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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 2015-10-01. 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, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt Downloads

2005

  1. Dollar Cost Averaging
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (4)
    See also Journal Article in Review of Finance (2005)
  2. Option Pricing Kernels and the ICAPM
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads

2004

  1. How Did It Happen?
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (12)
  2. International Capital Markets and Foreign Exchange Risk
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (4)

2003

  1. 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 Downloads View citations (5)
  2. Risk and Valuation Under an Intertemporal
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
  3. The Dynamics of International Equity Market Expectations
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
    See also Journal Article in Journal of Financial Economics (2005)

2000

  1. Dynamic Asset Allocation under Inflation
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads

1999

  1. Assessing Assets Pricing Anomalies
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (3)
    See also Journal Article in Review of Financial Studies (2001)

1998

  1. Resolution of a Financial Puzzle
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (5)

1997

  1. 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 Downloads
  2. 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 Downloads View citations (1)

1995

  1. 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 Downloads
  2. Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (1997)

1993

  1. Agency and Asset Pricing
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (48)

1991

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

1989

  1. 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 Downloads View citations (19)

2005

  1. Dollar Cost Averaging
    Review of Finance, 2005, 9, (4), 509-535 Downloads View citations (4)
    See also Working Paper (2005)
  2. The dynamics of international equity market expectations
    Journal of Financial Economics, 2005, 77, (2), 257-288 Downloads View citations (41)
    See also Working Paper (2003)
  3. tay's as good as cay
    Finance Research Letters, 2005, 2, (1), 1-14 Downloads View citations (32)

2001

  1. Assessing Asset Pricing Anomalies
    Review of Financial Studies, 2001, 14, (4), 905-42 View citations (30)
    See also Working Paper (1999)
  2. Stock price volatility and equity premium
    Journal of Monetary Economics, 2001, 47, (2), 249-283 Downloads View citations (79)

1998

  1. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
    Journal of Financial Economics, 1998, 49, (3), 345-373 Downloads View citations (262)
  2. The Determinants of Average Trade Size
    The Journal of Business, 1998, 71, (1), 1-25 Downloads View citations (14)

1997

  1. International Portfolio Investment Flows
    Journal of Finance, 1997, 52, (5), 1851-80 Downloads View citations (389)
  2. Strategic asset allocation
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1377-1403 Downloads View citations (181)
  3. Underpricing, ownership and control in initial public offerings of equity securities in the UK
    Journal of Financial Economics, 1997, 45, (3), 391-413 Downloads View citations (101)
    See also Working Paper (1995)

1996

  1. Information, Trade, and Derivative Securities
    Review of Financial Studies, 1996, 9, (1), 163-208 Downloads View citations (47)
  2. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    Journal of Financial Economics, 1996, 41, (3), 441-464 Downloads View citations (410)

1995

  1. Investment analysis and price formation in securities markets
    Journal of Financial Economics, 1995, 38, (3), 361-381 Downloads View citations (154)

1993

  1. Brokerage Commission Schedules
    Journal of Finance, 1993, 48, (4), 1379-1402 Downloads View citations (15)
  2. Investment Analysis and the Adjustment of Stock Prices to Common Information
    Review of Financial Studies, 1993, 6, (4), 799-824 Downloads View citations (142)

1992

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

1991

  1. Stock Prices and the Supply of Information
    Journal of Finance, 1991, 46, (5), 1665-91 Downloads View citations (147)

1990

  1. Arbitrage in Stock Index Futures
    The Journal of Business, 1990, 63, (1), S7-31 Downloads View citations (49)
  2. Latent Assets
    Journal of Finance, 1990, 45, (3), 709-30 Downloads View citations (29)
  3. Shareholder Preferences and Dividend Policy
    Journal of Finance, 1990, 45, (4), 993-1018 Downloads View citations (69)

1989

  1. International risk sharing and capital mobility
    Journal of International Money and Finance, 1989, 8, (3), 359-373 Downloads View citations (13)
  2. Portfolio Insurance and Financial Market Equilibrium
    The Journal of Business, 1989, 62, (4), 455-72 Downloads View citations (40)

1988

  1. Stock splits, stock prices, and transaction costs
    Journal of Financial Economics, 1988, 22, (1), 83-101 Downloads View citations (45)

1987

  1. Efficient Financing under Asymmetric Information
    Journal of Finance, 1987, 42, (5), 1225-43 Downloads View citations (105)

1986

  1. A theory of price limits in futures markets
    Journal of Financial Economics, 1986, 16, (2), 213-233 Downloads View citations (62)

1985

  1. Evaluating Natural Resource Investments
    The Journal of Business, 1985, 58, (2), 135-57 Downloads View citations (576)
  2. On the Geometric Mean Index: A Note
    Journal of Financial and Quantitative Analysis, 1985, 20, (01), 119-122 Downloads View citations (2)

1984

  1. Optimal Financial Policy and Firm Valuation
    Journal of Finance, 1984, 39, (3), 593-607 Downloads View citations (45)

1982

  1. An Equilibrium Model of Bond Pricing and a Test of Market Efficiency
    Journal of Financial and Quantitative Analysis, 1982, 17, (03), 301-329 Downloads View citations (71)
  2. Regulation and Corporate Investment Policy
    Journal of Finance, 1982, 37, (2), 289-300 Downloads View citations (5)

1981

  1. Empirical Tests of Multi-Factor Pricing Model: Discussion
    Journal of Finance, 1981, 36, (2), 352-53 Downloads
  2. Optimal Portfolio Insurance
    Journal of Financial and Quantitative Analysis, 1981, 16, (03), 279-300 Downloads View citations (57)

1980

  1. Analyzing Convertible Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (04), 907-929 Downloads View citations (119)
  2. Conditional Predictions of Bond Prices and Returns
    Journal of Finance, 1980, 35, (2), 405-17 Downloads View citations (8)

1979

  1. A continuous time approach to the pricing of bonds
    Journal of Banking & Finance, 1979, 3, (2), 133-155 Downloads View citations (160)
  2. 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 Downloads View citations (32)
  3. The Pricing of Contingent Claims in Discrete Time Models
    Journal of Finance, 1979, 34, (1), 53-68 Downloads View citations (125)

1978

  1. Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure
    The Journal of Business, 1978, 51, (1), 103-14 Downloads View citations (80)
  2. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
    Journal of Financial and Quantitative Analysis, 1978, 13, (03), 461-474 Downloads View citations (68)
  3. Necessary Conditions for Aggregation in Securities Markets
    Journal of Financial and Quantitative Analysis, 1978, 13, (03), 407-418 Downloads View citations (10)

1977

  1. 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, (04), 651-652 Downloads
  2. Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
    Journal of Financial and Quantitative Analysis, 1977, 12, (04), 659-659 Downloads
  3. Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion
    Journal of Finance, 1977, 32, (5), 1699-1715 Downloads View citations (99)
  4. Savings bonds, retractable bonds and callable bonds
    Journal of Financial Economics, 1977, 5, (1), 67-88 Downloads View citations (53)
  5. The Valuation of American Put Options
    Journal of Finance, 1977, 32, (2), 449-62 Downloads View citations (99)

1976

  1. The Geometry of Separation and Myopia
    Journal of Financial and Quantitative Analysis, 1976, 11, (02), 171-193 Downloads View citations (7)
  2. The pricing of equity-linked life insurance policies with an asset value guarantee
    Journal of Financial Economics, 1976, 3, (3), 195-213 Downloads View citations (123)

1975

  1. Financial Models of Regulated Firms: Discussion
    Journal of Finance, 1975, 30, (2), 446-47 Downloads
  2. 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, (03), 483-496 Downloads View citations (37)

1974

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

1973

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

1972

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

1971

  1. A Note on Dividend Irrelevance and the Gordon Valuation Model
    Journal of Finance, 1971, 26, (5), 1115-22 Downloads View citations (10)
  2. Capital Market Equilibrium with Divergent Borrowing and Lending Rates
    Journal of Financial and Quantitative Analysis, 1971, 6, (05), 1197-1205 Downloads View citations (25)

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 Downloads View citations (2)
 
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