Consultant
Dimensional Fund Advisors
The originator of the January Effect, one of the seminal pieces of small cap research, Donald B. Keim consults with the firm primarily in the areas of real estate research and trading costs. Professor Keim has executed and maintains substantial research into Dimensional's trading strategy and how it adds value by transacting large blocks in the US at a discount, thereby reducing trading costs. He documents this regularly on behalf of Dimensional as a service to its clients.
Professor Keim's research has dealt with the relation between stock returns and predetermined variables (dividend yields, market capitalization, earnings/price ratios, and calendar turning points), tests of asset pricing models, the junk bond market, the behavior of real estate related common stocks, and market microstructure issues relating to institutional investor equity trading. Currently the John B. Neff Professor of Finance at the Wharton School of Business at the University of Pennsylvania, he received his Ph.D. in finance and economics from the University of Chicago.