Stephen J. Brown

New York University - Stern School of Business

David S. Loeb Professor of Finance

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

61

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122,459

SSRN CITATIONS
Rank 589

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in Total Papers Citations

1,069

CROSSREF CITATIONS

1,244

Scholarly Papers (61)

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Stephen J. Brown, Alok Kumar and William N. Goetzmann
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance
Downloads 14,825 (515)
Citation 10

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The Dow Theory: William Peter Hamilton's Track Record Re-Considered

NYU Working Paper No. FIN-98-013
Number of pages: 45 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and Alok Kumar
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale University
Downloads 1,001 (41,683)

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2.
Downloads 14,312 ( 556)
Citation 36

Offshore Hedge Funds: Survival & Performance 1989-1995

Yale School of Management Working Paper No. F-52B
Number of pages: 38 Posted: 27 Feb 1997
William N. Goetzmann, Roger G. Ibbotson and Stephen J. Brown
Yale School of Management - International Center for Finance, Yale School of Management and New York University - Stern School of Business
Downloads 14,044 (568)
Citation 37

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Offshore Hedge Funds: Survival & Performance 1989-1995

NYU Working Paper No. FIN-98-011
Number of pages: 41 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 268 (208,226)

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Downloads 12,729 ( 677)
Citation 35

Hedge Funds and the Asian Currency Crisis of 1997

Yale School of Management Working Paper No. F-58
Number of pages: 30 Posted: 11 Feb 1998
William N. Goetzmann, Stephen J. Brown and James M. Park
Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management
Downloads 12,344 (701)
Citation 1

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Hedge Funds and the Asian Currency Crisis of 1997

NBER Working Paper No. w6427
Number of pages: 32 Posted: 05 Sep 2000 Last Revised: 25 Jul 2022
Stephen J. Brown, William N. Goetzmann and James M. Park
New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management
Downloads 203 (272,628)

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Hedge Funds and the Asian Currency Crisis of 1997

NYU Working Paper No. FIN-98-014
Number of pages: 34 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and James M. Park
New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management
Downloads 182 (301,145)
Citation 30

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Downloads 10,021 ( 1,034)
Citation 97

Hedge Funds with Style

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-29
Number of pages: 35 Posted: 21 Feb 2001
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance
Downloads 9,462 (1,127)
Citation 2

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Hedge Funds with Style

NBER Working Paper No. w8173
Number of pages: 37 Posted: 16 Mar 2001 Last Revised: 02 Nov 2022
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance
Downloads 308 (180,082)

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Hedge Funds with Style

NYU Working Paper No. FIN-01-018
Number of pages: 35 Posted: 03 Nov 2008
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance
Downloads 251 (222,391)
Citation 8

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Sensation Seeking and Hedge Funds

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 10 Dec 2016 Last Revised: 20 Apr 2018
Stephen J. Brown, Yan Lu, Sugata Ray and Melvyn Teo
New York University - Stern School of Business, University of Central Florida - College of Business Administration, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 5,383 (2,981)
Citation 10

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Sensation seeking, Hedge funds, Risk, Operational risk

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

Number of pages: 21 Posted: 30 Sep 2007 Last Revised: 11 Sep 2009
Stephen J. Brown, Thomas L. Fraser and Bing Liang
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance
Downloads 4,586 (3,874)
Citation 26

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Hedge funds, operational risk, due diligence, alpha

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

NYU Working Paper No. FIN-07-032
Number of pages: 21 Posted: 13 Nov 2008
Stephen J. Brown, Thomas L. Fraser and Bing Liang
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance
Downloads 737 (63,457)

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Hedge funds, operational risk, due diligence, alpha

7.
Downloads 4,926 ( 3,482)
Citation 39

Fees on Fees in Funds of Funds

Yale ICF Working Paper No. 02-33
Number of pages: 40 Posted: 01 Oct 2002
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 4,347 (4,229)
Citation 7

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Fees on Fees in Funds of Funds

NBER Working Paper No. w9464
Number of pages: 1 Posted: 02 Feb 2003 Last Revised: 12 Nov 2022
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 257 (217,171)
Citation 6

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Fees on Fees in Funds of Funds

NYU Working Paper No. SC-AM-02-06
Number of pages: 31 Posted: 13 Nov 2008
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 147 (362,058)
Citation 1

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Fees on Fees in Funds of Funds

NYU Working Paper No. S-DRP-04-01
Number of pages: 39 Posted: 05 Nov 2008
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 90 (521,862)

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Fees on Fees in Funds of Funds

NYU Working Paper No. FIN-02-031
Number of pages: 31 Posted: 03 Nov 2008
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 85 (541,236)
Citation 3

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Fees on Fees in Funds of Funds

Journal of Investment Management, Vol. 2, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
Stephen J. Brown, William N. Goetzmann and Bing Liang
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance

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Hedge funds, funds-of-funds, incentive fees

Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and Ctas

Yale School of Management Working Paper No. F-59
Number of pages: 28 Posted: 10 Feb 1998
William N. Goetzmann, Stephen J. Brown and James M. Park
Yale School of Management - International Center for Finance, New York University - Stern School of Business and PARADIGM Capital Management
Downloads 3,823 (5,251)
Citation 7

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Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and Ctas

NYU Working Paper No. FIN-99-077
Number of pages: 29 Posted: 11 Nov 2008
Stephen J. Brown, William N. Goetzmann and James M. Park
New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management
Downloads 324 (170,692)
Citation 1

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Downloads 3,520 ( 6,117)

Positive Portfolio Factors

Yale School of Management Working Paper No. F-57
Number of pages: 22 Posted: 23 Apr 1998
Stephen J. Brown, William N. Goetzmann and Mark Grinblatt
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 3,393 (6,407)

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Positive Portfolio Factors

NBER Working Paper No. w6412
Number of pages: 19 Posted: 20 Sep 2000 Last Revised: 09 Jan 2022
Stephen J. Brown, William N. Goetzmann and Mark Grinblatt
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 127 (406,944)

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Downloads 3,445 ( 6,345)
Citation 45

Trust and Delegation

Number of pages: 43 Posted: 17 Aug 2009 Last Revised: 20 May 2011
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 3,092 (7,412)
Citation 1

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Hedge Funds, Operational Risk, Due Diligence

Trust and Delegation

NYU Working Paper No. FIN-09-016
Number of pages: 43 Posted: 09 Nov 2009 Last Revised: 16 Feb 2012
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 278 (200,610)
Citation 7

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Trust and Delegation

NBER Working Paper No. w15529
Number of pages: 47 Posted: 24 Nov 2009 Last Revised: 08 Jun 2023
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 75 (584,166)
Citation 11

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11.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 3,285 (6,882)
Citation 116

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 06-15
Number of pages: 55 Posted: 21 Jul 2006 Last Revised: 11 Sep 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 2,867 (8,317)
Citation 5

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Hedge funds, operational risk, SEC filing, Form ADV

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

NYU Working Paper No. FIN-07-031
Number of pages: 55 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst
Downloads 236 (236,339)
Citation 33

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Hedge funds, operational risk, SEC filing, Form ADV

13.

Estimating Operational Risk for Hedge Funds: The ω-Score

Yale ICF Working Paper No. 08-08
Number of pages: 23 Posted: 25 Jan 2008 Last Revised: 11 Sep 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 3,051 (7,691)

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mutual funds, hedge funds, investments, the Omega Score

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Yale ICF Working Paper No. 02-09; AFA 2003 Washington, DC Meetings, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 46 Posted: 11 Mar 2002
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 2,586 (9,821)
Citation 7

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Investor Sentiment, Mutual Fund Flows, Bull and Bear Funds, Factor Pricing Mod

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NYU Working Paper No. SC-AM-02-02
Number of pages: 35 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 121 (422,154)

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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NBER Working Paper No. w9470
Number of pages: 45 Posted: 02 Feb 2003 Last Revised: 18 Nov 2022
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 116 (436,015)
Citation 3

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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

NYU Working Paper No. FIN-02-011
Number of pages: 35 Posted: 03 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 73 (593,464)

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Downloads 2,811 ( 8,705)
Citation 1

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 15 Mar 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 1,874 (16,360)

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 52 Posted: 10 Apr 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 539 (94,816)
Citation 1

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 01 Feb 2012 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 398 (135,834)
Citation 3

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Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

16.

Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

Number of pages: 40 Posted: 22 Jul 2009 Last Revised: 09 Jul 2011
Stephen J. Brown, Greg N. Gregoriou and Razvan C. Pascalau
New York University - Stern School of Business, SUNY College at Plattsburgh and SUNY College at Plattsburgh - School of Business and Economics
Downloads 2,139 (13,581)
Citation 7

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Funds of Hedge Funds, Diversification, Tail Risk Exposure, Hedge Funds

17.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,843 (17,113)
Citation 33

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

18.

Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings

Number of pages: 71 Posted: 28 Sep 2010 Last Revised: 19 Dec 2020
Stephen J. Brown and Christopher Schwarz
New York University - Stern School of Business and University of California, Irvine - Finance Area
Downloads 1,681 (19,743)
Citation 12

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Hedge Funds, 13F Filings, Disclosure, copy-cat trading

19.

Doubling: Nick Leeson's Trading Strategy

NYU Working Paper No. FIN-00-058
Number of pages: 26 Posted: 13 Nov 2008
Stephen J. Brown and Onno W. Steenbeek
New York University - Stern School of Business and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,676 (19,860)
Citation 2

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20.

Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing?

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 67 Posted: 12 Mar 2014 Last Revised: 03 Feb 2020
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,401 (26,082)
Citation 3

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dispersion in economic forecasts, mispricing, disagreement risk, cross-section of stock returns, return predictability

21.

The Open-End Japanese Mutual Fund Puzzle

Number of pages: 44 Posted: 23 Apr 1998
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 1,341 (27,774)
Citation 4

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Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?

Number of pages: 66 Posted: 18 Feb 2010 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,274 (29,948)
Citation 41

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Hedge Funds, Return Predictability, Risk Factors

23.

The Efficient Markets Hypothesis: The Demise of the Demon of Chance?

NYU Stern School of Business FIN-09-28
Number of pages: 30 Posted: 26 Nov 2009 Last Revised: 04 Feb 2010
Stephen J. Brown
New York University - Stern School of Business
Downloads 1,223 (31,835)

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Efficient Markets Hypothesis, Random Walk Hypothesis, behavioral finance, event studies

24.

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 38 Posted: 09 Mar 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,195 (32,960)
Citation 4

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hedge funds, systematic risk, time-varying risk, return predictability

25.

Double or Nothing: Patterns of Equity Fund Holdings and Transactions

EFA 2005 Moscow Meetings Paper
Number of pages: 46 Posted: 11 Jul 2005
New York University - Stern School of Business, University of New South Wales (UNSW Sydney, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Bond University
Downloads 1,103 (36,859)
Citation 20

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Prospect Theory, Disposition Effect, Risk management; Performance evaluation; Window dressing

26.
Downloads 946 (45,824)
Citation 15

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 44 Posted: 10 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 509 (101,510)
Citation 6

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 34 Posted: 07 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 437 (121,817)
Citation 1

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM

27.

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 20 Mar 2013 Last Revised: 18 Feb 2014
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 945 (45,893)
Citation 1

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hedge funds, economic uncertainty, risk factors, return predictability

28.

Survival

NYU Working Paper No. FIN-94-021
Number of pages: 35 Posted: 11 Nov 2008
Stephen J. Brown, William N. Goetzmann and Stephen A. Ross
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 857 (52,565)
Citation 1

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An Analysis of the Relative Performance of Japanese and Foreign Money Management

Yale ICF Working Paper No. 02-31
Number of pages: 39 Posted: 24 Sep 2002
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan and Rikkyo University - School of Social Relations
Downloads 565 (89,081)
Citation 2

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An Analysis of the Relative Performance of Japanese and Foreign Money Management

NYU Working Paper No. S-AM-01-03
Number of pages: 22 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan and Rikkyo University - School of Social Relations
Downloads 48 (734,421)

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An Analysis of the Relative Performance of Japanese and Foreign Money Management

NYU Working Paper No. FIN-02-028
Number of pages: 38 Posted: 03 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan and Rikkyo University - School of Social Relations
Downloads 42 (776,953)

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An Analysis of the Relative Performance of Japanese and Foreign Money Management

NYU Working Paper No. SC-AM-02-05
Number of pages: 38 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan and Rikkyo University - School of Social Relations
Downloads 34 (840,276)

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An Analysis of the Relative Performance of Japanese and Foreign Money Management

NYU Working Paper No. FIN-01-019
Number of pages: 22 Posted: 03 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan and Rikkyo University - School of Social Relations
Downloads 31 (865,961)

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30.

Quantitative Measures of Operational Risk: An Application to Funds Management

Number of pages: 19 Posted: 18 Mar 2012 Last Revised: 26 May 2012
Stephen J. Brown
New York University - Stern School of Business
Downloads 599 (83,689)
Citation 1

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Operational risk, AMA, operational due diligence, hedge funds

31.

Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns

Number of pages: 40 Posted: 27 May 2011
Stephen J. Brown and Jonathan F. Spitzer
New York University - Stern School of Business and University of Virginia - Darden School of Business
Downloads 588 (85,884)
Citation 11

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Hedge funds, Tail Risk, Funds of Funds

32.
Downloads 552 (92,853)
Citation 1

Mutual Fund Styles

NYU Working Paper No. FIN-94-020
Number of pages: 55 Posted: 11 Nov 2008
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance
Downloads 552 (91,766)
Citation 1

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Mutual Fund Styles

Yale School of Managment Working Paper No. F-46
Posted: 10 Oct 1998
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance

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Risk Premia in International Equity Markets Revisited

Number of pages: 55 Posted: 21 Sep 2006 Last Revised: 23 Apr 2008
Stephen J. Brown, Takato Hiraki, Kiyoshi Arakawa and Saburo Ohno
New York University - Stern School of Business, International University of Japan, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 299 (185,925)

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Risk premia, international asset pricing models, global capital markets, global investments

Risk Premia in International Equity Markets Revisited

NYU Working Paper No. FIN-08-021
Number of pages: 55 Posted: 09 Mar 2009
Takato Hiraki, Stephen J. Brown, Kiyoshi Arakawa and Saburo Ohno
International University of Japan, New York University - Stern School of Business, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 170 (320,037)
Citation 1

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Risk Premia in International Equity Markets Revisited

NYU Working Paper No. FIN-07-033
Number of pages: 55 Posted: 13 Nov 2008
Stephen J. Brown, Takato Hiraki, Kiyoshi Arakawa and Saburo Ohno
New York University - Stern School of Business, International University of Japan, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 56 (683,474)

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Risk premia, international asset pricing models, global capital markets, global investments

34.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 521 (99,932)
Citation 7

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

Careers and Survival: Competition and Risk in the Hedge Fund and Cta Industry

NYU Working Paper No. S-AM-00-06
Number of pages: 31 Posted: 13 Nov 2008
Stephen J. Brown, William N. Goetzmann and James M. Park
New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management
Downloads 280 (199,150)
Citation 20

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Careers and Survival: Competition and Risk in the Hedge Fund and Cta Industry

NYU Working Paper No. FIN-00-026
Number of pages: 31 Posted: 04 Nov 2008
Stephen J. Brown, William N. Goetzmann and James M. Park
New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management
Downloads 241 (231,530)

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36.

Resisting the Manipulation of Performance Metrics: An Empirical Analysis of The Manipulation-Proof Performance Measure

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 59 Posted: 15 Jan 2010
Stephen J. Brown, MaengSoo Kang, Francis Haeuck In and Gunhee Lee
New York University - Stern School of Business, Sogang Business School, Monash University - Department of Accounting and Sogang Business School
Downloads 491 (107,285)
Citation 4

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Performance Measure, Performance Manipulation, Return Smoothing, Doubt Ratio, Madoff

37.

Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Journal of Banking and Finance, Forthcoming, 29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 49 Posted: 10 Aug 2015 Last Revised: 16 Dec 2017
New York University - Stern School of Business, Universidad de los Andes, Chile, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 417 (129,999)
Citation 3

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Mutual funds; performance evaluation; seasonality; benchmark index

38.

Convertibles and Hedge Funds as Distributors of Equity Exposure

Number of pages: 53 Posted: 11 Mar 2010 Last Revised: 17 Jan 2023
New York University - Stern School of Business, RSFAS Australian National University, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
Downloads 390 (140,325)
Citation 12

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Convertible securities, convertible arbitrage, hedge funds

39.

Post-Announcement Drift

NYU Working Paper No. FIN-96-019
Number of pages: 18 Posted: 07 Nov 2008
Stephen J. Brown and Stephen A. Ross
New York University - Stern School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 385 (142,297)

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40.

Upside Potential of Hedge Funds as a Predictor of Future Performance

Georgetown McDonough School of Business Research Paper No. 2661752
Number of pages: 80 Posted: 18 Sep 2015 Last Revised: 08 Nov 2018
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 378 (145,353)

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hedge funds; upside potential; return predictability

41.

Continuous Disclosure in Australia and the United States: A Comparative Analysis

Number of pages: 27 Posted: 12 Jan 2018
Stephen J. Brown and Chander Shekhar
New York University - Stern School of Business and University of Melbourne
Downloads 316 (176,526)

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Continuous Disclosure, Earnings Announcements, Event Study

Offshore Hedge Funds: Survival and Performance 1989-1995

NBER Working Paper No. w5909
Number of pages: 34 Posted: 20 Jul 2000 Last Revised: 26 Aug 2022
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 197 (280,214)

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Offshore Hedge Funds: Survival and Performance 1989-1995

NYU Working Paper No. FIN-96-018
Number of pages: 23 Posted: 07 Nov 2008
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management
Downloads 116 (436,015)
Citation 23

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Offshore Hedge Funds: Survival and Performance, 1989-1995

Journal of Business, Vol. 72, Issue 1, January 1999
Posted: 16 Nov 1998
Stephen J. Brown, William N. Goetzmann and Roger G. Ibbotson
New York University - Stern School of Business, Yale School of Management - International Center for Finance and Yale School of Management

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Going Negative: What to Do with Negative Book Equity Stocks

NYU Working Paper No. 2451/26348
Number of pages: 17 Posted: 03 Nov 2008
Stephen J. Brown, Paul Lajbcygier and Bob Li
New York University - Stern School of Business, Monash University - Department of Banking & Finance and affiliation not provided to SSRN
Downloads 312 (177,641)
Citation 2

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Going Negative: What to do with Negative Book Equity Stocks

Posted: 21 May 2019
Stephen J. Brown, Paul Lajbcygier and Bob Li
New York University - Stern School of Business, Monash University - Department of Banking & Finance and affiliation not provided to SSRN

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Negative book value, value factor, generalized style classification

44.

Estimating Operational Risk for Hedge Funds: The É-Score

NYU Working Paper No. FIN-08-001
Number of pages: 23 Posted: 09 Mar 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst
Downloads 302 (185,123)
Citation 3

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Portfolio Concentration and Investment Manager Performance

NYU Working Paper No. FIN-06-028
Number of pages: 38 Posted: 13 Nov 2008
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Bond University
Downloads 180 (305,698)
Citation 7

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Portfolio concentration, investment performance, tracking error, active funds

Portfolio Concentration and Investment Manager Performance

NYU Working Paper No. FIN-06-027
Number of pages: 38 Posted: 13 Nov 2008
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Bond University
Downloads 113 (444,771)

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Portfolio concentration, investment performance, tracking error, active funds

46.

Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?

Journal of Financial and Quantitative Analysis, forthcoming, NYU Stern School of Business, Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 70 Posted: 08 Mar 2019 Last Revised: 06 Oct 2020
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 288 (196,719)
Citation 3

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hedge funds; timing ability; industry returns

47.

Credit Cards: Transactional Convenience or Debt-Trap?

Number of pages: 38 Posted: 16 Jun 2017 Last Revised: 01 Dec 2017
Stephen J. Brown, Chris Veld and Yulia V. Veld-Merkoulova
New York University - Stern School of Business, Monash University and Monash University - Department of Finance
Downloads 288 (194,644)

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Credit card debt, household finance, stock market participation, financial literacy, trust, rationality.

48.

Learning by Consuming

Number of pages: 60 Posted: 28 Oct 2022
Stephen J. Brown, Lei Kong, Yan Lu and Sugata Ray
New York University - Stern School of Business, University of Alabama - Department of Economics, Finance and Legal Studies, University of Central Florida - College of Business Administration and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 276 (203,304)

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Mutual Funds; Consumption; Learning; Automotive Stocks; Information

49.

Elusive Return Predictability: Discussion

NYU Working Paper No. FIN-07-034
Number of pages: 7 Posted: 03 Nov 2008
Stephen J. Brown
New York University - Stern School of Business
Downloads 265 (211,751)

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50.
Downloads 210 (265,000)

Informationless Trading

NYU Working Paper No. FIN-03-035
Number of pages: 46 Posted: 11 Nov 2008
New York University - Stern School of Business, Bond University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
Downloads 112 (447,760)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

Informationless Trading

NYU Working Paper No. SC-AM-04-01
Number of pages: 46 Posted: 04 Nov 2008
New York University - Stern School of Business, Bond University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
Downloads 98 (493,357)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

51.

What is the Role of Institutional Investors in Corporate Capital Structure Decisions? A Survey Analysis

Number of pages: 48 Posted: 01 Jul 2018
New York University - Stern School of Business, The University of Manchester - Manchester Business School, Monash University and Monash University - Department of Finance
Downloads 204 (275,841)
Citation 6

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Capital Structure; Capital Supply; Institutional Investors; Agency Costs; Security Issuance; Security Design; Financial Constraints

52.

"Post-Earnings Announcement Drift: Market Inefficiency or Research Design Biases?"

NYU Working Paper No. FIN-94-022
Number of pages: 43 Posted: 11 Nov 2008
Stephen J. Brown and Peter F. Pope
New York University - Stern School of Business and Bocconi University
Downloads 200 (277,026)

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53.

Concave Payoff Patterns in Equity Fund Holdings and Transactions

Number of pages: 29 Posted: 14 Mar 2006
New York University - Stern School of Business, University of New South Wales (UNSW Sydney, Bond University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 166 (326,841)
Citation 1

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Performance measurement, market timing measures, disposition effect, overlay strategies

54.

Estimating the Cost of Capital with Basis Assets

Number of pages: 33 Posted: 17 Dec 2011 Last Revised: 21 Apr 2012
Stephen J. Brown, Paul Lajbcygier and Woon Weng Wong
New York University - Stern School of Business, Monash University - Department of Banking & Finance and Monash University - Department of Econometrics & Business Statistics
Downloads 154 (348,220)

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cost of capital, risk equivalent classes, industry, basis assets

55.

Choice Among Alternative Benchmarks: An Asset Pricing Approach

Number of pages: 25 Posted: 19 Apr 2014 Last Revised: 30 Sep 2014
Stephen J. Brown, John C. Handley and Paul Lajbcygier
New York University - Stern School of Business, University of Melbourne - Department of Finance and Monash University - Department of Banking & Finance
Downloads 139 (378,080)

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asset pricing, risk classes, industry benchmarks, basis assets

56.

Estimating Operational Risk for Hedge Funds: The Ω-Score

NYU Working Paper No. 2451/27845
Number of pages: 23 Posted: 10 Sep 2013
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area
Downloads 127 (405,642)
Citation 4

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57.
Downloads 117 (431,327)
Citation 10

The Japanese Open-End Fund Puzzle

NYU Working Paper No. FIN-98-012
Number of pages: 50 Posted: 07 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 66 (627,797)
Citation 7

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The Japanese Open-End Fund Puzzle

NBER Working Paper No. w6347
Number of pages: 45 Posted: 14 Jun 2000 Last Revised: 06 Nov 2022
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 51 (714,401)

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58.

The Contributions of Stephen A. Ross to Financial Economics

Annual Review of Financial Economics, Vol. 13, pp. 1-14, 2021
Posted: 09 Nov 2021
New York University - Stern School of Business, Washington University in St. Louis, Yale School of Management - International Center for Finance and Yale University

Abstract:

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59.

Estimating Operational Risk for Hedge Funds: The Omega-Score

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California, Irvine - Finance Area

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Risk Measurement and Management: Alternative Investments; Portfolio Management: Hedge Fund strategies; Alternative Investments: Hedge Fund Strategies

60.

Performance Persistence

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 04 May 2000
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance

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61.

Post-Earnings Announcement Drift?

Posted: 08 Jul 1998
Stephen J. Brown and Peter F. Pope
New York University - Stern School of Business and Bocconi University

Abstract:

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Other Papers (1)

Total Downloads: 718
1.

Portfolio Concentration and Investment Manager Performance

Number of pages: 38 Posted: 14 Nov 2005
Simone Brands, Stephen J. Brown and David R. Gallagher
UNSW Australia Business School, School of Banking and Finance, New York University - Stern School of Business and Bond University
Downloads 718

Abstract:

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Portfolio concentration, investment performance, tracking error, active funds