Donald B. Keim : Citation Profile


Are you Donald B. Keim?

University of Pennsylvania

17

H index

19

i10 index

2332

Citations

RESEARCH PRODUCTION:

15

Articles

51

Papers

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 66
   Journals where Donald B. Keim has often published
   Relations with other researchers
   Recent citing documents: 113.    Total self citations: 1 (0.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pke165
   Updated: 2021-11-28    RAS profile: 2009-10-02    
   Missing citations? Add them    Incorrect content? Let us know

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:

GUPTA, RANGAN (23)

Campbell, John (22)

Gallagher, David (20)

Guidolin, Massimo (17)

van der Sluis, Pieter (14)

Grinblatt, Mark (14)

Bikker, Jacob (14)

Wohar, Mark (13)

Hirshleifer, David (13)

Gil-Alana, Luis (12)

Chakravarty, Sugato (11)

Cites to:

Madhavan, Ananth (5)

Campbell, John (4)

Jiang, Wei (4)

Foucault, Thierry (4)

Calvet, Laurent (3)

Stoll, Hans (3)

Dugast, Jérôme (2)

peress, joel (2)

Fama, Eugene (2)

Menkveld, Albert (2)

Shleifer, Andrei (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 (2021 and 2020)


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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

Full description at Econpapers || Download paper

2020Effective risk aversion in thin risk‐sharing markets. (2020). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1565-1590.

Full description at Econpapers || Download paper

2020Institutional Investment, Asset Illiquidity and Post‐Crash Housing Market Dynamics. (2020). Liu, Crocker H ; Smith, Patrick S. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:3:p:673-709.

Full description at Econpapers || Download paper

2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

Full description at Econpapers || Download paper

2021Do opinion polls on government preference influence stock returns?. (2021). Narayan, Seema. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s221463502100037x.

Full description at Econpapers || Download paper

2021Retail investor risk-seeking, attention, and the January effect. (2021). Schmidt, Adam ; Chen, Zhongdong ; Wang, Jinai. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000551.

Full description at Econpapers || Download paper

2020On short-term institutional trading skill, behavioral biases, and liquidity need. (2020). Ray, Rina ; Chakravarty, Sugato. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301930.

Full description at Econpapers || Download paper

2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Tail risk and return predictability for the Japanese equity market. (2021). Ubukata, Masato ; Todorov, Viktor ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:344-363.

Full description at Econpapers || Download paper

2021Simple tests for stock return predictability with good size and power properties. (2021). Taylor, Robert ; Robert, A M ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:198-214.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Cash-flow or return predictability at long horizons? The case of earnings yield. (2020). Xu, Danielle ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:172-192.

Full description at Econpapers || Download paper

2020Dissecting the idiosyncratic volatility anomaly. (2020). Yao, Tong ; Xu, Danielle D ; Jiang, George J ; Chen, Linda H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:193-209.

Full description at Econpapers || Download paper

2020Time-varying risk aversion and the predictability of bond premia. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Epni, Oguzhan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301217.

Full description at Econpapers || Download paper

2021Gold, platinum and the predictability of bond risk premia. (2021). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309079.

Full description at Econpapers || Download paper

2020Microstructure invariance in U.S. stock market trades. (2020). Tuzun, Tugkan ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418116303123.

Full description at Econpapers || Download paper

2020Costly index investing in foreign markets. (2020). Pulga, Fredy ; Pedraza, Alvaro ; Vasquez, Jose. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418119300485.

Full description at Econpapers || Download paper

2020The role of an aligned investor sentiment index in predicting bond risk premia of the U.S. (2020). GUPTA, RANGAN ; Epni, Ouzhan ; Wohar, Mark E ; Guney, Ethem I. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300100.

Full description at Econpapers || Download paper

2021Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors. (2021). Procasky, William J. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300501.

Full description at Econpapers || Download paper

2020Term structure of discount rates for firms in the insurance industry. (2020). Zhao, Yanhui ; Lin, Xiao ; Giaccotto, Carmelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:147-158.

Full description at Econpapers || Download paper

2021Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:1-22.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Can mutual funds profit from post earnings announcement drift? The role of competition. (2020). Yu, Tong ; Yao, Tong ; Chen, Xuanjuan ; Ali, Ashiq. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s037842662030042x.

Full description at Econpapers || Download paper

2020Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods. (2020). Hübner, Georges ; Hubner, Georges ; Fays, Boris ; Lambert, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300789.

Full description at Econpapers || Download paper

2021Short-term reversals, short-term momentum, and news-driven trading activity. (2021). Nie, Ziye Zoe ; Kirby, Chris ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000261.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020What you see is not what you get: The costs of trading market anomalies. (2020). Weller, Brian M ; Patton, Andrew J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:515-549.

Full description at Econpapers || Download paper

2020Fund tradeoffs. (2020). Pastor, Lubos ; Taylor, Lucian A ; Stambaugh, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:614-634.

Full description at Econpapers || Download paper

2021Long-term reversals in the corporate bond market. (2021). Wen, Quan ; Subrahmanyam, Avanidhar ; Bali, Turan G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:656-677.

Full description at Econpapers || Download paper

2021Measuring institutional trading costs and the implications for finance research: The case of tick size reductions. (2021). Liu, Tingting ; Irvine, Paul J ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:832-851.

Full description at Econpapers || Download paper

2021Competition, profitability, and discount rates. (2021). Ji, Yan ; Dou, Winston Wei ; Wu, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:582-620.

Full description at Econpapers || Download paper

2021Asset prices, midterm elections, and political uncertainty. (2021). Marsh, Terry ; Chan, Kam Fong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:276-296.

Full description at Econpapers || Download paper

2021The short duration premium. (2021). Gonalves, Andrei S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:919-945.

Full description at Econpapers || Download paper

2021Informed trading and earnings announcement driven disagreement in global markets. (2021). Chen, Tao. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:43:y:2021:i:c:s1061951821000045.

Full description at Econpapers || Download paper

2021The day-of-the-week-effect on the volatility of commodities. (2021). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310084.

Full description at Econpapers || Download paper

2021Aggregate expected investment growth and stock market returns. (2021). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:618-638.

Full description at Econpapers || Download paper

2021Stock return predictability: Evidence from moving averages of trading volume. (2021). Su, Yunpeng ; Yang, Baochen ; Ma, Yao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x21000019.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Everybody likes shopping, including the US capital market. (2020). Cohen, Gil ; Aharon, David Y ; Qadan, Mahmoud. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120300224.

Full description at Econpapers || Download paper

2020Derivation of non-classical stochastic price dynamics equations. (2020). Caginalp, Gunduz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305859.

Full description at Econpapers || Download paper

2021Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649.

Full description at Econpapers || Download paper

2021Another look at calendar anomalies. (2021). Panagiotidis, Theodore ; Fountas, Stilianos ; Chatzitzisi, Evanthia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:823-840.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The impact of block trades on stock price synchronicity: Evidence from China. (2020). Zeng, Hongchao ; Wu, Qun ; Liu, Chunlin ; Song, Xuan ; Meng, Qingbin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:239-253.

Full description at Econpapers || Download paper

2020Technical trading index, return predictability and idiosyncratic volatility. (2020). Su, Yunpeng ; Yang, Baochen ; Ma, Yao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:879-900.

Full description at Econpapers || Download paper

2020How do stocks in BRICS co-move with real estate stocks?. (2020). YAYA, OLAOLUWA ; Gil-Alana, Luis ; coskun, yener ; Akinsomi, Omokolade. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:93-101.

Full description at Econpapers || Download paper

2020Sustainable factor investing: Where doing well meets doing good. (2020). Michalski, Lachlan ; Fan, John Hua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:230-256.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108598.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Integration between real estate and stock markets: new evidence from Pakistan. (2020). Ali, Shoaib ; Yousaf, Imran. In: International Journal of Housing Markets and Analysis. RePEc:eme:ijhmap:ijhma-01-2020-0001.

Full description at Econpapers || Download paper

2020Reputation and Investor Activism. (2017). Swem, Nathan ; Johnson, Travis L. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-36.

Full description at Econpapers || Download paper

2021Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data. (2021). von Beschwitz, Bastian ; Schmidt, Daniel ; Lunghi, Sandro. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-22.

Full description at Econpapers || Download paper

2021The Month-of-the-Year Effect in the European, American, Australian and Asian Markets. (2021). Barbosa, Catarina ; Pimentel, Pedro ; Couto, Gualter ; Castanho, Rui Alexandre. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:4:p:168-:d:671519.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Gamesmanship and Seasonality in U.S. Stock Returns. (2021). Ackert, Lucy F ; Athanassakos, George. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:206-:d:548309.

Full description at Econpapers || Download paper

2020Modelling the Blind Principal Bid Mechanism: A Large Deviation Approach. (2020). Kakolyris, Andreas ; Giannikos, Christos I. In: International Journal of Business and Economics. RePEc:ijb:journl:v:19:y:2020:i:2:p:187-200.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Momentum Strategies with Home Price Indices and Stocks. (2020). Yang, Jing ; Li, Yuming. In: International Real Estate Review. RePEc:ire:issued:v:23:n:02:2020:p:235-266.

Full description at Econpapers || Download paper

2020Momentum Strategies with Home Price Indices and Stocks. (2020). Yang, Jing ; Li, Yuming. In: International Real Estate Review. RePEc:ire:issued:v:23:n:02:2020:p:861-892.

Full description at Econpapers || Download paper

2021How Much Does Nominal Share Price Matter?. (2021). Chuang, Hongwei. In: Working Papers. RePEc:iuj:wpaper:ems_2021_01.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Size Effect in Indian Equity Market: Myth or Reality?. (2021). Sharma, Gagan ; Sehgal, Sanjay ; Vasishth, Vibhuti. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09318-0.

Full description at Econpapers || Download paper

2021The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism. (2021). Liu, Bin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-021-09329-5.

Full description at Econpapers || Download paper

2021A comprehensive investigation into style momentum strategies in China. (2021). Su, Chen. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:1:d:10.1007_s11408-020-00375-z.

Full description at Econpapers || Download paper

2021Gold and oil prices: abnormal returns, momentum and contrarian effects. (2021). Plastun, Alex ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00380-w.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts. (2021). Giambona, Erasmo ; Giaccotto, Carmelo ; Zhao, Yanhui. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:63:y:2021:i:3:d:10.1007_s11146-020-09750-z.

Full description at Econpapers || Download paper

2020CAN BITCOIN’S PRICE BE A PREDICTOR OF STOCK PRICES?. (2020). Fukushima, Akio ; Kurihara, Yutaka ; Maeda, Shinichiro. In: Noble International Journal of Economics and Financial Research. RePEc:nap:nijefr:2020:p:50-55.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021The ABC’s of the alternative risk premium: academic roots. (2021). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0.

Full description at Econpapers || Download paper

2021Stealth Trading in FX Markets. (2021). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-02.

Full description at Econpapers || Download paper

2021Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan. (2021). Imran, Zulfiqar Ali ; Ahad, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:107613.

Full description at Econpapers || Download paper

2021Economic Evaluation of Cryptocurrency Investment. (2021). Sakemoto, Ryuta. In: MPRA Paper. RePEc:pra:mprapa:108283.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Retun Anomalies: Kuwaiti Stock market; January Effect; Weekend Effect. (2021). , Saad. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:10:y:2021:i:2:p:212-216.

Full description at Econpapers || Download paper

2021Oil Prices and Firm Returns in an Emerging Market. (2021). Ulusoy, Veysel ; Demiralay, Sercan ; Cakan, Esin. In: American Business Review. RePEc:ris:ambsrv:0031.

Full description at Econpapers || Download paper

2021Herding and feedback trading in cryptocurrency markets. (2021). Koutmos, Dimitrios ; King, Timothy. In: Annals of Operations Research. RePEc:spr:annopr:v:300:y:2021:i:1:d:10.1007_s10479-020-03874-4.

Full description at Econpapers || Download paper

2020Exploring the short-term momentum effect in the cryptocurrency market. (2020). Nguyen, HA ; Parikh, Nirav Y ; Liu, Bin. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00176-z.

Full description at Econpapers || Download paper

2020Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?. (2020). Behera, Sujata. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-019-0167-8.

Full description at Econpapers || Download paper

2020Impact of market anomalies on stock exchange: a comparative study of KSE and PSX. (2020). Anjum, Sadia. In: Future Business Journal. RePEc:spr:futbus:v:6:y:2020:i:1:d:10.1186_s43093-019-0006-4.

Full description at Econpapers || Download paper

2020Währungsabsicherung bei Immobilienaktien außerhalb des Euroraums. (2020). Sebastian, Steffen ; Memis, Halil I. In: Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research). RePEc:spr:gjorer:v:6:y:2020:i:1:d:10.1365_s41056-019-00043-y.

Full description at Econpapers || Download paper

2021The clientele effect around the turn of the year: evidence from the bond markets. (2021). Kotomin, Vladimir. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:4:d:10.1007_s12197-021-09550-y.

Full description at Econpapers || Download paper

2021How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market. (2021). Kutan, Ali M ; Chakrabarty, Manisha ; Bhaumik, Sumon Kumar ; Selarka, Ekta. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:4:d:10.1007_s40953-021-00253-z.

Full description at Econpapers || Download paper

2020Revisiting the monday effect: a replication study for the German stock market. (2020). Herberger, Tim A ; Charifzadeh, Michel ; Miss, Sakhr. In: Management Review Quarterly. RePEc:spr:manrev:v:70:y:2020:i:2:d:10.1007_s11301-019-00167-4.

Full description at Econpapers || Download paper

2020Trend following with momentum versus moving averages: a tale of differences. (2020). Giner, Javier ; Zakamulin, Valeriy. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:6:p:985-1007.

Full description at Econpapers || Download paper

2020Trade clustering and power laws in financial markets. (2020). Nirei, Makoto ; Watanabe, Tsutomu ; Stachurski, John. In: Theoretical Economics. RePEc:the:publsh:3523.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
article191
1991 Returns and Volatility of Low-Grade Bonds: 1977-1989. In: Journal of Finance.
[Full Text][Citation analysis]
article37
1993 General Tests of Latent Variable Models and Mean-Variance Spanning. In: Journal of Finance.
[Full Text][Citation analysis]
article34
2000The Relation between Stock Market Movements and NYSE Seat Prices In: Journal of Finance.
[Full Text][Citation analysis]
article9
1992What Does the Stock Market Tell Us About Real Estate Returns? In: Real Estate Economics.
[Full Text][Citation analysis]
article124
2005Packaging Liquidity: Blind Auctions and Transaction Efficiencies In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article15
1983Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article70
1983Size-related anomalies and stock return seasonality : Further empirical evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article403
1985Dividend yields and stock returns: Implications of abnormal January returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article38
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: 38
paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article601
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: 601
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]
article43
1995Anatomy of the trading process Empirical evidence on the behavior of institutional traders In: Journal of Financial Economics.
[Full Text][Citation analysis]
article145
1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades In: Journal of Financial Economics.
[Full Text][Citation analysis]
article171
1999An analysis of mutual fund design: the case of investing in small-cap stocks In: Journal of Financial Economics.
[Full Text][Citation analysis]
article27
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: 27
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: 27
paper
2018First to \Read\ the News: New Analytics and Algorithmic Trading In: International Finance Discussion Papers.
[Full Text][Citation analysis]
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]
paper70
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: 70
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]
paper96
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]
paper36
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]
paper9
1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects. In: Review of Financial Studies.
[Full Text][Citation analysis]
article150

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team