Michael Brennan : Citation Profile

University of California-Los Angeles (UCLA)

37

H index

46

i10 index

6386

Citations

RESEARCH PRODUCTION:

56

Articles

18

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   42 years (1971 - 2013). See details.
   Cites by year: 152
   Journals where Michael Brennan has often published
   Relations with other researchers
   Recent citing documents: 160.    Total self citations: 13 (0.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbr614
   Updated: 2025-04-19    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)

Rey, Helene (23)

Renneboog, Luc (22)

Detemple, Jerome (21)

Sarkar, Asani (21)

Prigent, Jean-Luc (20)

Warnock, Francis (20)

faff, robert (19)

Cites to:

Fama, Eugene (24)

French, Kenneth (23)

Campbell, John (19)

Stambaugh, Robert (18)

Subrahmanyam, Avanidhar (12)

Shanken, Jay (12)

merton, robert (11)

Bekaert, Geert (9)

Mehra, Rajnish (9)

Lo, Andrew (9)

Constantinides, George (9)

Main data

Production by document typearticlebookchapterpaper198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201302.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19711972197319741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220130255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year197119721973197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201305001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 37Most cited documents12345678910111213141516171819202122232425262728293031323334353637383905001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

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)

Year  ↓Title 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.

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

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

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

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2024Optimal stopping of Gauss-Markov bridges. (2022). 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. (2023). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847.

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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.

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

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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.

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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.

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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.

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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.

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

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2025A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303.

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

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

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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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2024.

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2024.

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

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2024Insurance–finance arbitrage. (2024). Schmidt, Thorsten ; Eisele, Karltheodor ; Artzner, Philippe. 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). Kellard, Neil ; Ivan, Miruna-Daniela ; Banti, Chiara. In: Bank of England working papers. RePEc:boe:boeewp:1114.

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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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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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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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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.

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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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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.

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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). 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.

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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.

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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.

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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.

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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). Markarian, Garen ; Kurtovi, Hrvoje. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300124x.

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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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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.

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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.

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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.

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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). 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.

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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.

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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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2024Share repurchase and capital market pricing efficiency. (2024). Zheng, Shi ; Ye, Linlin ; Ren, HE. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301276x.

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2024Stock price synchronicity and market liquidity: The role of funding liquidity. (2024). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000813.

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2024Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Quaranta, Anna Grazia ; Pampurini, Francesca ; Cerqueti, Roy ; Storani, Saverio. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916.

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2024A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094.

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2024Dynamic margin optimization. (2024). Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298.

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2024Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program. (2024). Zhou, Jiayu ; Lin, Tse-Chun ; Deng, Mengdie. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s138641812300068x.

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2024Extreme illiquidity and cross-sectional corporate bond returns. (2024). Wu, DI ; Wang, Junbo ; Chen, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000132.

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2024ESG and aggregate disagreement. (2024). Farag, Hisham ; Luo, DI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000386.

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2024Equity in capital raising? Empirical evidence from structured private placements. (2024). Brown, Christine ; Au Yong, Hue Hwa ; Shekhar, Chander ; Ho, Choy Yeing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002698.

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2024The tax shield increases the interest rate. (2024). Jensen, Bjarne Astrup ; Fischer, Marcel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000165.

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2024Nonlinearities and a pecking order in cross-border investment. (2024). Sarkissian, Sergei ; Holland, Sara B ; Schill, Michael J ; Warnock, Francis E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:166:y:2024:i:c:s037842662400164x.

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2025Financing decentralized digital platform growth: The role of crypto funds in blockchain-based startups. (2025). Schermann, Niclas ; Momtaz, Paul P ; Drobetz, Wolfgang ; Cumming, Douglas. In: Journal of Business Venturing. RePEc:eee:jbvent:v:40:y:2025:i:1:s0883902624000727.

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2024Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269.

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2025Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion. (2025). Choi, Sun-Yong ; Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:227:y:2025:i:c:p:41-57.

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2024Trading volume, anomaly returns and noise trader risk in China. (2024). Zhang, Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000325.

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2024Sovereign wealth funds as anchor investors in IPOs: Evidence from India. (2024). Garg, Roshni ; Shukla, Abha. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001550.

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2024Impact of economic policy uncertainty on the firms working capital requirements. (2024). Mon, Khin Thiri ; Chen, Hsien-Yi ; Chang, Chong-Chuo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001835.

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2024Multiple large shareholders and analyst activities. (2024). Shen, Yanyan ; Wang, Xue ; Jiang, Fuxiu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001938.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2024Development of flexible supportive policy with real options for renewable energy projects: Case of photovoltaic systems. (2024). Heravi, Gholamreza ; Heidari, Mohammad Reza. In: Renewable Energy. RePEc:eee:renene:v:225:y:2024:i:c:s0960148124003914.

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2024How does oil market volatility impact mutual fund performance?. (2024). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader Jawid. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1601-1621.

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2024Exploring the ingredients, mixtures, and inclinations of geopolitical risk. (2024). Kannadhasan, M ; Halder, Abhishek ; Tamilselvan, M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:187-206.

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2024The impact of free trade zones on ESG performance: Evidence from China. (2024). Li, Kevin K ; Zhang, Bingqian ; Zeng, Jing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:1110-1122.

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2024CEO turnover shock and green innovation: Evidence from China. (2024). Feng, Keyou ; Fung, Anna ; Lv, Haixia ; Yu, Lin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:894-908.

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2024How does directors and officers liability insurance affect green innovation? Evidence from China. (2024). Boubaker, Sabri ; Wang, YU ; Han, Yuling ; Li, Wanfu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004118.

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More than 100 citations found, this list is not complete...

Works by Michael Brennan:

Year  ↓Title  ↓Type  ↓Cited  ↓
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
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