David Feldman

Banking and Finance, UNSW Business School, UNSW Sydney

Professor David Feldman

UNSW Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 4,537

SSRN RANKINGS

Top 4,537

in Total Papers Downloads

8,873

CITATIONS
Rank 17,393

SSRN RANKINGS

Top 17,393

in Total Papers Citations

40

Scholarly Papers (20)

1.
Downloads 2,832 ( 3,992)
Citation 13

Simple Construction of the Efficient Frontier

EFMA 2002 London Meetings
Number of pages: 9 Posted: 24 Nov 2001
David Feldman and Haim Reisman
Banking and Finance, UNSW Business School, UNSW Sydney and Technion-Israel Institute of Technology - William Davidson Faculty of Industrial Engineering & Management
Downloads 1,720 (9,038)

Abstract:

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portfolio frontier, efficient frontier, capital market line, asset pricing

Simple Construction of the Efficient Frontier

European Financial Management, Vol. 9, pp. 119-127, 2003
Number of pages: 9 Posted: 25 Feb 2004
David Feldman and Haim Reisman
Banking and Finance, UNSW Business School, UNSW Sydney and Technion-Israel Institute of Technology - William Davidson Faculty of Industrial Engineering & Management
Downloads 1,112 (18,009)

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Portfolio frontier, efficient frontier, capital market line, asset pricing

2.
Downloads 2,677 ( 4,373)
Citation 2

Linear Beta Pricing with Inefficient Benchmarks

Forthcoming, Quarterly Journal of Finance, 20th Australasian Finance & Banking Conference 2007 Paper, UNSW Australian School of Business Research Paper No. 2011 BFIN 08
Number of pages: 44 Posted: 29 Mar 2006 Last Revised: 17 Apr 2013
George Diacogiannis and David Feldman
University of Piraeus - Department of Banking and Financial Management and Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 2,495 (4,822)
Citation 2

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Linear beta pricing, CAPM, expected returns, incomplete information, zero relation

Linear Beta Pricing with Inefficient Benchmarks

Quarterly Journal of Finance, Forthcoming, FIRN Research Paper
Number of pages: 44 Posted: 17 Apr 2013
George Diacogiannis and David Feldman
University of Piraeus - Department of Banking and Financial Management and Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 182 (164,660)

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Linear beta pricing, CAPM, expected returns, incomplete information, zero relation

Incomplete Information Equilibria: Separation Theorems and Other Myths

Annals of Operations Research, Special Issue on Financial Modeling, Vol. 151, pp. 119-149, 2007
Number of pages: 40 Posted: 14 Feb 2005
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 382 (75,655)

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Incomplete information, equilibrium, asset pricing, separation, state variables

Incomplete Information Equilibria: Separation Theorems and Other Myths

Annals of Operations Research, Special Issue on 'Financial Modeling', Forthcoming
Number of pages: 40 Posted: 27 Sep 2005
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 165 (179,609)

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incomplete information, equilibrium, asset pricing, separation, state variables

Forum Selection in International Business Contracts: Home Bias Portfolio Puzzle and Managerial Moral Hazard

Number of pages: 24 Posted: 22 Nov 2001
Moshe Bar-Niv (Burnovski) and David Feldman
Interdisciplinary Center (IDC) Herzliyah - Radzyner School of Law and Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 288 (104,235)

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forum-selection, international-business transactions, contracts, portfolio diversification, home bias, managerial moral hazard, investment approach to litigation, managerial discretion

Forum Selection in International Business Contracts: Home Bias Portfolio Puzzle and Managerial Moral Hazard

Review of Quantitative Finance and Accounting, Vol. 22, pp. 219-232, 2004
Number of pages: 24 Posted: 22 Jan 2004
Moshe Bar-Niv (Burnovski) and David Feldman
Interdisciplinary Center (IDC) Herzliyah - Radzyner School of Law and Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 177 (168,847)

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forum-selection, international-business transactions, contracts, portfolio diversification, home bias, managerial moral hazard, investment approach to litigation, managerial discretion

5.
Downloads 408 ( 70,722)
Citation 2

Mortgage Default: Classification Trees Analysis

Number of pages: 46 Posted: 04 Feb 2005
David Feldman and Shulamith Gross
Banking and Finance, UNSW Business School, UNSW Sydney and National Science Foundation
Downloads 408 (70,065)
Citation 2

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Mortgage default, classification and regression Trees, misclassification error

Mortgage Default: Classification Trees Analysis

The Journal of Real Estate Finance and Economics, Vol. 30, pp. 369-396, 2005
Posted: 13 Oct 2004
David Feldman and Shulamith Gross
Banking and Finance, UNSW Business School, UNSW Sydney and National Science Foundation

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mortgage default, classification and regression trees, misclassification error

Signaling-Screening Equilibrium in the Mortgage Market

EFMA 2002 London Meetings
Number of pages: 31 Posted: 07 Jan 2002
Danny Ben-Shahar and David Feldman
Tel Aviv University and Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 352 (83,266)

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signaling,screening,separating equilibrium,asymmetric information, mortgage markets,default,mortgage maturity,risk premium,welfare, market efficiency

Signaling-Screening Equilibrium in the Mortgage Market

Journal of Real Estate Finance and Economics, Vol. 26, pp. 157-178, 2003
Posted: 04 Oct 2002
Danny Ben-Shahar and David Feldman
Tel Aviv University and Banking and Finance, UNSW Business School, UNSW Sydney

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Signaling, screening, separating equilibrium, asymmetric information, mortgage markets, default, mortgage maturity, risk premium, welfare, market efficiency

7.

Is the Active Fund Management Industry Concentrated Enough?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 47 Posted: 26 Feb 2016 Last Revised: 15 Aug 2019
David Feldman, Konark Saxena and Jingrui Xu
Banking and Finance, UNSW Business School, UNSW Sydney, University of New South Wales and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 255 (119,153)
Citation 3

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Active fund management, Market concentration, Effort, Industry size, Alpha

The Term Structure of Interest Rates: Bounded or Falling

Number of pages: 16 Posted: 25 Sep 2002
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 252 (120,063)
Citation 1

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term structure of interest rates, incomplete information, equilibrium asset pricing, constant/stochastic asymptotic moments

The Term Structure of Interest Rates: Bounded or Falling

European Finance Review, Vol. 7, pp. 103-113, 2003
Posted: 30 Sep 2002
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney

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term structure of interest rates, incomplete information, equilibrium asset pricing, constant/stochastic asymptotic moments

9.

Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return (Peacock Tails or Stotting Gazelles)

Number of pages: 39 Posted: 31 Aug 2012 Last Revised: 03 Sep 2015
David Feldman and Xin Xu
Banking and Finance, UNSW Business School, UNSW Sydney and Unisys Machine Learning and Advanced Analytics Services
Downloads 168 (176,726)

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Market Risk, Volatility Model, Systematic Risk, Market Portfolio, Predictive Power, Equilibrium, GARCH, RiskMetrics, Piecewise Constant Volatility, Constant Elasticity of Variance

10.

Politically Motivated Corporate Decisions: Evidence from China

Number of pages: 51 Posted: 29 Feb 2016 Last Revised: 07 Feb 2019
David Feldman, Chang Mo Kang, Jiaming Li and Konark Saxena
Banking and Finance, UNSW Business School, UNSW Sydney, UNSW Australia Business School, School of Banking and Finance, UNSW Business School and University of New South Wales
Downloads 165 (179,439)

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Politically Motivated Corporate Decisions, Corporate Investments, Taxes, Agency, China

Production and the Real Rate of Interest: A Sample Path Equilibrium

Number of pages: 25 Posted: 07 Jan 2002
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 151 (193,804)
Citation 1

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incomplete information, equilibrium interest rates, asset pricing, sample path equilibrium

Production and the Real Rate of Interest: A Sample Path Equilibrium

European Finance Review, Vol. 6, pp. 247-275, 2002
Posted: 13 Jan 2002
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney

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incomplete information, equilibrium interest rates, asset pricing, sample path equilibrium

12.

Non-Transferable Non-Hedgeable Executive Stock Option Pricing

FIRN Research Paper
Number of pages: 49 Posted: 05 Jun 2014 Last Revised: 19 Feb 2015
David B. Colwell, David Feldman and Wei Hu
UNSW Australia Business School, School of Banking and Finance, Banking and Finance, UNSW Business School, UNSW Sydney and Curtin University - Department of Finance and Banking
Downloads 150 (194,466)

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Executive Stock Options, Constrained Portfolio Optimization, Stochastic Discount Factor, Non-Hedgeable, Non-Transferable

Separating Signaling Equilibria Under Random Relations between Costs and Attributes: Discrete Attributes

Number of pages: 14 Posted: 18 Jan 2004
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney
Downloads 104 (258,360)

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Equilibrium, Signaling, Asymmetric Information, Monotone Likelihood Ratio

Separating Signaling Equilibria Under Random Relations between Costs and Attributes: Discrete Attributes

Mathematical Social Sciences, Vol. 48, pp. 93-101, 2004
Posted: 18 Jan 2004
David Feldman
Banking and Finance, UNSW Business School, UNSW Sydney

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Separating Signaling Equilibria Under Random Relations between Costs and Attributes: Continuum of Attributes

Number of pages: 16 Posted: 20 Jan 2004
David Feldman and Russell S. Winer
Banking and Finance, UNSW Business School, UNSW Sydney and New York University (NYU) - Department of Marketing
Downloads 95 (274,726)
Citation 1

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Equilibrium, Signaling, Asymmetric Information, Monotone Likelihood Ratio

Separating Signaling Equilibria Under Random Relations between Costs and Attributes: Continuum of Attributes

Mathematical Social Sciences, Vol. 48, pp. 81-91, 2004
Posted: 23 Jan 2004
David Feldman and Russell S. Winer
Banking and Finance, UNSW Business School, UNSW Sydney and New York University (NYU) - Department of Marketing

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15.

Pricing Under Noisy Signaling

Review of Quantitative Finance and Accounting, Forthcoming, Kelley School of Business Research Paper No. 2014-06, FIRN Research Paper Forthcoming
Number of pages: 35 Posted: 14 Mar 2014 Last Revised: 03 Feb 2015
David Feldman, Charles Trzcinka and Russell S. Winer
Banking and Finance, UNSW Business School, UNSW Sydney, Indiana University - Kelley School of Business - Department of Finance and New York University (NYU) - Department of Marketing
Downloads 82 (299,225)

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Pricing, equilibrium, signaling, asymmetric information, market segmentation, product differentiation, dividends, initial public offerings, capital structure, market microstructure, share classes

16.

Contrarians or Momentum Chasers? Individual Investors’ Behavior When Trading ETFs

Forthcoming, The Journal of Futures Markets
Number of pages: 38 Posted: 23 Oct 2018 Last Revised: 26 Oct 2018
Investec, Banking and Finance, UNSW Business School, UNSW Sydney, Blackrock and University of Sydney Business School
Downloads 56 (367,054)

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ETF, Momentum, Contrarian, Household, Behavior

17.

Minimal Dynamic Equilibria

Number of pages: 20 Posted: 28 Mar 2018 Last Revised: 14 May 2019
David Feldman and Dietmar Leisen
Banking and Finance, UNSW Business School, UNSW Sydney and Johannes Gutenberg University Mainz - Department of Banking
Downloads 55 (370,211)

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Minimal, Dynamic, Equilibrium, Higher Moments, Risk Premium, Pricing Kernel, SDF

18.

Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation

Number of pages: 26 Posted: 07 Feb 2019 Last Revised: 15 Apr 2019
David B. Colwell, David Feldman and Wei Hu
UNSW Australia Business School, School of Banking and Finance, Banking and Finance, UNSW Business School, UNSW Sydney and Department of Finance and Banking, Curtin University
Downloads 44 (407,306)

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Executive Stock Options, Insider Information, Constrained Portfolio Optimization, Non-Hedgeable, Non-Transferable, Reload, Enlarged Filtration

19.

A Global Village? Competition in the International Active Fund Management Industry

Number of pages: 67 Posted: 07 Feb 2019 Last Revised: 15 Aug 2019
David Feldman, Konark Saxena and Jingrui Xu
Banking and Finance, UNSW Business School, UNSW Sydney, University of New South Wales and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 15 (548,527)

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Active Management, Mutual Funds, Global Fund Markets, Global Village, Effort, Performance, Market Concentration, Competition, Herfindahl-Hirschman Index, Industry Size, Alpha

20.

The Value of the Rent Control Option

Journal of Real Estate Finance and Economics, Vol. 24, pp. 89-101, 2002
Posted: 15 Jun 2002
Danny Ben-Shahar, David Feldman and Doron Greenberg
Tel Aviv University, Banking and Finance, UNSW Business School, UNSW Sydney and Neger College

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rent control, option pricing, key money, tenure duration, conditional life expectancy