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

61

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Rank 82

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Top 82

in Total Papers Downloads

113,714

SSRN CITATIONS
Rank 504

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Top 504

in Total Papers Citations

623

CROSSREF CITATIONS

1,313

Scholarly Papers (61)

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 - Miami Herbert Business School and Yale School of Management - International Center for Finance
Downloads 13,893 (333)
Citation 6

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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 846 (35,992)

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2.
Downloads 14,170 ( 322)
Citation 25

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 13,932 (330)
Citation 25

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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 238 (163,866)

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Downloads 12,582 ( 424)
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 12,265 (428)
Citation 1

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Hedge Funds and the Asian Currency Crisis of 1997

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 167 (227,018)

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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 150 (248,652)
Citation 30

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Downloads 9,833 ( 658)
Citation 90

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 9,378 (714)
Citation 2

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Hedge Funds with Style

Number of pages: 37 Posted: 16 Mar 2001 Last Revised: 01 Nov 2021
Stephen J. Brown and William N. Goetzmann
New York University - Stern School of Business and Yale School of Management - International Center for Finance
Downloads 246 (158,643)

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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 209 (185,687)
Citation 8

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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 4,352 (2,708)
Citation 23

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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 655 (50,959)

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Hedge funds, operational risk, due diligence, alpha

6.

Sensation Seeking and Hedge Funds

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 10 Dec 2016 Last Revised: 20 Apr 2018
Stephen J. Brown, Yan Lu, Sugata Ray and Melvyn Teo
New York University - Stern School of Business, University of Central Florida - College of Business Administration, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 4,877 (2,245)
Citation 10

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Sensation seeking, Hedge funds, Risk, Operational risk

7.
Downloads 4,733 ( 2,380)
Citation 37

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 4,291 (2,763)
Citation 7

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Fees on Fees in Funds of Funds

Number of pages: 1 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 187 (205,570)
Citation 3

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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 119 (297,538)
Citation 1

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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 70 (417,753)
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 66 (431,470)

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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 3,790 (3,404)

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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 271 (143,891)
Citation 1

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Downloads 3,451 ( 4,094)

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 3,350 (4,194)

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Positive Portfolio Factors

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 101 (333,818)

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Downloads 3,305 ( 4,395)
Citation 37

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 3,023 (5,039)
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 239 (163,161)
Citation 7

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Trust and Delegation

Number of pages: 47 Posted: 24 Nov 2009 Last Revised: 07 Jun 2021
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 43 (526,273)
Citation 2

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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 2,791 (5,744)
Citation 5

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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 203 (190,838)
Citation 11

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Hedge funds, operational risk, SEC filing, Form ADV

12.

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 2,990 (5,228)

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mutual funds, hedge funds, investments, the Omega Score

13.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,841 (5,678)
Citation 40

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

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, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 2,536 (6,711)
Citation 7

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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

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, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 91 (357,243)

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Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Number of pages: 45 Posted: 02 Feb 2003 Last Revised: 18 Nov 2021
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 87 (367,592)
Citation 1

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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, International University of Japan, Rikkyo University - School of Social Relations and University of Alberta - School of Business
Downloads 43 (526,273)

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Downloads 2,234 ( 8,364)
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 1,465 (16,157)

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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 429 (86,444)
Citation 1

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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 340 (112,892)
Citation 3

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Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

16.

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 2,048 (9,657)
Citation 4

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Funds of Hedge Funds, Diversification, Tail Risk Exposure, Hedge Funds

17.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,382 (17,992)
Citation 33

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

18.

Do Market Participants Care about Portfolio Disclosure? Evidence from Hedge Funds’ 13F Filings

Number of pages: 71 Posted: 28 Sep 2010 Last Revised: 19 Dec 2020
Stephen J. Brown and Christopher Schwarz
New York University - Stern School of Business and University of California at Irvine
Downloads 1,354 (18,559)
Citation 12

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

19.

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, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 1,316 (19,303)
Citation 4

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Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing?

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 67 Posted: 12 Mar 2014 Last Revised: 03 Feb 2020
Turan G. Bali, Stephen J. Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,240 (21,128)
Citation 3

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dispersion in economic forecasts, mispricing, disagreement risk, cross-section of stock returns, return predictability

21.

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 1,199 (22,217)
Citation 27

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Hedge Funds, Return Predictability, Risk Factors

22.

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 1,179 (22,773)

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

23.

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 1,085 (25,718)
Citation 2

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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 542 (64,898)
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 226 (172,347)
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 211 (184,001)
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 99 (338,326)
Citation 15

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hedge funds, systematic risk, residual risk, return predictability

25.

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 Rozetta Institute
Downloads 1,061 (26,548)
Citation 23

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Prospect Theory, Disposition Effect, Risk management; Performance evaluation; Window dressing

26.
Downloads 795 ( 39,820)
Citation 21

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 23 Oct 2013 Last Revised: 10 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 468 (77,879)
Citation 19

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hedge funds, mutual funds, macroeconomic risk, economic uncertainty

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 327 (117,875)
Citation 1

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hedge funds, economic uncertainty, risk factors, return predictability

27.

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 748 (43,253)
Citation 1

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28.
Downloads 728 ( 44,864)
Citation 7

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 379 (99,752)
Citation 6

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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 349 (109,570)

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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, International University of Japan and Rikkyo University - School of Social Relations
Downloads 545 (64,453)
Citation 2

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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, International University of Japan and Rikkyo University - School of Social Relations
Downloads 21 (663,357)

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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, International University of Japan and Rikkyo University - School of Social Relations
Downloads 21 (663,357)

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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, International University of Japan and Rikkyo University - School of Social Relations
Downloads 18 (686,923)

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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, International University of Japan and Rikkyo University - School of Social Relations
Downloads 13 (728,143)

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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 548 (64,010)
Citation 1

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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 (838,183)
Citation 1
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Operational risk, Quantitative measures, Funds management

31.
Downloads 486 ( 75,139)
Citation 1

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 486 (74,384)
Citation 1

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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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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 262 (148,929)
Citation 7

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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 210 (184,866)

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33.
Downloads 463 ( 79,633)
Citation 3

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, International University of Japan, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 274 (142,286)

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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
International University of Japan, New York University - Stern School of Business, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 151 (247,249)
Citation 1

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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, International University of Japan, Societe Generale Asset Management (Japan) and Societe Generale Asset Management (Japan)
Downloads 38 (552,041)

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

34.

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 404 (93,470)
Citation 4

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

35.

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 - Lancaster University Management School
Downloads 379 (100,588)
Citation 3

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Mutual funds; performance evaluation; seasonality; benchmark index

36.

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 361 (106,253)
Citation 11

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Hedge funds, Tail Risk, Funds of Funds

37.

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 361 (106,253)

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38.

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)
Downloads 355 (108,252)
Citation 12

Abstract:

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Convertible securities, convertible arbitrage, hedge funds

39.

Upside Potential of Hedge Funds as a Predictor of Future Performance

Georgetown McDonough School of Business Research Paper No. 2661752
Number of pages: 80 Posted: 18 Sep 2015 Last Revised: 08 Nov 2018
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 344 (112,142)

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hedge funds; upside potential; return predictability

40.

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 286 (136,701)
Citation 1

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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 Rozetta Institute
Downloads 161 (234,196)
Citation 6

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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 Rozetta Institute
Downloads 90 (359,774)

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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 Rozetta Institute
Downloads 19 (679,082)
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42.

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 239 (163,682)

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43.

Continuous Disclosure in Australia and the United States: A Comparative Analysis

Number of pages: 27 Posted: 12 Jan 2018
Stephen J. Brown and Chander Shekhar
New York University - Stern School of Business and University of Melbourne
Downloads 234 (167,064)

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Continuous Disclosure, Earnings Announcements, Event Study

44.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 226 (172,766)
Citation 8

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

45.

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

Journal of Financial and Quantitative Analysis, forthcoming, NYU Stern School of Business, Georgetown McDonough School of Business Research Paper No. 3337216
Number of pages: 70 Posted: 08 Mar 2019 Last Revised: 06 Oct 2020
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 217 (180,262)

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hedge funds; timing ability; industry returns

Offshore Hedge Funds: Survival and Performance 1989-1995

Number of pages: 34 Posted: 20 Jul 2000 Last Revised: 26 Aug 2021
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 133 (273,887)

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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 82 (381,240)
Citation 23

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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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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 191 (201,739)
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

48.

What is the Role of Institutional Investors in Corporate Capital Structure Decisions? A Survey Analysis

Number of pages: 48 Posted: 01 Jul 2018
New York University - Stern School of Business, University of Manchester - Manchester Business School, Monash University and Monash University - Department of Finance
Downloads 171 (222,240)
Citation 2

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Capital Structure; Capital Supply; Institutional Investors; Agency Costs; Security Issuance; Security Design; Financial Constraints

49.
Downloads 171 (222,240)

Informationless Trading

NYU Working Paper No. FIN-03-035
Number of pages: 46 Posted: 11 Nov 2008
New York University - Stern School of Business, Rozetta Institute, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
Downloads 91 (357,243)

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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, Rozetta Institute, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of New South Wales (UNSW Sydney
Downloads 80 (386,986)

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Informationless Trading, Sharpe Ratios, Performance Evaluation

50.

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 169 (224,397)

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

51.

"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 163 (231,420)

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52.

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, Rozetta Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 145 (254,879)
Citation 1

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

53.

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 131 (275,872)

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

54.

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 120 (294,379)

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asset pricing, risk classes, industry benchmarks, basis assets

55.

Estimating Operational Risk for Hedge Funds: The Ω-Score

NYU Working Paper No. 2451/27845
Number of pages: 23 Posted: 10 Sep 2013
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 107 (319,016)
Citation 4

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56.
Downloads 80 (383,172)
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, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 46 (512,009)
Citation 7

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The Japanese Open-End Fund Puzzle

Number of pages: 45 Posted: 14 Jun 2000 Last Revised: 06 Nov 2021
New York University - Stern School of Business, Yale School of Management - International Center for Finance, International University of Japan, International University of Japan and Rikkyo University - School of Social Relations
Downloads 34 (574,406)

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57.

The Contributions of Stephen A. Ross to Financial Economics

Annual Review of Financial Economics, Vol. 13, pp. 1-14, 2021
Posted: 09 Nov 2021
New York University - Stern School of Business, Washington University in St. Louis, Yale School of Management - International Center for Finance and Yale University

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58.

Hedge Fund Involvement in Convertible Securities

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 60-73, 2013
Number of pages: 16 Posted: 23 Dec 2013
New York University - Stern School of Business, University of Melbourne, Vanderbilt University - Finance and Erasmus University Rotterdam (EUR)
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59.

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

60.

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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61.

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: 648
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 Rozetta Institute
Downloads 648

Abstract:

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Portfolio concentration, investment performance, tracking error, active funds