David Feldman

Banking and Finance, UNSW Business School, UNSW Australia

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

16

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CITATIONS
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51

Scholarly Papers (16)

1.
Downloads 2,719 ( 3,241)
Citation 14

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 Australia and Technion-Israel Institute of Technology - William Davidson Faculty of Industrial Engineering & Management
Downloads 1,669 (7,388)
Citation 14

Abstract:

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 Australia and Technion-Israel Institute of Technology - William Davidson Faculty of Industrial Engineering & Management
Downloads 1,050 (15,518)
Citation 14

Abstract:

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

2.
Downloads 2,498 ( 3,731)
Citation 4

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 Australia
Downloads 2,343 (4,066)
Citation 4

Abstract:

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 Australia
Downloads 155 (157,148)
Citation 4

Abstract:

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 Australia
Downloads 374 (63,040)
Citation 14

Abstract:

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 Australia
Downloads 159 (153,696)
Citation 14

Abstract:

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 Australia
Downloads 281 (87,644)

Abstract:

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 Australia
Downloads 172 (143,362)

Abstract:

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

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 Australia and National Science Foundation
Downloads 388 (60,341)
Citation 3

Abstract:

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 Australia and National Science Foundation

Abstract:

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 Australia
Downloads 338 (71,051)
Citation 2

Abstract:

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 Australia

Abstract:

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

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 Australia
Downloads 245 (101,587)
Citation 4

Abstract:

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 Australia

Abstract:

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

8.

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 Australia and Unisys Machine Learning and Advanced Analytics Services
Downloads 153 (152,685)

Abstract:

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

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 Australia
Downloads 147 (164,575)
Citation 4

Abstract:

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 Australia

Abstract:

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

10.

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 Australia and Curtin University - Department of Finance and Banking
Downloads 113 (175,962)

Abstract:

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 Australia
Downloads 102 (218,407)
Citation 3

Abstract:

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 Australia

Abstract:

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 Australia and New York University (NYU) - Department of Marketing
Downloads 93 (232,865)
Citation 3

Abstract:

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 Australia and New York University (NYU) - Department of Marketing

Abstract:

13.

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 Australia, Indiana University - Kelley School of Business - Department of Finance and New York University (NYU) - Department of Marketing
Downloads 54 (268,231)

Abstract:

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

14.

Politically Motivated Corporate Decisions: Evidence from China

Number of pages: 53 Posted: 29 Feb 2016 Last Revised: 03 Mar 2017
David Feldman, Jiaming Li and Konark Saxena
Banking and Finance, UNSW Business School, UNSW Australia, UNSW Business School and University of New South Wales
Downloads 0 (215,732)

Abstract:

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

15.

Is the Active Fund Management Industry Concentrated Enough?

FIRN Research Paper No. 2737875
Number of pages: 57 Posted: 26 Feb 2016 Last Revised: 14 May 2016
David Feldman, Konark Saxena and Jingrui Xu
Banking and Finance, UNSW Business School, UNSW Australia, University of New South Wales and UNSW Australia
Downloads 0 (217,200)

Abstract:

Active management, Mutual funds, Effort, Performance, Market concentration, Competition, Herfindahl-Hirschman index (HHI), Industry size, Alpha, Equilibrium, Returns to scale, Learning

16.

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 Australia and Neger College

Abstract:

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