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Stephen J. Brown

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Personal Details

First Name: Stephen
Middle Name: J.
Last Name: Brown
Suffix:

RePEc Short-ID: pbr268

Email:
Homepage: http://pages.stern.nyu.edu/~sbrown/
Postal Address:
Phone:

Affiliation

Stern School of Business
New York University (NYU)
Location: New York City, New York (United States)
Homepage: http://www.stern.nyu.edu/
Email:
Phone: (212) 998-0100
Fax:
Postal: 44 West Fourth Street, New York, NY 10012
Handle: RePEc:edi:sternus (more details at EDIRC)

Works

as in new window

Working papers

  1. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2009. "Trust and Delegation," NBER Working Papers 15529, National Bureau of Economic Research, Inc.
  2. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Estimating Operational Risk for Hedge Funds: The ?-Score," Yale School of Management Working Papers amz2559, Yale School of Management, revised 11 Sep 2009.
  3. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
  4. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
  5. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 2004. "Positive Portfolio Factors," Yale School of Management Working Papers ysm27, Yale School of Management.
  6. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004. "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers ysm30, Yale School of Management.
  7. Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc.
  8. William N. Goetzmann & Stephen J. Brown & Takato Hiraki & Noriyoshi Shiraishi, 2002. "An Analysis of the Relative Performance of Japanese and Foreign Money Management," Yale School of Management Working Papers ysm306, Yale School of Management.
  9. Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
  10. Stephen J. Brown & William N. Goetzmann, 2001. "Hedge Funds With Style," NBER Working Papers 8173, National Bureau of Economic Research, Inc.
  11. Stephen Brown & William Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Open-End Japanese Mutual Fund Puzzle," Yale School of Management Working Papers ysm89, Yale School of Management, revised 01 Apr 2008.
  12. Stephen J. Brown & William N. Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," NBER Working Papers 6427, National Bureau of Economic Research, Inc.
  13. Stephen Brown & William Goetzmann & James Park, 1998. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm83, Yale School of Management, revised 01 Apr 2008.
  14. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Toshiyuki Otsuki & Noriyoshi Shiraishi, 1998. "The Japanese Open-End Fund Puzzle," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-012, New York University, Leonard N. Stern School of Business-.
  15. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1998. "Offshore Hedge Funds: Survival & Performance 1989-1995," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-011, New York University, Leonard N. Stern School of Business-.
  16. William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
  17. Stephen J. Brown & Stephen A. Ross, 1997. "Post-Announcement Drift," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-19, New York University, Leonard N. Stern School of Business-.
  18. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson, 1997. "Offshore Hedge Funds: Survival and Performance 1989-1995," NBER Working Papers 5909, National Bureau of Economic Research, Inc.

Articles

  1. Stephen J. Brown & Bruce D. Grundy & Craig M. Lewis & Patrick Verwijmeren, 2012. "Convertibles and Hedge Funds as Distributors of Equity Exposure," Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3077-3112.
  2. Stephen J. Brown, 2012. "Quantitative measures of operational risk: an application to funds management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(4), pages 1001-1011, December.
  3. Brown, Stephen & Goetzmann, William & Liang, Bing & Schwarz, Christopher, 2012. "Trust and delegation," Journal of Financial Economics, Elsevier, vol. 103(2), pages 221-234.
  4. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, vol. 106(1), pages 114-131.
  5. Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012. "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3071-3079.
  6. Stephen J. Brown, 2011. "The efficient markets hypothesis: The demise of the demon of chance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 79-95, 03.
  7. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
  8. Brown, Stephen J. & Hiraki, Takato & Arakawa, Kiyoshi & Ohno, Saburo, 2009. "Risk premia in international equity markets revisited," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 295-318, June.
  9. Brown, Stephen J., 2008. "Elusive return predictability: Discussion," International Journal of Forecasting, Elsevier, vol. 24(1), pages 19-21.
  10. Brown, Stephen & Ghon Rhee, S. & Zhang, Liang, 2008. "The return to value in Asian stock markets," Emerging Markets Review, Elsevier, vol. 9(3), pages 194-205, September.
  11. Brown, Stephen & Yan Du, Daphne & Rhee, S. Ghon & Zhang, Liang, 2008. "The returns to value and momentum in Asian Markets," Emerging Markets Review, Elsevier, vol. 9(2), pages 79-88, June.
  12. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
  13. Simone Brands & Stephen J. Brown & David R. Gallagher, 2005. "Portfolio Concentration and Investment Manager Performance-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(3-4), pages 149-174.
  14. Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003. "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 393-412, September.
  15. Brown, Stephen J. & Steenbeek, Onno W., 2001. "Doubling: Nick Leeson's trading strategy," Pacific-Basin Finance Journal, Elsevier, vol. 9(2), pages 83-99, April.
  16. Brown, Stephen J, et al, 2001. "The Japanese Open-End Fund Puzzle," The Journal of Business, University of Chicago Press, vol. 74(1), pages 59-77, January.
  17. Stephen J. Brown, 2001. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry," Journal of Finance, American Finance Association, vol. 56(5), pages 1869-1886, October.
  18. Brown, Stephen J., 2001. "Hedge funds: Omniscient or just plain wrong," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 301-311, August.
  19. Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.
  20. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Reconsidered," Journal of Finance, American Finance Association, vol. 53(4), pages 1311-1333, 08.
  21. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
  22. Stephen J. Brown & William N. Goetzmann & Roger G. Ibbotson & Stephen A. Ross, 1997. "Rejoinder: The J-Shape Of Performance Persistence Given Survivorship Bias," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 167-170, May.
  23. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. " Survival," Journal of Finance, American Finance Association, vol. 50(3), pages 853-73, July.
  24. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-98, June.
  25. Brown, Stephen J. & Otsuki, Toshiyuki, 1993. "Risk premia in Pacific-Basin capital markets," Pacific-Basin Finance Journal, Elsevier, vol. 1(3), pages 235-261, September.
  26. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
  27. Brown, Stephen J, 1989. " The Number of Factors in Security Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1247-62, December.
  28. Brown, Stephen J, 1988. "Stable Factors in Security Returns: Identification Using Cross-Validation: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 1-23, January.
  29. Brown, Stephen J, 1988. " Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory: Discussion," Journal of Finance, American Finance Association, vol. 43(3), pages 734-35, July.
  30. Brown, Stephen J & Dybvig, Philip H, 1986. " The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(3), pages 617-30, July.
  31. Barry, Christopher B. & Brown, Stephen J., 1985. "Differential Information and Security Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 407-422, December.
  32. Brown, Stephen J. & Weinstein, Mark I., 1985. "Derived factors in event studies," Journal of Financial Economics, Elsevier, vol. 14(3), pages 491-495, September.
  33. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  34. Klein, Roger W & Brown, Stephen J, 1984. "Model Selection When There Is "Minimal" Prior Information," Econometrica, Econometric Society, vol. 52(5), pages 1291-1312, September.
  35. Brown, Stephen J & Barry, Christopher B, 1984. " Anomalies in Security Returns and the Specification of the Market Model," Journal of Finance, American Finance Association, vol. 39(3), pages 807-15, July.
  36. Brown, Stephen J, 1984. " Benefits of Bank Diversification: The Evidence from Shareholder Returns: Discussion," Journal of Finance, American Finance Association, vol. 39(3), pages 893-94, July.
  37. Barry, Christopher B. & Brown, Stephen J., 1984. "Differential information and the small firm effect," Journal of Financial Economics, Elsevier, vol. 13(2), pages 283-294, June.
  38. Chen, Son-Nan & Brown, Stephen J, 1983. " Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 38(4), pages 1087-93, September.
  39. Brown, Stephen J & Weinstein, Mark I, 1983. " A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm," Journal of Finance, American Finance Association, vol. 38(3), pages 711-43, June.
  40. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  41. Brown, S., 1979. "The Effect of Estimation Risk on Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 215-220, June.
  42. Brown, Stephen J, 1977. "Heteroscedasticity in the Market Model: A Comment," The Journal of Business, University of Chicago Press, vol. 50(1), pages 80-83, January.

Books

  1. Brown,Stephen J. & Sibley,David Sumner, 1986. "The Theory of Public Utility Pricing," Cambridge Books, Cambridge University Press, number 9780521314008, October.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-04-16
  2. NEP-CFN: Corporate Finance (3) 2003-02-03 2003-02-03 2004-03-22. Author is listed
  3. NEP-DEV: Development (6) 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2004-03-22. Author is listed
  4. NEP-FIN: Finance (6) 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2004-08-31 2005-04-16. Author is listed
  5. NEP-FMK: Financial Markets (4) 2003-02-03 2004-03-22 2004-03-22 2004-03-22. Author is listed
  6. NEP-RMG: Risk Management (8) 2003-02-03 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2004-03-22 2005-04-16. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  28. Breadth of citations across fields
  29. Wu-Index

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