David J. Bradfield
Position: Professor Emeritus
- General Financial Modelling
- Portfolio construction
- Asset Allocation
- Benchmarking and Indexation
- Risk Management
- Multi Manager Research
- Performance Measurement
- Capital market theory in thinly traded markets
- Investment strategy
- Factor portfolios and models
- The African fledgling markets
Emphasis on building a body of knowledge from the base upwards, in contrast to conducting esoteric-type of research.
Practical relevance of research projects undertaken is important in the field of Finance.
Exploration, discovery and innovation is a core theme running through my research, in contrast to a hypothesis (test) driven research framework where alternatives to the null hypothesis leave little scope for unexpected discovery.
Developing a research culture is important - researchers need to be challenged to go to the edge and bring back something new.
PUBLICATIONS IN REFEREED JOURNALS
- 1. Bradfield, D J and Barr, G D I (1985). A gold share evaluation model. The Investment Analysts Journal, 27 41.
- 2. Barr, G D I and Bradfield, D J (1987). The role played by bullion and gold shares in international diversification. The Investment Analysts Journal, 23 31.
- 3. Bradfield, D J, Affleck Graves, J F and Barr, G D I (1988). Asset pricing in small markets the South African case. South African Journal of Business Management, 19, 11 21.
- 4. Barr, G D I and Bradfield, D J (1988). Portfolio selection in a thinly traded environment a case study. Managerial and Decision Economics 9, 287 290.
- 5. Bradfield, D J and Hampton, B G (1989). The post listing performance of new listings: A study on the JSE. South African Journal of Business Management 20, 82 87.
- 6. Bradfield, D J (1989). A review of Capital Market Theory: The South African perspective. De Ratione, 3, 2 7.
- 7. Bradfield, D J and Barr, G D I (1989). Risk estimation in the thinly traded JSE environment. South African Journal of Business Management, 20, 169 173.
- 8. Bradfield, D J (1990). A note on the estimation problems caused by thin trading on the JSE. De Ratione, 3, 22 25.
- 9. Bradfield, D J (1991). A portfolio selection framework for the houseowner. De Ratione, 4, 3 10.
- 10. Bradfield, D J (1990). A note on the seasonality of stock returns on the JSE. South African Journal of Business Management, 21, 7 9.
- 11. Bradfield, D J (1990). The influence of the NYSE on the risk of JSE stocks. De Ratione, 4.
- 12. Bradfield, D J and Affleck Graves, J F (1991). Multivariate tests of the CAPM : South African Evidence. South African Statistical Journal, 25, 19 44.
- 13. Bradfield, D J and Bowie, D C (1991). On estimating the risk that shareholders bear during hostile merger activity. South African Journal of Business Management, 22, 83-86.
- 14. Affleck-Graves, J F and Bradfield, D J (1992). An examination of the power of univariate tests of the CAPM: A simulation approach. Journal of Economics and Business, 45, 17-34.
- 15. Bradfield, D J (1993). Varying market conditions on the NYSE and their effects on Non-USA markets. S A Journal of Business Management, 24, 39-44.
- 16. Bowie, D C and Bradfield, D J (1993). Improved beta estimation on the JSE: A simulation study. South African Journal of Business Management, 24, 118-123.
- 17. Bowie, D C and Bradfield, D J (1993). A Review of systematic risk estimation on the JSE, De Ratione, 7, 6-22.
- 18. Bradfield, D J (1993). An explanation for the weak evidence in support of the systematic risk-return relationship. In: Recent Research in Financial Modelling. Editors, Stokking, E. J. and Zambruno, G., Springer-Verlag, Heidelberg, 91-104.
- 19. Bradfield, D J (1994). A diagnostic model for improving the efficiency of an existing portfolio. European Journal of Operational Research, 74, 284-293.
- 20. Bradfield, D J and Ardington, C S (1997). On construction of Index funds in South Africa. S A Journal of Accounting Research, 11, no.1, 39-55.
- 21. Bradfield, D J and Ardington C S (1997). On International fund construction in South Africa. S A Journal of Business management, 28(3), 88-96.
- 22. Bradfield, D J and Ardington C S (1997). A Note on the Riskiness of Long Term Investment on the JSE. Journal of Studies in Economics and Econometrics, 21(3), 67-78.
- 23. Bowie D C and Bradfield D J (1998). Non-Normality and robust estimation of beta coefficients. Journal of Business Finance and Accounting, Vol 25, 3 & 4, 439-454.
- 24. Bradfield D J (1998). A note on local industry asset betas for cost of capital computations. S A Journal of Business Management.29(2), 41-44.
- 25. Wandmacher R, and Bradfield D J (1998). Nonparametric tests of implied volatility on options on the All Share Index Future, South African Journal of Business Management. 29(2), 77-88.
- 26. Bradfield D J (1998). Measuring the selection and timing abilities of fund managers. S A Journal of Accounting Research,12(1), 1-13.
- 27. Bowie, D C and Bradfield D J (1998). Evidence on the stability of Beta coefficients on the JSE. S A Journal of Accounting Research., 11 No.2, p1-20.
- 28. Wandmacher, R and Bradfield, D J (1998). On implied volatilities in the SA Derivatives Market. Investment Analysts Journal, 48, p5-17
- 29. Robertson , M, Bradfield, D and Firer, C, (2000). Identifying Misclassified SA Unit Trusts using Style Analysis. Investment Analysts Journal, vol 52, p11-24
- 30. Bradfield, D J and Raubenheimer, H (2001). A note of Portfolio Selection with Restrictions on Leverage. European Journal of Operational Research, 134 No.2, p 243-248.
- 31. Robertson , M, Bradfield, D and Firer, C, (2001). Verifying return-based style analysis using composition-based factor returns. Studies in Economics and Econometrics, 25 No. 2, p87-102.
- 32. Bradfield, D and Swartz, J, (2001). Recent evidence on the persistence of fund performance – a note. SA Journal of Accounting Research, 15 No. 2, p99-109.
- 33. Firer, C, and Bradfield, D, (2002). On estimating the Market Premium, Investment Analysts Journal
RECENT UNREFEREED REPORTS ON ASSET ALLOCATION: SOURCE BNPPARIBAS CADIZ SECURITIES
- Strategic TAA Comments: A Difficult Environment for Active Managers (July 2010)
- Establishing Tactical Sector and Asset Allocation Weights: Some Easy-to-Use Formulae (July 2010)
- When to Rebalance Asset Classes: The Way Forward (July 2010)
- How much should we allocate to Foreign Investment? (July 2010)
- SA Gentlemen prefer Foreign Bonds – (In their Allocation to Foreign Assets) (August 2010)
- Property – Missing the Love (August 2010)
- Stung by a Beta? Why not Float like a Butterfly instead (September 2010)
- Diversification of Asset Classes – Has it failed us? What should we do now? (October 2010)
- When is an asset (class) worth Including/Excluding in a Portfolio? (November 2010)
- Lowering the Bar on Foreign Allocation to 25% (December 2010)
- The Role of Gold Assets – Facts and Fallacies (February 2011)
- Should We Join The Flight To Emerging Markets? (March 2011)
- A Note on Country Tilt Sizes. (October 2011)
- Sector and Stock Compression in the SA market. (October 2011)
- Tactical Asset Allocation Wasted or Worth it? (November 2011)
- 1. GOLD - International Conference on Gold. Held in Johannesburg, September 1986.
- 2. IFORS International Federation of Operations Research,12th Triennial Conference.Held in Athens Greece, June 1990. Paper presented: Detailed risk diagnostics for non USA markets.
- 3. EURO Working Group on Financial Modelling, 8th Meeting. Held in Gieten, The Netherlands, November 1990. Paper presented: An examination of the power of univariate tests of the CAPM.
- 4. EURO XII/TIMS XXXI - Joint International Conference, Operational Research/Management Science. Held in Helsinki, June/July 1992. Invited paper presented: A diagnostic model for improving portfolio efficiency.
- 5. MIDNIGHT SUN WORKSHOP ON RESEARCH IN FINANCE- Held at the University of Vaasa, Vaasa, Finland in July 1992. Invited paper presented: A review of current Finance research - the South African context.
- 6. IFORS - International Federation of Operational Research. Held in Lisbon, Portugal in July 1993. Presented paper: On Mimicking the benefits of International Diversification in Lesser Developed Countries.
- 7. EUROXV - INFORMS XXXIV -Joint International meeting. Held in Barcelona, Spain in July 1997. Presented a paper entitled: On Index fund construction on the JSE.
- 8. EUROXVI 16th European conference on Operational research. Held in Brussels, Belgium in July 1998. Presented paper entitled: On the Long Term Risk of the JSE.
- 9. MULTINATIONAL FINANCE SOCIETY CONFERENCE – 5th Annual Conference. Held in Helsinki, Finland in July 1998.Paper presented: An analysis of Tracking Error.
Postgraduate Projects Underway
- Qualitative Portfolio Construction Model with sorting signatures
- Portfolio of Sorts using an Asset Class and Sector universe
- Covariance shrinking plus Portfolio of Sorts using an Equity universe
- Robust Portfolio Construction – A more acute angle on Portfolio construction.
- The Portfolio Diversification Index (PDI) in the Africa setting.
- The Diversification Delta (DD) (2012): A higher Moment Measure for Portfolio Diversification
- The Absorption Ratio (AR) for estimating market fragility