37
H index
46
i10 index
6178
Citations
University of California-Los Angeles (UCLA) | 37 H index 46 i10 index 6178 Citations RESEARCH PRODUCTION: 56 Articles 18 Papers 1 Books 1 Chapters RESEARCH ACTIVITY: 42 years (1971 - 2013). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbr614 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Brennan. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Finance | 19 |
Journal of Financial and Quantitative Analysis | 11 |
Journal of Financial Economics | 10 |
The Journal of Business | 6 |
Review of Financial Studies | 3 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA | 15 |
Year | Title of citing document | |
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2023 | Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038. Full description at Econpapers || Download paper | |
2023 | Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012. Full description at Econpapers || Download paper | |
2023 | Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835. Full description at Econpapers || Download paper | |
2023 | Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift. (2023). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847. Full description at Econpapers || Download paper | |
2023 | The Combinational Mutation Strategy of Differential Evolution Algorithm for Pricing Vanilla Options and Its Implementation on Data during Covid-19 Pandemic. (2023). Sumarti, Novriana ; Sidarto, Kuntjoro Adji ; Febrianti, Werry. In: Papers. RePEc:arx:papers:2301.09261. Full description at Econpapers || Download paper | |
2023 | Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method. (2023). Wei, Dongming ; Amanbek, Yerlan ; Erlangga, Yogi ; Kazbek, Rakhymzhan. In: Papers. RePEc:arx:papers:2301.10734. Full description at Econpapers || Download paper | |
2023 | Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439. Full description at Econpapers || Download paper | |
2023 | Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014. Full description at Econpapers || Download paper | |
2023 | Equilibrium with Heterogeneous Information Flows. (2023). Robertson, Scott. In: Papers. RePEc:arx:papers:2304.01272. Full description at Econpapers || Download paper | |
2023 | Optimal control problems for stochastic processes with absorbing regime. (2023). Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2305.01490. Full description at Econpapers || Download paper | |
2023 | Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539. Full description at Econpapers || Download paper | |
2023 | Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807. Full description at Econpapers || Download paper | |
2023 | A cohort-based Partial Internal Model for demographic risk. (2023). Savelli, Nino ; Clemente, Gian Paolo ; della Corte, Francesco. In: Papers. RePEc:arx:papers:2307.03090. Full description at Econpapers || Download paper | |
2023 | Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results. (2023). Wunderlich, Ralf ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2308.02049. Full description at Econpapers || Download paper | |
2023 | Thieles PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. (2023). Font, Oriol Zamora ; Ortiz-Latorre, Salvador ; Banos, David R. In: Papers. RePEc:arx:papers:2309.03541. Full description at Econpapers || Download paper | |
2023 | Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512. Full description at Econpapers || Download paper | |
2023 | On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets. (2023). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2309.08287. Full description at Econpapers || Download paper | |
2023 | Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008. Full description at Econpapers || Download paper | |
2023 | American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500. Full description at Econpapers || Download paper | |
2023 | Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23. Full description at Econpapers || Download paper | |
2023 | Multiple Large Shareholders and Financial Reporting Quality: Evidence from China. (2023). Chen, Zhanliao ; Han, Yadong ; Yuan, Rongli. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:197-229. Full description at Econpapers || Download paper | |
2023 | How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320. Full description at Econpapers || Download paper | |
2023 | Corporate green innovation and stock liquidity in China. (2023). Jiang, Kangqi ; Xiao, YU ; Chen, Zhongfei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1381-1415. Full description at Econpapers || Download paper | |
2023 | Relative Valuation with Machine Learning. (2023). Lu, Helen ; Geertsema, Paul. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:1:p:329-376. Full description at Econpapers || Download paper | |
2023 | TEST OF ARBITRAGE PRICING THEORY ON STOCK INDICES: AN EMPIRICAL STUDY ON BIST100. (2023). Amadou, Cisse Boubacar ; Veli, Akel. In: Revista Economica. RePEc:blg:reveco:v:75:y:2023:i:1:p:7-18. Full description at Econpapers || Download paper | |
2023 | The asymmetric impact of economic policy uncertainty on global retail energy markets: Are the markets responding to the fear of the unknown?. (2023). Orji, Anthony ; Ojonta, Obed I ; Mba, Ifeoma C ; Ukwueze, Ezebuilo R ; Ogbuabor, Jonathan E. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000351. Full description at Econpapers || Download paper | |
2023 | Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651. Full description at Econpapers || Download paper | |
2023 | Covenants in convertible bonds: Boon or boilerplate?. (2023). Zeng, Cheng ; Xu, Alice Liang ; Pappas, Kostas ; Dutordoir, Marie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300041x. Full description at Econpapers || Download paper | |
2023 | The world cup in football and the US IPO market. (2023). Shekhar, Chander ; Lv, Jin Roc ; Fjesme, Sturla Lyngnes. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000597. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074. Full description at Econpapers || Download paper | |
2023 | The macroeconomic effects of business tax cuts with debt financing and accelerated depreciation. (2023). Occhino, Filippo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001207. Full description at Econpapers || Download paper | |
2023 | Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x. Full description at Econpapers || Download paper | |
2023 | Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792. Full description at Econpapers || Download paper | |
2023 | Margin trading and spillover effects: Evidence from the Chinese stock markets. (2023). Ye, Qing ; Zhou, Shengjie. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000109. Full description at Econpapers || Download paper | |
2023 | Stock liquidity and investment efficiency: Evidence from the split-share structure reform in China. (2023). Im, Hyun Joong ; Selvam, Srinivasan ; Yan, William Ming. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000511. Full description at Econpapers || Download paper | |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper | |
2023 | The contributions of betas versus characteristics to the ESG premium. (2023). Dam, Lammertjan ; Dalo, Ambrogio ; Ciciretti, Rocco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:104-124. Full description at Econpapers || Download paper | |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper | |
2023 | Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22. Full description at Econpapers || Download paper | |
2023 | US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320. Full description at Econpapers || Download paper | |
2023 | A dynamic analysis of the neglected firm effect. (2023). Zheng, Min ; Andrikopoulos, Athanasios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003799. Full description at Econpapers || Download paper | |
2023 | Disproportional control rights and debt maturity. (2023). Jin, Jiaxu ; Jiang, Wei ; Gao, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003842. Full description at Econpapers || Download paper | |
2023 | From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933. Full description at Econpapers || Download paper | |
2023 | Dividend change announcements, ROE, and the cost of equity capital. (2023). Sheng, Hainan ; Dempsey, Stephen J. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000224. Full description at Econpapers || Download paper | |
2023 | Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492. Full description at Econpapers || Download paper | |
2023 | Do shareholders really matter for firm performance? Evidence from the ownership characteristics of Italian listed companies. (2023). Negri, Giulia ; Gigante, Gimede ; Chiarella, Carlo ; Gatti, Stefano ; Caselli, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000601. Full description at Econpapers || Download paper | |
2023 | Investor propensity to speculate and price delay in emerging markets. (2023). Peng, Shu-Cing ; Hsin, Chin-Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300073x. Full description at Econpapers || Download paper | |
2023 | Nonlinear market liquidity: An empirical examination. (2023). Uribe, Jorge ; Chuliá, Helena ; Mosquera-Lopez, Stephania ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000480. Full description at Econpapers || Download paper | |
2023 | Opportunism, overconfidence and irrationality: A puzzling triad. (2023). Eshraghi, Arman ; Holmes, Phil ; Amini, Shima ; Altanlar, Ali. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s105752192300159x. Full description at Econpapers || Download paper | |
2023 | Price limit performance: New evidence from a quasi-natural experiment in Chinas ChiNext market. (2023). Tang, Siyuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002636. Full description at Econpapers || Download paper | |
2023 | Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x. Full description at Econpapers || Download paper | |
2023 | The bright side of analyst coverage on corporate innovation: Evidence from China. (2023). Wang, Yiru ; Zhang, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003071. Full description at Econpapers || Download paper | |
2023 | Payout policy around the world. (2023). Tigero, Tamara ; Rubio, German ; Braun, Matias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003174. Full description at Econpapers || Download paper | |
2023 | Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320. Full description at Econpapers || Download paper | |
2023 | Rational distorted beliefs investor; which risk matters?. (2023). Moutanabbir, Khouzeima ; Bouaddi, Mohammed. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006080. Full description at Econpapers || Download paper | |
2023 | Financial market opening and corporate tax avoidance: Evidence from staggered quasi-natural experiments. (2023). Ni, Xiaoran ; Li, Xiao ; Huang, Jianqiao ; Chen, Yunsen. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001435. Full description at Econpapers || Download paper | |
2023 | Does mandatory quarterly reporting induce managerial myopic behavior? Evidence from Japan. (2023). Yamaguchi, Tomoyasu ; Koga, Yuya. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005147. Full description at Econpapers || Download paper | |
2023 | Deferring real options with solar renewable energy certificates. (2023). Byrne, Julie ; Assereto, Martina ; Zhang, Hanyu. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000977. Full description at Econpapers || Download paper | |
2023 | Internationalization of business angel investments: The role of investor experience. (2023). Ughetto, Elisa ; Schwienbacher, Armin ; Croce, Annalisa. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:1:s0969593122000610. Full description at Econpapers || Download paper | |
2023 | Geopolitical risk and the dynamics of international capital flows. (2023). Xu, Yang ; Vigne, Samuel ; Han, Liyan ; Feng, Chaonan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001652. Full description at Econpapers || Download paper | |
2023 | Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069. Full description at Econpapers || Download paper | |
2023 | Two faces of the size effect. (2023). Guo, Laite. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002886. Full description at Econpapers || Download paper | |
2023 | Behavioral bias, distorted stock prices, and stock splits. (2023). Shang, Longfei ; Lin, Tse-Chun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001449. Full description at Econpapers || Download paper | |
2023 | International capital markets with interdependent preferences: Theory and empirical evidence. (2023). Curatola, Giuliano ; Dergunov, Ilya. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:403-421. Full description at Econpapers || Download paper | |
2023 | U.K. economic policy uncertainty and innovation activities: A firm-level analysis. (2023). Trinh, Vu Quang ; Nguyen, Minh Hong. In: Journal of Economics and Business. RePEc:eee:jebusi:v:123:y:2023:i:c:s0148619522000492. Full description at Econpapers || Download paper | |
2023 | Under-pricing of South and East Asian IPOs: An investigation of the relevance of governance quality in closely controlled companies. (2023). Murray, Louis ; Alles, Lakshman. In: Journal of Economics and Business. RePEc:eee:jebusi:v:123:y:2023:i:c:s0148619522000522. Full description at Econpapers || Download paper | |
2023 | New experimental evidence on the relationship between home bias, ambiguity aversion and familiarity heuristics. (2023). Wang, Mei ; Horn, Kristian ; Dlugosch, Dennis. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s0148619523000243. Full description at Econpapers || Download paper | |
2023 | Schumpeterian competition in a Lucas economy. (2023). Carlin, Bruce I ; Andrei, Daniel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:208:y:2023:i:c:s0022053123000091. Full description at Econpapers || Download paper | |
2023 | Institutional investors, heterogeneous benchmarks and the comovement of asset prices. (2023). Hodor, Idan ; Buffa, Andrea M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:352-381. Full description at Econpapers || Download paper | |
2023 | Economic uncertainty and investor attention. (2023). Ozel, Bugra N ; Friedman, Henry ; Andrei, Daniel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:179-217. Full description at Econpapers || Download paper | |
2023 | Fire sale risk and expected stock returns. (2023). Kim, Min S ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:578-609. Full description at Econpapers || Download paper | |
2023 | Firm R&D and financial analysis: How do they interact?. (2023). Peress, Joel ; Goldman, Jim. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000559. Full description at Econpapers || Download paper | |
2023 | How important are capital controls in shaping innovation activity?. (2023). Konstantios, Dimitrios ; Bechlioulis, Alexandros ; Karamanis, Dimitrios ; Economidou, Claire. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001711. Full description at Econpapers || Download paper | |
2023 | Equilibrium and real options in the ethanol industry: Modeling and empirical evidence. (2023). Merener, Nicolas ; Davison, Matt. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000496. Full description at Econpapers || Download paper | |
2023 | The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x. Full description at Econpapers || Download paper | |
2023 | Natural resources: Cost of capital and discounting – Risk and uncertainty. (2023). Lilford, Eric. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006857. Full description at Econpapers || Download paper | |
2024 | Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269. Full description at Econpapers || Download paper | |
2023 | Does foreign institutional ownership matter for stock price synchronicity? International evidence. (2023). My, Linh Thi ; Vo, Xuan Vinh ; Anh, Thi Thuy ; Dang, Tung Lam. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x23000026. Full description at Econpapers || Download paper | |
2023 | Do manager characteristics matter in equity mutual fund performance? New evidence based on the double-adjusted alpha. (2023). Hsieh, Wei-Cheng ; Yen, Meng-Feng ; Lin, Jia-Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002207. Full description at Econpapers || Download paper | |
2023 | Predicting stock splits using ensemble machine learning and SMOTE oversampling. (2023). Sheather, Simon ; Liu, Mark. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000148. Full description at Econpapers || Download paper | |
2023 | Trade links and return predictability: The Australian evidence. (2023). Zhong, Angel ; Hu, Xiaolu ; Yu, Miao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000410. Full description at Econpapers || Download paper | |
2023 | Why is the Amihud (2002) measure priced in Taiwan: Illiquidity or mispricing?. (2023). Lu, Chien-Lin ; Ko, Kuan-Cheng ; Lin, Chaonan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000501. Full description at Econpapers || Download paper | |
2023 | ETF ownership and informational efficiency of underlying stocks: Evidence from China. (2023). Zhu, Feifei ; Wu, Weili. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000719. Full description at Econpapers || Download paper | |
2023 | Institutional ownership and momentum in the Chinese A-share market. (2023). Wang, Peng ; Xiong, Tao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000860. Full description at Econpapers || Download paper | |
2023 | Trend information and cross-sectional returns: The role of analysts. (2023). Shen, Yue ; Li, Jinyong ; Yang, Baochen ; Ma, Yao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001452. Full description at Econpapers || Download paper | |
2023 | The implications of liquidity ratios: Evidence from Pakistan stock exchange limited. (2023). Gregoriou, Andros ; Hudson, Robert ; Ullah, Subhan ; Ahmed, Rizwan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:235-243. Full description at Econpapers || Download paper | |
2023 | Tax clientele and share repurchase execution. (2023). Wang, Jin-Ying. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:168-176. Full description at Econpapers || Download paper | |
2023 | A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness. (2023). , Amy ; Horng, Min-Sun ; Lu, Richard. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:269-276. Full description at Econpapers || Download paper | |
2023 | Labor protection and dynamic leverage adjustments in the OECD countries. (2023). Qin, Yafeng ; Lu, Yue ; Ho, L Y ; Bai, Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:502-527. Full description at Econpapers || Download paper | |
2023 | International portfolio diversification and the home bias puzzle. (2023). Oh, Frederick Dongchuhl ; Lee, Kyounghun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001933. Full description at Econpapers || Download paper | |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper | |
2023 | Policy uncertainty and bank’s funding costs: The effects of the financial crisis, Covid-19 pandemic, and market discipline. (2023). Nguyen, Cuong ; Tran, Dung Viet. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001125. Full description at Econpapers || Download paper | |
2023 | Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117701. Full description at Econpapers || Download paper | |
2023 | The Financial Origins of Non-Fundamental Risk. (2023). Singh, Sanjay R ; Dogra, Keshav ; Acharya, Sushant. In: Working Paper Series. RePEc:fip:fedfwp:96579. Full description at Econpapers || Download paper | |
2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper | |
2023 | Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns. (2000). LINTON, OLIVER ; Connor, Gregory. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp346. Full description at Econpapers || Download paper | |
2023 | Asymmetric Effects of Prices and Storage on Rig Counts: Evidence from the US Natural Gas and Crude Oil Markets. (2023). Chen, Wei-Hung ; Chiou-Wei, Song-Zan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:15:p:5752-:d:1208620. Full description at Econpapers || Download paper | |
2023 | Pricing Multidimensional American Options. (2023). Agliardi, Rossella. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:1:p:51-:d:1104453. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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1971 | A Note on Dividend Irrelevance and the Gordon Valuation Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 13 |
1972 | The Value of Perfect Market Forecasts in Portfolio Selection: Discussion. In: Journal of Finance. [Citation analysis] | article | 0 |
1972 | Valuation and the Cost of Capital for Regulated Utilities: Comment. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1973 | An Approach to the Valuation of Uncertain Income Streams. In: Journal of Finance. [Full Text][Citation analysis] | article | 1 |
1974 | An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1975 | Financial Models of Regulated Firms: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1977 | The Valuation of American Put Options. In: Journal of Finance. [Full Text][Citation analysis] | article | 133 |
1977 | Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance. [Full Text][Citation analysis] | article | 123 |
1979 | The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance. [Full Text][Citation analysis] | article | 160 |
1980 | Conditional Predictions of Bond Prices and Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 11 |
1981 | Empirical Tests of Multi-Factor Pricing Model: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1982 | Regulation and Corporate Investment Policy. In: Journal of Finance. [Full Text][Citation analysis] | article | 9 |
1984 | Optimal Financial Policy and Firm Valuation. In: Journal of Finance. [Full Text][Citation analysis] | article | 60 |
1987 | Efficient Financing under Asymmetric Information. In: Journal of Finance. [Full Text][Citation analysis] | article | 140 |
1990 | Latent Assets. In: Journal of Finance. [Full Text][Citation analysis] | article | 54 |
1990 | Shareholder Preferences and Dividend Policy. In: Journal of Finance. [Full Text][Citation analysis] | article | 99 |
1991 | Stock Prices and the Supply of Information. In: Journal of Finance. [Full Text][Citation analysis] | article | 189 |
1993 | Brokerage Commission Schedules. In: Journal of Finance. [Full Text][Citation analysis] | article | 15 |
1997 | International Portfolio Investment Flows. In: Journal of Finance. [Full Text][Citation analysis] | article | 549 |
2004 | How Did It Happen? In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 17 |
2003 | Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 10 |
1999 | Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 37 |
2001 | Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies. [Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
1997 | Stock Price Volatility, Learning, and the Equity Premium In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 0 |
2005 | Option Pricing Kernels and the ICAPM In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 0 |
1993 | Agency and Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 76 |
2005 | Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 8 |
2005 | Dollar Cost Averaging.(2005) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
1995 | Convertible Bonds: Test of a Financial Signalling Model In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 1 |
2004 | International Capital Markets and Foreign Exchange Risk In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 3 |
1998 | Resolution of a Financial Puzzle In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 7 |
1991 | Contributing Shares In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 0 |
2003 | The Dynamics of International Equity Market Expectations In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 55 |
2005 | The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | article | |
1997 | The Role of Learning in Dynamic Portfolio Decisions” In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 4 |
2000 | Dynamic Asset Allocation under Inflation In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 3 |
2003 | Risk and Valuation Under an Intertemporal In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 9 |
1995 | Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 214 |
1997 | Underpricing, ownership and control in initial public offerings of equity securities in the UK.(1997) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 214 | article | |
1975 | The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 46 |
1976 | The Geometry of Separation and Myopia In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 9 |
1977 | Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 1 |
1977 | Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
1978 | Necessary Conditions for Aggregation in Securities Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 10 |
1978 | Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 91 |
1980 | Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 150 |
1981 | Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 65 |
1982 | An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 83 |
1985 | On the Geometric Mean Index: A Note In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 3 |
1971 | Capital Market Equilibrium with Divergent Borrowing and Lending Rates In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 42 |
1997 | Strategic asset allocation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 222 |
2003 | Corporate investment policy In: Handbook of the Economics of Finance. [Full Text][Citation analysis] | chapter | 5 |
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1979 | A continuous time approach to the pricing of bonds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 201 |
2012 | Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 37 |
1986 | A theory of price limits in futures markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 88 |
1988 | Stock splits, stock prices, and transaction costs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 73 |
1995 | Investment analysis and price formation in securities markets In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 234 |
1976 | The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 153 |
1996 | Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 567 |
1998 | Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 490 |
1977 | Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 63 |
1992 | International risk sharing and capital mobility: reply In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 1 |
1989 | International risk sharing and capital mobility In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
2001 | Stock price volatility and equity premium In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 115 |
1989 | BOUD COVENANTS AND THE VALUATION OF RISK DEBT: A NEW APPROACH. In: Columbia - Graduate School of Business. [Citation analysis] | paper | 0 |
1990 | Stock Market Volatility and the Crash In: NBER Books. [Citation analysis] | book | 0 |
1993 | Investment Analysis and the Adjustment of Stock Prices to Common Information. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 209 |
1996 | Information, Trade, and Derivative Securities. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 74 |
1978 | Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business. [Full Text][Citation analysis] | article | 128 |
1979 | Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee. In: The Journal of Business. [Full Text][Citation analysis] | article | 46 |
1985 | Evaluating Natural Resource Investments. In: The Journal of Business. [Full Text][Citation analysis] | article | 768 |
1989 | Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business. [Full Text][Citation analysis] | article | 48 |
1990 | Arbitrage in Stock Index Futures. In: The Journal of Business. [Full Text][Citation analysis] | article | 78 |
1998 | The Determinants of Average Trade Size. In: The Journal of Business. [Full Text][Citation analysis] | article | 26 |
2013 | Financing asset growth In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team