Details about Stephen J. Brown

Access statistics for papers by Stephen J. Brown.

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Short-id: pbr268

Working Papers

2009

1. Estimating Operational Risk for Hedge Funds: The ?-Score
   Yale School of Management Working Papers, Yale School of Management View citations (1)
2. Fees on Fees in Funds of Funds
   Yale School of Management Working Papers, Yale School of Management View citations (3)
   Also in Yale School of Management Working Papers, Yale School of Management (2004) View citations (7)
   NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (1)
3. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
   Yale School of Management Working Papers, Yale School of Management View citations (1)
   See also Journal Article in Journal of Finance (2008)
4. Trust and Delegation
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Yale School of Management Working Papers, Yale School of Management (2009)
   See also Journal Article in Journal of Financial Economics (2012)

2008

5. Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
   Yale School of Management Working Papers, Yale School of Management
   Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (7)
   Yale School of Management Working Papers, Yale School of Management (2004) View citations (11)
6. Hedge Funds With Style
   Yale School of Management Working Papers, Yale School of Management View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (16)
   Yale School of Management Working Papers, Yale School of Management (2001) View citations (29)
7. Hedge Funds and the Asian Currency Crisis of 1997
   Yale School of Management Working Papers, Yale School of Management View citations (2)
   Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (17)
   NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (6)
8. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
   Yale School of Management Working Papers, Yale School of Management View citations (14)
   Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (6)
   NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (9)
9. Offshore Hedge Funds: Survival & Performance 1989-1995
   Yale School of Management Working Papers, Yale School of Management
   Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
10. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management View citations (1)
    Also in Yale School of Management Working Papers, Yale School of Management (2004)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998)
11. The Dow Theory: William Peter Hamilton's Track Record Re-Considered
    Yale School of Management Working Papers, Yale School of Management View citations (4)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (9)
    Yale School of Management Working Papers, Yale School of Management (2004) View citations (4)
    See also Journal Article in Journal of Finance (1998)
12. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management

2005

13. Performance Persistence
    Yale School of Management Working Papers, Yale School of Management View citations (15)
    See also Journal Article in Journal of Finance (1995)

2004

14. An Analysis of the Relative Performance of Japanese and Foreign Money Management
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2002)
    See also Journal Article in Pacific-Basin Finance Journal (2003)

1998

15. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article in Journal of Financial Economics (1997)
16. Offshore Hedge Funds: Survival and Performance, 1989-1995
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (7)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997)
17. The Japanese Open-End Fund Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (2)
    See also Journal Article in The Journal of Business (2001)

1997

18. Post-Announcement Drift
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

Journal Articles

2012

1. Convertibles and Hedge Funds as Distributors of Equity Exposure
   Review of Financial Studies, 2012, 25, (10), 3077-3112 View citations (1)
2. Estimating the cost of capital with basis assets
   Journal of Banking & Finance, 2012, 36, (11), 3071-3079
3. Systematic risk and the cross section of hedge fund returns
   Journal of Financial Economics, 2012, 106, (1), 114-131
4. Trust and delegation
   Journal of Financial Economics, 2012, 103, (2), 221-234
   See also Working Paper (2009)

2011

5. Do hedge funds' exposures to risk factors predict their future returns?
   Journal of Financial Economics, 2011, 101, (1), 36-68
6. The efficient markets hypothesis: The demise of the demon of chance?
   Accounting and Finance, 2011, 51, (1), 79-95 View citations (1)

2009

7. Risk premia in international equity markets revisited
   Pacific-Basin Finance Journal, 2009, 17, (3), 295-318

2008

8. Elusive return predictability: Discussion
   International Journal of Forecasting, 2008, 24, (1), 19-21
9. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
   Journal of Finance, 2008, 63, (6), 2785-2815 View citations (6)
   See also Working Paper (2009)
10. The return to value in Asian stock markets
    Emerging Markets Review, 2008, 9, (3), 194-205 View citations (1)
11. The returns to value and momentum in Asian Markets
    Emerging Markets Review, 2008, 9, (2), 79-88 View citations (3)

2005

12. Portfolio Concentration and Investment Manager Performance-super-
    International Review of Finance, 2005, 5, (3-4), 149-174 View citations (2)

2003

13. An analysis of the relative performance of Japanese and foreign money management
    Pacific-Basin Finance Journal, 2003, 11, (4), 393-412
    See also Working Paper (2004)

2001

14. Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
    Journal of Finance, 2001, 56, (5), 1869-1886 View citations (33)
15. Doubling: Nick Leeson's trading strategy
    Pacific-Basin Finance Journal, 2001, 9, (2), 83-99 View citations (2)
16. Hedge funds: Omniscient or just plain wrong
    Pacific-Basin Finance Journal, 2001, 9, (4), 301-311 View citations (2)
17. The Japanese Open-End Fund Puzzle
    The Journal of Business, 2001, 74, (1), 59-77 View citations (6)
    See also Working Paper (1998)

1999

18. Offshore Hedge Funds: Survival and Performance, 1989-95
    The Journal of Business, 1999, 72, (1), 91-117 View citations (23)

1998

19. The Dow Theory: William Peter Hamilton's Track Record Reconsidered
    Journal of Finance, 1998, 53, (4), 1311-1333 View citations (11)
    See also Working Paper (2008)

1997

20. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 View citations (50)
    See also Working Paper (1998)
21. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations (1)

1995

22. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 View citations (130)
    See also Working Paper (2005)
23. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations (38)

1993

24. Risk premia in Pacific-Basin capital markets
    Pacific-Basin Finance Journal, 1993, 1, (3), 235-261 View citations (11)

1992

25. Survivorship Bias in Performance Studies
    Review of Financial Studies, 1992, 5, (4), 553-80 View citations (151)

1989

26. The Number of Factors in Security Returns
    Journal of Finance, 1989, 44, (5), 1247-62 View citations (20)

1988

27. Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory: Discussion
    Journal of Finance, 1988, 43, (3), 734-35 View citations (1)
28. Stable Factors in Security Returns: Identification Using Cross-Validation: Comment
    Journal of Business & Economic Statistics, 1988, 6, (1), 1-23

1986

29. The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (3), 617-30 View citations (48)

1985

30. Derived factors in event studies
    Journal of Financial Economics, 1985, 14, (3), 491-495 View citations (7)
31. Differential Information and Security Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1985, 20, (04), 407-422 View citations (58)
32. Using daily stock returns: The case of event studies
    Journal of Financial Economics, 1985, 14, (1), 3-31 View citations (541)

1984

33. Anomalies in Security Returns and the Specification of the Market Model
    Journal of Finance, 1984, 39, (3), 807-15 View citations (2)
34. Benefits of Bank Diversification: The Evidence from Shareholder Returns: Discussion
    Journal of Finance, 1984, 39, (3), 893-94
35. Differential information and the small firm effect
    Journal of Financial Economics, 1984, 13, (2), 283-294 View citations (43)
36. Model Selection When There Is "Minimal" Prior Information
    Econometrica, 1984, 52, (5), 1291-1312 View citations (4)

1983

37. A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
    Journal of Finance, 1983, 38, (3), 711-43 View citations (13)
38. Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1983, 38, (4), 1087-93 View citations (2)

1980

39. Measuring security price performance
    Journal of Financial Economics, 1980, 8, (3), 205-258 View citations (235)

1979

40. The Effect of Estimation Risk on Capital Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1979, 14, (02), 215-220 View citations (8)

1977

41. Heteroscedasticity in the Market Model: A Comment
    The Journal of Business, 1977, 50, (1), 80-83

Books

1986

1. The Theory of Public Utility Pricing
   Cambridge Books, Cambridge University Press View citations (42)