Photo of Donald B. Keim

Donald B. Keim

John B. Neff Professor of Finance

Director, Rodney L. White Center for Financial Research

Research Interests: asset pricing, behavior of institutional traders, measurement of institutional investor trading costs, risks and returns of stock market based real estate investments

Links: CV, Personal Website, Rodney L White Center

Contact Information

Address: 3253 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Email: keim@wharton.upenn.edu
Office: (215) 898-7685

Overview

Education

PhD, University of Chicago, 1983; MBA, University of Chicago, 1980; BSBA, Bucknell University, 1975

Career and Recent Professional Awards; Teaching Awards

Trefftz Award, Western Finance Association, 1982; Roger F. Murray Prize, Institute for Quantitative Research in Finance, 1996; Graham & Dodd Award, Financial Analysts Federation, 1987, 1999; New York Stock Exchange Award, Western Finance Association, 1996

Academic Positions Held

Wharton: 1982-present (named John B. Neff Professor of Finance, 1998). Previous appointment: Loyola University of Chicago. Visiting appointment: INSEAD, France, 1994, 1996-98; 2004

Other Positions

Research Associate, Research Division, Federal Deposit Insurance Corporation, 1978.

Professional Leadership 2005-2009

Co-Editor, European Finance Review,1999-2003; Member, Best Execution Task Force, Association for Investment Management and Research, 2001-2002

Research


  • Donald B. Keim, Olivia S. Mitchell (Working), Simplifying Choices in Defined Contribution Retirement Plan Design.  Abstract
  • Ian Appel, Todd A. Gormley, Donald B. Keim (Work In Progress), Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism.  Abstract
  • Bastian von Beschwitz, Donald B. Keim, Massimo Massa (Working), First to "Read" the News: News Analytics and High Frequency Trading.  Abstract
  • Todd A. Gormley, Donald B. Keim, Ian Appel (Work In Progress), Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies.  Abstract
  • Ian Appel, Todd A. Gormley, Donald B. Keim (Forthcoming), Passive Investors, Not Passive Owners.  Abstract
  • Marshall E. Blume, Donald B. Keim (Forthcoming), The Changing Nature of Institutional Stock Investing.    Abstract
  • Susan E. K. Christoffersen, Donald B. Keim, David Musto (Working), Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades.    Abstract
  • Marshall E. Blume, Donald B. Keim (Working), Stale or Sticky Stock Prices? Non-Trading, Predictability, and Mutual Fund Returns.    Abstract
  • Kenneth Kavajecz, Donald B. Keim (2005), Packaging Liquidity: Blind Auctions and Transaction Efficiencies, Journal of Financial and Quantitative Analysis    Abstract
  • Donald B. Keim (Working), The Cost of Trend Chasing and The Illusion of Momentum Profits.    Abstract
  • Donald B. Keim, Ananth Madhavan (2000), The Relation between Stock Market Movements and NYSE Seat Prices, Journal of Finance    Abstract
  • Donald B. Keim (1999), An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks, Journal of Financial Economics    Abstract
  • Donald B. Keim, Ananth Madhavan (1998), The Cost of Institutional Equity Trades: An Overview, Financial Analysts Journal  
  • Donald B. Keim, Ananth Madhavan (1997), Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades, Journal of Financial Economics  
  • Donald B. Keim, Ananth Madhavan (1996), The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects, The Revew of Financial Studies    Abstract
  • Donald B. Keim, Ananth Madhavan (1995), Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders, Journal of Financial Economics  
  • Joseph Gyourko, Donald B. Keim (1993), Risks and Returns of Investing in Real Estate: Evidence from a Real Estate Stock Index, Financial Analysts Journal  
  • Wayne E. Ferson, Stephen Foerster, Donald B. Keim (1993), General Tests of Latent Variable Models and Mean Variance Spanning, Journal of Finance  
  • Joseph Gyourko, Donald B. Keim (1992), What Does the Stock Market Tell Us About Real Estate Returns, AREUEA Journal  
  • Marshall E. Blume, Donald B. Keim, Sandeep Patel (1991), Returns and Volatility of Low-Grade Bonds: 1977-1989, Journal of Finance  
  • Jeffrey F. Jaffe, Donald B. Keim, R. Westerfield (1989), Earnings Yields, Market Values, and Stock Returns, Journal of Finance  
  • Donald B. Keim (1989), Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points, Journal of Financial Economics    Abstract
  • Marshall E. Blume, Donald B. Keim (Working), The Valuation of Callable Bonds.  
  • Donald B. Keim (1988), Stock Market Regularities: A Synthesis of the Evidence and Explanations, in Stock Market Anomalies, edited by Elroy Dimson  
  • Marshall E. Blume, Donald B. Keim (1987), Lower-Grade Bonds: Their Risks and Returns, Financial Analysts Journal    Abstract
  • Donald B. Keim, Robert F. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics, 357-390.    Abstract
  • Donald B. Keim (1986), The CAPM and Equity Return Regularities, Financial Analysts Journal    Abstract
  • Donald B. Keim (1985), Dividend Yields and Stock Returns: Implications of Abnormal January Returns, Journal of Financial Economics    Abstract
  • Donald B. Keim, Robert F. Stambaugh (1984), A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance, 819-835.    Abstract
  • Philip Brown, Donald B. Keim, Allan Kleidon, Terry Marsh (1983), Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence, Journal of Financial Economics    Abstract
  • Donald B. Keim (1983), Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, Journal of Financial Economics    Abstract

In The News

Courses

Current

  • FNCE205 - Investment Management

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, performance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

    FNCE205001  ( Syllabus

    FNCE205002  ( Syllabus

  • FNCE720 - Investment Management

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, perfermance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

    FNCE720001  ( Syllabus

Previous

  • FNCE205 - Investment Management

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, performance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").

  • FNCE399 - Supervised Study in Finance

    Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.

  • FNCE720 - Investment Management

    This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, perfermance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").