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 NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (4)
   Yale School of Management Working Papers, Yale School of Management (2004) View citations (34)
   Yale School of Management Working Papers, Yale School of Management (2009)
   See also Chapter FEES ON FEES IN FUNDS OF FUNDS, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2005) View citations (1) (2005)
3. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
   Yale School of Management Working Papers, Yale School of Management
   See also Journal Article Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration, Journal of Finance, American Finance Association (2008) View citations (72) (2008)
4. Trust and Delegation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   Also in Yale School of Management Working Papers, Yale School of Management (2009)
   See also Journal Article Trust and delegation, Journal of Financial Economics, Elsevier (2012) View citations (29) (2012)

2008

5. 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)
   Yale School of Management Working Papers, Yale School of Management (2004)
   See also Journal Article An analysis of the relative performance of Japanese and foreign money management, Pacific-Basin Finance Journal, Elsevier (2003) View citations (1) (2003)
6. 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 (6)
   Yale School of Management Working Papers, Yale School of Management (2008)
   Yale School of Management Working Papers, Yale School of Management (2004) View citations (10)
7. Hedge Funds With Style
   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 (2001) View citations (41)
   Yale School of Management Working Papers, Yale School of Management (2008)
   NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (31)
8. Hedge Funds and the Asian Currency Crisis of 1997
   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) View citations (23)
   NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (16)
   Yale School of Management Working Papers, Yale School of Management (2008) View citations (2)
9. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
   Yale School of Management Working Papers, Yale School of Management
   Also in Yale School of Management Working Papers, Yale School of Management (2002) View citations (13)
   NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (26)
   Yale School of Management Working Papers, Yale School of Management (2008) View citations (31)
10. Offshore Hedge Funds: Survival & Performance 1989-1995
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2008)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998)
11. Positive Portfolio Factors
    Yale School of Management Working Papers, Yale School of Management
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (1)
    Yale School of Management Working Papers, Yale School of Management (2008)
    Yale School of Management Working Papers, Yale School of Management (2004)
12. 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 Yale School of Management Working Papers, Yale School of Management (2004) View citations (4)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (33)
    Yale School of Management Working Papers, Yale School of Management (2008)
13. The Open-End Japanese Mutual Fund Puzzle
    Yale School of Management Working Papers, Yale School of Management
    Also in Yale School of Management Working Papers, Yale School of Management (2008)

2005

14. Performance Persistence
    Yale School of Management Working Papers, Yale School of Management View citations (12)
    See also Journal Article Performance Persistence, Journal of Finance, American Finance Association (1995) View citations (350) (1995)

1998

15. Mutual Fund Styles
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article Mutual fund styles, Journal of Financial Economics, Elsevier (1997) View citations (133) (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 (11)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1997) View citations (4)
17. 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)
    See also Journal Article The Japanese Open-End Fund Puzzle, The Journal of Business, University of Chicago Press (2001) View citations (13) (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

2021

1. Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
   Journal of Financial and Quantitative Analysis, 2021, 56, (6), 2136-2169 View citations (1)
2. The Contributions of Stephen A. Ross to Financial Economics
   Annual Review of Financial Economics, 2021, 13, (1), 1-14

2020

3. Credit Cards: Transactional Convenience or Debt‐Trap?
   International Review of Finance, 2020, 20, (2), 295-322

2019

4. Upside potential of hedge funds as a predictor of future performance
   Journal of Banking & Finance, 2019, 98, (C), 212-229 View citations (5)
5. What is the role of institutional investors in corporate capital structure decisions? A survey analysis
   Journal of Corporate Finance, 2019, 58, (C), 270-286 View citations (13)

2018

6. Sensation Seeking and Hedge Funds
   Journal of Finance, 2018, 73, (6), 2871-2914 View citations (29)

2017

7. A Lottery-Demand-Based Explanation of the Beta Anomaly
   Journal of Financial and Quantitative Analysis, 2017, 52, (6), 2369-2397 View citations (99)
8. Is economic uncertainty priced in the cross-section of stock returns?
   Journal of Financial Economics, 2017, 126, (3), 471-489 View citations (115)
9. Starting on the wrong foot: Seasonality in mutual fund performance
   Journal of Banking & Finance, 2017, 82, (C), 133-150 View citations (4)

2014

10. Macroeconomic risk and hedge fund returns
    Journal of Financial Economics, 2014, 114, (1), 1-19 View citations (119)

2013

11. Do Hedge Funds Outperform Stocks and Bonds?
    Management Science, 2013, 59, (8), 1887-1903 View citations (42)
12. Hedge Fund Involvement in Convertible Securities
    Journal of Applied Corporate Finance, 2013, 25, (4), 60-73 View citations (1)

2012

13. Convertibles and Hedge Funds as Distributors of Equity Exposure
    The Review of Financial Studies, 2012, 25, (10), 3077-3112 View citations (34)
14. Diversification in Funds of Hedge Funds: Is It Possible to Overdiversify?
    The Review of Asset Pricing Studies, 2012, 2, (1), 89-110 View citations (17)
15. Estimating the cost of capital with basis assets
    Journal of Banking & Finance, 2012, 36, (11), 3071-3079 View citations (1)
16. Quantitative measures of operational risk: an application to funds management
    Accounting and Finance, 2012, 52, (4), 1001-1011 View citations (4)
17. Systematic risk and the cross section of hedge fund returns
    Journal of Financial Economics, 2012, 106, (1), 114-131 View citations (59)
18. Trust and delegation
    Journal of Financial Economics, 2012, 103, (2), 221-234 View citations (29)
    See also Working Paper Trust and Delegation, NBER Working Papers (2009) View citations (2) (2009)

2011

19. Do hedge funds' exposures to risk factors predict their future returns?
    Journal of Financial Economics, 2011, 101, (1), 36-68 View citations (54)
20. The efficient markets hypothesis: The demise of the demon of chance?
    Accounting and Finance, 2011, 51, (1), 79-95 View citations (8)

2009

21. Risk premia in international equity markets revisited
    Pacific-Basin Finance Journal, 2009, 17, (3), 295-318 View citations (4)

2008

22. Elusive return predictability: Discussion
    International Journal of Forecasting, 2008, 24, (1), 19-21 View citations (3)
23. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
    Journal of Finance, 2008, 63, (6), 2785-2815 View citations (72)
    See also Working Paper Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration, Yale School of Management Working Papers (2009) (2009)
24. The return to value in Asian stock markets
    Emerging Markets Review, 2008, 9, (3), 194-205 View citations (7)
25. The returns to value and momentum in Asian Markets
    Emerging Markets Review, 2008, 9, (2), 79-88 View citations (23)

2005

26. Portfolio Concentration and Investment Manager Performance*
    International Review of Finance, 2005, 5, (3‐4), 149-174 View citations (27)

2003

27. An analysis of the relative performance of Japanese and foreign money management
    Pacific-Basin Finance Journal, 2003, 11, (4), 393-412 View citations (1)
    See also Working Paper An Analysis of the Relative Performance of Japanese and Foreign Money Management, Yale School of Management Working Papers (2008) (2008)

2001

28. Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
    Journal of Finance, 2001, 56, (5), 1869-1886 View citations (152)
29. Doubling: Nick Leeson's trading strategy
    Pacific-Basin Finance Journal, 2001, 9, (2), 83-99 View citations (5)
30. Hedge funds: Omniscient or just plain wrong
    Pacific-Basin Finance Journal, 2001, 9, (4), 301-311 View citations (2)
31. The Japanese Open-End Fund Puzzle
    The Journal of Business, 2001, 74, (1), 59-77 View citations (13)
    See also Working Paper The Japanese Open-End Fund Puzzle, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (2) (1998)

1999

32. Offshore Hedge Funds: Survival and Performance, 1989-95
    The Journal of Business, 1999, 72, (1), 91-117 View citations (149)

1997

33. Mutual fund styles
    Journal of Financial Economics, 1997, 43, (3), 373-399 View citations (133)
    See also Working Paper Mutual Fund Styles, Yale School of Management Working Papers (1998) (1998)
34. Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias
    The Review of Economics and Statistics, 1997, 79, (2), 167-170 View citations (5)

1995

35. Performance Persistence
    Journal of Finance, 1995, 50, (2), 679-98 View citations (350)
    See also Working Paper Performance Persistence, Yale School of Management Working Papers (2005) View citations (12) (2005)
36. Survival
    Journal of Finance, 1995, 50, (3), 853-73 View citations (50)

1993

37. Risk premia in Pacific-Basin capital markets
    Pacific-Basin Finance Journal, 1993, 1, (3), 235-261 View citations (21)

1992

38. Survivorship Bias in Performance Studies
    The Review of Financial Studies, 1992, 5, (4), 553-80 View citations (320)

1988

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

1986

40. 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 (102)

1985

41. Derived factors in event studies
    Journal of Financial Economics, 1985, 14, (3), 491-495 View citations (17)
42. Differential Information and Security Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1985, 20, (4), 407-422 View citations (202)
43. Using daily stock returns: The case of event studies
    Journal of Financial Economics, 1985, 14, (1), 3-31 View citations (2035)

1984

44. Anomalies in Security Returns and the Specification of the Market Model
    Journal of Finance, 1984, 39, (3), 807-15 View citations (4)
45. Benefits of Bank Diversification: The Evidence from Shareholder Returns: Discussion
    Journal of Finance, 1984, 39, (3), 893-94 View citations (2)
46. Differential information and the small firm effect
    Journal of Financial Economics, 1984, 13, (2), 283-294 View citations (135)
47. Model Selection When There Is "Minimal" Prior Information
    Econometrica, 1984, 52, (5), 1291-1312 View citations (16)

1983

48. A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
    Journal of Finance, 1983, 38, (3), 711-43 View citations (30)
49. Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1983, 38, (4), 1087-93 View citations (13)

1980

50. Measuring security price performance
    Journal of Financial Economics, 1980, 8, (3), 205-258 View citations (852)

1979

51. The Effect of Estimation Risk on Capital Market Equilibrium
    Journal of Financial and Quantitative Analysis, 1979, 14, (2), 215-220 View citations (40)

1977

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

Books

1986

1. The Theory of Public Utility Pricing
   Cambridge Books, Cambridge University Press View citations (119)

Chapters

2013

1. Current and Future Challenges Faced by Asset Managers
   Palgrave Macmillan

2005

2. FEES ON FEES IN FUNDS OF FUNDS
   Chapter 7 in The World Of Hedge Funds Characteristics and Analysis, 2005, pp 141-160 View citations (1)
   See also Working Paper Fees on Fees in Funds of Funds, Yale School of Management (2009) View citations (3) (2009)