1978 …2020

Research output per year

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Article
2020

Credit cards: transactional convenience or debt-trap?

Brown, S., Veld, C. & Veld-Merkoulova, Y., 2020, In : International Review of Finance. 20, 2, p. 295-322 28 p.

Research output: Contribution to journalArticleResearchpeer-review

The efficient market hypothesis, the Financial Analysts Journal, and the professional status of investment management

Brown, S. J., 2020, In : Financial Analysts Journal. 76, 2, p. 5-14 10 p.

Research output: Contribution to journalArticleOtherpeer-review

Open Access
2019

Upside potential of hedge funds as a predictor of future performance

Bali, T. G., Brown, S. J. & Caglayan, M. O., Jan 2019, In : Journal of Banking and Finance. 98, p. 212-229 18 p.

Research output: Contribution to journalArticleResearchpeer-review

What is the role of institutional investors in corporate capital structure decisions? A survey analysis

Brown, S., Dutordoir, M., Veld, C. & Veld-Merkoulova, Y., Oct 2019, In : Journal of Corporate Finance. 58, p. 270-286 17 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)
2018

Sensation seeking and hedge funds

Brown, S., Lu, Y., Ray, S. & Teo, M., Dec 2018, In : Journal of Finance. 73, 6, p. 2871-2914 44 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Stephen Ross's contribution to ex post conditioning and survival bias in empirical research

Brown, S. J. & Goetzmann, W. N., 30 Jun 2018, In : Journal of Portfolio Management. 44, 6, p. 42-46 5 p.

Research output: Contribution to journalArticleOtherpeer-review

2 Citations (Scopus)
2017

A lottery-demand-based explanation of the beta anomaly

Bali, T., Brown, S. J., Murray, S. & Tang, Y., 1 Dec 2017, In : Journal of Financial and Quantitative Analysis. 52, 6, p. 2369-2397 29 p.

Research output: Contribution to journalArticleResearchpeer-review

28 Citations (Scopus)

Is economic uncertainty priced in the cross-section of stock returns?

Bali, T. G., Brown, S. J. & Tang, Y., 1 Dec 2017, In : Journal of Financial Economics. 126, 3, p. 471-489 19 p.

Research output: Contribution to journalArticleResearchpeer-review

28 Citations (Scopus)

Starting on the wrong foot: Seasonality in mutual fund performance

Brown, S. J., Sotes-Paladino, J., Wang, JG. & Yao, Y., 1 Sep 2017, In : Journal of Banking and Finance. 82, p. 133-150 18 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)
2014

Macroeconomic risk and hedge fund returns

Bali, T. G., Brown, S. J. & Caglayan, M. O., Oct 2014, In : Journal of Financial Economics. 114, 1, p. 1-19 19 p.

Research output: Contribution to journalArticleResearchpeer-review

61 Citations (Scopus)
2013

Do hedge funds outperform stocks and bonds?

Bali, T. G., Brown, S. J. & Demirtas, O., 2013, In : Management Science. 59, 8, p. 1887 - 1903 17 p.

Research output: Contribution to journalArticleResearchpeer-review

25 Citations (Scopus)
2012

Diversification in funds of hedge funds: is it possible to overdiversify?

Brown, S. J., Gregoriou, G. N. & Pascalau, R., Jun 2012, In : Review of Asset Pricing Studies. 2, 1, p. 89-110 22 p.

Research output: Contribution to journalArticleResearchpeer-review

47 Citations (Scopus)

Estimating the cost of capital with basis assets

Brown, S., Lajbcygier, P. R. & Wong, W. W., 2012, In : Journal of Banking and Finance. 36, 11, p. 3071 - 3079 9 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Quantitative measures of operational risk: An application to funds management

Brown, S. J., 2012, In : Accounting and Finance. 52, 4, p. 1001 - 1011 11 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Systematic risk and the cross section of hedge fund returns

Bali, T. G., Brown, S. J. & Caglayan, M. O., 2012, In : Journal of Financial Economics. 106, 1, p. 114 - 131 18 p.

Research output: Contribution to journalArticleResearchpeer-review

45 Citations (Scopus)

Trust and delegation

Brown, S. J., Goetzmann, W. N. & Schwarz, C., 2012, In : Journal of Financial Economics. 103, 2, p. 221 - 234 14 p.

Research output: Contribution to journalArticleResearchpeer-review

50 Citations (Scopus)
2011

Do hedge funds' exposures to risk factors predict their future returns?

Bali, T. G., Brown, S. J. & Caglayan, M. O., 2011, In : Journal of Financial Economics. 101, 1, p. 36 - 68 33 p.

Research output: Contribution to journalArticleResearchpeer-review

55 Citations (Scopus)

The efficient markets hypothesis: The demise of the demon of chance?

Brown, S. J., 2011, In : Accounting and Finance. 51, 1, p. 79 - 95 17 p.

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)
2009

Estimating operational risk for hedge funds: The ω-score

Brown, S., Goetzmann, W. N., Liang, B. & Schwarz, C., Jan 2009, In : Financial Analysts Journal. 65, 1, p. 43-53 11 p.

Research output: Contribution to journalArticleResearchpeer-review

41 Citations (Scopus)

Estimating operational risk for hedge funds: The w-score

Brown, S. J., Goetzmann, W. N., Liang, B. & Schwarz, C., 2009, In : Financial Analysts Journal. 65, 1, p. 43 - 53 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Hedge funds in the aftermath of the financial crisis: Chapter 6: Executive summary

Brown, S., Kacperczyk, M., Ljungqvist, A., Lynch, A., Pedersen, L. H. & Richardson, M., May 2009, In : Financial Markets, Institutions and Instruments. 18, 2, p. 155-156 2 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Risk premia in international equity markets revisited

Brown, S. J., Hiraki, T., Arakawa, K. & Ohno, S., 2009, In : Pacific Basin Finance Journal. 17, 3, p. 295 - 318 24 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)
2008

Elusive return predictability: Discussion

Brown, S. J., 1 Jan 2008, In : International Journal of Forecasting. 24, 1, p. 19-21 3 p.

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Going negative: What to do with negative book equity stocks

Brown, S., Lajbcygier, P. R. & Li, B., 2008, In : Journal of Portfolio Management. 35, 1, p. 95 - 102 8 p.

Research output: Contribution to journalArticleResearchpeer-review

18 Citations (Scopus)

Mandatory disclosure and operational risk: Evidence from hedge fund registration

Brown, S. J., Goetzmann, W. N., Liang, B. & Schwarz, C., 2008, In : Journal of Finance. 63, 6, p. 2785 - 2815 31 p.

Research output: Contribution to journalArticleResearchpeer-review

79 Citations (Scopus)

The returns to value and momentum in Asian markets

Brown, S. J., Du, D. Y., Rhee, S. & Zhang, L., 2008, In : Emerging Markets Review. 9, 2, p. 79 - 88 10 p.

Research output: Contribution to journalArticleResearchpeer-review

30 Citations (Scopus)

The return to value in Asian stock markets

Brown, S. J., Rhee, S. & Zhang, L., 2008, In : Emerging Markets Review. 9, 3, p. 194 - 205 12 p.

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)
2003

An analysis of the relative performance of Japanese and foreign money management

Brown, S. J., Goetzmann, W. N., Hiraki, T. & Shiraishi, N., Sep 2003, In : Pacific Basin Finance Journal. 11, 4, p. 393-412 20 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Hedge funds with style

Brown, S. J. & Goetzmann, W. N., Dec 2003, In : Journal of Portfolio Management. 29, 2, p. 101 - 112 +6

Research output: Contribution to journalArticleResearchpeer-review

92 Citations (Scopus)
2001

Careers and survival: Competition and risk in the hedge fund and CTA industry

Brown, S. J., Goetzmann, W. N. & Park, J., Oct 2001, In : Journal of Finance. 56, 5, p. 1869-1886

Research output: Contribution to journalArticleResearchpeer-review

180 Citations (Scopus)

Doubling: Nick Leeson's trading strategy

Brown, S. J. & Steenbeek, O. W., Apr 2001, In : Pacific Basin Finance Journal. 9, 2, p. 83-99 17 p.

Research output: Contribution to journalArticleResearchpeer-review

16 Citations (Scopus)

Hedge funds: Omniscient or just plain wrong

Brown, S. J., Aug 2001, In : Pacific Basin Finance Journal. 9, 4, p. 301-311

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

The Japanese open-end fund puzzle

Brown, S. J., Goetzmann, W. N., Hiraki, T. & Shiraishi, N., Jan 2001, In : Journal of Business. 74, 1, p. 59-77

Research output: Contribution to journalArticleResearchpeer-review

20 Citations (Scopus)
2000

Hedge Funds and the Asian Currency Crisis of 1997

Brown, S. J., Goetzmann, W. N. & Park, J., Jun 2000, In : Journal of Portfolio Management. 26, 4, p. 95-101

Research output: Contribution to journalArticleResearchpeer-review

37 Citations (Scopus)
1999

Offshore hedge funds: Survival and performance, 1989-95

Brown, S. J., Goetzmann, W. N. & Ibbotson, R. G., Jan 1999, In : Journal of Business. 72, 1, p. 91-117

Research output: Contribution to journalArticleResearchpeer-review

298 Citations (Scopus)
1998

The Dow Theory: William Peter Hamilton's track record reconsidered

Brown, S. J., Goetzmann, W. N. & Alok, A. K., 1 Jan 1998, In : Journal of Finance. 53, 4, p. 1311-1333 23 p.

Research output: Contribution to journalArticleResearchpeer-review

62 Citations (Scopus)
1997

Mutual fund styles

Brown, S. J. & Goetzmann, W. N., Mar 1997, In : Journal of Financial Economics. 43, 3, p. 373-399

Research output: Contribution to journalArticleResearchpeer-review

159 Citations (Scopus)

Rejoinder: The J-shape of performance persistence given survivorship bias

Brown, S. J., Goetzmann, W. N., Ibbotson, R. G. & Ross, S. A., 1 Jan 1997, In : Review of Economics and Statistics. 79, 2, p. 167-170 4 p.

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)
1995

Performance Persistence

Brown, S. J. & Goetzmann, W. N., 1 Jan 1995, In : Journal of Finance. 50, 2, p. 679-698 20 p.

Research output: Contribution to journalArticleResearchpeer-review

466 Citations (Scopus)

Survival

Brown, S. J., Goetzmann, W. N. & Ross, S. A., 1 Jan 1995, In : The Journal of Finance. 50, 3, p. 853-873 21 p.

Research output: Contribution to journalArticleResearchpeer-review

218 Citations (Scopus)
1993

Risk premia in Pacific-Basin capital markets

Brown, S. J. & Otsuki, T., 1 Jan 1993, In : Pacific Basin Finance Journal. 1, 3, p. 235-261 27 p.

Research output: Contribution to journalArticleResearchpeer-review

27 Citations (Scopus)
1989

The Number of Factors in Security Returns

Brown, S. J., 1 Jan 1989, In : The Journal of Finance. 44, 5, p. 1247-1262 16 p.

Research output: Contribution to journalArticleResearchpeer-review

74 Citations (Scopus)
1986

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

Brown, S. J. & Dybvig, P. H., 1 Jan 1986, In : The Journal of Finance. 41, 3, p. 617-630 14 p.

Research output: Contribution to journalArticleResearchpeer-review

157 Citations (Scopus)
1985

Derived factors in event studies

Brown, S. J. & Weinstein, M. I., 1 Jan 1985, In : Journal of Financial Economics. 14, 3, p. 491-495 5 p.

Research output: Contribution to journalArticleResearchpeer-review

34 Citations (Scopus)

Differential Information and Security Market Equilibrium

Barry, C. B. & Brown, S. J., 1 Jan 1985, In : Journal of Financial and Quantitative Analysis. 20, 4, p. 407-422 16 p.

Research output: Contribution to journalArticleResearchpeer-review

352 Citations (Scopus)

Using daily stock returns. The case of event studies

Brown, S. J. & Warner, J. B., 1 Jan 1985, In : Journal of Financial Economics. 14, 1, p. 3-31 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2965 Citations (Scopus)
1984

Differential information and the small firm effect

Barry, C. B. & Brown, S. J., 1 Jan 1984, In : Journal of Financial Economics. 13, 2, p. 283-294 12 p.

Research output: Contribution to journalArticleResearchpeer-review

225 Citations (Scopus)
1983

A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm

Brown, S. J. & Weinstein, M. I., 1 Jan 1983, In : The Journal of Finance. 38, 3, p. 711-743 33 p.

Research output: Contribution to journalArticleResearchpeer-review

94 Citations (Scopus)

Estimation Risk and Simple Rules for Optimal Portfolio Selection

Chen, SN. & Brown, S. J., 1 Jan 1983, In : The Journal of Finance. 38, 4, p. 1087-1093 7 p.

Research output: Contribution to journalArticleResearchpeer-review

20 Citations (Scopus)
1980

Measuring security price performance

Brown, S. J. & Warner, J. B., 1 Jan 1980, In : Topics in Catalysis. 8, 3, p. 205-258 54 p.

Research output: Contribution to journalArticleResearchpeer-review

1389 Citations (Scopus)