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Bradfield, J. C.
Pág. 1 - 16
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David J. Bradfield
AbstractBased on the premise that portfolio betas are more reliable than individual betas, it is advocated that industry asset betas rather than individual betas be used when proxies are required in cost of capital calculations. In this article local ind...
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Ralf Wandmacher,David J. Bradfield
AbstractIn this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rub...
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D. J. Bradfield,C. S. Ardington
AbstractThis article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the ...
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D. C. Bowie,D. J. Bradfield
AbstractIn this article we focus on beta estimation in the thinly-traded environment of the Johannesburg Stock Exchange (JSE). We build on existing literature by evaluating a beta estimation procedure known as the trade-to-trade which has not until now b...
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D. J. Bradfield
AbstractThe effects of various market conditions of the New York Stock Exchange (NYSE) on non-USA markets are investigated in this article. On the basis of an empirical investigation, evidence is presented which suggests that the influence of the NYSE on...
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D. J. Bradfield,D. C. Bowie
AbstractIn this article a model is proposed for measuring the risk that shareholders bear during hostile merger activities. An empirical study on the failed Minorco-Consolidated Goldfields merger attempt reveals several insights on the additional risk bo...
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D. J. Bradfield
AbstractEvidence from studies on the major stock exchanges world-wide suggests that stocks listed on these markets earn abnormally high returns in the month of January. In this article the seasonality of stocks on the Johannesburg Stock Exchange is empir...
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D. J. Bradfield,G. D.I. Barr
AbstractReceived evidence has come to the fore which suggests that the major source of bias in the estimation of beta coefficients on the JSE can be attributable to the thinly traded phenomenon. In this paper the suitability of a beta estimation procedur...
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D. J. Bradfield,B. G. Hampton
AbstractThe authors examine the post-listing performance of new issues on the JSE. On the basis of an empirical study conducted over the 1975-1986 period, evidence is presented indicating that abnormal returns do occur during the post-listing period. The...
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