Michael Brennan : Citation Profile

University of California-Los Angeles (UCLA)

37

H index

46

i10 index

6498

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 154
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 241.    Total self citations: 13 (0.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbr614
   Updated: 2026-01-03    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 (37)

Miao, Jianjun (30)

Lo, Andrew (23)

Rey, Helene (23)

Renneboog, Luc (22)

Detemple, Jerome (21)

Sarkar, Asani (21)

Warnock, Francis (20)

Prigent, Jean-Luc (20)

faff, robert (20)

Cites to:

Fama, Eugene (24)

French, Kenneth (23)

Campbell, John (19)

Stambaugh, Robert (18)

Subrahmanyam, Avanidhar (12)

Shanken, Jay (12)

merton, robert (11)

Mehra, Rajnish (9)

Lo, Andrew (9)

Bekaert, Geert (9)

Constantinides, George (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 (2025 and 2024)

YearTitle of citing document
2024The Impact of Market Liquidity on The Stock Returns During the COVID-19 Outbreak: New Evidence from Vietnam. (2024). Thanh, Hai Phan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:28:y:2024:i:1:p:75-95.

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

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

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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.

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2024Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options. (2024). Choi, Jaehyuk ; Woo, Jeechul ; Liu, Chenru. In: Papers. RePEc:arx:papers:1810.02071.

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

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

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

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2024Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift. (2024). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847.

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2024Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks. (2024). Langren, Nicolas ; Wu, Jiahao ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity. (2024). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2024Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results. (2024). Wunderlich, Ralf ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2308.02049.

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2024Thieles PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. (2024). Ortiz-Latorre, Salvador ; Font, Oriol Zamora ; Banos, David R. In: Papers. RePEc:arx:papers:2309.03541.

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2024Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2024). Leung, Tim ; Lu, Kevin W. In: Papers. RePEc:arx:papers:2309.05512.

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

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2024Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors. (2024). Yu, Xiang ; Wang, Wenyuan ; Yan, Kaixin. In: Papers. RePEc:arx:papers:2401.14672.

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2025A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2403.06303.

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

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

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2024On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework. (2024). Colaneri, Katia ; Oliva, Immacolata ; Mancinelli, Daniele. In: Papers. RePEc:arx:papers:2407.21148.

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2024Asset pricing under model uncertainty with finite time and states. (2024). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2408.13048.

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2024A functional variational approach to pricing path dependent insurance policies. (2024). Ortiz-Latorre, Salvador ; Font, Oriol Zamora ; Banos, David R. In: Papers. RePEc:arx:papers:2409.00780.

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2025Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation. (2025). Liu, YU ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2409.06496.

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2024Dynamic Factor Allocation Leveraging Regime-Switching Signals. (2024). Mulvey, John M ; Shu, Yizhan. In: Papers. RePEc:arx:papers:2410.14841.

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2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

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2024Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints. (2024). Yu, Xiang ; Yan, Kaixin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2411.13579.

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2025Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum. (2025). Ferreira, William ; Li, Linze. In: Papers. RePEc:arx:papers:2501.07135.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks. (2025). Gueiros, Joao Felipe ; Chandravamsi, Hemanth ; Frankel, Steven H. In: Papers. RePEc:arx:papers:2504.20088.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy. (2025). Haboub, Ahmad ; Kartsaklas, Aris ; Sarafidis, Vasilis. In: Papers. RePEc:arx:papers:2506.00206.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025A study about who is interested in stock splitting and why: considering companies, shareholders or managers. (2025). Chen, Jiaquan Nicholas ; Ausloos, Marcel. In: Papers. RePEc:arx:papers:2510.15879.

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2025Exact Terminal Condition Neural Network for American Option Pricing Based on the Black-Scholes-Merton Equations. (2025). Lu, Benzhuo ; Zhang, Wenxuan ; Guo, Yixiao. In: Papers. RePEc:arx:papers:2510.27132.

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2025Robust distortion risk metrics and portfolio optimization. (2025). Vanduffel, Steven ; Liu, Peng ; Xia, YI. In: Papers. RePEc:arx:papers:2511.08662.

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2025Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information. (2025). Colaneri, Katia ; Mancinelli, Daniele ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2511.19186.

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2025Is there a tech bubble in the US stock market? Evidence from an agnostic valuation procedure. (2025). Albori, Marco ; Taboga, Marco ; Landi, Valerio Nispi. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_975_25.

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2024PEnvironmental Preferences and Sector Valuations. (2024). Stalla-Bourdillon, Arthur ; Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:964.

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2025Foreign Eyes on Wall Street: Investor Attention and U.S. Stock Reactions. (2025). Talavera, Oleksandr ; Nikolsko-Rzhevskyy, Alex ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:25-02.

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2025The speed premium: high-frequency trading and the cost of capital. (2025). Aquilina, Matteo ; Rzayev, Khaladdin ; Ibikunle, Gbenga ; Wang, Xuesi. In: BIS Working Papers. RePEc:bis:biswps:1290.

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2024The flow‐performance puzzle: Insights from passive and active ETFs. (2024). Yousefi, Hamed ; Najand, Mohammad ; Sun, Licheng. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3623-3656.

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2024An examination of the characteristics versus covariance debate for contemporary asset‐pricing models: Australian evidence. (2024). Gray, Philip ; Limkriangkrai, Manapon ; Xu, Wenyuan. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3781-3802.

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2024Does geographic or market proximity matter? Evidence from institutional investor monitoring on earnings attributes in US cross‐listed stocks. (2024). Kang, Sanggyu ; Chung, Chune Young ; Fard, Amirhossein. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:443-469.

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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.

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2024The Dark Side of Circuit Breakers. (2024). Xing, Hao ; Wang, Jiang ; Petukhov, Anton ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1405-1455.

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2024Insurance–finance arbitrage. (2024). Artzner, Philippe ; Schmidt, Thorsten ; Eisele, Karltheodor. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

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2025Liquidity, monetary policy and the commodity futures market. (2025). Banti, Chiara ; Kellard, Neil ; Ivan, Miruna-Daniela. In: Bank of England working papers. RePEc:boe:boeewp:1114.

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2024Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels. (2024). Caporale, Guglielmo Maria ; Menla-Ali, Faek. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11337.

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2025A New Era of Entrepreneurial Finance? Venture Tokenization and Public Markets for Startups. (2025). Momtaz, Paul P ; Fuchs, Johannes. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11760.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2025Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:827.

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

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2024Cross-Sectionnal Patterns in Moroccan Sock Returns: A Fama-French Perspective. (2024). Benfeddoul, Safae ; Taib, Asmaaa Alaoui. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-06-20.

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2024Targeting behavior and capital structure theories: An empirical analysis of gulf cooperation council countries. (2024). Sunitha, K. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000595.

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2025The impact of loosening regulatory requirements on firm innovation: Evidence from SEC rule 12h-6. (2025). Wang, Kun Tracy ; Zhu, Nathan Zhenghang. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:3:s0890838924001987.

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2024Does cross-border investment improve mutual fund performance? Evidence from China. (2024). Wang, Zhibin ; Zhao, Xueqing ; Han, Han. In: China Economic Review. RePEc:eee:chieco:v:86:y:2024:i:c:s1043951x24000750.

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2024Signaling through timing of stock splits. (2024). Iannino, Maria Chiara ; Zhuk, Sergey ; Zhang, Min. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000725.

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2024Underwriter incentives and IPO pricing. (2024). Espenlaub, Susanne ; Saadouni, Brahim ; Mohamed, Abdulkadir. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000877.

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2025The stock market reaction to bond refinancing issues with and without senior debt. (2025). Ngo, Thanh ; Grossmann, Axel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000148.

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2025Real options and CEO social connections: The role of financial flexibility. (2025). Hasan, Md Nazmul ; Garca-Feijo, Luis ; Rajkovic, Tijana. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000173.

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2025Financial distress and return: A finite mixture approach. (2025). Cheng, Zhuo ; Fang, Jing. In: Journal of Corporate Finance. RePEc:eee:corfin:v:92:y:2025:i:c:s0929119925000471.

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2025News-driven peer co-movement in crypto markets. (2025). Zheng, H ; Schwenkler, G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000409.

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2025Subsidizing uncertain investments: The role of production technology and imprecise learning. (2025). Grell, Kevin Berg ; Flor, Christian Riis. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925000975.

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

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2024Pairs trading with costly short-selling. (2024). Xu, Jing ; Yang, Peiquan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001337.

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2024Information matters: The effectiveness of mixed-ownership reform in mitigating financial constraints. (2024). Zhou, Zhou ; Qiu, Yitian ; Dang, Jingqi ; Tu, Bingqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:1115-1132.

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2025Impact of business environment uncertainty on ESG performance from the perspective of resource supply and demand based on ESG performance. (2025). Deng, Wei ; Hualiang, WU ; Zhou, Wei ; Jiang, Lisha. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1012-1030.

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2025Firm-level perception of uncertainty, risk aversion, and corporate real estate investment: Evidence from Chinas listed firms. (2025). Zhang, Fan ; Yuan, Yue ; Mao, Fengfu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1428-1441.

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

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2025The momentum life cycle re-examined: Using incongruent value-growth to identify the momentum stage of stocks. (2025). Forner, Carlos. In: Economic Modelling. RePEc:eee:ecmode:v:149:y:2025:i:c:s026499932500104x.

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

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

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

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2025Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment. (2025). Cao, Jiling ; Kim, Jeong-Hoon ; Liu, Wenqiang ; Zhang, Wenjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002833.

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2025Pricing of American timer options. (2025). Kim, Donghyun ; Ha, Mijin ; Yoon, Ji-Hun ; Park, Sangmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500049x.

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

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2024Expectations, sentiments and capital flows to emerging market economies. (2024). Boonman, Tjeerd ; Beckmann, Joscha ; Schreiber, Sven. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000670.

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

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2024Information acquisition and processing skills of institutions and retail investors around information shocks. (2024). Tsai, Shih-Chuan ; Fung, Scott ; Obaid, Khaled. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000306.

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2024The value of information in China’s connected market. (2024). Wang, Yuehan ; Chen, Keqi ; Zhu, Xiaoquan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000616.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?. (2024). Veld, Chris ; Shemesh, Joshua ; Dutordoir, Marie ; Wang, Qing. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000926.

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2024Trading volume shares and market quality: Pre- and post- zero commissions. (2024). O'Donoghue, Shawn M ; Zhao, LE ; Jain, Pankaj K ; Mishra, Suchismita. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000987.

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2024Who can benefit from multi-license oil concessionaires valuation?. (2024). Ventura, Marco ; Oliva, I. In: Energy Economics. RePEc:eee:eneeco:v:135:y:2024:i:c:s0140988324003487.

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2025Do energy transition investment flows aid climate commitments?. (2025). Dunbar, Kwamie ; Treku, Daniel N. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008727.

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2025Investment, Tobin’s q, and the stochastic price of fossil fuel. (2025). Zhao, Pengxiang ; Yang, Jinqiang ; Peng, Juan. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325003779.

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

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

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

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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.

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

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

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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.

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2024Convertible bond maturity and debt overhang. (2024). Xia, Xin ; Xu, Wenyang ; Gan, Liu ; Zhang, Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003429.

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2024Shared analyst coverage, 52-week high, and cross-firm return predictability. (2024). Lin, Mei-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003806.

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2024Stock Liquidity Sidedness and Share Repurchase. (2024). Boubaker, Sabri ; Liu, Yifan ; Eshraghi, Arman. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004009.

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2024Crowd-sourced CEO approval and turnover. (2024). Park, Kwangwoo ; Jimmy, Ji Yeol ; Chang, Sea-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005192.

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2025Market impact of the bitcoin ETF introduction on bitcoin futures. (2025). Xu, KE ; Chen, Yu-Lun ; Yang, Jimmy J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007427.

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2025Data elements and corporate stock dividends: A quasi-natural experiment based on government data openness. (2025). Zhang, Lin ; Shan, Junhui ; Wang, Junkai. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007786.

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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]		article16
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]		article148
1977Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion. In: Journal of Finance.
[Full Text][Citation analysis]		article131
1979The Pricing of Contingent Claims in Discrete Time Models. In: Journal of Finance.
[Full Text][Citation analysis]		article165
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]		article63
1987 Efficient Financing under Asymmetric Information. In: Journal of Finance.
[Full Text][Citation analysis]		article148
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]		article102
1991 Stock Prices and the Supply of Information. In: Journal of Finance.
[Full Text][Citation analysis]		article200
1993 Brokerage Commission Schedules. In: Journal of Finance.
[Full Text][Citation analysis]		article16
1997 International Portfolio Investment Flows. In: Journal of Finance.
[Full Text][Citation analysis]		article583
2004How Did It Happen? In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper18
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]		paper11
1999Assessing Assets Pricing Anomalies In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper40
2001Assessing Asset Pricing Anomalies..(2001) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 40		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]		paper81
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]		paper62
2005The dynamics of international equity market expectations.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		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]		paper221
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: 221		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]		article155
1981Optimal Portfolio Insurance In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article68
1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article86
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]		article43
1997Strategic asset allocation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article236
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]		article42
1986A theory of price limits in futures markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article90
1988Stock splits, stock prices, and transaction costs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article78
1995Investment analysis and price formation in securities markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article258
1976The pricing of equity-linked life insurance policies with an asset value guarantee In: Journal of Financial Economics.
[Full Text][Citation analysis]		article167
1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article604
1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article514
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]		article120
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]		article230
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]		article132
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]		article797
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]		article79
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 December, 22 2025. Contact: CitEc Team