Michael Brennan : Citation Profile


Are you Michael Brennan?

University of California-Los Angeles (UCLA)

33

H index

44

i10 index

3658

Citations

RESEARCH PRODUCTION:

59

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 87
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 211.    Total self citations: 13 (0.35 %)

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   Permalink: http://citec.repec.org/pbr614
   Updated: 2017-04-29    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)

Wang, Neng (19)

Warnock, Francis (19)

Prigent, Jean-Luc (17)

Campbell, John (16)

Pindyck, Robert (15)

van Wincoop, Eric (14)

Cites to:

Fama, Eugene (23)

French, Kenneth (21)

Stambaugh, Robert (16)

Campbell, John (14)

Subrahmanyam, Avanidhar (11)

Shanken, Jay (10)

Bekaert, Geert (9)

Lo, Andrew (8)

Mehra, Rajnish (8)

Hodrick, Robert (7)

Cochrane, John (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 (2017 and 2016)


YearTitle of citing document
2016The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands. (2016). Insley, Margaret ; Almansour, Abdullah . In: The Energy Journal. RePEc:aen:journl:ej37-2-insley.

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2016Accelerated Depreciation, Default Risk and Investment Decisions. (2016). Panteghini, Paolo ; Vergalli, Sergio . In: ET: Economic Theory. RePEc:ags:feemet:232220.

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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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2016Indifference pricing for Contingent Claims: Large Deviations Effects. (2016). Spiliopoulos, Konstantinos ; Robertson, Scott . In: Papers. RePEc:arx:papers:1410.0384.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1601.04210.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945.

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2016Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (2016). Sevcovic, Daniel ; Stehlikova, Beata ; Buckova, Zuzana . In: Papers. RePEc:arx:papers:1607.04968.

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2016Optimal Switching under Ambiguity and Its Applications in Finance. (2016). Shigeta, Yuki. In: Papers. RePEc:arx:papers:1608.06045.

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2016Securities Lending Strategies, Valuation of Term Loans using Option Theory. (2016). Kashyap, Ravi . In: Papers. RePEc:arx:papers:1609.01274.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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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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2016Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading. (2016). Dumitrescu, Ariadna ; Caballe, Jordi. In: Working Papers. RePEc:bge:wpaper:911.

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2016The Impact of Cross-Listing on the Home Markets Information Environment and Stock Price Efficiency. (2016). Dodd, Olga ; Gilbert, Aaron . In: The Financial Review. RePEc:bla:finrev:v:51:y:2016:i:3:p:299-328.

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2016REPATRIATION OF DEBT IN THE EURO CRISIS. (2016). Sauré, Philip ; Saure, Philip . In: Journal of the European Economic Association. RePEc:bla:jeurec:v:14:y:2016:i:1:p:145-174.

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2016Accelerated Depreciation, Default Risk and Investment Decisions. (2016). Panteghini, Paolo ; Vergalli, Sergio . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5713.

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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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2016Investor-Stock Decoupling in Mutual Funds. (2016). Matos, Pedro Pinto ; Ferreira, Miguel ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11476.

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2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion. (2016). Gonzalo, Jesus ; Olmo, Jose . In: UC3M Working papers. Economics. RePEc:cte:werepe:23599.

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2016Determinants of Trade Credit: A Preliminary Analysis on Construction Sector. (2016). Bărbuţă-Mişu, Nicoleta ; Barbuta-Misu, Nicoleta ; Deari, Fitim . In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2016:p:306-314.

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2016Impact of the NYSE Shocks on the European Developed Capital Markets. (2016). Stefanescu, Razvan ; Dumitriu, Ramona . In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2016:p:327-334.

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2016Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment. (2016). Ahn, Cumhur ; Altay, Huseyin . In: Eurasian Business & Economics Journal. RePEc:eas:buseco:v:4:y:2016:i:4:p:52-67.

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

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2016Stock Price Volatility and Role of Dividend Policy: Empirical Evidence from Pakistan. (2016). Noreen, Umara ; Shah, Syed Akif . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-14.

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2016Forecasting the term structure of crude oil futures prices with neural networks. (2016). Baruník, Jozef ; Malinska, Barbora ; Barunik, Jozef . In: Applied Energy. RePEc:eee:appene:v:164:y:2016:i:c:p:366-379.

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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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2016Captive finance and firms competitiveness. (2016). Simonov, Andrei ; O'Brien, William ; Bodnaruk, Andriy . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:210-228.

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2016Convertible bond announcement effects: Why is Japan different?. (2016). Dutordoir, Marie ; Verwijmeren, Patrick ; Liu, Frank Hong . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:76-92.

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2016Proximity and IPO underpricing. (2016). Wojcik, Dariusz . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:92-105.

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2016Executives horizon, internal governance and stock market liquidity. (2016). Jain, Pawan ; Mekhaimer, Mohamed ; Jiang, Christine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:1-23.

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2016When cutting dividends is not bad news: The case of optional stock dividends. (2016). Ginglinger, Edith ; David, Thomas . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:174-191.

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2016Managerial professional connections versus political connections: Evidence from firms access to informal financing resources. (2016). Liu, Qigui ; Tian, Gary Gang ; Luo, Jinbo . In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:179-200.

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2016Causal effect of analyst following on corporate social responsibility. (2016). Adhikari, Binay K. In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:201-216.

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2016Capital structure pre-balancing: Evidence from convertible bonds. (2016). Rastad, Mahdi . In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:43-65.

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2016Trade credit provision and national culture. (2016). el Ghoul, Sadok ; Zheng, Xiaolan . In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:475-501.

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2016Bargaining power and trade credit. (2016). Fabbri, Daniela ; Klapper, Leora F. In: Journal of Corporate Finance. RePEc:eee:corfin:v:41:y:2016:i:c:p:66-80.

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2016Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry. (2016). Lasserre, Pierre ; ben Abdallah, Skander . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:144-164.

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2016Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177.

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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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2016Optimal positioning in financial derivatives under mixture distributions. (2016). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania ; Hentati-Kaffel, R. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:115-124.

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2016Reducible diffusions with time-varying transformations with application to short-term interest rates. (2016). Hadri, Kaddour ; Cheng, Jie ; Bu, Ruijun . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:266-277.

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2016Equilibrium of financial derivative markets under portfolio insurance constraints. (2016). Prigent, Jean-Luc ; BERTRAND, Philippe. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:278-291.

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2016Generalized asset pricing: Expected Downside Risk-based equilibrium modeling. (2016). Ormos, Mihály ; Timotity, Dusan . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:967-980.

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2016Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.

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2016Can consumer price index predict gold price returns?. (2016). Sharma, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:269-278.

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2016Structured products under generalized kappa ratio. (2016). Hentati-Kaffel, Rania . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:599-614.

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2016Environmental finance: A research agenda for interdisciplinary finance research. (2016). Linnenluecke, Martina K ; McKnight, Brent ; Smith, Tom . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:124-130.

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2017Is the price of gold to gold mining stocks asymmetric?. (2017). Batten, Jonathan A ; 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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2016The revision frequency of earnings forecasts and firm characteristics. (2016). Chan, Chia Ying ; Lo, Huai-Chun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:116-132.

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2016Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity. (2016). Hooy, Chee-Wooi ; Lim, Kian-Ping ; Brooks, Robert ; Chang, Kwok-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:1-28.

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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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2016A dynamic program for valuing corporate securities. (2016). Fakhfakh, Tarek ; Ayadi, Mohamed A ; Ben-Ameur, Hatem . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:751-770.

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2016Optimal switching decisions under stochastic volatility with fast mean reversion. (2016). Tsekrekos, Andrianos ; Yannacopoulos, Athanasios N. In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:148-157.

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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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2016The price impact of futures trades and their intraday seasonality. (2016). Webb, Robert I ; Han, Joongho ; Ryu, Doowon . In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:80-98.

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2016Conditional portfolio allocation: Does aggregate market liquidity matter?. (2016). Bazgour, Tarik ; Sougne, Danielle . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:110-135.

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2016Anticipatory effects in the FTSE 100 index revisions. (2016). Fernandes, Marcelo ; Mergulho, Joo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:79-90.

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2016Free float and market liquidity around the world. (2016). Ding, Xiaoya ; Ni, Yang ; Zhong, Ligang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:236-257.

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2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2016). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, Ke. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639.

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2016The exact discretisation of CARMA models with applications in finance. (2016). Thornton, Michael ; Chambers, Marcus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:739-761.

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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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2016Convenience yield in commodity price modeling: A regime switching approach. (2016). Almansour, Abdullah . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:238-247.

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2016Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk. (2016). Kang, Sang Baum ; Letourneau, Pascal . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:96-107.

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2016Volatility in electricity derivative markets: The Samuelson effect revisited. (2016). Jaeck, Edouard ; Lautier, Delphine . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:300-313.

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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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2016Innovation subsidies versus consumer subsidies: A real options analysis of solar energy. (2016). Zilberman, David ; Rausser, Gordon ; Torani, Kiran . In: Energy Policy. RePEc:eee:enepol:v:92:y:2016:i:c:p:255-269.

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2016Green electricity investment timing in practice: Real options or net present value?. (2016). Molnár, Peter ; Fleten, Stein-Erik ; Stein- Erik Fleten, ; Linnerud, Kristin ; Molnar, Peter ; Nygaard, Maria Tandberg . In: Energy. RePEc:eee:energy:v:116:y:2016:i:p1:p:498-506.

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2016Price discovery of cross-listed firms. (2016). Ghadhab, Imen ; Hellara, Slaheddine . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:177-188.

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2016Ownership, analyst coverage, and stock synchronicity in China. (2016). Johansson, Anders ; Feng, Xunan ; Hu, NA. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:79-96.

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2016Analyst coverage: Does the listing location really matter?. (2016). , Omaima . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:227-236.

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2016Voluntary profit forecast disclosures, IPO pricing revisions and after-market earnings drift. (2016). McGuinness, Paul B. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:70-83.

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2016A quantum derivation of a reputational risk premium. (2016). Vizcaino-Gonzalez, Marcos ; Pineiro-Chousa, Juan . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:304-309.

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2016Herd behavior and equity market liquidity: Evidence from major markets. (2016). Spyrou, Spyros ; Krokida, Styliani-Iris ; Galariotis, Emilios C. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:140-149.

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2016On the intensity of liquidity spillovers in the Eurozone. (2016). Smimou, K ; Khallouli, W. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:388-405.

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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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2016Performance-based bonuses for investment and abandonment decisions. (2016). Kim, Hwa-Sung . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:120-126.

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2016Stock price synchronicity and information disclosure: Evidence from an emerging market. (2016). Farooq, Omar ; Hamouda, Moataz . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:250-254.

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2016Valuing resettable convertible bonds: Based on path decomposing. (2016). Huang, Bing-Hua ; Feng, Yun . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:279-290.

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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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2016Dissecting the bond profitability premium. (2016). Campbell, Colin T ; Petkevich, Alex ; Chichernea, Doina C. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:102-131.

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2016Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?. (2016). Ulku, Numan ; Fatullayev, Sabutay ; Diachenko, Daria . In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:28-54.

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2016Liquidity cost vs. real investment efficiency. (2016). Bade, Marco ; Hirth, Hans . In: Journal of Financial Markets. RePEc:eee:finmar:v:28:y:2016:i:c:p:70-90.

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2016Stock returns and economic forces—An empirical investigation of Chinese markets. (2016). Chiang, Thomas C ; Chen, Xiaoyu . In: Global Finance Journal. RePEc:eee:glofin:v:30:y:2016:i:c:p:45-65.

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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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2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (2016). Song, Andrew ; Ignatieva, Katja ; Ziveyi, Jonathan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:286-300.

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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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2016Do gold prices cause production costs? International evidence from country and company data. (2016). Oconnor, Fergal A ; Baur, Dirk G ; Lucey, Brian M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:186-196.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2016Flight-to-quality and correlation between currency and stock returns. (2016). Kim, Woojin ; Cho, Jin-Wan ; Choi, Joung Hwa . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:191-212.

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2016Transaction costs, liquidity risk, and the CCAPM. (2016). Liu, Wei Min ; Zhao, Huainan ; Luo, DI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:63:y:2016:i:c:p:126-145.

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2016Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?. (2016). faff, robert ; Isshaq, Zangina . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:153-161.

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2016An index-based measure of liquidity. (2016). Chacko, George ; Das, Sanjiv . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:162-178.

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2016Long-term industry reversals. (2016). Mazouz, Khelifa ; Wu, Yuliang . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:236-250.

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2016The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds. (2016). Black, Jeffrey R ; Yadav, Pradeep K ; Stock, Duane . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:119-132.

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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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article7
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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article0
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.
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article0
1977The Valuation of American Put Options. In: Journal of Finance.
[Full Text][Citation analysis]
article82
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]
article83
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]
article114
1980 Conditional Predictions of Bond Prices and Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article6
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]
article39
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]
article92
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]
article11
1988 Vendor Financing. In: Journal of Finance.
[Full Text][Citation analysis]
article82
1990 Latent Assets. In: Journal of Finance.
[Full Text][Citation analysis]
article26
1990 Shareholder Preferences and Dividend Policy. In: Journal of Finance.
[Full Text][Citation analysis]
article54
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
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article107
1993 Brokerage Commission Schedules. In: Journal of Finance.
[Full Text][Citation analysis]
article13
1997 International Portfolio Investment Flows. In: Journal of Finance.
[Full Text][Citation analysis]
article343
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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paper5
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper29
2001Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 29
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]
paper41
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper3
2005Dollar Cost Averaging.(2005) In: Review of Finance.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]
paper36
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
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.
[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]
paper0
1995Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper68
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: 68
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]
article33
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]
article51
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article107
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article48
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article65
1985On the Geometric Mean Index: A Note In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article1
1971Capital Market Equilibrium with Divergent Borrowing and Lending Rates In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article21
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article159
2003Corporate investment policy In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter1
2005tays as good as cay In: Finance Research Letters.
[Full Text][Citation analysis]
article30
1979A continuous time approach to the pricing of bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article138
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article9
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article54
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]
article33
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article111
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]
article99
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article319
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article194
1977Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article41
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]
article11
2001Stock price volatility and equity premium In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article74
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]
article104
1996Information, Trade, and Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]
article37
1978Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business.
[Full Text][Citation analysis]
article59
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]
article25
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]
article457
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]
article35
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 April, 6 2017. Contact: CitEc Team