Photo of Donald B. Keim

Donald B. Keim

John B. Neff Professor of Finance

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

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


  • Marshall E. Blume, Donald B. Keim (Working), The Changing Preferences of Institutional Investors for Common Stocks.    Abstract
  • Bastian von Beschwitz, Donald B. Keim, Massimo Massa (Working), Media-Driven High Frequency Trading: Evidence from News Analytics.    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

Previous

  • FNCE205 - Investment Management

    This course is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.

  • 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 is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.