Recent research projects:
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
See also The Dow Theory Project
Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows
An Analysis of the Relative Performance of Japanese and Foreign Money Management
Fees on Fees in Funds of Funds
Caught by the tail: Tail risk neutrality and hedge fund returns
Going Negative: What to Do with Negative Book Equity Stocks
The Efficient Markets Hypothesis: The Demise of the Demon of Chance? was solicited for a special issue of Accounting and Finance to mark the 50th anniversary of the Accounting and Finance Association of Australia and New Zealand
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?
Investing in Stock Market Anomalies
Convertibles and Hedge Funds as Distributors of Equity Exposure
The Impact of Mandatory Hedge Fund Portfolio Disclosure
Systematic Risk and the Cross-Section of Hedge Fund Returns
Operational risk
The following papers are part of an on-going research project examining operational risk and due diligence in hedge funds/ This research was featured in a recent Opalesque TV interview:
Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration
(this research was the subject of testimony given before a Full Committee Hearing of the U.S. Congress House Financial Services Committee Hedge Funds and Systemic Risk in the Financial Markets March 13, 2007)
Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy
Estimating Operational Risk for Hedge Funds: The ω-Score This paper won the Graham and Dodd Award for the best paper published in the Financial Analysts Journal in 2009
Trust and Delegation This paper was covered in an article that appeared on the front page of the October 14 2009 issue of the Financial Times "Hedge funds misrepresent facts says research"
Is it Possible to Overdiversify? The Case of Funds of Hedge Funds. This research was reported in the New York Times, and was the subject of a television interview
You can contact me at sbrown@stern.nyu.eduere
Last Modified: 8/17/2011