Michael Brennan : Citation Profile

Are you Michael Brennan?

University of California-Los Angeles (UCLA)

37

H index

46

i10 index

6304

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 150
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 255.    Total self citations: 13 (0.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr614
   Updated: 2024-11-04    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

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)

Rey, Helene (23)

Lo, Andrew (23)

Renneboog, Luc (22)

Sarkar, Asani (21)

Detemple, Jerome (21)

Prigent, Jean-Luc (20)

Warnock, Francis (20)

Wang, Neng (19)

Cites to:

Fama, Eugene (24)

French, Kenneth (23)

Campbell, John (19)

Stambaugh, Robert (18)

Shanken, Jay (12)

Subrahmanyam, Avanidhar (12)

merton, robert (11)

Constantinides, George (9)

Mehra, Rajnish (9)

Bekaert, Geert (9)

Lo, Andrew (9)

Main data

Where Michael Brennan has published?

Journals with more than one article published# docs
Journal of Finance19
Journal of Financial and Quantitative Analysis11
Journal of Financial Economics10
The Journal of Business6
The 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 (2024 and 2023)

YearTitle of citing document
2024Information Acquisition and Individual Investors’ Trading Behavior. (2024). Shen, Kailing ; Luo, Ronghua ; Li, Yaling. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-698.

Full description at Econpapers || Download paper

2024Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature. (2024). Singh, Prof Bhartendu ; Kumar, Gaurav. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:29-42.

Full description at Econpapers || Download paper

2024Leave-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.

Full description at Econpapers || Download paper

2024Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

Full description at Econpapers || Download paper

2024Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

Full description at Econpapers || Download paper

2024Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

Full description at Econpapers || Download paper

2024Power 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Simultaneous 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Equilibrium with Heterogeneous Information Flows. (2023). Robertson, Scott. In: Papers. RePEc:arx:papers:2304.01272.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Liquidity 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Portfolio 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.

Full description at Econpapers || Download paper

2024Thieles 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.

Full description at Econpapers || Download paper

2024Monte 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

Full description at Econpapers || Download paper

2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

Full description at Econpapers || Download paper

2024A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303.

Full description at Econpapers || Download paper

2024Asset management with an ESG mandate. (2024). Stocco, Davide ; Barucci, Emilio ; Azzone, Michele. In: Papers. RePEc:arx:papers:2403.11622.

Full description at Econpapers || Download paper

2024On Mertons Optimal Portfolio Problem under Sporadic Bankruptcy. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2403.15923.

Full description at Econpapers || Download paper

2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024Financial debt contracting and managerial agency problems. (2024). Imbierowicz, Bjorn ; Streitz, Daniel. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:99-118.

Full description at Econpapers || Download paper

2023The 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.

Full description at Econpapers || Download paper

2023Capital 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.

Full description at Econpapers || Download paper

2023Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023TEST OF ARBITRAGE PRICING THEORY ON STOCK INDICES: AN EMPIRICAL STUDY ON BIST100. (2023). Amadou, Cisse Boubacar ; Veli, Akel. In: Revista Economica. RePEc:blg:reveco:v:75:y:2023:i:1:p:7-18.

Full description at Econpapers || Download paper

2024Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064.

Full description at Econpapers || Download paper

2023An 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Predictability of crypto returns: The impact of trading behavior. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266.

Full description at Econpapers || Download paper

2023Company name fluency and stock returns. (2023). , Remco ; van den Assem, Martijn J ; Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000333.

Full description at Econpapers || Download paper

2023Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?. (2023). Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000485.

Full description at Econpapers || Download paper

2023CEO-director ties and board gender diversity: US evidence. (2023). Nguyen, Lan Anh ; Khedmati, Mehdi ; Luong, Hoa ; Shams, Syed ; Ovi, Nafisa Zabeen ; Nigmonov, Asror. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:40:y:2023:i:c:s2214635023000758.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Covenants in convertible bonds: Boon or boilerplate?. (2023). Zeng, Cheng ; Xu, Alice Liang ; Pappas, Kostas ; Dutordoir, Marie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300041x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Tu, Jun ; Sang, BO ; Guo, LI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

Full description at Econpapers || Download paper

2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

Full description at Econpapers || Download paper

2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs. (2024). Yoon, Ji-Hun ; Shin, Yong Hyun ; Kim, Donghyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300181x.

Full description at Econpapers || Download paper

2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

Full description at Econpapers || Download paper

2024Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy. (2024). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000688.

Full description at Econpapers || Download paper

2024Financially adaptive clinical trials via option pricing analysis. (2024). Lo, Andrew W ; Chaudhuri, Shomesh E. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s030440762030364x.

Full description at Econpapers || Download paper

2023What explains equity home bias? Theory and evidence at the sector level. (2023). Hu, Chenyue. In: European Economic Review. RePEc:eee:eecrev:v:160:y:2023:i:c:s0014292123002131.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Stock liquidity and investment efficiency: Evidence from the split-share structure reform in China. (2023). Im, Hyun Joong ; Selvam, Srinivasan ; Yan, William Ming. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000511.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Social capital and the pricing of initial public offerings. (2023). Goyal, Abhinav ; Duong, Huu Nhan ; Chen, Yangyang ; Veeraraghavan, Madhu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000762.

Full description at Econpapers || Download paper

2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

Full description at Econpapers || Download paper

2024Tail risks and private equity performance. (2024). Markarian, Garen ; Kurtovi, Hrvoje. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300124x.

Full description at Econpapers || Download paper

2023A dynamic analysis of the neglected firm effect. (2023). Zheng, Min ; Andrikopoulos, Athanasios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003799.

Full description at Econpapers || Download paper

2023Disproportional control rights and debt maturity. (2023). Jin, Jiaxu ; Jiang, Wei ; Gao, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003842.

Full description at Econpapers || Download paper

2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

Full description at Econpapers || Download paper

2023Dividend change announcements, ROE, and the cost of equity capital. (2023). Sheng, Hainan ; Dempsey, Stephen J. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000224.

Full description at Econpapers || Download paper

2023Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492.

Full description at Econpapers || Download paper

2023Do shareholders really matter for firm performance? Evidence from the ownership characteristics of Italian listed companies. (2023). Negri, Giulia ; Gigante, Gimede ; Chiarella, Carlo ; Gatti, Stefano ; Caselli, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000601.

Full description at Econpapers || Download paper

2023Investor propensity to speculate and price delay in emerging markets. (2023). Peng, Shu-Cing ; Hsin, Chin-Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300073x.

Full description at Econpapers || Download paper

2023Nonlinear market liquidity: An empirical examination. (2023). Uribe, Jorge ; Chuliá, Helena ; Mosquera-Lopez, Stephania ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000480.

Full description at Econpapers || Download paper

2023Opportunism, overconfidence and irrationality: A puzzling triad. (2023). Eshraghi, Arman ; Holmes, Phil ; Amini, Shima ; Altanlar, Ali. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s105752192300159x.

Full description at Econpapers || Download paper

2023Price limit performance: New evidence from a quasi-natural experiment in Chinas ChiNext market. (2023). Tang, Siyuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002636.

Full description at Econpapers || Download paper

2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

Full description at Econpapers || Download paper

2023The bright side of analyst coverage on corporate innovation: Evidence from China. (2023). Wang, Yiru ; Zhang, Ping. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003071.

Full description at Econpapers || Download paper

2023Payout policy around the world. (2023). Tigero, Tamara ; Rubio, German ; Braun, Matias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003174.

Full description at Econpapers || Download paper

2023Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320.

Full description at Econpapers || Download paper

2023Foreign investment and information quality – A quasi-experiment from China. (2023). Liao, Yunxiang ; Zhang, Liguang ; Hu, Ning ; Wang, Yunchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003125.

Full description at Econpapers || Download paper

2024Investor attention and market reactions to early announcements in mergers and acquisitions. (2024). Muradoglu, Yaz ; Peng, NI ; Xia, Chunling ; Qin, Huai. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005094.

Full description at Econpapers || Download paper

2024Share repurchase and financialization:Evidence from China. (2024). Ailikamujiang, Aimaitijiang ; Zheng, Shi ; Ren, HE. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000097.

Full description at Econpapers || Download paper

2024Risk factors disclosure and corporate philanthropy. (2024). Li, Peigong ; Wang, Zehao ; Zheng, Tianyu ; Sun, Xiaowei. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000486.

Full description at Econpapers || Download paper

2024Does investor attitude toward carbon neutrality affect stock returns in China?. (2024). Wei, Kai ; Lin, Boqiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001170.

Full description at Econpapers || Download paper

2024Volume and stock returns in the Chinese market. (2024). Ou, Qi-Lang ; Wen, Yi-Feng ; Zhou, Xin ; Fang, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001972.

Full description at Econpapers || Download paper

2024Does media coverage of firms environment, social, and governance (ESG) incidents affect analyst coverage and forecasts? A risk perspective. (2024). Li, April Zhichao ; He, Guanming. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002217.

Full description at Econpapers || Download paper

2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

Full description at Econpapers || Download paper

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]		article14
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]		article139
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]		article125
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]		article163
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]		article61
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]		article140
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]		article101
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
[Full Text][Citation analysis]		article192
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]		article561
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]		paper39
2001Assessing Asset Pricing Anomalies..(2001) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 39		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]		paper78
2005Dollar Cost Averaging In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper9
2005Dollar Cost Averaging.(2005) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		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]		paper58
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		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 nother 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]		article48
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]		article1
1978Necessary Conditions for Aggregation in Securities Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article11
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]		article92
1980Analyzing Convertible Bonds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article152
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article67
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article84
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]		article42
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article228
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]		article201
2012Sell-order liquidity and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article38
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article88
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article74
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article245
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]		article157
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article583
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article502
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]		article119
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: The Review of Financial Studies.
[Full Text][Citation analysis]		article220
1996Information, Trade, and Derivative Securities. In: The 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]		article129
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]		article47
1985Evaluating Natural Resource Investments. In: The Journal of Business.
[Full Text][Citation analysis]		article776
1989Portfolio Insurance and Financial Market Equilibrium. In: The Journal of Business.
[Full Text][Citation analysis]		article49
1990Arbitrage in Stock Index Futures. In: The Journal of Business.
[Full Text][Citation analysis]		article78
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team