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

50

DOWNLOADS
Rank 60

SSRN RANKINGS

Top 60

in Total Papers Downloads

94,852

CITATIONS
Rank 369

SSRN RANKINGS

Top 369

in Total Papers Citations

1,179

Scholarly Papers (50)

1.
Downloads 13,959 ( 175)
Citation 168

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 13,742 (176)
Citation 167

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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 217 (119,437)
Citation 168

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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 - School of Business Administration and Yale School of Management - International Center for Finance
Downloads 11,661 (231)
Citation 24

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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 706 (29,018)
Citation 24

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3.
Downloads 12,355 ( 215)
Citation 49

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 12,088 (218)
Citation 47

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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 137 (180,789)
Citation 47

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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: 08 Oct 2010
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 130 (188,641)
Citation 49

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4.
Downloads 9,563 ( 356)
Citation 80

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 9,169 (389)
Citation 80

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Hedge Funds with Style

NBER Working Paper No. w8173
Number of pages: 37 Posted: 16 Mar 2001 Last Revised: 05 Oct 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 222 (116,654)
Citation 80

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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 172 (148,777)
Citation 80

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5.
Downloads 4,591 ( 1,347)
Citation 47

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 4,198 (1,542)
Citation 47

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Fees on Fees in Funds of Funds

NBER Working Paper No. w9464
Number of pages: 31 Posted: 02 Feb 2003 Last Revised: 20 Jun 2009
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 172 (148,777)
Citation 47

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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 101 (227,941)
Citation 46

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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 65 (299,386)
Citation 46

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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 55 (326,286)
Citation 46

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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

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 3,996 (1,675)
Citation 18

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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 573 (38,365)
Citation 18

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Hedge funds, operational risk, due diligence, alpha

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 3,724 (1,904)
Citation 31

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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 225 (115,096)
Citation 31

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8.
Downloads 3,360 ( 2,323)
Citation 6

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 3,277 (2,391)
Citation 6

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Positive Portfolio Factors

NBER Working Paper No. w6412
Number of pages: 19 Posted: 20 Sep 2000
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 83 (259,639)
Citation 6

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9.
Downloads 3,163 ( 2,611)
Citation 18

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 at Irvine
Downloads 2,907 (2,978)
Citation 18

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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 at Irvine
Downloads 220 (117,674)
Citation 18

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Trust and Delegation

NBER Working Paper No. w15529
Number of pages: 47 Posted: 24 Nov 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 at Irvine
Downloads 36 (390,821)
Citation 18

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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 at Irvine
Downloads 2,671 (3,449)
Citation 41

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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 190 (135,713)
Citation 41

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Hedge funds, operational risk, SEC filing, Form ADV

11.

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 at Irvine
Downloads 2,787 (3,079)
Citation 11

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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, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 2,437 (4,019)
Citation 30

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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

NBER Working Paper No. w9470
Number of pages: 45 Posted: 02 Feb 2003 Last Revised: 27 Jan 2013
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 76 (273,909)
Citation 30

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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, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 76 (273,909)
Citation 30

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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, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 37 (386,795)
Citation 30

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13.
Downloads 1,902 ( 6,277)

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 1,276 (11,938)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 355 (69,760)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 271 (94,964)

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

14.

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 1,787 (6,216)
Citation 6

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

15.

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, Tokyo University of Science - School of Management, International University of Japan and Rikkyo University - School of Social Relations
Downloads 1,286 (11,877)
Citation 15

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16.

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 1,042 (14,848)
Citation 3

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

17.

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,011 (15,083)
Citation 8

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Hedge Funds, Return Predictability, Risk Factors

18.

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 Australia), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Capital Markets CRC Limited
Downloads 972 (17,433)
Citation 18

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

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 482 (48,028)
Citation 29

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

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 19 Dec 2011
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 208 (124,512)
Citation 29

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hedge funds, systematic risk, residual risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 15 Mar 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 197 (131,130)
Citation 29

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

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 29 Jan 2012
Turan G. Bali, Stephen J. Brown and Mustafa Onur Caglayan
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 77 (271,805)
Citation 29

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hedge funds, systematic risk, residual risk, return predictability

20.

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

Number of pages: 56 Posted: 28 Sep 2010 Last Revised: 08 May 2013
Stephen J. Brown and Christopher Schwarz
New York University - Stern School of Business and University of California at Irvine
Downloads 804 (18,403)

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

Going Negative: What to do with Negative Book Equity Stocks

Number of pages: 17 Posted: 09 Jun 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 597 (36,358)
Citation 2

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Negative book value, value factor, generalized style classification

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 104 (223,276)
Citation 2

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22.
Downloads 285 ( 32,285)
Citation 2

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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 285 (89,867)
Citation 2

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hedge funds, economic uncertainty, risk factors, return predictability

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, Tokyo University of Science - School of Management and Rikkyo University - School of Social Relations
Downloads 532 (42,349)
Citation 8

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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, Tokyo University of Science - School of Management and Rikkyo University - School of Social Relations
Downloads 17 (488,520)
Citation 8

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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, Tokyo University of Science - School of Management and Rikkyo University - School of Social Relations
Downloads 16 (494,247)
Citation 8

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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, Tokyo University of Science - School of Management and Rikkyo University - School of Social Relations
Downloads 12 (517,656)
Citation 8

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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, Tokyo University of Science - School of Management and Rikkyo University - School of Social Relations
Downloads 11 (523,404)
Citation 8

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 305 (83,171)

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University
Downloads 269 (95,665)

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

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 516 (44,042)
Citation 1

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Operational risk, AMA, operational due diligence, hedge funds

Quantitative Measures of Operational Risk: An Application to Funds Management

Accounting & Finance, Vol. 52, Issue 4, pp. 1001-1011, 2012
Number of pages: 11 Posted: 14 Dec 2012
Stephen J. Brown
New York University - Stern School of Business
Downloads 1 (587,632)
Citation 1
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Operational risk, Quantitative measures, Funds management

26.

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 514 (38,620)
Citation 99

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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 242 (106,958)
Citation 110

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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 199 (129,945)
Citation 110

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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, Tokyo University of Science - School of Management, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 263 (97,941)

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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
Tokyo University of Science - School of Management, New York University - Stern School of Business, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 138 (179,733)

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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, Tokyo University of Science - School of Management, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 31 (411,914)

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

29.
Downloads 370 ( 67,083)

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 370 (66,455)
Citation 106

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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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30.

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 335 (56,973)
Citation 6

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31.

Convertibles and Hedge Funds as Distributors of Equity Exposure

Number of pages: 53 Posted: 11 Mar 2010 Last Revised: 23 Nov 2012
New York University - Stern School of Business, University of Melbourne, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 306 (77,698)
Citation 9

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Convertible securities, convertible arbitrage, hedge funds

32.

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 303 (75,040)
Citation 2

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33.

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 283 (76,056)
Citation 1

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

34.

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 263 (95,100)
Citation 11

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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 Capital Markets CRC Limited
Downloads 143 (174,528)
Citation 15

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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 Capital Markets CRC Limited
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Citation 15

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Portfolio concentration, investment performance, tracking error, active funds

Portfolio Concentration and Investment Manager Performance

International Review of Finance, Vol. 5, No. 3-4, pp. 149-174, September/December 2005
Number of pages: 26 Posted: 02 Nov 2006
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 Capital Markets CRC Limited
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Citation 15
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36.

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 212 (87,908)
Citation 6

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Hedge funds, Tail Risk, Funds of Funds

37.

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
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38.
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Informationless Trading

NYU Working Paper No. FIN-03-035
Number of pages: 46 Posted: 11 Nov 2008
New York University - Stern School of Business, Capital Markets CRC Limited, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Australia)
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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, Capital Markets CRC Limited, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Australia)
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Informationless Trading, Sharpe Ratios, Performance Evaluation

Offshore Hedge Funds: Survival and Performance 1989-1995

NBER Working Paper No. w5909
Number of pages: 34 Posted: 20 Jul 2000 Last Revised: 05 Oct 2010
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 97 (236,139)
Citation 183

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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 63 (304,409)
Citation 182

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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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40.

Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49 Posted: 10 Aug 2015 Last Revised: 05 Jun 2017
New York University - Stern School of Business, University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
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Mutual funds; performance evaluation; seasonality; benchmark index

41.

"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 London School of Economics & Political Science (LSE) - Department of Accounting and Finance
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42.

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 Australia), Capital Markets CRC Limited and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 124 (183,469)

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

43.

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

44.

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
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asset pricing, risk classes, industry benchmarks, basis assets

45.
Downloads 72 (279,768)
Citation 15

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, Tokyo University of Science - School of Management, International University of Japan and Rikkyo University - School of Social Relations
Downloads 43 (364,529)
Citation 15

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The Japanese Open-End Fund Puzzle

NBER Working Paper No. w6347
Number of pages: 45 Posted: 14 Jun 2000
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, International University of Japan and Rikkyo University - School of Social Relations
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Citation 15

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46.

Do Individuals Use Credit Cards Rationally?

Number of pages: 35 Posted: 16 Jun 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
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Credit card debt, household finance, stock market participation, financial literacy, trust, rationality.

47.

Why Do Individuals Not Participate in the Stock Market?

29th Australasian Finance and Banking Conference 2016
Number of pages: 43 Posted: 12 Aug 2016 Last Revised: 16 Jun 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
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stock market participation puzzle; Equity risk premium

48.

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 at Irvine

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

49.

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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50.

Post-Earnings Announcement Drift?

Posted: 08 Jul 1998
Stephen J. Brown and Peter F. Pope
New York University - Stern School of Business and London School of Economics & Political Science (LSE) - Department of Accounting and Finance

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Other Papers (1)

Total Downloads: 557    Citations: 15
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 Capital Markets CRC Limited
Downloads 0 (105,652)
Citation 15

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Portfolio concentration, investment performance, tracking error, active funds