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David P. Brown

University of Wisconsin - Madison - Department of Finance, Investment and Banking

975 University Avenue

Madison, WI 53706

United States

  • University of Wisconsin - Madison - Department of Finance, Investment and Banking

    • Email
    • Tel: 608-265-5281
    • Fax: 608-265-4195
SCHOLARLY PAPERS

13

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CITATIONS
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44

Scholarly Papers (13)

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1.

The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory

Number of pages: 24 Posted: 27 Feb 2002
Jens Carsten Jackwerth and David P. Brown
University of Konstanz - Department of Economics and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 626 (34,376)
Citation 19

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Derivatives, Asset Pricing, Option Pricing, Empirical Studies

2.

Information in the Idiosyncratic Volatility of Small Firms

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 3020
Number of pages: 59 Posted: 13 Dec 2004
David P. Brown and Miguel A. Ferreira
University of Wisconsin - Madison - Department of Finance, Investment and Banking and Nova School of Business and Economics
Downloads 595 (36,367)
Citation 15

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Idiosyncratic Risk, Systematic Risk, Small Firms

3.

The Productivity Premium in Equity Returns

Number of pages: 37 Posted: 18 Jun 2007
David P. Brown and Bradford Rowe
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison
Downloads 582 (30,490)

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Equity returns, stock returns, book-to-market ratio, productivity, profitability, return on invested capital, ROI, average returns

4.

Mutual Fund Flows and Cross-Fund Learning Within Families

Journal of Finance, Forthcoming
Number of pages: 69 Posted: 11 Oct 2010 Last Revised: 30 Jul 2014
David P. Brown and Youchang Wu
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Oregon - Lundquist College of Business
Downloads 433 (34,145)
Citation 10

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Mutual Fund Family, Fund Flow, Performance Evaluation, Bayesian Learning

5.

Pegged Limit Orders

Number of pages: 40 Posted: 17 Jun 2005
David P. Brown and Craig W. Holden
University of Wisconsin - Madison - Department of Finance, Investment and Banking and Indiana University - Kelley School of Business - Department of Finance
Downloads 295 (82,640)

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Limit orders, pegged, stale, liquidity, hybrid

6.

Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk

Number of pages: 58 Posted: 21 Mar 2006
David P. Brown and Miguel A. Ferreira
University of Wisconsin - Madison - Department of Finance, Investment and Banking and Nova School of Business and Economics
Downloads 184 (129,871)

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Idiosyncratic risk, Entrepreneurial risk, Small firms

7.

The Turn-of-The-Quarter Effect in Momentum and Reversal in U.S. Stocks: Price Pressure as the Result of Tax-Loss Sales and Window Dressing

Number of pages: 65 Posted: 17 Aug 2014 Last Revised: 18 Nov 2017
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 128 (124,170)

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Momentum, Reversal, Window Dressing, Tax-loss Sale, Capital Losses, Price Pressure

8.

Aggregate Wealth and Consumption, and the Term Structure of Interest Rates

Number of pages: 42 Posted: 19 Mar 2008 Last Revised: 16 Jun 2008
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 70 (282,639)

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Aggregate consumption, aggregate wealth, consumption-to-wealth ratio, term structure

9.

The Systematic and Non-Systematic Variations in the Correlations of Stock Returns

Number of pages: 48 Posted: 18 Apr 2010 Last Revised: 26 Apr 2010
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 66 (291,443)

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10.

Equilibrium Solutions of Optimal Portfolios and Asset Prices

Number of pages: 42 Posted: 22 Apr 2012 Last Revised: 02 Oct 2016
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 61 (318,438)

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Stochastic differential utility, equilibrium solutions, optimal portfolios, asset prices, infinite horizon

11.

Decreasing Risk by Adding Inside Noise: A Theory of Transfers of Risk

Number of pages: 43 Posted: 20 Jul 2017
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 0 (514,627)

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Decreasing Risk; Risk Transfer; Noise; Inside Noise; Outside Noise; Stochastic Dominance

12.

New Characterizations of Increasing Risk

Journal of Mathematical Economics, Forthcoming
Posted: 03 Dec 2016
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking

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increasing risk, risk aversion, concave utility, noise

13.

Do Noise Traders 'Create Their Own Space'?

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, March 1997
Posted: 23 Apr 1997
Ravi Bhushan, David P. Brown and Antonio S. Mello
Southern Methodist University, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking

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