Emeritus Professor David J Bradfield

Professor Emeritus

Research Interests:

  1. General Financial Modelling
  2. Portfolio construction
  3. Asset Allocation
  4. Benchmarking and Indexation
  5. Risk Management
  6. Multi Manager Research
  7. Performance Measurement
  8. Capital market theory in thinly traded markets
  9. Investment strategy
  10. Factor portfolios and models
  11. The African fledgling markets

Research Philosophy

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

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)

Conference Proceedings

INTERNATIONAL CONFERENCES

  • 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

  1. Qualitative Portfolio Construction Model with sorting signatures
  2. Portfolio of Sorts using an Asset Class and Sector universe
  3. Covariance shrinking plus Portfolio of Sorts using an Equity universe 
  4. Robust Portfolio Construction – A more acute angle on Portfolio construction.
  5. The Portfolio Diversification Index (PDI) in the Africa setting.
  6. The Diversification Delta (DD) (2012): A higher Moment Measure for Portfolio Diversification
  7. The Absorption Ratio (AR) for estimating market fragility