Michael Brennan : Citation Profile


Are you Michael Brennan?

University of California-Los Angeles (UCLA)

34

H index

44

i10 index

4796

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 114
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 314.    Total self citations: 13 (0.27 %)

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   Permalink: http://citec.repec.org/pbr614
   Updated: 2020-10-17    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 (32)

Miao, Jianjun (27)

Renneboog, Luc (21)

Lo, Andrew (20)

Rey, Helene (20)

Prigent, Jean-Luc (20)

Wang, Neng (19)

Warnock, Francis (19)

Sarkar, Asani (18)

Pindyck, Robert (16)

Cites to:

Fama, Eugene (22)

French, Kenneth (20)

Stambaugh, Robert (16)

Campbell, John (13)

Subrahmanyam, Avanidhar (11)

Mehra, Rajnish (9)

Shanken, Jay (9)

Bekaert, Geert (9)

Lo, Andrew (8)

Amihud, Yakov (7)

merton, robert (7)

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 (2020 and 2019)


YearTitle of citing document
2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Dynkin games with Poisson random intervention times. (2019). Sun, Haodong ; Liang, Gechun. In: Papers. RePEc:arx:papers:1803.00329.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2020Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2019Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961.

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2020Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options. (2019). Woo, Jeechul ; Liu, Chenru ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1810.02071.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2019Options on CPPI with guaranteed minimum equity exposure. (2019). Oliva, I ; di Persio, L. In: Papers. RePEc:arx:papers:1902.06505.

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2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181.

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2020The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

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2019Option Pricing via Multi-path Autoregressive Monte Carlo Approach. (2019). Chung, Wei-Ho ; Chen, Wei-Cheng. In: Papers. RePEc:arx:papers:1906.06483.

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2020Brownian 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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2019Optimal Trading of a Basket of Futures Contracts. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1910.04943.

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

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

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2019Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. (2019). In, Karel J ; Boen, Lynn. In: Papers. RePEc:arx:papers:1912.06809.

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2020Investor Experiences and International Capital Flows. (2020). Vanasco, Victoria ; Pouzo, Demian ; Malmendier, Ulrike. In: Papers. RePEc:arx:papers:2001.07790.

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2020Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures. (2020). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed . In: Papers. RePEc:arx:papers:2002.02876.

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2020An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934.

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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2020Decomposition 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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2020No 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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2020Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483.

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2020Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2007.15128.

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2020On the Pricing of Currency Options under Variance Gamma Process. (2020). Chandra, Abhijeet ; Jayprakash, Gowri ; Abdulsalam, Azwar. In: Papers. RePEc:arx:papers:2009.14113.

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2019Investor Experiences and International Capital Flows. (2019). Malmendier, Ulrike ; Vanasco, Victoria ; Pouzo, Demien. In: Working Papers. RePEc:bge:wpaper:1163.

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2020Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals. (2020). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella. In: Discussion Papers. RePEc:bir:birmec:20-21.

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2020Optimal portfolio choices using financial leverage. (2020). Olmo, Jose ; Laborda, Ricardo. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:2:p:146-166.

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2019Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206.

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2020Bank Work Experience Versus Political Connections: Which Matters for Bank Loan Financing?. (2020). Tian, Gary Gang ; Pan, Xiaofei. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:351-382.

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2019Do Corporate Governance Analysts Matter? Evidence from the Expansion of Governance Analyst Coverage. (2019). Lehmann, Nico. In: Journal of Accounting Research. RePEc:bla:joares:v:57:y:2019:i:3:p:721-761.

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2020Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach. (2020). Zhou, Yinggang ; Yu, Fan ; Wang, Honglin. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:633-665.

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2019Payout policy and ownership structure: The case of Islamic and conventional banks. (2019). Warsame, Mohammed ; Duqi, Andi ; Jaafar, Aziz. In: Working Papers. RePEc:bng:wpaper:19010.

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2019Brexit and uncertainty: insights from the Decision Maker Panel. (2019). Young, Garry ; Thwaites, Gregory ; Smietanka, Pawel ; Mizen, Paul ; Bunn, Philip ; bloom, nicholas ; Chen, Scarlet. In: Bank of England working papers. RePEc:boe:boeewp:0780.

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2019Domestic banks as lightning rods? Home bias and information during Eurozone crisis. (2019). Saka, Orkun. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_003.

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2020Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15.

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2019Domestic Banks as Lightning Rods? Home Bias and Information during the Eurozone Crisis. (2019). Saka, Orkun. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7939.

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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2020Cross-Border Portfolio Flows and News Media Coverage. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Ali, Faek Menla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8112.

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2019IMPACT ON CAPITAL STRUCTURE DECISION MAKING: INDIAN MEDIUM-SIZED FOOD INDUSTRY ANALYSIS. (2019). Acharya, Satya Ranjan ; Aggarwal, Ansita. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:8:y:2019:i:4:p:47-60.

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2019Aristocratic Privilege. Exploiting Good Institutions. (2019). ureche -Rangau, Loredana ; Ureche-Rangau, Loredana ; Oosterlinck, Kim ; Vaslin, Jacques-Marie. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14071.

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2020A Model of Investment under Uncertainty with Time to Build, Market Incompleteness and Risk Aversion. (2020). Delaney, L. In: Working Papers. RePEc:cty:dpaper:20/13.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2019Empirical Analysis on Price-Volume Relation in the Stock Market of China. (2019). Zhu, Lu-Jie ; Yan, Surong ; Lin, Li-Wei ; Wei, Shih-Yung. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-05-14.

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2019Investor sentiment and stock market liquidity: Evidence from an emerging economy. (2019). Kumari, Jyoti. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:23:y:2019:i:c:p:166-180.

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2020Payout policy and ownership structure: The case of Islamic and conventional banks. (2020). Warsame, Mohammed H ; Jaafar, Aziz ; Duqi, Andi. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:1:s0890838919300320.

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2020The origin of collective phenomena in firm sizes. (2020). Ahn, Kwangwon ; Park, Sung-Pil ; Dai, Bingcun ; Ji, Guseon. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:136:y:2020:i:c:s0960077920302186.

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2020Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Wu, Zhijian ; Ma, Chaoqun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496.

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2019Price inversion and post lock-up period returns on private investments in public equity in China: An interest transfer perspective. (2019). Liang, Yinhe ; Yang, Jun ; Lin, Jing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:54:y:2019:i:c:p:47-84.

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2019The determinants of IPO withdrawal – Evidence from Europe. (2019). lucey, brian ; Vigne, Samuel A ; Helbing, Pia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:415-436.

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2019Top executives on social media and information in the capital market: Evidence from China. (2019). Johansson, Anders ; Feng, Xunan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:824-857.

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2020Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304.

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2020Entering a new market: Market profitability and first-mover advantages. (2020). Flor, Christian ; Moritzen, Mark Raun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300481.

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2019Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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2019Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11.

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2019Hedging recessions. (2019). Munk, Claus ; Larsen, Linda Sandris ; Branger, Nicole. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:2.

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2019A learning curve of the market: Chasing alpha of socially responsible firms. (2019). Yu, Chong ; Wang, Jun ; Minor, Dylan B ; Li, Zhichuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301691.

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2020The distribution of information and the price efficiency of markets. (2020). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919300314.

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2020Investment flexibility as a barrier to entry. (2020). Guthrie, Graeme. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300968.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2019How markets will drive the transition to a low carbon economy. (2019). Smith, Tom ; Pan, Zheyao ; Han, Jianlei ; Linnenluecke, Martina K. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:42-54.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2020Provincial economic performance and underpricing of IPOs: Evidence from political interventions in China. (2020). Li, Yuan ; Uchida, Konari ; Liu, Jianlei . In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:274-285.

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2019The role of stock price synchronicity on the return-sentiment relation. (2019). Zhou, Liyun ; Rao, Lanlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:119-131.

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2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

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2019Do idiosyncratic skewness and kurtosis really matter?. (2019). Wang, Yan ; Lazrak, Skander ; Cao, Xu ; Ayadi, Mohamed A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940817301754.

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2019Crash risk, institutional investors and stock returns. (2019). Zhou, Liyun ; Rao, Lanlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304571.

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2019Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries. (2019). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306296.

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2019The payout policy of politically connected firms: Tunnelling or reputation?. (2019). López-Iturriaga, Félix ; Santana, Domingo Javier ; Lopez-Iturriaga, Felix J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301123.

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2020Compensation for illiquidity in China: Evidence from an alternative measure. (2020). Wang, Guanying ; Zhang, Yiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s106294082030084x.

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2019Rating changes and portfolio flows to emerging markets: Evidence from active and passive funds. (2019). Tillmann, Peter ; PeterTillmann, ; Heyden, Thomas ; Bannier, Christina E. In: Economics Letters. RePEc:eee:ecolet:v:178:y:2019:i:c:p:37-45.

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2019Pricing sin stocks: Ethical preference vs. risk aversion. (2019). Gioffré, Alessandro ; Curatola, Giuliano ; Colonnello, Stefano ; Gioffre, Alessandro. In: European Economic Review. RePEc:eee:eecrev:v:118:y:2019:i:c:p:69-100.

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2020Taxing away M&A: Capital gains taxation and acquisition activity. (2020). Feld, Lars ; Schreiber, Ulrich ; Ruf, Martin ; Voget, Johannes ; Todtenhaupt, Maximilian. In: European Economic Review. RePEc:eee:eecrev:v:128:y:2020:i:c:s0014292120301367.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2019Rescaling-contraction with a lower cost technology when revenue declines. (2019). Paxson, Dean ; Adkins, Roger. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:2:p:574-586.

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2020Technology Choice under Emission Regulation Uncertainty in International Container Shipping. (2020). Spinler, Stefan ; Haehl, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:1:p:383-396.

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2020Structural estimation of switching costs for peaking power plants. (2020). Fleten, Stein-Erik ; Stein- Erik Fleten, ; Ullrich, Carl J ; Pichler, Alois ; Haugom, Erik. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:23-33.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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2020Feed-in tariff contract schemes and regulatory uncertainty. (2020). Rodrigues, Artur ; Sardinha, Alberto ; Nunes, Claudia ; Barbosa, Luciana. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:1:p:331-347.

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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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2019Flight-to-liquidity: Evidence from Chinas stock market. (2019). Li, Yingxiang ; Zhang, Teng. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:159-181.

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2019The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

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2019Liability driven investment with alternative assets: Evidence from Brazil. (2019). Campani, Carlos Heitor ; Bernardo, Marcio R. In: Emerging Markets Review. RePEc:eee:ememar:v:41:y:2019:i:c:s1566014119300597.

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2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

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2019Asset pricing with extreme liquidity risk. (2019). Wu, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:143-165.

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2019Information uncertainty and the pricing of liquidity. (2019). Kang, Wenjin ; Zhang, Huiping ; Li, Nan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:77-96.

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2020The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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2020Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. (2020). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70.

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2019Policy uncertainties: What investment choice for solar panel producers?. (2019). Zhu, Lei ; Wang, Xin ; Yao, Xing ; Pan, Yingjie. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:454-467.

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2020The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. (2020). Soytas, Mehmet ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304220.

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2020Optimization of dynamic incentive for the deployment of carbon dioxide removal technology: A nonlinear dynamic approach combined with real options. (2020). Fan, Ying ; Yao, Xing ; Zhang, Xian ; Zhu, Lei. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304402.

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2019Transitory prices, resiliency, and the cross-section of stock returns. (2019). Kim, Jinyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:243-256.

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2019Do analyst recommendations matter for rival companies?. (2019). Li, YI ; Zhang, Wei ; Wang, Pengfei ; Shen, Dehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521919300675.

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2019Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387.

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2020Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

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2020Uncovering the time-varying relationship between commonality in liquidity and volatility. (2020). Uribe, Jorge ; Chuliá, Helena ; Koser, Christoph ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301101.

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2020Pricing inefficiencies and feedback trading: Evidence from country ETFs. (2020). Shao, Jia ; Pantelous, Athanasios A ; Liu, Fei ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301423.

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2020Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460.

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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.
[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]
article111
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]
article101
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]
article135
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]
article51
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]
article113
1990 Latent Assets. In: Journal of Finance.
[Full Text][Citation analysis]
article29
1990 Shareholder Preferences and Dividend Policy. In: Journal of Finance.
[Full Text][Citation analysis]
article79
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
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article163
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]
article432
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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paper7
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper34
2001Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 34
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]
paper50
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper5
2005Dollar Cost Averaging.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
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.
[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]
paper5
1991Contributing Shares In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2003The Dynamics of International Equity Market Expectations In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper45
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
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]
paper1
2000Dynamic Asset Allocation under Inflation In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper0
2003Risk and Valuation Under an Intertemporal In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper1
1995Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper128
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: 128
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]
article37
1976The Geometry of Separation and Myopia In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article8
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]
article74
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article129
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article59
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article76
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]
article30
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article193
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]
article35
1979A continuous time approach to the pricing of bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article165
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article24
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article71
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]
article49
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article175
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]
article131
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article445
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article311
1977Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article54
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]
article14
2001Stock price volatility and equity premium In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article83
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]
article152
1996Information, Trade, and Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]
article51
1978Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business.
[Full Text][Citation analysis]
article88
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]
article34
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]
article635
1989Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business.
[Full Text][Citation analysis]
article41
1990Arbitrage in Stock Index Futures. In: The Journal of Business.
[Full Text][Citation analysis]
article57
1998The Determinants of Average Trade Size. In: The Journal of Business.
[Full Text][Citation analysis]
article17
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 October, 6 2020. Contact: CitEc Team