Michael Brennan : Citation Profile

Are you Michael Brennan?

University of California-Los Angeles (UCLA)

36

H index

46

i10 index

6155

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 146
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 289.    Total self citations: 13 (0.21 %)

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   Permalink: http://citec.repec.org/pbr614
   Updated: 2023-11-04    RAS profile: 2023-03-16    
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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 (36)

Miao, Jianjun (30)

Lo, Andrew (23)

Renneboog, Luc (22)

Sarkar, Asani (21)

Detemple, Jerome (21)

Warnock, Francis (20)

Prigent, Jean-Luc (20)

Rey, Helene (20)

Wang, Neng (19)

Cites to:

Fama, Eugene (24)

French, Kenneth (23)

Campbell, John (18)

Stambaugh, Robert (18)

Shanken, Jay (12)

Subrahmanyam, Avanidhar (12)

merton, robert (11)

Lo, Andrew (9)

Mehra, Rajnish (9)

Constantinides, George (9)

Bekaert, Geert (9)

Main data

Where Michael Brennan has published?

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

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA15

Recent works citing Michael Brennan (2023 and 2022)

YearTitle of citing document
2022Examination of the Relationship between Stock Management and Profitability in Businesses: An Application on Borsa Istanbul Manufacturing Companies. (2022). Ari, Gizem ; Erturul, Ayegul. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:4:p:839-854.

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2022HOW DO THE MACROECONOMIC DETERMINANTS UNDERPIN THE CAPITAL MARKET DEVELOPMENT IN NORTH MACEDONIA?. (2022). Hristoski, Ilija ; Spaseska, Tatjana . In: Management and Marketing Journal. RePEc:aio:manmar:v:xx:y:2022:i:2:p:286-325.

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

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

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2022No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022.

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

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

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2023Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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

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2023Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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

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

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2022Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568.

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2022Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

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2022Deep learning and American options via free boundary framework. (2022). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2211.11803.

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2023Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift. (2023). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847.

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2023The Combinational Mutation Strategy of Differential Evolution Algorithm for Pricing Vanilla Options and Its Implementation on Data during Covid-19 Pandemic. (2023). Sumarti, Novriana ; Sidarto, Kuntjoro Adji ; Febrianti, Werry. In: Papers. RePEc:arx:papers:2301.09261.

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2023Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method. (2023). Wei, Dongming ; Amanbek, Yerlan ; Erlangga, Yogi ; Kazbek, Rakhymzhan. In: Papers. RePEc:arx:papers:2301.10734.

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2023Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Equilibrium with Heterogeneous Information Flows. (2023). Robertson, Scott. In: Papers. RePEc:arx:papers:2304.01272.

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2023Optimal control problems for stochastic processes with absorbing regime. (2023). Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2305.01490.

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2023Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539.

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2023Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2023A cohort-based Partial Internal Model for demographic risk. (2023). Savelli, Nino ; Clemente, Gian Paolo ; della Corte, Francesco. In: Papers. RePEc:arx:papers:2307.03090.

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2023Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results. (2023). Wunderlich, Ralf ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2308.02049.

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2023Thieles PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. (2023). Font, Oriol Zamora ; Ortiz-Latorre, Salvador ; Banos, David R. In: Papers. RePEc:arx:papers:2309.03541.

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2023Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2023On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets. (2023). Li, Guanglian ; Yang, Jiefei. In: Papers. RePEc:arx:papers:2309.08287.

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

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2022The features of equity capital increases by Italian corporates. (2022). Columba, Francesco ; Parlapiano, Fabio ; Palazzo, Francesco ; Orlando, Tommaso. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_709_22.

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2022Regulation?induced Disclosures: Evidence of Information Overload?. (2022). Renders, Annelies ; Paananen, Mari ; Impink, Joost. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:432-478.

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2023Multiple Large Shareholders and Financial Reporting Quality: Evidence from China. (2023). Chen, Zhanliao ; Han, Yadong ; Yuan, Rongli. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:197-229.

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2022CEO organizational identification and corporate innovation investment. (2022). Wang, Huaiming ; Tang, Xiaojian ; Du, Dongying ; Lin, Dongjie ; Tsui, Stephanie ; Zhang, Joseph H. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:4185-4217.

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2022Cost stickiness and stock price crash risk. (2022). Costa, Mabel D ; Habib, Ahsan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:4:p:4247-4278.

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2022Why do bank?affiliated mutual funds perform better in China?. (2022). Wu, Wenfeng ; Lv, Dayong ; Zhang, Haoyue. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:5:p:4755-4782.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2023Corporate green innovation and stock liquidity in China. (2023). Jiang, Kangqi ; Xiao, YU ; Chen, Zhongfei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1381-1415.

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

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

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2022Stock splits and retail trading. (2022). van Ness, Bonnie ; Cox, Justin. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:4:p:731-750.

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2022Equity analysts recommendation revisions and corporate bond price reactions. (2022). Do, Viet ; Wei, Xiaoting. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:4:p:669-687.

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

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

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

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2022Short selling and options trading: A tale of two markets. (2022). Harrison, David M ; Cashman, George D ; Sheng, Hainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:313-338.

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2022Bond covenants and investment policy. (2022). Docgne, Sandrine. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:3:p:551-578.

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2023Relative Valuation with Machine Learning. (2023). Lu, Helen ; Geertsema, Paul. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:1:p:329-376.

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2022Return predictability between industries and the stock market in China. (2022). Zhang, Gaiyan ; Tse, Yiuman. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:2:p:194-220.

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2022A model for wind farm management with option interactions. (2022). Rivera, Alejandro ; Chevalierroignant, Benoit ; Bensoussan, Alain. In: Production and Operations Management. RePEc:bla:popmgt:v:31:y:2022:i:7:p:2853-2871.

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2022INSIDER TRADING, STOCK VOLATILITY, AND MARKET LIQUIDITY IN THE KOREAN CAPITAL MARKET. (2022). Gyungmin, Pyo. In: Studies in Business and Economics. RePEc:blg:journl:v:17:y:2022:i:3:p:175-189.

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2022Accounting estimation intensity, analyst following, and earnings forecast properties. (2022). Raman, K K ; Khurana, Inder K ; Boone, Jeff P. In: Advances in accounting. RePEc:eee:advacc:v:59:y:2022:i:c:s0882611022000463.

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2022An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854.

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

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

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2023The asymmetric impact of economic policy uncertainty on global retail energy markets: Are the markets responding to the fear of the unknown?. (2023). Orji, Anthony ; Ojonta, Obed I ; Mba, Ifeoma C ; Ukwueze, Ezebuilo R ; Ogbuabor, Jonathan E. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000351.

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2022Carbon capture and storage investment strategy towards the dual carbon goals. (2022). Guo, Jian ; Ouyang, Yiling. In: Journal of Asian Economics. RePEc:eee:asieco:v:82:y:2022:i:c:s1049007822000835.

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

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

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

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2022What are the benefits of attracting gambling investors? Evidence from stock splits in China. (2022). Liu, Yu-Jane ; Lin, Ji-Chai ; Hu, Conghui. In: Journal of Corporate Finance. RePEc:eee:corfin:v:74:y:2022:i:c:s0929119922000426.

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2022Societal secrecy and IPO underpricing. (2022). Goyal, Abhinav ; Chui, Andy C. W. ; Chen, Yangyang ; Veeraraghavan, Madhu. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922001006.

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2022Contingent convertible bonds: Optimal call strategy and the impact of refinancing. (2022). Rossmann, Philipp ; Koziol, Christian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001201.

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2023Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651.

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2023The world cup in football and the US IPO market. (2023). Shekhar, Chander ; Lv, Jin Roc ; Fjesme, Sturla Lyngnes. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000597.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023The macroeconomic effects of business tax cuts with debt financing and accelerated depreciation. (2023). Occhino, Filippo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001207.

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

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

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2022Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Lo, Hsiang-Yu ; Hung, Pi-Hsia ; Lien, Donald. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912.

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2022Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility. (2022). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000973.

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2022The sentiment pricing dynamics with short-term and long-term learning. (2022). Li, Jinfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001474.

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2022Hedging the extreme risk of cryptocurrency. (2022). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001486.

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2022Heterogenous beliefs with sentiments and asset pricing. (2022). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001590.

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2022Common analyst links and predictable returns: Evidence from China. (2022). Guo, Shuxin ; Yi, Biao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s106294082200167x.

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2023Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x.

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

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2022The impact of policy, political and economic uncertainty on corporate capital investment in the emerging markets of Eastern Europe and Turkey. (2022). Azimli, Asil. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:2:s093936252200036x.

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

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2023Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792.

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

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2022Insider trading and information asymmetry: Evidence from the Korea Exchange. (2022). Yu, Jinyoung ; Yang, Hee Jin ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000558.

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2022Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective. (2022). Wang, Gang-Jin ; Xie, Chi ; Ling, Yu-Xiu. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000292.

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2023Margin trading and spillover effects: Evidence from the Chinese stock markets. (2023). Ye, Qing ; Zhou, Shengjie. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000109.

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2022Organization capital and analyst coverage. (2022). Yang, Hsiao-Lin ; Wang, Yanzhi A ; Guo, Re-Jin J ; Chan, Konan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:81-105.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2023The contributions of betas versus characteristics to the ESG premium. (2023). Dam, Lammertjan ; Dalo, Ambrogio ; Ciciretti, Rocco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:104-124.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22.

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2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

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

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2022Optimal technology adoption for power generation. (2022). Detemple, Jerome ; De Temple, Jerome ; Kitapbayev, Yerkin. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002493.

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2022Jumps in commodity prices: New approaches for pricing plain vanilla options. (2022). Frau, Carme ; Crosby, John. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004315.

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2022Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact. (2022). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005242.

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2022Price leadership and asynchronous movements of multi-market listed stocks. (2022). Yuan, Yuan ; Tao, Ran ; Dzhambova, Krastina. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002866.

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2022The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070.

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2022Investment and access to external finance in Europe: Does analyst coverage matter?. (2022). Vaubourg, Anne-Gael ; Leroy, Aurelien ; Galanti, Sebastien. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000758.

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2022Earnings management and stock price crashes post U.S. cross-delistings. (2022). Silva, Sonia ; Loureiro, Gilberto. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001764.

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2022Cryptocurrency returns under empirical asset pricing. (2022). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001776.

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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.
[Full Text][Citation analysis]		article13
1972The Value of Perfect Market Forecasts in Portfolio Selection: Discussion. In: Journal of Finance.
[Citation analysis]		article0
1972Valuation and the Cost of Capital for Regulated Utilities: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1973An Approach to the Valuation of Uncertain Income Streams. In: Journal of Finance.
[Full Text][Citation analysis]		article1
1974An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1975Financial Models of Regulated Firms: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1977The Valuation of American Put Options. In: Journal of Finance.
[Full Text][Citation analysis]		article133
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]		article123
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]		article160
1980 Conditional Predictions of Bond Prices and Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article11
1981Empirical Tests of Multi-Factor Pricing Model: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1982 Regulation and Corporate Investment Policy. In: Journal of Finance.
[Full Text][Citation analysis]		article9
1984 Optimal Financial Policy and Firm Valuation. In: Journal of Finance.
[Full Text][Citation analysis]		article60
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]		article139
1990 Latent Assets. In: Journal of Finance.
[Full Text][Citation analysis]		article54
1990 Shareholder Preferences and Dividend Policy. In: Journal of Finance.
[Full Text][Citation analysis]		article98
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
[Full Text][Citation analysis]		article189
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]		article544
2004How Did It Happen? In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper17
2003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper10
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper37
2001Assessing Asset Pricing Anomalies..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 37		article
1997Stock Price Volatility, Learning, and the Equity Premium In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2005Option Pricing Kernels and the ICAPM In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
1993Agency and Asset Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper76
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper8
2005Dollar Cost Averaging.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
1995Convertible Bonds: Test of a Financial Signalling Model In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper1
2004International Capital Markets and Foreign Exchange Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper3
1998Resolution of a Financial Puzzle In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper7
1991Contributing Shares In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2003The Dynamics of International Equity Market Expectations In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper55
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		article
1997The Role of Learning in Dynamic Portfolio Decisions” In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper4
2000Dynamic Asset Allocation under Inflation In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper3
2003Risk and Valuation Under an Intertemporal In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper9
1995Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper215
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: 215		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]		article46
1976The Geometry of Separation and Myopia In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article9
1977Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
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]		article91
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article150
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article65
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article83
1985On the Geometric Mean Index: A Note In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article3
1971Capital Market Equilibrium with Divergent Borrowing and Lending Rates In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article41
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article222
2003Corporate investment policy In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]		chapter5
2005tays as good as cay In: Finance Research Letters.
[Full Text][Citation analysis]		article36
1979A continuous time approach to the pricing of bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article202
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article35
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article87
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article71
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article234
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]		article153
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article562
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article489
1977Savings bonds, retractable bonds and callable bonds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
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]		article16
2001Stock price volatility and equity premium In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article115
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]		article206
1996Information, Trade, and Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]		article74
1978Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure. In: The Journal of Business.
[Full Text][Citation analysis]		article128
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]		article46
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]		article766
1989Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business.
[Full Text][Citation analysis]		article48
1990Arbitrage in Stock Index Futures. In: The Journal of Business.
[Full Text][Citation analysis]		article77
1998The Determinants of Average Trade Size. In: The Journal of Business.
[Full Text][Citation analysis]		article26
2013Financing asset growth In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

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