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

51

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Rank 83

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Top 83

in Total Papers Downloads

98,067

CITATIONS
Rank 963

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Top 963

in Total Papers Citations

665

Scholarly Papers (51)

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 13,829 (224)
Citation 3

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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 225 (134,594)

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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 12,965 (250)
Citation 4

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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 784 (29,920)

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Downloads 12,451 ( 274)
Citation 34

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 12,178 (282)
Citation 1

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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 139 (207,366)
Citation 17

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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 134 (213,679)

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Downloads 9,701 ( 463)
Citation 82

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 9,290 (497)

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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 226 (134,013)

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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 185 (162,188)
Citation 3

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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 4,151 (2,028)
Citation 19

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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 616 (41,507)

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Hedge funds, operational risk, due diligence, alpha

6.
Downloads 4,665 ( 1,666)
Citation 35

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 4,250 (1,942)
Citation 5

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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 175 (170,554)
Citation 1

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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 109 (249,848)

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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 69 (334,036)
Citation 3

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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 62 (353,813)

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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 3,759 (2,401)
Citation 1

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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 245 (123,551)
Citation 1

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Downloads 3,410 ( 2,887)

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 3,318 (2,971)

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Positive Portfolio Factors

NBER Working Paper No. w6412
Number of pages: 19 Posted: 20 Sep 2000 Last Revised: 08 Oct 2010
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 92 (280,521)

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Downloads 3,222 ( 3,192)
Citation 32

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 2,956 (3,619)
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 at Irvine
Downloads 228 (132,827)
Citation 1

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Trust and Delegation

NBER Working Paper No. w15529
Number of pages: 47 Posted: 24 Nov 2009 Last Revised: 02 Dec 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 38 (439,832)

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10.

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 2,943 (3,720)

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mutual funds, hedge funds, investments, the Omega Score

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 2,740 (4,122)
Citation 3

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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 195 (154,502)
Citation 1

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Hedge funds, operational risk, SEC filing, Form ADV

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 2,485 (4,848)
Citation 6

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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 81 (304,105)

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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 77 (313,600)

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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 40 (431,161)

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Downloads 2,048 ( 6,843)
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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 1,363 (13,169)

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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 Graduate School of Management
Downloads 373 (77,753)

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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 Graduate School of Management
Downloads 312 (95,504)
Citation 2

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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 1,982 (7,263)
Citation 2

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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 1,308 (14,315)
Citation 2

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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 - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,161 (17,204)
Citation 2

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Hedge Funds, Return Predictability, Risk Factors

17.

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 1,153 (17,380)

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

18.

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 1,114 (18,298)
Citation 8

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

19.

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 Capital Markets CRC Limited
Downloads 1,028 (20,588)
Citation 21

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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 505 (53,694)
Citation 1

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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 218 (138,842)
Citation 1

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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 200 (150,744)
Citation 1

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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 90 (284,523)
Citation 2

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hedge funds, systematic risk, residual risk, return predictability

21.
Downloads 308 ( 34,592)
Citation 3

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 308 (96,868)

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hedge funds, economic uncertainty, risk factors, return predictability

22.

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 674 (37,380)
Citation 1

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23.
Downloads 633 ( 40,613)
Citation 4

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 Graduate School of Management
Downloads 333 (88,780)

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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 Graduate School of Management
Downloads 300 (99,665)

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

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 539 (49,440)

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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 20 (537,190)

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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 19 (543,687)

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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 14 (576,339)

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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 12 (589,935)

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25.

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 596 (44,026)

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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 531 (50,406)

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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 (681,267)
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Operational risk, Quantitative measures, Funds management

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 256 (118,034)
Citation 2

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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 202 (149,359)

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28.
Downloads 448 ( 63,149)
Citation 2

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 270 (111,621)

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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 144 (201,489)

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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 34 (457,509)

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

29.
Downloads 441 ( 64,534)

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 441 (63,903)

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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.

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 358 (82,311)
Citation 4

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

31.

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 - Management School
Downloads 356 (82,833)
Citation 1

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Mutual funds; performance evaluation; seasonality; benchmark index

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 352 (83,912)

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33.

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 336 (88,505)
Citation 4

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Convertible securities, convertible arbitrage, hedge funds

34.

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 321 (93,055)
Citation 9

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Hedge funds, Tail Risk, Funds of Funds

35.

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 277 (109,209)

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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 148 (197,040)
Citation 3

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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
Downloads 87 (290,867)

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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
Downloads 19 (543,687)
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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
Downloads 231 (131,573)

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38.

Why Do Individuals Not Participate in the Stock Market?

Number of pages: 39 Posted: 12 Aug 2016 Last Revised: 22 Jun 2018
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 208 (146,146)
Citation 2

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stock market participation puzzle; Equity risk premium

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 115 (240,371)

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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 69 (334,036)
Citation 17

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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.
Downloads 163 (181,258)

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 Sydney
Downloads 86 (293,043)

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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 Sydney
Downloads 77 (313,600)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

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 Bocconi University
Downloads 152 (192,350)

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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 146 (199,218)
Citation 1

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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

43.

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, Capital Markets CRC Limited and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 137 (209,289)
Citation 1

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

44.

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 125 (224,850)

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

45.

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 123 (227,583)

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

46.

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 114 (240,692)

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asset pricing, risk classes, industry benchmarks, basis assets

47.
Downloads 74 (317,674)
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, Tokyo University of Science - School of Management, International University of Japan and Rikkyo University - School of Social Relations
Downloads 44 (415,096)
Citation 6

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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: 04 Apr 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 30 (477,286)

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48.

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

Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 62 Posted: 08 Mar 2019 Last Revised: 15 Jul 2019
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Florida International University and Cleveland State University - Monte Ahuja College of Business
Downloads 71 (325,039)

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hedge funds; timing ability; industry returns

49.

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

50.

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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51.

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

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Other Papers (1)

Total Downloads: 606
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 606

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Portfolio concentration, investment performance, tracking error, active funds