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


  • Kenneth Kavajecz, Donald B. Keim (2005), Packaging Liquidity: Blind Auctions and Transaction Efficiencies, Journal of Financial and Quantitative Analysis    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
  • 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