User profiles for D. B. Keim
Donald KeimJohn B. Neff Professor of Finance, Wharton School, Univ of Pennsylvania Verified email at wharton.upenn.edu Cited by 16903 |
[HTML][HTML] On the predictability of common stock returns: World-wide evidence
G Hawawini, DB Keim - … in operations research and management science, 1995 - Elsevier
Publisher Summary Research in finance over the past 10 to 15 years has revealed stock
price behavior that is inconsistent with the predictions of familiar models. This chapter …
price behavior that is inconsistent with the predictions of familiar models. This chapter …
Size-related anomalies and stock return seasonality: Further empirical evidence
DB Keim - Journal of financial economics, 1983 - Elsevier
This study examines, month-by-month, the empirical relation between abnormal returns and
market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal …
market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal …
Predicting returns in the stock and bond markets
DB Keim, RF Stambaugh - Journal of financial Economics, 1986 - Elsevier
Several predetermined variables that reflect levels of bond and stock prices appear to predict
returns on common stocks of firms of various sizes, long-term bonds of various default risks…
returns on common stocks of firms of various sizes, long-term bonds of various default risks…
A further investigation of the weekend effect in stock returns
DB Keim, RF Stambaugh - The journal of finance, 1984 - Wiley Online Library
… We use the returns for ten portfolios based on market value of equity analyzed in Keim 9.
Data are obtained from the CRSP daily stock files for the seventeen-year period from January 2…
Data are obtained from the CRSP daily stock files for the seventeen-year period from January 2…
Passive investors, not passive owners
… The governance database is available for alternating years in … We use the voting results
database from ISS to calculate the … The database covers all firms in the Russell 3000 beginning …
database from ISS to calculate the … The database covers all firms in the Russell 3000 beginning …
The upstairs market for large-block transactions: Analysis and measurement of price effects
DB Keim, A Madhavan - The Review of Financial Studies, 1996 - academic.oup.com
This article develops a model of the upstairs market where order size, beliefs, and prices
are determined endogenously. We test the model’s predictions using unique data for 5,625 …
are determined endogenously. We test the model’s predictions using unique data for 5,625 …
Earnings yields, market values, and stock returns
J Jaffe, DB Keim, R Westerfield - The Journal of Finance, 1989 - Wiley Online Library
Earlier evidence concerning the relation between stock returns and the effects of size and
earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) …
earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) …
Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence
… the ‘January effect’ reported in this issue by Keim. This paper concludes that US tax laws
do not … Keim, DB. 1982. Further evidence on size effects and yield eNects: The implications …
do not … Keim, DB. 1982. Further evidence on size effects and yield eNects: The implications …
Anatomy of the trading process empirical evidence on the behavior of institutional traders
DB Keim, A Madhavan - Journal of Financial Economics, 1995 - Elsevier
This paper examines the behavior of institutional traders. We use unique data on the equity
transactions of 21 institutions of differing investment styles which provide a detailed account …
transactions of 21 institutions of differing investment styles which provide a detailed account …
Transactions costs and investment style: an inter-exchange analysis of institutional equity trades
DB Keim, A Madhavan - Journal of Financial Economics, 1997 - Elsevier
This paper examines the magnitude and determinants of transactions costs for a sample of
institutional traders with different investment styles. Using order-level data for recent equity …
institutional traders with different investment styles. Using order-level data for recent equity …