SSRN logo
Public User
Advanced Search

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

DOWNLOADS
Rank 11,109

SSRN RANKINGS

Top 11,109

in Total Papers Downloads

3,522

CITATIONS
Rank 9,809

SSRN RANKINGS

Top 9,809

in Total Papers Citations

44

Scholarly Papers (13)

Actions:
Email selected abstracts
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 (32,172)
Citation 19

Abstract:

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 (34,310)
Citation 15

Abstract:

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 (30,531)

Abstract:

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 (34,006)
Citation 10

Abstract:

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 (77,820)

Abstract:

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 (123,247)

Abstract:

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: 66 Posted: 17 Aug 2014 Last Revised: 02 Oct 2016
David P. Brown
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 128 (126,161)

Abstract:

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 (267,090)

Abstract:

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 (279,879)

Abstract:

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 60 (303,397)

Abstract:

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 (505,905)

Abstract:

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

Abstract:

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

Abstract:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 0.300 seconds

Relx Group logo