Keith P. Anderson

The York Management School

Lecturer in Finance

York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
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in Total Papers Downloads

7,473

CITATIONS
Rank 10,636

SSRN RANKINGS

Top 10,636

in Total Papers Citations

51

Scholarly Papers (12)

1.
Downloads 2,777 ( 4,088)
Citation 15

The Long-Term Price-Earnings Ratio

Number of pages: 31 Posted: 08 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 2,753 (4,058)

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price-earning ratios, value investing, arbitrage strategy, UK stock market, value premium

The Long-Term Price-Earnings Ratio

Journal of Business Finance & Accounting, Vol. 33, No. 7-8, pp. 1063-1086, September/October 2006
Number of pages: 24 Posted: 03 Oct 2006
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 24 (507,559)
Citation 14
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2.

Decomposing the Price-Earnings Ratio

Number of pages: 20 Posted: 09 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 1,666 (9,616)
Citation 4

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Price-earnings ratio, value investing, the value premium, trading strategy, UK stock returns

3.

Extreme Returns from Extreme Value Stocks: Enhancing the Value Premium

Number of pages: 21 Posted: 09 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 1,394 (12,857)
Citation 2

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Value premium, price-earnings ratio, price-earnings ratio, UK stock returns

4.

Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector‘

Number of pages: 29 Posted: 03 Nov 2005 Last Revised: 26 Jan 2010
Keith P. Anderson, Chris Brooks and Apostolos Katsaris
The York Management School, University of Reading - ICMA Centre and Albourne Partners Limited
Downloads 428 (66,227)
Citation 13

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Stock market bubbles, fundamental values, dividends, regime switching, speculative bubble tests

5.

Speculative Bubbles and the Cross-Sectional Variation in Stock Returns

Number of pages: 27 Posted: 16 Nov 2012 Last Revised: 03 Nov 2013
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 231 (130,697)
Citation 1

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speculative bubbles, asset pricing, stock returns, CAPM, cross-sectional variation

Does Community and Environmental Responsibility Affect Firm Risk? Evidence from UK Panel Data 1994-2006

Number of pages: 34 Posted: 18 Aug 2009 Last Revised: 07 Jul 2010
A. Salama, Keith P. Anderson and Steve Toms
University of Newcastle - Business School, The York Management School and University of Leeds - Leeds University Business School (LUBS)
Downloads 218 (137,856)
Citation 15

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Corporate social responsibility, ethical investing, beta, financial risk

Does Community and Environmental Responsibility Affect Firm Risk? Evidence from UK Panel Data 1994-2006

Business Ethics: A European Review, Vol. 20, Issue 2, pp. 192-204, 2011
Number of pages: 13 Posted: 16 Mar 2011
A. Salama, Keith P. Anderson and Steve Toms
University of Newcastle - Business School, The York Management School and University of Leeds - Leeds University Business School (LUBS)
Downloads 2 (660,960)
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7.

Glamour, Value and Anchoring on the Changing P/E

Number of pages: 68 Posted: 15 Nov 2015
Keith P. Anderson and Tomasz Zastawniak
The York Management School and University of York (UK)
Downloads 190 (157,191)

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glamour shares, value shares, P/E, Merton model, behavioural finance, anchoring

8.

Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

Number of pages: 21 Posted: 01 Aug 2010
Keith P. Anderson, Chris Brooks and Sotiris Tsolacos
The York Management School, University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)
Downloads 168 (175,463)
Citation 3

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REITs, periodic partially collapsing speculative bubbles, direct bubble tests, probability of collapse, trading signals

9.

Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures

Number of pages: 32 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 134 (211,478)

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hedge fund performance; implicit factors; statistical factors; linear and non-linear multi-factor models; alpha and beta returns

10.

Hedge Fund Performance Attribution at Strategy Level Under Different Market Conditions

Number of pages: 46 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 111 (243,579)
Citation 2

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hedge funds, performance, statistical factors, multi-factor models, risk exposures, alpha and beta returns

11.

Recent Advances in Hedge Funds' Performance Attribution: Performance Persistence and Fundamental Factors

International Review of Financial Analysis, Forthcoming
Number of pages: 50 Posted: 18 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 93 (274,549)

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hedge funds, performance persistence, fundamental factors, risk exposures

12.

Issues in Hedge Fund Index Engineering: A Comparison and Demonstration

Number of pages: 54 Posted: 19 Nov 2015
Aston University - Aston Business School, The York Management School and University of Leeds - Division of Management
Downloads 61 (349,348)

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hedge funds, indices, indexes, due diligence, classification, construction methodology, performance, benchmarks