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Details about Stephen J. Brown

E-mail:
Homepage:http://pages.stern.nyu.edu/~sbrown/
Workplace:Stern School of Business, New York University (NYU), (more information at EDIRC)
Department of Banking and Finance, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Stephen J. Brown.

Last updated 2018-03-18. Update your information in the RePEc Author Service.

Short-id: pbr268


Jump to Journal Articles Books Chapters

Working Papers

2009

  1. Estimating Operational Risk for Hedge Funds: The ?-Score
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (17)
  2. Fees on Fees in Funds of Funds
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)

    See also Chapter (2005)
  3. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Yale School of Management Working Papers, Yale School of Management Downloads 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 Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2009) Downloads

    See also Journal Article in Journal of Financial Economics (2012)

2008

  1. Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (6)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (10)
  2. Hedge Funds With Style
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
    Also in Yale School of Management Working Papers, Yale School of Management (2001) Downloads View citations (28)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (18)
  3. Hedge Funds and the Asian Currency Crisis of 1997
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (9)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (19)
  4. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (28)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (19)
    Yale School of Management Working Papers, Yale School of Management (2002) Downloads View citations (10)
  5. Offshore Hedge Funds: Survival & Performance 1989-1995
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
  6. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (1)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads
  7. The Dow Theory: William Peter Hamilton's Track Record Re-Considered
    Yale School of Management Working Papers, Yale School of Management Downloads 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 (22)
    Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (4)

    See also Journal Article in Journal of Finance (1998)
  8. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management Downloads

2005

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

2004

  1. An Analysis of the Relative Performance of Japanese and Foreign Money Management
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2002) Downloads

    See also Journal Article in Pacific-Basin Finance Journal (2003)

1998

  1. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management Downloads
    See also Journal Article in Journal of Financial Economics (1997)
  2. Offshore Hedge Funds: Survival and Performance, 1989-1995
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (10)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997) View citations (3)
  3. The Japanese Open-End Fund Puzzle
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads

    See also Journal Article in The Journal of Business (2001)

1997

  1. 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

2017

  1. A Lottery-Demand-Based Explanation of the Beta Anomaly
    Journal of Financial and Quantitative Analysis, 2017, 52, (06), 2369-2397 Downloads View citations (5)
  2. Is economic uncertainty priced in the cross-section of stock returns?
    Journal of Financial Economics, 2017, 126, (3), 471-489 Downloads View citations (5)
  3. Starting on the wrong foot: Seasonality in mutual fund performance
    Journal of Banking & Finance, 2017, 82, (C), 133-150 Downloads View citations (1)

2014

  1. Macroeconomic risk and hedge fund returns
    Journal of Financial Economics, 2014, 114, (1), 1-19 Downloads View citations (33)

2013

  1. Do Hedge Funds Outperform Stocks and Bonds?
    Management Science, 2013, 59, (8), 1887-1903 Downloads View citations (12)
  2. Hedge Fund Involvement in Convertible Securities
    Journal of Applied Corporate Finance, 2013, 25, (4), 60-73 Downloads

2012

  1. Convertibles and Hedge Funds as Distributors of Equity Exposure
    Review of Financial Studies, 2012, 25, (10), 3077-3112 Downloads View citations (17)
  2. Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?
    Review of Asset Pricing Studies, 2012, 2, (1), 89-110 Downloads View citations (5)
  3. Estimating the cost of capital with basis assets
    Journal of Banking & Finance, 2012, 36, (11), 3071-3079 Downloads View citations (1)
  4. Quantitative measures of operational risk: an application to funds management
    Accounting and Finance, 2012, 52, (4), 1001-1011 Downloads View citations (2)
  5. Systematic risk and the cross section of hedge fund returns
    Journal of Financial Economics, 2012, 106, (1), 114-131 Downloads View citations (31)
  6. Trust and delegation
    Journal of Financial Economics, 2012, 103, (2), 221-234 Downloads View citations (17)
    See also Working Paper (2009)

2011

  1. Do hedge funds' exposures to risk factors predict their future returns?
    Journal of Financial Economics, 2011, 101, (1), 36-68 Downloads View citations (27)
  2. The efficient markets hypothesis: The demise of the demon of chance?
    Accounting and Finance, 2011, 51, (1), 79-95 View citations (5)

2009

  1. Risk premia in international equity markets revisited
    Pacific-Basin Finance Journal, 2009, 17, (3), 295-318 Downloads View citations (2)

2008

  1. Elusive return predictability: Discussion
    International Journal of Forecasting, 2008, 24, (1), 19-21 Downloads View citations (3)
  2. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Journal of Finance, 2008, 63, (6), 2785-2815 Downloads View citations (47)
    See also Working Paper (2009)
  3. The return to value in Asian stock markets
    Emerging Markets Review, 2008, 9, (3), 194-205 Downloads View citations (5)
  4. The returns to value and momentum in Asian Markets
    Emerging Markets Review, 2008, 9, (2), 79-88 Downloads View citations (15)

2005

  1. Portfolio Concentration and Investment Manager Performance-super-
    International Review of Finance, 2005, 5, (3-4), 149-174 Downloads View citations (15)

2003

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

2001

  1. Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
    Journal of Finance, 2001, 56, (5), 1869-1886 Downloads View citations (101)
  2. Doubling: Nick Leeson's trading strategy
    Pacific-Basin Finance Journal, 2001, 9, (2), 83-99 Downloads View citations (3)
  3. Hedge funds: Omniscient or just plain wrong
    Pacific-Basin Finance Journal, 2001, 9, (4), 301-311 Downloads View citations (2)
  4. The Japanese Open-End Fund Puzzle
    The Journal of Business, 2001, 74, (1), 59-77 Downloads View citations (11)
    See also Working Paper (1998)

1999

  1. Offshore Hedge Funds: Survival and Performance, 1989-95
    The Journal of Business, 1999, 72, (1), 91-117 Downloads View citations (111)

1998

  1. The Dow Theory: William Peter Hamilton's Track Record Reconsidered
    Journal of Finance, 1998, 53, (4), 1311-1333 Downloads View citations (27)
    See also Working Paper (2008)

1997

  1. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 Downloads View citations (83)
    See also Working Paper (1998)
  2. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 Downloads View citations (4)

1995

  1. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 Downloads View citations (262)
    See also Working Paper (2005)
  2. Survival
    Journal of Finance, 1995, 50, (3), 853-73 Downloads View citations (50)

1993

  1. Risk premia in Pacific-Basin capital markets
    Pacific-Basin Finance Journal, 1993, 1, (3), 235-261 Downloads View citations (17)

1992

  1. Survivorship Bias in Performance Studies
    Review of Financial Studies, 1992, 5, (4), 553-80 Downloads View citations (236)

1988

  1. Stable Factors in Security Returns: Identification Using Cross-Validation: Comment
    Journal of Business & Economic Statistics, 1988, 6, (1), 1-23

1986

  1. The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (3), 617-30 Downloads View citations (64)

1985

  1. Derived factors in event studies
    Journal of Financial Economics, 1985, 14, (3), 491-495 Downloads View citations (9)
  2. Differential Information and Security Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1985, 20, (04), 407-422 Downloads View citations (123)
  3. Using daily stock returns: The case of event studies
    Journal of Financial Economics, 1985, 14, (1), 3-31 Downloads View citations (1295)

1984

  1. Anomalies in Security Returns and the Specification of the Market Model
    Journal of Finance, 1984, 39, (3), 807-15 Downloads View citations (3)
  2. Benefits of Bank Diversification: The Evidence from Shareholder Returns: Discussion
    Journal of Finance, 1984, 39, (3), 893-94 Downloads
  3. Differential information and the small firm effect
    Journal of Financial Economics, 1984, 13, (2), 283-294 Downloads View citations (82)
  4. Model Selection When There Is "Minimal" Prior Information
    Econometrica, 1984, 52, (5), 1291-1312 Downloads View citations (13)

1983

  1. A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
    Journal of Finance, 1983, 38, (3), 711-43 Downloads View citations (23)
  2. Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1983, 38, (4), 1087-93 Downloads View citations (10)

1980

  1. Measuring security price performance
    Journal of Financial Economics, 1980, 8, (3), 205-258 Downloads View citations (546)

1979

  1. The Effect of Estimation Risk on Capital Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1979, 14, (02), 215-220 Downloads View citations (23)

1977

  1. Heteroscedasticity in the Market Model: A Comment
    The Journal of Business, 1977, 50, (1), 80-83 Downloads View citations (3)

Books

1986

  1. The Theory of Public Utility Pricing
    Cambridge Books, Cambridge University Press View citations (81)

Chapters

2005

  1. FEES ON FEES IN FUNDS OF FUNDS
    Chapter 7 in The World Of Hedge Funds Characteristics and Analysis, 2005, pp 141-160 Downloads
    See also Working Paper (2009)
 
Page updated 2019-05-24