Keith P. Anderson

The York Management School

Lecturer in Finance

York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 4,780

SSRN RANKINGS

Top 4,780

in Total Papers Downloads

6,806

CITATIONS
Rank 17,420

SSRN RANKINGS

Top 17,420

in Total Papers Citations

19

Scholarly Papers (12)

1.
Downloads 2,599 ( 3,324)
Citation 7

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 2,576 (3,287)
Citation 7

Abstract:

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 23 (423,698)
Citation 7

Abstract:

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 1,460 (8,343)
Citation 2

Abstract:

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 1,250 (10,542)
Citation 2

Abstract:

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 361 (57,351)
Citation 5

Abstract:

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

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
Newcastle University (UK) - Business School, The York Management School and University of Leeds - Leeds University Business School (LUBS)
Downloads 198 (121,144)
Citation 2

Abstract:

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
Newcastle University (UK) - Business School, The York Management School and University of Leeds - Leeds University Business School (LUBS)
Downloads 2 (540,606)
Citation 2

Abstract:

6.

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 190 (114,698)

Abstract:

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

7.

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 148 (151,256)
Citation 1

Abstract:

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

8.

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 0 (349,383)

Abstract:

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

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 0 (216,681)

Abstract:

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 0 (268,758)

Abstract:

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 0 (260,389)

Abstract:

hedge funds, performance persistence, fundamental factors, risk exposures

12.

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 0 (176,944)

Abstract:

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