Wisconsin School of Business

David Brown

Professor - Finance

David Brown is Professor in the Department of Finance, Investment and Banking at the Wisconsin School of Business.

Brown’s research focuses on financial market structures, securities regulation, investments and risk management.

He earned his Ph.D. from Stanford University.
 

Selected Published Journal Articles


Brown, D., & Jackwerth, J. (2012). The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory. Contemporary Studies in Economics and Financial Analysis: Derivative Securities Pricing and Modelling, J. A. Batten and N. Wagner (eds.)
Brown, D., Bhushan, R., & Mello, A. (1997). Do Noise Traders Create Their Own 'Space'?. Journal of Financial and Quantitative Analysis
Brown, D., & Zhang, Z. (1997). Market Orders and Market Efficiency. Journal of Finance
Brown, D. (1996). Why Do We Need Stockbrokers?. Financial Analysts Journal 52, 21-30.
Brown, D., & Back, K. (1993). Implied Probabilities in GMM Estimators. Econometrica 61 (61), 971-975.
Brown, D., & Back, K. (1992). GMM, Maximum Likelihood and Nonparametric Efficiency. Economic Letters (39), 23-28. doi: 10.1016/0165-1765(92)90095-G.
Brown, D., Jennings, R., & . (1990). On Technical Analysis. Review of Financial Studies (2), 527-551. doi: 10.1093/rfs/2.4.527.
Brown, D. (1990). Age Clienteles Induced by Liquidity Constraints. International Economic Review (31), 891-912.
Brown, D. (1988). The Implications of Nonmarketable Income for Consumption-based Models of Asset Pricing. Journal of Finance, 867-880. doi: 10.1111/j.1540-6261.1988.tb02609.x.
Brown, D. (1987). Multiperiod Financial Planning. Management Science (33), 848-875. doi: 10.1287/mnsc.33.7.848.
Brown, D., & Gibbons, M. (1985). A Simple Econometric Approach for Utility-based Asset Pricing Models. Journal of Finance (40), 359–381. doi: 10.1111/j.1540-6261.1985.tb04962.x.
Brown, D., & Huang, C. (1983). Option Pricing in Lognormal Securities Markets with Discrete Trading: A comment. Journal of Financial Economics (12), 285–286. doi: 10.1016/0304-405X(83)90040-5.

Presentations


Utah Winter Finance Conference 2012 ( 2012 ) Mutual Fund Families and Performance Evaluation

American Finance Association Meetings 2012 ( 2012 ) Mutual Fund Families and Performance Evaluation

China International Conference in Finance 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Western Finance Association Meetings 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Technology Sydney ( 2011 ) Mutual Fund Families and Performance Evaluation

Financial Intermediation Research Society Meetings 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Illinois, Chicago ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Wisconsin-Madison Department of Finance ( 2010 ) Mutual Fund Families and Performance Evaluation

Workshop - UW Madison Department of Statistics ( 2010 ) Mutual fund families and performance evaluation

Workshop, University of Illinois, Urbana-Champaign ( 2010 ) Mutual Fund Families and Performance Evaluation

( 2009 ) The systematic and non-systematic variation in the systematic risk of stock market returns

( 2009 ) The systematic and non-systematic variation in the systematic risk of stock market returns

( 2009 ) The systematic and non-systematic variation in the systematic risk of stock market returns

( 2005 ) Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk

( 2004 ) Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk

( 2000 ) Stock Market Eras

( 2000 ) stock Market Eras

Stock Market Eras ( 1999 )
( 1998 ) The Returns on Gold and Gold-Mine Shares


Undergraduate Courses


Intermediate Investment Theory
Course DescriptionAn applied course covering topics of interest to professional investment managers. Covers advanced valuation models, characteristics of domestic and foreign markets, pricing anamolies, hedging strategies, asset allocation and market timing.
(FIN 520), Spring 2004.

Investment Theory
Course DescriptionPrinciples, issues and methods relating to the management of investment portfolios; investment needs of small and institutional investors; investment risks associated with financial market conditions and business cycle flucuations.
(FIN 320 Section 3), Fall 2008.

Investment Theory
Course DescriptionPrinciples, issues and methods relating to the management of investment portfolios; investment needs of small and institutional investors; investment risks associated with financial market conditions and business cycle flucuations.
(FIN 320 Section 4), Spring 2010.

Investment Theory
Course DescriptionPrinciples, issues and methods relating to the management of investment portfolios; investment needs of small and institutional investors; investment risks associated with financial market conditions and business cycle flucuations.
(FIN 320 Section 3), Fall 2010.

Investment Theory and Practice (FIN/ECO 320 Section 1), Fall 2012. Download Syllabus

Investment Theory and Practice (FIN/ECO 320 Section 2), Fall 2012. Download Syllabus

Investment Theory and Practice (FIN/ECO 320 Section 3), Fall 2012. Download Syllabus



Graduate Courses


Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920 Section 1), Fall 2008.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2002.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2003.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2004.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2005.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2001.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920), Spring 2006.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920 Section 1), Spring 2010.

Theory of Finance
Course DescriptionIntensive review of modern theories of corporate finance and investments.
(FIN 920 Section 1), Spring 2007.

Intermediate Investment Theory
Course DescriptionAn applied course covering topics of interest to professional investment managers. Covers advanced valuation models, characteristics of domestic and foreign markets, pricing anomalies, hedging strategies, asset allocation and market timing.
(FIN 820), Spring 2004.

Intermediate Investment Theory
Course DescriptionAn applied course covering topics of interest to professional investment managers. Covers advanced valuation models, characteristics of domestic and foreign markets, pricing anomalies, hedging strategies, asset allocation and market timing.
(FIN 820), Spring 2005.

Intermediate Investment Theory
Course DescriptionAn applied course covering topics of interest to professional investment managers. Covers advanced valuation models, characteristics of domestic and foreign markets, pricing anomalies, hedging strategies, asset allocation and market timing.
(FIN 820), Fall 2005.

Intermediate Investment Theory
Course DescriptionAn applied course covering topics of interest to professional investment managers. Covers advanced valuation models, characteristics of domestic and foreign markets, pricing anomalies, hedging strategies, asset allocation and market timing.
(FIN 820), Fall 2006.

Readings and Research in Finance
Course DescriptionIndividual work suited to the needs of graduate students may be arranged both during regular sessions and the intersession periods.
(FIN 799), Spring 2009.

Readings and Research in Finance
Course DescriptionIndividual work suited to the needs of graduate students may be arranged both during regular sessions and the intersession periods.
(FIN 799), Fall 2009.

Readings and Research in Finance
Course DescriptionI directed the students Yu Guan and Sen Li in the Quantitative Masters of Finance program in completing their independent study projects.
(FIN 799 Section 1), Summer 2010.

Readings and Research in Finance
Course DescriptionI directed Sen Li as a student in the Quantitative Masters in Finance program in the completion of her independent study project.
(FIN 799 Section 1), Fall 2010.

Contemporary Topics (FIN 765 Section 30), Fall 2008.

Investment Theory and Practice
Course DescriptionDevelopment of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.
(FIN 720), Spring 2002.

Investment Theory and Practice
Course DescriptionDevelopment of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.
(FIN 720), Spring 2001.

Investment Theory&Practice
Course DescriptionDevelopment of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.
(FIN 720 Section 1), Spring 2010.

Investment Theory&Practice
Course DescriptionDevelopment of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.
(FIN 720 Section 1), Fall 2010.

Investment Theory and Practice
Course DescriptionDevelopment of the theory, instruments, techniques and practice of modern investment management. Topics include asset pricing and valuation under certainty and uncertainty, portfolio management, determination of interest rates, immunization strategies and derivative securities.
(FIN 720 Section 30), Spring 2007.

Advanced Statistical Methods I
Course DescriptionTopics in regression; analysis of variance; multiple regression and correlation; univariate auto-regressive and moving average time series models. Credit not given for both OIM 700 and OIM 701.
(BUS 706), Fall 2004.



Combined Undergraduate & Graduate Courses


Investments
Course DescriptionPrinciples, issues and methods relating to the management of investment portfolios; investment needs of small and institutional investors; investment risks associated with financial market conditions and business cycle flucuations.
(FIN/ECO 320/320), Fall 2005.



Professional Organizations


Financial Intermediation Research Society


Editorial and Reviewing Activities


Review of Financial Studies - March 2013 - March 2013
Ad Hoc Reviewer


Photograph of David Brown

David Brown

 
Professor | Finance
(608) 265-5281
4291 Grainger Hall