The persistence of a Brownian particle in a shear flow is investigated. The persistence probability P(t), which is the probability that the particle does not return to its initial position up to time t, is known to obey a power law P(t) proportional to t(-theta) Since the displacement of a particle along the flow direction due to convection is much larger than that due to Brownian motion, we define an alternative displacement in which the convection effect is removed. We derive theoretically the two-time correlation function and the persistence exponent. of this displacement. The exponent has different values at short and long times. The theoretical results are compared with experiment and a good agreement is found.