David P. Brown

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

975 University Avenue

Madison, WI 53706

United States

SCHOLARLY PAPERS

12

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CITATIONS
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Top 9,777

in Total Papers Citations

44

Scholarly Papers (12)

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 (31,012)
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 (33,284)
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 (30,394)

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
Downloads 433 (33,835)
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 (75,703)

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 (118,842)

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 (133,416)

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 (257,730)

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 (272,380)

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 (292,999)

Abstract:

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

11.

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

12.

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: