Ken sez:

Subject: Big brake kits

Interesting item from a car show on the Speed channel: they
actually lost a few horsepower (on the dyno) by adding
bigger brakes. The added rotational mass was the culprit.
How ironic, you add something to help slow you down and it
doesn't let you go as fast.

Once up to speed rotationally, the masses act like a flywheel.  Not much
power required to keep em turning.  I doubt the Speedchannel Windtunnel
doodahs took this under consideration.

The HP on a dyno is measured at specific RPM points.  The implication is
that you would gain horsepower if you reduced the load on the engine (toss
out that heavy old flywheel)

However this may just be a SWAG as I didn't see the show.