Details about Michael Brennan

Workplace:

Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)

Access statistics for papers by Michael Brennan.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pbr614

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Working Papers

2013

1. Financing asset growth
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2005

2. Dollar Cost Averaging
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (9)
   See also Journal Article Dollar Cost Averaging, Review of Finance, Springer (2005) View citations (9) (2005)
3. Option Pricing Kernels and the ICAPM
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

2004

4. How Did It Happen?
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (18)
5. International Capital Markets and Foreign Exchange Risk
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (4)

2003

6. Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (11)
7. Risk and Valuation Under an Intertemporal
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (10)
8. The Dynamics of International Equity Market Expectations
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
   See also Journal Article The dynamics of international equity market expectations, Journal of Financial Economics, Elsevier (2005) View citations (61) (2005)

2000

9. Dynamic Asset Allocation under Inflation
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)

1999

10. Assessing Assets Pricing Anomalies
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
    See also Journal Article Assessing Asset Pricing Anomalies, The Review of Financial Studies, Society for Financial Studies (2001) View citations (37) (2001)

1998

11. Resolution of a Financial Puzzle
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (7)

1997

12. Stock Price Volatility, Learning, and the Equity Premium
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
13. The Role of Learning in Dynamic Portfolio Decisions”
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (4)

1995

14. Convertible Bonds: Test of a Financial Signalling Model
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)
15. Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Underpricing, ownership and control in initial public offerings of equity securities in the UK, Journal of Financial Economics, Elsevier (1997) View citations (213) (1997)

1993

16. Agency and Asset Pricing
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (78)

1991

17. Contributing Shares
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA

1989

18. BOUD COVENANTS AND THE VALUATION OF RISK DEBT: A NEW APPROACH
    Working Papers, Columbia - Graduate School of Business

Journal Articles

2012

1. Sell-order liquidity and the cross-section of expected stock returns
   Journal of Financial Economics, 2012, 105, (3), 523-541 View citations (39)

2005

2. Dollar Cost Averaging
   Review of Finance, 2005, 9, (4), 509-535 View citations (9)
   See also Working Paper Dollar Cost Averaging, University of California at Los Angeles, Anderson Graduate School of Management (2005) View citations (9) (2005)
3. The dynamics of international equity market expectations
   Journal of Financial Economics, 2005, 77, (2), 257-288 View citations (61)
   See also Working Paper The Dynamics of International Equity Market Expectations, University of California at Los Angeles, Anderson Graduate School of Management (2003) (2003)
4. tay's as good as cay
   Finance Research Letters, 2005, 2, (1), 1-14 View citations (36)

2001

5. Assessing Asset Pricing Anomalies
   The Review of Financial Studies, 2001, 14, (4), 905-42 View citations (37)
   See also Working Paper Assessing Assets Pricing Anomalies, University of California at Los Angeles, Anderson Graduate School of Management (1999) View citations (3) (1999)
6. Stock price volatility and equity premium
   Journal of Monetary Economics, 2001, 47, (2), 249-283 View citations (119)

1998

7. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
   Journal of Financial Economics, 1998, 49, (3), 345-373 View citations (506)
8. The Determinants of Average Trade Size
   The Journal of Business, 1998, 71, (1), 1-25 View citations (26)

1997

9. International Portfolio Investment Flows
   Journal of Finance, 1997, 52, (5), 1851-80 View citations (572)
10. Strategic asset allocation
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1377-1403 View citations (231)
11. Underpricing, ownership and control in initial public offerings of equity securities in the UK
    Journal of Financial Economics, 1997, 45, (3), 391-413 View citations (213)
    See also Working Paper Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK, CEPR Discussion Papers (1995) View citations (5) (1995)

1996

12. Information, Trade, and Derivative Securities
    The Review of Financial Studies, 1996, 9, (1), 163-208 View citations (76)
13. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    Journal of Financial Economics, 1996, 41, (3), 441-464 View citations (587)

1995

14. Investment analysis and price formation in securities markets
    Journal of Financial Economics, 1995, 38, (3), 361-381 View citations (251)

1993

15. Brokerage Commission Schedules
    Journal of Finance, 1993, 48, (4), 1379-1402 View citations (15)
16. Investment Analysis and the Adjustment of Stock Prices to Common Information
    The Review of Financial Studies, 1993, 6, (4), 799-824 View citations (225)

1992

17. International risk sharing and capital mobility: reply
    Journal of International Money and Finance, 1992, 11, (1), 122-123 View citations (1)

1991

18. Stock Prices and the Supply of Information
    Journal of Finance, 1991, 46, (5), 1665-91 View citations (197)

1990

19. Arbitrage in Stock Index Futures
    The Journal of Business, 1990, 63, (1), S7-31 View citations (79)
20. Latent Assets
    Journal of Finance, 1990, 45, (3), 709-30 View citations (55)
21. Shareholder Preferences and Dividend Policy
    Journal of Finance, 1990, 45, (4), 993-1018 View citations (101)

1989

22. International risk sharing and capital mobility
    Journal of International Money and Finance, 1989, 8, (3), 359-373 View citations (16)
23. Portfolio Insurance and Financial Market Equilibrium
    The Journal of Business, 1989, 62, (4), 455-72 View citations (49)

1988

24. Stock splits, stock prices, and transaction costs
    Journal of Financial Economics, 1988, 22, (1), 83-101 View citations (75)

1987

25. Efficient Financing under Asymmetric Information
    Journal of Finance, 1987, 42, (5), 1225-43 View citations (145)

1986

26. A theory of price limits in futures markets
    Journal of Financial Economics, 1986, 16, (2), 213-233 View citations (89)

1985

27. Evaluating Natural Resource Investments
    The Journal of Business, 1985, 58, (2), 135-57 View citations (780)
28. On the Geometric Mean Index: A Note
    Journal of Financial and Quantitative Analysis, 1985, 20, (1), 119-122 View citations (3)

1984

29. Optimal Financial Policy and Firm Valuation
    Journal of Finance, 1984, 39, (3), 593-607 View citations (61)

1982

30. An Equilibrium Model of Bond Pricing and a Test of Market Efficiency
    Journal of Financial and Quantitative Analysis, 1982, 17, (3), 301-329 View citations (85)
31. Regulation and Corporate Investment Policy
    Journal of Finance, 1982, 37, (2), 289-300 View citations (9)

1981

32. Empirical Tests of Multi-Factor Pricing Model: Discussion
    Journal of Finance, 1981, 36, (2), 352-53
33. Optimal Portfolio Insurance
    Journal of Financial and Quantitative Analysis, 1981, 16, (3), 279-300 View citations (68)

1980

34. Analyzing Convertible Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (4), 907-929 View citations (152)
35. Conditional Predictions of Bond Prices and Returns
    Journal of Finance, 1980, 35, (2), 405-17 View citations (11)

1979

36. A continuous time approach to the pricing of bonds
    Journal of Banking & Finance, 1979, 3, (2), 133-155 View citations (201)
37. Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee
    The Journal of Business, 1979, 52, (1), 63-93 View citations (47)
38. The Pricing of Contingent Claims in Discrete Time Models
    Journal of Finance, 1979, 34, (1), 53-68 View citations (165)

1978

39. Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure
    The Journal of Business, 1978, 51, (1), 103-14 View citations (128)
40. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
    Journal of Financial and Quantitative Analysis, 1978, 13, (3), 461-474 View citations (92)
41. Necessary Conditions for Aggregation in Securities Markets
    Journal of Financial and Quantitative Analysis, 1978, 13, (3), 407-418 View citations (11)

1977

42. Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee
    Journal of Financial and Quantitative Analysis, 1977, 12, (4), 651-652 View citations (1)
43. Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
    Journal of Financial and Quantitative Analysis, 1977, 12, (4), 659-659 View citations (1)
44. Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion
    Journal of Finance, 1977, 32, (5), 1699-1715 View citations (125)
45. Savings bonds, retractable bonds and callable bonds
    Journal of Financial Economics, 1977, 5, (1), 67-88 View citations (63)
46. The Valuation of American Put Options
    Journal of Finance, 1977, 32, (2), 449-62 View citations (140)

1976

47. The Geometry of Separation and Myopia
    Journal of Financial and Quantitative Analysis, 1976, 11, (2), 171-193 View citations (9)
48. The pricing of equity-linked life insurance policies with an asset value guarantee
    Journal of Financial Economics, 1976, 3, (3), 195-213 View citations (159)

1975

49. Financial Models of Regulated Firms: Discussion
    Journal of Finance, 1975, 30, (2), 446-47
50. The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results
    Journal of Financial and Quantitative Analysis, 1975, 10, (3), 483-496 View citations (48)

1974

51. An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment
    Journal of Finance, 1974, 29, (1), 258-59

1973

52. An Approach to the Valuation of Uncertain Income Streams
    Journal of Finance, 1973, 28, (3), 661-74 View citations (1)

1972

53. The Value of Perfect Market Forecasts in Portfolio Selection: Discussion
    Journal of Finance, 1972, 27, (2), 395-98
54. Valuation and the Cost of Capital for Regulated Utilities: Comment
    Journal of Finance, 1972, 27, (5), 1147-49

1971

55. A Note on Dividend Irrelevance and the Gordon Valuation Model
    Journal of Finance, 1971, 26, (5), 1115-22 View citations (14)
56. Capital Market Equilibrium with Divergent Borrowing and Lending Rates
    Journal of Financial and Quantitative Analysis, 1971, 6, (5), 1197-1205 View citations (42)

Books

1990

1. Stock Market Volatility and the Crash
   NBER Books, National Bureau of Economic Research, Inc

Chapters

2003

1. Corporate investment policy
   Chapter 03 in Handbook of the Economics of Finance, 2003, vol. 1, Part 1, pp 167-214 View citations (5)