Keith P. Anderson

The York Management School

Lecturer in Finance

York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 9,215

SSRN RANKINGS

Top 9,215

in Total Papers Downloads

9,121

SSRN CITATIONS
Rank 22,795

SSRN RANKINGS

Top 22,795

in Total Papers Citations

32

CROSSREF CITATIONS

20

Scholarly Papers (14)

1.

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 Bristol - School of Economics, Finance and Management
Downloads 2,971 (7,796)

Abstract:

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

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 Bristol - School of Economics, Finance and Management
Downloads 1,949 (15,263)
Citation 3

Abstract:

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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 Bristol - School of Economics, Finance and Management
Downloads 1,559 (21,514)
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 Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 485 (106,149)
Citation 7

Abstract:

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

5.

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 - Faculty of Business
Downloads 340 (158,583)
Citation 5

Abstract:

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Corporate social responsibility, ethical investing, beta, financial risk

6.

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 312 (174,453)

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

7.

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 Bristol - School of Economics, Finance and Management
Downloads 272 (200,468)
Citation 1

Abstract:

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

8.

Issues in Hedge Fund Index Engineering: A Comparison and Demonstration

Number of pages: 54 Posted: 19 Nov 2015
University of York - The York Management School, The York Management School and University of Leeds - Division of Management
Downloads 271 (201,223)

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

9.

Hedge Fund Performance Attribution at Strategy Level Under Different Market Conditions

Number of pages: 46 Posted: 18 Nov 2015
University of York - The York Management School, The York Management School and University of Leeds - Division of Management
Downloads 225 (241,399)
Citation 4

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

10.

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 Bristol - School of Economics, Finance and Management and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)
Downloads 203 (265,549)
Citation 6

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

11.

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

Number of pages: 32 Posted: 18 Nov 2015
University of York - The York Management School, The York Management School and University of Leeds - Division of Management
Downloads 178 (298,719)

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

12.

Piotroski’s Fscore Under Varying Economic Conditions

Number of pages: 63 Posted: 09 Jul 2021
Keith P. Anderson, Anup Chowdhury and Moshfique Uddin
The York Management School, Leeds Beckett University and University of Leeds - Faculty of Business
Downloads 128 (391,212)

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13.

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
University of York - The York Management School, The York Management School and University of Leeds - Division of Management
Downloads 124 (400,774)
Citation 1

Abstract:

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hedge funds, performance persistence, fundamental factors, risk exposures

14.

Can Investor Sentiment Predict Value Premium in China?

Number of pages: 46 Posted: 15 Mar 2023
Zhaohui Jiang, Keith P. Anderson and Dimitrios Stafylas
The York Management School, The York Management School and University of York - The York Management School
Downloads 104 (455,775)

Abstract:

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Value premium, Investor sentiment, Chinese stock market, Partial least squares