Michael Brennan : Citation Profile


Are you Michael Brennan?

University of California-Los Angeles (UCLA)

33

H index

46

i10 index

4043

Citations

RESEARCH PRODUCTION:

59

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 96
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 215.    Total self citations: 13 (0.32 %)

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   Permalink: http://citec.repec.org/pbr614
   Updated: 2018-05-19    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 (39)

Subrahmanyam, Avanidhar (29)

Miao, Jianjun (26)

Lo, Andrew (21)

Rey, Helene (20)

Warnock, Francis (19)

Wang, Neng (19)

Prigent, Jean-Luc (17)

Campbell, John (16)

Pindyck, Robert (15)

Basak, Suleyman (14)

Cites to:

Fama, Eugene (23)

French, Kenneth (21)

Stambaugh, Robert (16)

Campbell, John (13)

Subrahmanyam, Avanidhar (11)

Shanken, Jay (10)

Bekaert, Geert (9)

Mehra, Rajnish (9)

Lo, Andrew (8)

Prescott, Edward (7)

merton, robert (7)

Main data


Where Michael Brennan has published?


Journals with more than one article published# docs
Journal of Finance22
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 (2018 and 2017)


YearTitle of citing document
2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2017TRADE CREDIT FINANCING IN AFRICAN AGRO-FOOD MANUFACTURING INDUSTRY: INCIDENCE AND MOTIVES. (2017). Dary, Stanley . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252850.

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2017International Asset Allocations and Capital Flows: The Benchmark Effect. (2017). Williams, Tomas ; Schmukler, Sergio ; Raddatz, Claudio. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:141.

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2017A hybrid approach for the implementation of the Heston model. (2017). Zanette, Antonino ; Briani, Maya ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1307.7178.

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2017Perfect hedging under endogenous permanent market impacts. (2017). Fukasawa, Masaaki ; Stadje, Mitja . In: Papers. RePEc:arx:papers:1702.01385.

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2017Mean field and n-agent games for optimal investment under relative performance criteria. (2017). Lacker, Daniel ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1703.07685.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Gu, Gao-Feng ; Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong. In: Papers. RePEc:arx:papers:1704.04354.

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2017Implied Stopping Rules for American Basket Options from Markovian Projection. (2017). Bayer, Christian ; Tempone, Ra'ul ; Happola, Juho . In: Papers. RePEc:arx:papers:1705.00558.

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2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs. (2018). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1707.03498.

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2018Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

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2017Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1708.04829.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2017Optimal Timing to Trade Along a Randomized Brownian Bridge. (2017). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372.

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2018Dynkin games with Poisson random intervention times. (2018). Liang, Gechun ; Sun, Haodong. In: Papers. RePEc:arx:papers:1803.00329.

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2018A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018Technical Uncertainty in Real Options with Learning. (2018). Al-Aradi, Ali ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1803.05831.

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2018Indifference pricing of life insurance contracts via BSDEs under partial information. (2018). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1804.00223.

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2017Assessing the risks of asset overvaluation: models and challenges. (2017). Taboga, Marco ; Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1114_17.

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2017Does ownership structure affect trade credit policy in small- and medium-sized firms? Evidence from China. (2017). Zhai, Pengxiang ; Ma, Rufei . In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:83:p:130-138.

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2017The market premium for the option to close: evidence from Australian gold mining firms. (2017). Kelly, Simone. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:511-531.

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2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hong Feng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2017Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective. (2017). Kelani, Abdou ; Quittard-Pinon, Franois . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:209-238.

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2017Equity Market Globalization and Portfolio Rebalancing. (2017). Kim, Kyungkeun ; Lee, Dongwon. In: Working Papers. RePEc:bok:wpaper:1717.

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2017À quoi servent les (centaines de milliers de milliards de) transactions boursières ?. (2017). CAPELLE-BLANCARD, Gunther. In: Revue d'économie financière. RePEc:cai:refaef:ecofi_127_0037.

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2017Equilibrium Theory of Banks Capital Structure. (2017). Gottardi, Piero ; Gale, Douglas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6580.

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2017Operational and Financial Hedging: Evidence from Export and Import Behavior. (2017). Kuzmina, Olga ; Kuznetsova, Olga. In: Working Papers. RePEc:cfr:cefirw:w0242.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606.

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2017Does ownership structure affect trade credit policy in small- and medium-sized firms? Evidence from China. (2017). Ma, Rufei . In: ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:015482.

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2017Choices in Equity Finance A Global Perspective. (2017). Vermaelen, Theo ; Groen-Xu, Moqi ; Mataigne, Virginie ; Massa, Massimo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11987.

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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2017Why Do Boards Exist? Governance Design in the Absence of Corporate Law. (2017). Ostergaard, Charlotte ; Burkart, Mike ; Miglietta, Salvatore . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12147.

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2017Investor Relations Quality and Mispricing. (2017). Mama, Houdou Basse ; Kotchoni, Rachidi . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-33.

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2017Intra-industry information diffusion in Chinas stock market. (2017). Lean, Hooi Hooi ; Ahmad, Zamri ; Dong, Chi . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00823.

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2017Dividend Payment and its Impact on the Value of Firms Listed on Istanbul Stock Exchange: A Residual Income Approach. (2017). Budagaga, Akram . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-50.

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2017The Impact of Stock Market Performance on Foreign Portfolio Investment in China. (2017). Haider, Muhammad Afaq ; Hashmi, Shujahat Haider ; Saddique, Shamila ; Khan, Muhammad Asif. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-60.

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2017A new method for evaluating options based on multiquadric RBF-FD method. (2017). Golbabai, Ahmad ; Mohebianfar, Ehsan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:308:y:2017:i:c:p:130-141.

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2017A real options approach to analyse wind energy investments under different support schemes. (2017). Kitzing, Lena ; Boomsma, Trine Krogh ; Drud, Michael ; Juul, Nina . In: Applied Energy. RePEc:eee:appene:v:188:y:2017:i:c:p:83-96.

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2017IPO market timing with uncertain aftermarket retail demand. (2017). Santos, Francisco . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:247-266.

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2017Performance share plans: Valuation and empirical tests. (2017). Holden, Craig W ; Kim, Daniel S. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:99-125.

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2017Can investors anticipate post-IPO mergers and acquisitions?. (2017). Anderson, Christopher W ; Torna, Gokhan ; Huang, Jian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:496-521.

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2017Share buybacks and gender diversity. (2017). Vermaelen, Theo ; Evgeniou, Theodoros . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:669-686.

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2017What do stock price levels tell us about the firms?. (2017). Chan, Konan ; Li, Fengfei ; Lin, Tse-Chun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:34-50.

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2017Stock market listing and the use of trade credit: Evidence from public and private firms. (2017). Khurshed, Arif ; Dang, Viet Anh ; Abdulla, Yomna . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:391-410.

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2018Operational and financial hedging: Evidence from export and import behavior. (2018). Kuznetsova, Olga ; Kuzmina, Olga. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:109-121.

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2018Investment timing, reversibility, and financing constraints. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:771-796.

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2018Capital structure decisions and the optimal design of corporate market debt prograams. (2018). Martellini, Lionel ; Tarelli, Andrea ; Milhau, Vincent . In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:141-167.

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2017Real options and contingent convertibles with regime switching. (2017). Yang, Zhaojun ; Luo, Pengfei . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:122-135.

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2018The use of equity financing in debt renegotiation. (2018). Silaghi, Florina . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:123-143.

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2017Is the price of gold to gold mining stocks asymmetric?. (2017). Batten, Jonathan ; Lucey, Brian M ; Kosedag, Arman ; Ciner, Cetin . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:402-407.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2018The impact of ownership concentration and analyst coverage on market liquidity: Comparative evidence from an auction and a specialist market. (2018). Stagliano, Raffaele ; Gerace, Dionigi ; la Rocca, Maurizio. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:203-214.

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2017Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations. (2017). Filzen, Joshua J ; Schutte, Maria Gabriela . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:19-37.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2018Compound option pricing under a double exponential Jump-diffusion model. (2018). Liu, Yu-Hong ; Hsu, Wei-Tze ; Jiang, I-Ming ; I-Ming Jiang, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:30-53.

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2017Real option valuation for reserve capacity. (2017). Moriarty, John ; Palczewski, Jan . In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:1:p:251-260.

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2017Stochastic impulse control with regime-switching dynamics. (2017). Korn, Ralf ; Seifried, Frank Thomas ; Melnyk, Yaroslav . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1024-1042.

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2017Capacity optimization under uncertainty: The impact of operational time lags. (2017). Boonman, Hettie J ; Siddiqui, Afzal S. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:660-672.

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2017Investment strategies, reversibility, and asymmetric information. (2017). Shibata, Takashi ; Cui, Xue. In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:3:p:1109-1122.

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2018A method for integrated process simulation in the mining industry. (2018). Piran, Fabio Sartori ; Riehs, Luis Felipe ; Rodrigues, Luis Henrique ; Lacerda, Daniel Pacheco. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1116-1129.

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2018Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: A real-options approach. (2018). Ansaripoor, Amir H ; Oliveira, Fernando S. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:316-327.

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2017Does founder ownership affect foreign investments? Evidence from India. (2017). Kumar, Satish ; Chauhan, Yogesh. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:116-129.

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2017Sophistication and price impact of foreign investors in the Brazilian stock market. (2017). Gonalves, Walter ; Eid, William . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:102-139.

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2018Liquidity and macroeconomic management in emerging markets. (2018). Chowdhury, Anup ; Anderson, Keith ; Uddin, Moshfique . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:1-24.

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2017The success of option listings. (2017). Bernales, Alejandro . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:139-161.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Family ownership, country governance, and foreign portfolio investment. (2017). Bodnaruk, Andriy ; Yadav, Vijay ; Massa, Massimo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:96-115.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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2017The real options to shutdown, startup, and abandon: U.S. electricity industry evidence. (2017). Fleten, Stein-Erik ; Ullrich, Carl J ; Haugom, Erik ; Stein- Erik Fleten, . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:1-12.

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2017Investment and operating choice: Oil and natural gas futures prices and drilling activity. (2017). Linn, Scott ; Chen, Fan. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:54-68.

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2017Resource extraction with a carbon tax and regime switching prices: Exercising your options. (2017). Insley, Margaret. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:1-16.

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2018The impact of spatial price differences on oil sands investments. (2018). Galay, Gregory. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:170-184.

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2018Uncertainty effects on production mix and on hedging decisions: The case of Brazilian ethanol and sugar. (2018). de Oliveira, Sydnei Marssal ; Vieira, Maria Paula. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:516-524.

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2017Investment opportunity in Chinas overseas oil project: An empirical analysis based on real option approach. (2017). Tang, Bao-Jun ; Cao, Hong ; Wang, Kai ; Chen, Hao ; Zhou, Hui-Ling . In: Energy Policy. RePEc:eee:enepol:v:105:y:2017:i:c:p:17-26.

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2017Defer option valuation and optimal investment timing of solar photovoltaic projects under different electricity market systems and support schemes. (2017). Cheng, Cheng ; Ren, Xiaohang ; Gbatu, Abimelech Paye ; Liu, Mingming ; Wang, Zhen. In: Energy. RePEc:eee:energy:v:127:y:2017:i:c:p:594-610.

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2017Information content of analyst recommendations in the banking industry. (2017). Garcia-Feijoo, Luis ; Madura, Jeff ; Premti, Arjan . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:35-47.

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2017Firm life cycle and idiosyncratic volatility. (2017). Hasan, Mostafa Monzur ; Habib, Ahsan. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:164-175.

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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017Trading of foreign investors and stock returns in an emerging market - Evidence from Vietnam. (2017). Vo, Xuan Vinh. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:88-93.

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2017Informed trading and the price impact of block trades: A high frequency trading analysis. (2017). Ibikunle, Gbenga ; Sun, Yuxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:114-129.

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2017Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:146-152.

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2017The determinants and pricing of liquidity commonality around the world. (2017). Moshirian, Fariborz ; Zhang, Bohui ; Ghee, Claudia Koon ; Qian, Xiaolin . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:22-41.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2017Leverage-based index revisions: The case of Dow Jones Islamic Market World Index. (2017). Chen, Haiwei ; Ngo, Thanh. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:16-34.

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2017National culture, population age, and other country factors in volume–price volatility relationship. (2017). Hua, Wei ; Wei, Peihwang . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:83-96.

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2017Currency volatility and bid-ask spreads of ADRs and local shares. (2017). Figueiredo, Antonio ; Parhizgari, A M. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:54-71.

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2017Innovations in new venture financing: Evidence from Indian SME IPOs. (2017). Bhattacharya, Arnab . In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:72-88.

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2018The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets. (2018). Banerjee, Pradip ; Maitra, Debasish ; Christie-David, Rohan ; Chatrath, Arjun . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:157-169.

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2017Integrated information and the cost of capital. (2017). Garcia-Sanchez, Isabel-Maria ; Noguera-Gamez, Ligia . In: International Business Review. RePEc:eee:iburev:v:26:y:2017:i:5:p:959-975.

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2017International asset allocations and capital flows: The benchmark effect. (2017). Williams, Tomas ; Schmukler, Sergio ; Raddatz, Claudio . In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:413-430.

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2017Cliquet-style return guarantees in a regime switching Lévy model. (2017). Hieber, Peter . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:138-147.

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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Dhaene, Jan ; Chen, Ze ; Barigou, Karim ; Linders, Daniel ; Stassen, Ben . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27.

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2018Optimal investment under VaR-Regulation and Minimum Insurance. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:194-209.

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2017Liquidity and the implied cost of equity capital. (2017). Saad, Mohsen ; Samet, Anis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:15-38.

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2017Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. (2017). Tolikas, Konstantinos ; Topaloglou, Nikolas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:39-57.

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2018Multi-market trading and liquidity: Evidence from cross-listed companies. (2018). Atanasova, Christina ; Li, Mingxin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:117-138.

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2017Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987.

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2017Voluntary disclosure and strategic stock repurchases. (2017). Kumar, Praveen ; Sivaramakrishnan, K ; Oded, Jacob ; Langberg, Nisan . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:63:y:2017:i:2:p:207-230.

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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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article10
1972The Value of Perfect Market Forecasts in Portfolio Selection: Discussion. In: Journal of Finance.
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article0
1972Valuation and the Cost of Capital for Regulated Utilities: Comment. In: Journal of Finance.
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article0
1973An Approach to the Valuation of Uncertain Income Streams. In: Journal of Finance.
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article1
1974An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment. In: Journal of Finance.
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article0
1975Financial Models of Regulated Firms: Discussion. In: Journal of Finance.
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article0
1977The Valuation of American Put Options. In: Journal of Finance.
[Full Text][Citation analysis]
article89
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]
article93
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]
article115
1980 Conditional Predictions of Bond Prices and Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article8
1981Empirical Tests of Multi-Factor Pricing Model: Discussion. In: Journal of Finance.
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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]
article41
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]
article99
1988 Time-Invariant Portfolio Insurance Strategies. In: Journal of Finance.
[Full Text][Citation analysis]
article10
1988 Beta Changes around Stock Splits: A Note. In: Journal of Finance.
[Full Text][Citation analysis]
article14
1988 Vendor Financing. In: Journal of Finance.
[Full Text][Citation analysis]
article92
1990 Latent Assets. In: Journal of Finance.
[Full Text][Citation analysis]
article29
1990 Shareholder Preferences and Dividend Policy. In: Journal of Finance.
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article60
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
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article126
1993 Brokerage Commission Schedules. In: Journal of Finance.
[Full Text][Citation analysis]
article15
1997 International Portfolio Investment Flows. In: Journal of Finance.
[Full Text][Citation analysis]
article370
2004How Did It Happen? In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper11
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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paper4
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper31
2001Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 31
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]
paper47
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper3
2005Dollar Cost Averaging.(2005) In: Review of Finance.
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This paper has another version. Agregated cites: 3
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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paper0
2004International Capital Markets and Foreign Exchange Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper3
1998Resolution of a Financial Puzzle In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper5
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]
paper39
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
article
1997The Role of Learning in Dynamic Portfolio Decisions†In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper1
2000Dynamic Asset Allocation under Inflation In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2003Risk and Valuation Under an Intertemporal In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1995Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper83
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: 83
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]
article36
1976The Geometry of Separation and Myopia In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article7
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]
article9
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]
article59
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article112
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article50
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article67
1985On the Geometric Mean Index: A Note In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article2
1971Capital Market Equilibrium with Divergent Borrowing and Lending Rates In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article23
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article165
2003Corporate investment policy In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter2
2005tays as good as cay In: Finance Research Letters.
[Full Text][Citation analysis]
article31
1979A continuous time approach to the pricing of bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article146
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article14
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article57
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]
article39
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article134
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]
article108
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article359
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article223
1977Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article49
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]
article12
2001Stock price volatility and equity premium In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article78
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]
article120
1996Information, Trade, and Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]
article38
1978Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business.
[Full Text][Citation analysis]
article72
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]
article27
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]
article508
1989Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business.
[Full Text][Citation analysis]
article37
1990Arbitrage in Stock Index Futures. In: The Journal of Business.
[Full Text][Citation analysis]
article42
1998The Determinants of Average Trade Size. In: The Journal of Business.
[Full Text][Citation analysis]
article12
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 May, 2th 2018. Contact: CitEc Team