejandro Fonseca ; Santillan, Roberto Joaquin. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:485-507.

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2019Weekend effect and financial characteristics: is there any relation in Latin America?. (2019). Delfino, Cinzia ; Mongrut, Samuel. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:509-525.

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2019Good and Bad Variance Premia and Expected Returns. (2019). Shaliastovich, Ivan ; Kilic, Mete. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2522-2544.

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2019Asset Growth, Profitability, and Investment Opportunities. (2019). Maio, Paulo ; Cooper, Ilan. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:9:p:3988-4010.

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2020Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

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2020Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes. (2020). Xu, Jing ; Li, YA ; Ali, Y ; Lei, Yaoting . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:823-843.

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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators. (2020). Laurini, Marcio ; Pereira, Caio Vigo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202014.

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2019Market Conditions and Calendar Anomalies in Japanese Stock Returns. (2019). Rabbani, Naheed ; Rahim, Mostafa Saidur. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-9263-4.

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2019Machine learning in empirical asset pricing. (2019). Weigand, Alois. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-019-00326-3.

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2019Common risk factors in international stock markets. (2019). Schrimpf, Andreas ; Ziegler, Andreas ; Wagner, Alexander F ; von Arx, Urs ; Schmidt, Peter S. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:3:d:10.1007_s11408-019-00334-3.

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2020Investors’ Limited Attention: Evidence from REITs. (2020). Khoshnoud, Mahsa ; Harrison, Davidm ; Chen, Honghui. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:61:y:2020:i:3:d:10.1007_s11146-018-9667-y.

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2019Shareholder wealth effects of M&A withdrawals. (2019). Liu, Yue. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:3:d:10.1007_s11156-018-0722-9.

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2019Investor Sentiment as a Predictor of Market Returns. (2019). Zhang, Peng ; Kaivanto, Kim. In: Working Papers. RePEc:lan:wpaper:268005798.

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2019Another Look at Calendar Anomalies. (2019). Panagiotidis, Theodore ; Fountas, Stilianos ; Chatzitzisi, Evanthia. In: Discussion Paper Series. RePEc:mcd:mcddps:2019_02.

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2020A Liberalization Spillover: From Equities to Loans. (2020). Wei, Shang-Jin ; Zhou, Yifan ; Liu, Xin. In: NBER Working Papers. RePEc:nbr:nberwo:27305.

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2019A Fresh Look at Return Predictability Using a More Efficient Estimator. (2019). Johnson, Travis L. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:9:y:2019:i:1:p:1-46..

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2019Tree-based machine learning approaches for equity market predictions. (2019). Neugebauer, Ulrich ; Wolff, Dominik. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:4:d:10.1057_s41260-019-00125-5.

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2019Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge. (2019). Singh, Vipul Kumar. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:7:d:10.1057_s41260-019-00140-6.

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2019Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach. (2019). Kausar, Saba ; Rashid, Abdul. In: The Pakistan Development Review. RePEc:pid:journl:v:58:y:2019:i:1:p:83-104.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:91587.

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2019Behaviour of asset pricing models in pre and post-recession period: an evidence from India. (2019). Sinha, Pankaj ; Sawaliya, Priya. In: MPRA Paper. RePEc:pra:mprapa:93084.

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2019New Essentials of Economic Theory III. Economic Applications. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:94053.

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2019New Essentials of Economic Theory. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:95065.

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2020Introducere în analiza anomaliilor calendaristice, Partea a doua. (2020). Dumitriu, Ramona ; Stefanescu, Rzvan. In: MPRA Paper. RePEc:pra:mprapa:97961.

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2020Efectul Turn-of-the-Year pe piaţa valutară din România. (2020). Dumitriu, Ramona ; Stefanescu, Rzvan. In: MPRA Paper. RePEc:pra:mprapa:99365.

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2019Rise and Fall of Calendar Anomalies over a Century. (2019). Wohar, Mark ; Plastun, Alex ; GUPTA, RANGAN ; Sibande, Xolani. In: Working Papers. RePEc:pre:wpaper:201902.

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2019Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201912.

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2019Oil Price Uncertainty and Movements in the US Government Bond Risk Premia. (2019). Wohar, Mark ; Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:201919.

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2019Historical Evolution of Monthly Anomalies in International Stock Markets. (2019). Wohar, Mark ; Plastun, Alex ; GUPTA, RANGAN ; Sibande, Xolani. In: Working Papers. RePEc:pre:wpaper:201950.

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2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

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2019Gold, Platinum and the Predictability of Bond Risk Premia. (2019). GUPTA, RANGAN ; Demirer, Riza ; Wohar, Mark E ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201967.

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More than 100 citations found, this list is not complete...

Works by Donald B. Keim:


YearTitleTypeCited
1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
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article182
1991 Returns and Volatility of Low-Grade Bonds: 1977-1989. In: Journal of Finance.
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article35
1993 General Tests of Latent Variable Models and Mean-Variance Spanning. In: Journal of Finance.
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article34
2000The Relation between Stock Market Movements and NYSE Seat Prices In: Journal of Finance.
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article9
1992What Does the Stock Market Tell Us About Real Estate Returns? In: Real Estate Economics.
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article117
2005Packaging Liquidity: Blind Auctions and Transaction Efficiencies In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article14
1983Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence In: Journal of Financial Economics.
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article65
1983Size-related anomalies and stock return seasonality : Further empirical evidence In: Journal of Financial Economics.
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article377
1985Dividend yields and stock returns: Implications of abnormal January returns In: Journal of Financial Economics.
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article35
1985Dividend Yields and Stock Returns: Implications of Abnormal January Returns.(1985) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 35
paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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article553
1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 553
paper
1989Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points In: Journal of Financial Economics.
[Full Text][Citation analysis]
article38
1995Anatomy of the trading process Empirical evidence on the behavior of institutional traders In: Journal of Financial Economics.
[Full Text][Citation analysis]
article134
1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades In: Journal of Financial Economics.
[Full Text][Citation analysis]
article159
1999An analysis of mutual fund design: the case of investing in small-cap stocks In: Journal of Financial Economics.
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article25
1998An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 25
paper
1998An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 25
paper
2018First to Read the News: New Analytics and Algorithmic Trading In: International Finance Discussion Papers.
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paper0
1997The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings In: INSEAD.
[Citation analysis]
paper11
1997The Cross Section of Common Stock Returns : A Review of the Evidence and Some New Findings..(1997) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
1999The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings.(1999) In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
1997The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings.(1997) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
1999The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings..(1999) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2001Tests of Asset Pricing Models with Changing Expectations In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper2
1991Tests of Asset Pricing Models with Changing Expectations.(1991) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1987Tests of Asset Pricing Models with Changing Expectations.(1987) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1990The Risk and Return Characteristics of Stock Market-Based Real Estate Indexes and Their Relation to Appraisal-Based Returns In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1990THE RISK AND RETURN CHARACTERISTICS OF STOCK MARKET-BASED REAL ESTATE INDEXES AND THEIR RELATION TO APPRAISAL- BASED RETURNS..(1990) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1990THE RISK AND RETURN CHARACTERISTICS OF STOCK MARKET-BASED REAL ESTATE INDEXES AND THEIR RELATION TO APPRAISAL- BASED RETURNS..(1990) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1998The Information Contained in Stock Exchange Seat Prices In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1998The Information Contained in Stock Exchange Seat Prices.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1989Risk and Return Characteristics of Lower-Grade Bonds 1977-1987 In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1989Risk and Return Characteristics of Lower-Grade Bonds 1977-1987.(1989) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998The Cost of Institutional Equity Trades: An Overview In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper67
1998The Cost of Institutional Equity Trades.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 67
paper
1995Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper7
1995Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94).(1995) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
1992General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1994The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1992What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper90
1994Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18-93) (Reprint 045) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1989The Valuation of Callable Bonds In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1989Volatility Patterns of Fixed Income Securities In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1991Risk and Returns of low-Grade Bonds: An Update. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1986Risk and Return Characteristics of Lower-Grade Bonds In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1987Risk and Return Characteristics of Lower Grade Bonds.(1987) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1984Risk and Return Characteristics of Lower-Grade Bonds.(1984) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1991What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper3
1993Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1993Direct Evidence of Non-Trading of NYSE and AMEX Stocks In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper7
1992The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1989Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper32
1994On the Predictability of Common Stock Returns: World-Wide Evidence (Revision of 23-92) (Reprint 054) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1992On the Predictability of Common Stock Returns: World-Wide Evidence. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper22
1990Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1994Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1991The Myths and Reality of Low-Grade Bonds In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1991The Myths and Reality of Low-Grade Bonds..(1991) In: Weiss Center Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1989Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1989Returns and Volatility of Low-Grade Bonds 1977-1988 In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1988Return Indexes for Lower Grade Bonds: 1977-1987 In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1989Return Indexes for Lower Grade Bonds In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
2016Simplifying Choices in Defined Contribution Retirement Plan Design In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
2016Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism In: NBER Working Papers.
[Full Text][Citation analysis]
paper8
1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects. In: Review of Financial Studies.
[Full Text][Citation analysis]
article144

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