Donald B. Keim : Citation Profile


Are you Donald B. Keim?

University of Pennsylvania

17

H index

19

i10 index

2041

Citations

RESEARCH PRODUCTION:

15

Articles

50

Papers

RESEARCH ACTIVITY:

   33 years (1983 - 2016). See details.
   Cites by year: 61
   Journals where Donald B. Keim has often published
   Relations with other researchers
   Recent citing documents: 201.    Total self citations: 1 (0.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pke165
   Updated: 2019-11-10    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 (21)

Guidolin, Massimo (17)

GUPTA, RANGAN (15)

Bikker, Jacob (14)

van der Sluis, Pieter (14)

Grinblatt, Mark (14)

Gallagher, David (13)

Wachter, Jessica (11)

Chakravarty, Sugato (11)

Brooks, Chris (11)

Santa-Clara, Pedro (10)

Cites to:

Madhavan, Ananth (5)

Jiang, Wei (4)

Campbell, John (4)

Stoll, Hans (3)

Calvet, Laurent (3)

Fama, Eugene (2)

French, Kenneth (2)

Shleifer, Andrei (2)

Christie, William (2)

Ritter, Jay (2)

Madrian, Brigitte (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 (2018 and 2017)


YearTitle of citing document
2017Weekend Effect and Short Sales: Evidence from Hong Kong. (2017). Cai, Jinghan ; Zhai, Weili ; Xia, LE ; He, Jibao. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:8-18.

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2018Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

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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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2019Stochastic 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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2018Exploring sentiment-driven trading behavior of different types of investors in London office market. (2018). Sieracki, Karen ; Ke, Qiulin. In: ERES. RePEc:arz:wpaper:eres2018_112.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1890.

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2018Does the accruals quality premium arise from information risk?. (2018). Zhang, Lijuan ; Wilson, Mark. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:599-632.

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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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2018STOCK†BOND CO†MOVEMENTS AND FLIGHT†TO†QUALITY IN G7 COUNTRIES: A TIME†FREQUENCY ANALYSIS. (2018). demiralay, sercan ; Gencer, Hatice Gaye ; Bayraci, Selcuk. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:e29-e49.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2018The mixed vs the integrated approach to style investing: Much ado about nothing?. (2018). Leippold, Markus ; Rueegg, Roger. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855.

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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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2017Mutual Fund Liquidity Costs. (2017). Fulkerson, Jon A ; Riley, Timothy B. In: Financial Management. RePEc:bla:finmgt:v:46:y:2017:i:2:p:359-375.

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2018School Holidays and Stock Market Seasonality. (2018). Fang, Lily ; Shao, Yuping ; Lin, Chunmei. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:131-157.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2017Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?. (2017). Shi, Shuping ; Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:276-292.

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2018The Consequences of REIT Index Membership for Return Patterns. (2018). wachter, susan ; Steiner, Eva ; Pavlov, Andrey. In: Real Estate Economics. RePEc:bla:reesec:v:46:y:2018:i:1:p:210-250.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2018Mutual Fund Flows and Seasonalities in Stock Returns. (2018). Margaritis, Dimitris ; Lee, John Byong-Tek ; Wagner, Moritz. In: Working Papers in Economics. RePEc:cbt:econwp:18/17.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2017Portfolio Liquidity and Diversification: Theory and Evidence. (2017). Pastor, Lubos ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12195.

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2017Trading in style: Retail investors vs. institutions. (2017). Wolff, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12462.

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2017Fund Tradeoffs. (2017). Pistor, Luboi ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12513.

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2018Size Matters, if You Control Your Junk. (2018). Asness, Clifford S ; Pedersen, Lasse Heje ; Israel, Ronen ; Frazzini, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12684.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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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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2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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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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2017Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2017). Broeders, Dirk ; Rijsbergen, David ; van Oord, Arco . In: DNB Working Papers. RePEc:dnb:dnbwpp:561.

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2017Market Reaction to Cabinet Reshuffle: The Indonesian Evidence. (2017). Supramono, Supramono ; Utami, I ; Wilis, Widhiastuti. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-22.

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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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2018East meets West: When the Islamic and Gregorian calendars coincide. (2018). Tantisantiwong, Nongnuch ; Power, David ; Helliar, Christine ; Halari, Anwar. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:402-424.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2018Determinants of holiday effects in mainland Chinese and Hong-Kong markets. (2018). Casalin, Fabrizio. In: China Economic Review. RePEc:eee:chieco:v:49:y:2018:i:c:p:45-67.

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2017Thirty years of shareholder activism: A survey of empirical research. (2017). Denes, Matthew R ; McWilliams, Victoria B ; Karpoff, Jonathan M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:405-424.

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2018Institutional investor monitoring motivation and the marginal value of cash. (2018). Ward, Charles ; Zeng, Yeqin ; Yin, Chao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:49-75.

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2018Institutional trading and Abel Noser data. (2018). Hu, Gang ; Xie, Jing ; Wang, Yi Alex ; Jo, Koren M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:52:y:2018:i:c:p:143-167.

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2018Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Firm size, economic risks, and the cross-section of international stock returns. (2017). Nitschka, Thomas ; Atanasov, Victoria . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:110-126.

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2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

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2018Size matters everywhere: Decomposing the small country and small industry premia. (2018). Umutlu, Mehmet ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:1-18.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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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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2018Optimal privatization portfolios in the presence of arbitrary risk aversion. (2018). Topaloglou, Nikolas ; Christodoulakis, George ; Mohamed, Abdulkadir. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:1172-1191.

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2017Noisy prices and the Fama–French five-factor asset pricing model in China. (2017). Lin, QI. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:141-163.

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2018A comprehensive test of the Fama-French five-factor model in emerging markets. (2018). Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222.

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2017Governance mechanisms and effective activism: Evidence from shareholder proposals on poison pills. (2017). Sedunov, John ; Gine, Mireia ; Moussawi, Rabih. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:185-202.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2018World output gap and global stock returns. (2018). Atanasov, Victoria . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:181-197.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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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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2018High-yield bond and energy markets. (2018). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:101-110.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017Informed trading and the price impact of block trades: A high frequency trading analysis. (2017). Ibikunle, Gbenga ; Sun, Yuxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:114-129.

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2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2018The January sentiment effect in the U.S. stock market. (2018). Chen, Zhongdong ; Daves, Phillip R. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:94-104.

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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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2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?. (2017). Wagner, Niklas ; Hofstetter, Benedikt ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:144-150.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2018The MAX effect: Lottery stocks with price limits and limits to arbitrage. (2018). Hung, Weifeng ; Yang, Jimmy J. In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:77-91.

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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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2017Currency volatility and bid-ask spreads of ADRs and local shares. (2017). Figueiredo, Antonio ; Parhizgari, A M. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:54-71.

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2017Corruption’s impact on foreign portfolio investment. (2017). Pagano, Michael S ; Kuvvet, Emre ; Jain, Pankaj K. In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:1:p:23-35.

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2017On the robustness of week-day effect to error distributional assumption: International evidence. (2017). Nguyen, Duc Khuong ; Saadi, Samir ; Essaddam, Naceur ; Boubaker, Sabri. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:114-130.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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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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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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2017Style drift: Evidence from small-cap mutual funds. (2017). Velthuis, Raisa ; Cao, Charles ; Iliev, Peter . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:42-57.

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2017Starting on the wrong foot: Seasonality in mutual fund performance. (2017). Brown, Stephen ; Yao, Yaqiong ; Wang, Jiaguo ; Sotes-Paladino, Juan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:133-150.

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2018Trading efficiency of fund families: Impact on fund performance and investment behavior. (2018). Cici, Gjergji ; Kempf, Alexander ; Dahm, Laura K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:1-14.

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2018Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

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2018Time-series momentum in nearly 100 years of stock returns. (2018). Lim, Bryan Y ; Yao, Yaqiong ; Wang, Jiaguo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:283-296.

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2018Round-number biases and informed trading in global markets. (2018). Chen, Tao. In: Journal of Business Research. RePEc:eee:jbrese:v:92:y:2018:i:c:p:105-117.

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2018One size fits all? Tailoring retirement plan defaults. (2018). Thorp, Susan ; Warren, Geoffrey J ; Foster, Douglas F ; Donald, Scott M ; Butt, Adam. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:145:y:2018:i:c:p:546-566.

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2018Disentangling investor sentiment: Mood and household attitudes towards the economy. (2018). Kostopoulos, Dimitrios ; Meyer, Steffen. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:155:y:2018:i:c:p:28-78.

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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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2018A preferred habitat for liquidity in term repos: Before, during and after the financial crisis. (2018). Baig, Ahmed ; Winters, Drew B. In: Journal of Economics and Business. RePEc:eee:jebusi:v:99:y:2018:i:c:p:1-14.

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2017Limited disclosure and hidden orders in asset markets. (2017). Quintin, Erwan ; Monnet, Cyril. In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:3:p:602-616.

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2017The term structure of credit spreads, firm fundamentals, and expected stock returns. (2017). Han, Bing ; Zhou, YI ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:147-171.

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2017Informed trading and price discovery before corporate events. (2017). Baruch, Shmuel ; Venkataraman, Kumar ; Panayides, Marios. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:561-588.

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2017Maximum likelihood estimation of the equity premium. (2017). Avdis, Efstathios ; Wachter, Jessica A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:589-609.

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2017The impact of portfolio disclosure on hedge fund performance. (2017). Shi, Zhen. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:1:p:36-53.

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2018The structure of information release and the factor structure of returns. (2018). Gilbert, Thomas ; Kamara, Avraham ; Hrdlicka, Christopher. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:3:p:546-566.

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2018Size matters, if you control your junk. (2018). Asness, Clifford ; Pedersen, Lasse H ; Moskowitz, Tobias J ; Israel, Ronen ; Frazzini, Andrea. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:479-509.

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2018Day of the week and the cross-section of returns. (2018). Birru, Justin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:182-214.

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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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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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2017When to pray to the angels for funding: The seasonality of angel investing in new ventures. (2017). Cox, Kevin C ; Stewart, Steven A ; Lortie, Jason. In: Journal of Business Venturing Insights. RePEc:eee:jobuve:v:7:y:2017:i:c:p:68-76.

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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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article169
1991 Returns and Volatility of Low-Grade Bonds: 1977-1989. In: Journal of Finance.
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article33
1993 General Tests of Latent Variable Models and Mean-Variance Spanning. In: Journal of Finance.
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article26
2000The Relation between Stock Market Movements and NYSE Seat Prices In: Journal of Finance.
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article8
1992What Does the Stock Market Tell Us About Real Estate Returns? In: Real Estate Economics.
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article113
2005Packaging Liquidity: Blind Auctions and Transaction Efficiencies In: Journal of Financial and Quantitative Analysis.
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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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article56
1983Size-related anomalies and stock return seasonality : Further empirical evidence In: Journal of Financial Economics.
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article348
1985Dividend yields and stock returns: Implications of abnormal January returns In: Journal of Financial Economics.
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article33
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: 33
paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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article521
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: 521
paper
1989Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points In: Journal of Financial Economics.
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article33
1995Anatomy of the trading process Empirical evidence on the behavior of institutional traders In: Journal of Financial Economics.
[Full Text][Citation analysis]
article129
1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades In: Journal of Financial Economics.
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article153
1999An analysis of mutual fund design: the case of investing in small-cap stocks In: Journal of Financial Economics.
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article22
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: 22
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: 22
paper
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]
paper64
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: 64
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]
paper86
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]
paper27
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]
paper21
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]
article136

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