Michael J. Brennan
53 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0009-0001-6041-2619
Publications
- Capital Asset Pricing with a Stochastic Horizon — Journal of Financial and Quantitative Analysis 2020
- High-Frequency Measures of Informed Trading and Corporate Announcements — The Review of Financial Studies 2018
- Asymmetric Effects of Informed Trading on the Cost of Equity Capital — Management Science 2016
- Sell-order liquidity and the cross-section of expected stock returns — Journal of Financial Economics 2012 (name-matched, not ORCID-linked)
- The Mispricing Return Premium — The Review of Financial Studies 2010
- International Capital Markets and Foreign Exchange Risk — The Review of Financial Studies 2006
- The dynamics of international equity market expectations — Journal of Financial Economics 2005 (name-matched, not ORCID-linked)
- Dollar Cost Averaging — Review of Finance 2005
- Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing — The Journal of Finance 2004
- Dynamic Asset Allocation under Inflation — The Journal of Finance 2002
- Discussion — The Journal of Finance 2001
- Assessing Asset Pricing Anomalies — The Review of Financial Studies 2001
- Stochastic Interest Rates and the Bond-Stock Mix — Review of Finance 2000
- Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1 — Journal of Financial Economics 1998 (name-matched, not ORCID-linked)
- The Role of Learning in Dynamic Portfolio Decisions — Review of Finance 1998
- International Portfolio Investment Flows — The Journal of Finance 1997
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returns — Journal of Financial Economics 1996 (name-matched, not ORCID-linked)
- Information, Trade, and Derivative Securities — The Review of Financial Studies 1996
- Investment analysis and price formation in securities markets — Journal of Financial Economics 1995 (name-matched, not ORCID-linked)
- Brokerage Commission Schedules — The Journal of Finance 1993
- Investment Analysis and the Adjustment of Stock Prices to Common Information — The Review of Financial Studies 1993
- Stock Prices and the Supply of Information — The Journal of Finance 1991
- Shareholder Preferences and Dividend Policy — The Journal of Finance 1990
- Latent Assets — The Journal of Finance 1990
- Vendor Financing — The Journal of Finance 1988
- Beta Changes around Stock Splits: A Note — The Journal of Finance 1988
- Time-Invariant Portfolio Insurance Strategies — The Journal of Finance 1988
- Stock splits, stock prices, and transaction costs — Journal of Financial Economics 1988 (name-matched, not ORCID-linked)
- Efficient Financing under Asymmetric Information — The Journal of Finance 1987
- A theory of price limits in futures markets — Journal of Financial Economics 1986
- On the Geometric Mean Index: A Note — Journal of Financial and Quantitative Analysis 1985
- Optimal Financial Policy and Firm Valuation — The Journal of Finance 1984
- An Equilibrium Model of Bond Pricing and a Test of Market Efficiency — Journal of Financial and Quantitative Analysis 1982
- Regulation and Corporate Investment Policy — The Journal of Finance 1982
- Optimal Portfolio Insurance — Journal of Financial and Quantitative Analysis 1981
- Analyzing Convertible Bonds — Journal of Financial and Quantitative Analysis 1980
- Conditional Predictions of Bond Prices and Returns — The Journal of Finance 1980
- The Pricing of Contingent Claims in Discrete Time Models — The Journal of Finance 1979
- Necessary Conditions for Aggregation in Securities Markets — Journal of Financial and Quantitative Analysis 1978
- Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis — Journal of Financial and Quantitative Analysis 1978
- THE VALUATION OF AMERICAN PUT OPTIONS — The Journal of Finance 1977
- CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION — The Journal of Finance 1977
- Savings bonds, retractable bonds and callable bonds — Journal of Financial Economics 1977 (name-matched, not ORCID-linked)
- MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE — The Journal of Finance 1977
- The Geometry of Separation and Myopia — Journal of Financial and Quantitative Analysis 1976
- The pricing of equity-linked life insurance policies with an asset value guarantee — Journal of Financial Economics 1976 (name-matched, not ORCID-linked)
- 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
- AN INTER-TEMPORAL APPROACH TO THE OPTIMIZATION OF DIVIDEND POLICY WITH PREDETERMINED INVESTMENTS: COMMENT — The Journal of Finance 1974
- AN APPROACH TO THE VALUATION OF UNCERTAIN INCOME STREAMS — The Journal of Finance 1973
- DISCUSSION — The Journal of Finance 1972
- VALUATION AND THE COST OF CAPITAL FOR REGULATED INDUSTRIES: COMMENT — The Journal of Finance 1972
- A NOTE ON DIVIDEND IRRELEVANCE AND THE GORDON VALUATION MODEL* — The Journal of Finance 1971
- Capital Market Equilibrium with Divergent Borrowing and Lending Rates — Journal of Financial and Quantitative Analysis 1971