David P. Brown

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

975 University Avenue

Madison, WI 53706

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 12,284

SSRN RANKINGS

Top 12,284

in Total Papers Downloads

3,849

SSRN CITATIONS
Rank 23,883

SSRN RANKINGS

Top 23,883

in Total Papers Citations

8

CROSSREF CITATIONS

21

Scholarly Papers (13)

1.

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 811 (29,160)
Citation 17

Abstract:

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

2.

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 707 (35,247)
Citation 3

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

3.

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 658 (38,773)
Citation 4

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Derivatives, Asset Pricing, Option Pricing, Empirical Studies

4.

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 643 (40,005)
Citation 18

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Idiosyncratic Risk, Systematic Risk, Small Firms

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 329 (91,142)

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Limit orders, pegged, stale, liquidity, hybrid

6.

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 250 (122,203)

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

7.

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 211 (144,373)
Citation 1

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Idiosyncratic risk, Entrepreneurial risk, Small firms

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 81 (303,008)

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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 72 (324,320)

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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 65 (342,646)

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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: 62 Posted: 20 Jul 2017 Last Revised: 05 Oct 2018
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 22 (510,637)

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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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