Michael Brennan : Citation Profile


Are you Michael Brennan?

University of California-Los Angeles (UCLA)

36

H index

46

i10 index

5822

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 138
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 288.    Total self citations: 13 (0.22 %)

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   Permalink: http://citec.repec.org/pbr614
   Updated: 2022-09-24    RAS profile: 2015-10-01    
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Relations with other researchers


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:

Guidolin, Massimo (40)

Subrahmanyam, Avanidhar (33)

Miao, Jianjun (30)

Lo, Andrew (22)

Renneboog, Luc (22)

Warnock, Francis (20)

Rey, Helene (20)

Prigent, Jean-Luc (20)

faff, robert (19)

Wang, Neng (19)

Sarkar, Asani (18)

Cites to:

Fama, Eugene (24)

French, Kenneth (22)

Campbell, John (18)

Stambaugh, Robert (18)

Subrahmanyam, Avanidhar (12)

Shanken, Jay (11)

merton, robert (10)

Constantinides, George (9)

Mehra, Rajnish (9)

Bekaert, Geert (9)

Lo, Andrew (9)

Main data


Where Michael Brennan has published?


Journals with more than one article published# docs
Journal of Finance19
Journal of Financial and Quantitative Analysis11
Journal of Financial Economics10
The Journal of Business6
Review of Financial Studies3
Journal of International Money and Finance2

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, UCLA15

Recent works citing Michael Brennan (2022 and 2021)


YearTitle of citing document
2021.

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2021Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. (2021). Devolder, Pierre ; Hieber, Peter ; Hanna, Vanessa. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021010.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2021Brownian bridge with random length and pinning point for modelling of financial information. (2019). Louriki, Mohammed. In: Papers. RePEc:arx:papers:1907.08047.

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2022With or without replacement? Sampling uncertainty in Shepps urn scheme. (2019). Glover, Kristoffer. In: Papers. RePEc:arx:papers:1911.11971.

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2021Closed form optimal exercise boundary of the American put option. (2019). Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1912.05438.

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2021Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2021No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022.

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2022Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235.

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2021Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2103.07651.

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2021Three little arbitrage theorems. (2021). Contreras, Mauricio ; Ortiz, Roberto . In: Papers. RePEc:arx:papers:2104.10187.

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2021Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities. (2021). Germano, Guido ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2106.06030.

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2021Pricing American options with the Runge-Kutta-Legendre finite difference scheme. (2021). le Floc, Fabien. In: Papers. RePEc:arx:papers:2106.12049.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

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2022Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2021Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2022Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. (2022). Reinert, Gesine ; Cucuringu, Mihai ; Bennett, Stefanos. In: Papers. RePEc:arx:papers:2201.08283.

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2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

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2021Illiquidity Premium in the Indian Stock Market: An Empirical Study. (2021). Verma, Divya ; Kundlia, Shweta. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:501-511.

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2022The Financial Origins of Non-fundamental Risk. (2022). Singh, Sanjay ; Dogra, Keshav ; Acharya, Sushant. In: Staff Working Papers. RePEc:bca:bocawp:22-4.

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2021A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21.

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2021Banks’ interest rate setting and transitions between liquidity surplus and deficit. (2021). Ponomarenko, Alexey ; Grishina, Tatiana. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps79.

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2021Do accounting information and market environment matter for cross?asset predictability?. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Thakerngkiat, Narongdech. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4389-4434.

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2021Leverage constraints and corporate financing decisions. (2021). Zhou, Qing ; Yang, Liu. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:4:p:5199-5230.

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2021Does stock market liberalisation restrain corporate financialisation?. (2021). Li, Ziyang ; Yao, Mengchao ; Zhu, Yanyan ; Ying, Qianwei. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6263-6294.

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2021Short selling, agency, and corporate investment. (2021). Wang, Qinghai ; Shen, Tao ; Nezafat, Mahdi. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:3:p:775-804.

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2022Geographic proximity and price efficiency: Evidence from high?speed railway connections between firms and financial centers. (2022). Shen, Tao ; Qu, Yuanyu ; Gao, Hao. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:117-141.

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2022The cross?sectional return predictability of employment growth: A liquidity risk explanation. (2022). Luo, DI ; Liu, Weimin ; Zhao, Huainan ; Park, Seyoung. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:155-178.

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2021Are firm characteristics priced differently between opposite short?sales regimes?. (2021). Bai, Min. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:1:p:95-118.

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2021Are outside director trades informative? Evidence from acquiring firms. (2021). Gordon, Rachel E. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:447-477.

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2021Cross?firm return predictability and accounting quality. (2021). Kogan, Leonid ; Khan, Mozaffar ; Chen, Wen ; Serafeim, George. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:1-2:p:70-101.

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2021Minimum tick size and analyst coverage: Evidence from the Tick Size Pilot Program. (2021). Narayanamoorthy, Gans ; Huffman, Adrienna ; Chen, Zhenhua ; Zhang, Ruizhong. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:3-4:p:666-691.

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2021Do firms hedge in order to avoid financial distress costs? New empirical evidence using bank data. (2021). Posch, Peter N ; Kochling, Gerrit ; Hahnenstein, Lutz . In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:3-4:p:718-741.

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2022Capital market liberalization and auditors accounting adjustments: Evidence from a quasi?experiment. (2022). Zhang, Min ; Wang, Cyndia ; Hope, Olekristian ; Deng, Yingwen. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:1-2:p:215-248.

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2022Mixed?signal stock splits. (2022). McInish, Thomas H ; Jain, Pankaj K ; Elnahas, Ahmed M. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:5-6:p:934-962.

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2022Stock Market and No?Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599.

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2021Liquidity risk and the beta premium. (2021). Zhao, Huainan ; Luo, DI ; Gong, Cynthia M. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:4:p:789-814.

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2021Short?Term Institutions, Analyst Recommendations, and Mispricing: The Role of Higher Order Beliefs. (2021). Sautner, Zacharias ; Pareek, Ankur ; Cremers, Martijn. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:3:p:911-958.

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2021Strategic Director Appointments. (2021). Sivaramakrishnan, Konduru ; Drymiotes, George. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:4:p:1303-1347.

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2021Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1023-1055.

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2021Asset pricing with general transaction costs: Theory and numerics. (2021). Shi, Xiaofei ; Muhlekarbe, Johannes ; Gonon, Lukas. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:595-648.

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2021Reflections on “Risk Transmission Across Supply Chains”. (2021). Ritchken, Peter . In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:12:p:4590-4592.

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2021Capacity Investment, Production Flexibility, and Capital Structure. (2021). Wu, QI ; Ritchken, Peter . In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:12:p:4593-4613.

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2021Valuing Real Options in the Volatile Real World. (2021). Wang, Tianyang ; Dyer, James S ; Harikae, Seiji. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:1:p:171-189.

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2021A Real Options Model of Real Estate Development with Entitlement Risk. (2021). Womack, Kiplan S ; Clark, Steven P ; Cheng, Yiying. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:106-151.

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2021Option Trading and REIT Returns. (2021). Sheng, Hainan ; Harrison, David M ; Cashman, George D. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:332-389.

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2021Fear thy neighbor: Spillovers from economic policy uncertainty. (2021). Grigoli, Francesco ; Hengge, Martina ; Biljanovska, Nina. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:2:p:409-438.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021The financial origins of non-fundamental risk. (2021). Singh, Sanjay ; Dogra, Keshav ; Acharya, Sushant. In: Working Papers. RePEc:cda:wpaper:345.

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2021Subjective Uncertainty, Expectations, and Firm Behavior. (2021). Lautenbacher, Stefan. In: ifo Working Paper Series. RePEc:ces:ifowps:_349.

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2021The Lock-In Effect and the Corporate Payout Puzzle. (2021). Mitchell, Chris. In: ISER Discussion Paper. RePEc:dpr:wpaper:1070r.

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2021Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey. (2021). Bozma, Gurkan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00827.

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2021Internal control effectiveness, textual risk disclosure, and their usefulness: U.S. evidence. (2021). Elshandidy, Tamer ; el Sayed, Mohamed ; Elsayed, Mohamed. In: Advances in accounting. RePEc:eee:advacc:v:53:y:2021:i:c:s0882611021000195.

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2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.. (2022). Escobar-Anel, Marcos ; Zhu, Yichen. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x.

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2022Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method. (2022). Zhang, Kai ; Wang, Song ; Li, Nan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:421:y:2022:i:c:s0096300322000236.

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2021The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?. (2021). Yaghoubi, Mona ; Biakowski, Jdrzej. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000241.

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2021Do peer firms influence innovation?. (2021). Machokoto, Michael ; Ntim, Collins G ; Gyimah, Daniel. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000147.

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2021The effect of corporate sustainability performance on leverage adjustments. (2021). Qin, Yafeng ; Lu, Yue ; Bai, Min ; Ho, LY. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000159.

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2021Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005555.

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2021Modeling innovation efficiency, its micro-level drivers, and its impact on stock returns. (2021). Fangyan, LI ; Fangbiao, Liu ; Zeng, Kailin ; Emire, Ebenezer Fiifi . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:152:y:2021:i:c:s0960077921006573.

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2022Pricing discounted American capped options. (2022). Zaevski, Tsvetelin S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000443.

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2021Do state visits affect cross-border mergers and acquisitions?. (2021). Hao, Zhiwei ; Aleksanyan, Mark ; Verwijmeren, Patrick ; Vagenas-Nanos, Evangelos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302443.

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2021Loan price in mergers and acquisitions. (2021). Khurshed, Arif ; Hua, Chen ; Gao, Ning. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s092911992030198x.

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2021Market manipulation rules and IPO underpricing. (2021). Goyal, Abhinav ; Veeraraghavan, Madhu ; Kallinterakis, Vasileios ; Duong, Huu Nhan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s092911992030290x.

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2021Institutional trading, information production, and forced CEO turnovers. (2021). Chemmanur, Thomas ; Xie, Jing ; Li, Yingzhen ; Hu, Gang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000043.

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2021Does it pay to be socially connected with wall street brokerages? Evidence from cost of equity. (2021). Qiu, Buhui ; Luong, Thanh Son ; Wu, YI. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000602.

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2021Mimicking insider trades. (2021). Thapa, Chandra ; Neupane, Biwesh ; Marshall, Andrew. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000614.

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2021Options trading and the cost of debt. (2021). Garcia, Sergio J ; Blanco, Ivan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001267.

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2021Relative bond-stock liquidity and capital structure choices. (2021). faff, robert ; Alpert, Karen ; Nguyen, Trang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001474.

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2021Stock liquidity, empire building, and valuation. (2021). HASAN, IFTEKHAR ; John, Kose ; Chatterjee, Sris ; Yan, AN. In: Journal of Corporate Finance. RePEc:eee:corfin:v:70:y:2021:i:c:s0929119921001735.

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2022Short seller attention. (2022). Zaiats, Nataliya ; Ng, Lilian ; Dai, Rui. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002716.

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2022Real options, risk aversion and markets: A corporate finance perspective. (2022). Ewald, Christian-Oliver ; Taub, Bart. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000074.

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2021Overinvestment and macroeconomic uncertainty: Evidence from renewable and non-renewable resource firms. (2021). Okimoto, Tatsuyoshi ; Irawan, Denny. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s016518892030141x.

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2021Flexibility premium of emissions permits. (2021). Taschini, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s0165188920301810.

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2021Valuing Switching options with the moving-boundary method. (2021). Fransoo, Jan ; Soltani, Taimaz ; Chockalingam, Arun ; Dabadghao, Shaunak S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000592.

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2021Media connection and return comovement. (2021). Tu, Jun ; Guo, LI ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001263.

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2021COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market. (2021). Ma, Hongkun ; Bing, Tao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:384-396.

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2021Asymmetric impacts of economic policy uncertainty, capital cost, and raw material cost on China’s investment. (2021). Li, Fangfang ; Tian, Hao ; Pei, Hongxia ; Long, Shaobo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:129-144.

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2021Aggregate liquidity premium and cross-sectional returns: Evidence from China. (2021). Tang, Guohao ; Luo, Qianlin ; Liao, Cunfei. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002340.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2021Herding for profits: Market breadth and the cross-section of global equity returns. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szyszka, Adam ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:348-364.

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2021Economic policy uncertainty and illiquidity return premium. (2021). Hsieh, Hui-Ching ; Thinh, Van Quoc. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301820.

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2021Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model. (2021). Lin, Shih-Kuei ; Zheng, Wen-Jie ; Tang, Kin-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302242.

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2021Effectiveness of Augmented Dollar-Cost Averaging. (2021). Lien, Donald ; Kapalczynski, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000103.

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2022Catering to investors through capital expenditures: Testing assets substitution problem around financing. (2022). Huang, Hsin-Yi ; Ho, Ruey-Jenn ; Chao, Ching-Hsiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001698.

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2022Convertible bond issuance volume, capital structure, and firm value. (2022). Ni, Yensen ; Huang, Paoyu ; Liao, Yulu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000298.

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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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2021Optimal decision policy for real options under general Markovian dynamics. (2021). Sainz, Felipe ; Naranjo, Lorenzo ; Cortazar, Gonzalo. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:2:p:634-647.

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2021A model of investment under uncertainty with time to build, market incompleteness and risk aversion. (2021). Delaney, Laura. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:3:p:1155-1167.

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2022To expand and to abandon: Real options under asset variance risk premium. (2022). Lotfaliei, Babak ; Alibeiki, Hedayat. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:2:p:771-787.

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2022Low liquidity beta anomaly in China. (2022). Li, Youwei ; Vigne, Samuel A ; Han, Xing ; Frommel, Michael. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000406.

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2021The valuation effect of stock dividends or splits: Evidence from a catering perspective. (2021). Xu, Xin ; Liu, Yu-Jane ; Hu, Conghui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:163-179.

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2021Financial stress, economic policy uncertainty, and oil price uncertainty. (2021). Apostolakis, George ; Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005405.

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2022Oil uncertainty and firms risk-taking. (2022). Lu, Man ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001025.

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2021Valuation of operational flexibility: A case study of Bonneville power administration. (2021). Skypeck, Christopher J ; Leon, Arturo S ; Hoyle, Christopher ; Fuentes, Claudio ; Sharifi, Erfaneh ; Bashiri, Hamid ; Li, AN ; Biswas, Arpan ; Gibson, Nathan ; Chen, Yong. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001560.

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2021Canadian industry level production and energy prices. (2021). Elder, John. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001857.

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2021Switch and defer option in renewable energy projects: Evidences from Brazil. (2021). da Silva, Andre Luis ; Davison, Matthew ; Andrade, Marcus Vinicius ; Nunes, Luis Eduardo. In: Energy. RePEc:eee:energy:v:231:y:2021:i:c:s0360544221012202.

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2021Economic analysis of the German regulation for electrical generation projects from biogas applying the theory of real options. (2021). Nuez-Guerrero, Yilsy Maria ; Rodriguez-Monroy, Carlos ; Balibrea-Iniesta, Jose. In: Energy. RePEc:eee:energy:v:231:y:2021:i:c:s036054422101224x.

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2021The determinants of the convertible bonds call policy of Western European companies. (2021). Viviani, Jean-Laurent ; Andre, Florence ; Adoukonou, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s105752192030226x.

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More than 100 citations found, this list is not complete...

Works by Michael Brennan:


YearTitleTypeCited
1971A Note on Dividend Irrelevance and the Gordon Valuation Model. In: Journal of Finance.
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article11
1972The Value of Perfect Market Forecasts in Portfolio Selection: Discussion. In: Journal of Finance.
[Citation analysis]
article0
1972Valuation and the Cost of Capital for Regulated Utilities: Comment. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1973An Approach to the Valuation of Uncertain Income Streams. In: Journal of Finance.
[Full Text][Citation analysis]
article1
1974An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1975Financial Models of Regulated Firms: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1977The Valuation of American Put Options. In: Journal of Finance.
[Full Text][Citation analysis]
article129
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]
article113
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]
article155
1980 Conditional Predictions of Bond Prices and Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article11
1981Empirical Tests of Multi-Factor Pricing Model: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1982 Regulation and Corporate Investment Policy. In: Journal of Finance.
[Full Text][Citation analysis]
article5
1984 Optimal Financial Policy and Firm Valuation. In: Journal of Finance.
[Full Text][Citation analysis]
article58
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]
article133
1990 Latent Assets. In: Journal of Finance.
[Full Text][Citation analysis]
article54
1990 Shareholder Preferences and Dividend Policy. In: Journal of Finance.
[Full Text][Citation analysis]
article96
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
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article181
1993 Brokerage Commission Schedules. In: Journal of Finance.
[Full Text][Citation analysis]
article16
1997 International Portfolio Investment Flows. In: Journal of Finance.
[Full Text][Citation analysis]
article518
2004How Did It Happen? In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper16
2003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper10
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper37
2001Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 37
article
1997Stock Price Volatility, Learning, and the Equity Premium In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2005Option Pricing Kernels and the ICAPM In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1993Agency and Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper71
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper8
2005Dollar Cost Averaging.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
1995Convertible Bonds: Test of a Financial Signalling Model In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper1
2004International Capital Markets and Foreign Exchange Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper3
1998Resolution of a Financial Puzzle In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper7
1991Contributing Shares In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper0
2003The Dynamics of International Equity Market Expectations In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper51
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
article
1997The Role of Learning in Dynamic Portfolio Decisions” In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper4
2000Dynamic Asset Allocation under Inflation In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper2
2003Risk and Valuation Under an Intertemporal In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper9
1995Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper201
1997Underpricing, 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 another version. Agregated cites: 201
article
1975The 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]
article43
1976The Geometry of Separation and Myopia In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article9
1977Abstract: 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]
article0
1977Abstract: 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]
article0
1978Necessary Conditions for Aggregation in Securities Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article10
1978Finite 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]
article80
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article142
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article64
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article81
1985On the Geometric Mean Index: A Note In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article3
1971Capital Market Equilibrium with Divergent Borrowing and Lending Rates In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article36
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article214
2003Corporate investment policy In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter5
2005tays as good as cay In: Finance Research Letters.
[Full Text][Citation analysis]
article36
1979A continuous time approach to the pricing of bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article198
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article31
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article84
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]
article67
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article219
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]
article150
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article540
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article440
1977Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article62
1992International risk sharing and capital mobility: reply In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article1
1989International risk sharing and capital mobility In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article15
2001Stock price volatility and equity premium In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article107
1989BOUD COVENANTS AND THE VALUATION OF RISK DEBT: A NEW APPROACH. In: Columbia - Graduate School of Business.
[Citation analysis]
paper0
1990Stock Market Volatility and the Crash In: NBER Books.
[Citation analysis]
book0
1993Investment Analysis and the Adjustment of Stock Prices to Common Information. In: Review of Financial Studies.
[Full Text][Citation analysis]
article185
1996Information, Trade, and Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]
article68
1978Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business.
[Full Text][Citation analysis]
article115
1979Alternative 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]
article39
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]
article737
1989Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business.
[Full Text][Citation analysis]
article47
1990Arbitrage in Stock Index Futures. In: The Journal of Business.
[Full Text][Citation analysis]
article68
1998The Determinants of Average Trade Size. In: The Journal of Business.
[Full Text][Citation analysis]
article25
2013Financing asset growth In: SAFE Working Paper Series.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team