Menachem Brenner | Academic Influence

Menachem Brenner's AcademicInfluence.com Rankings

Menachem Brenner

Business

#671

World Rank

#735

Historical Rank

#221

USA Rank

Finance

#131

World Rank

#136

Historical Rank

#28

USA Rank

business Degrees

Menachem Brenner

Economics

#2901

World Rank

#3297

Historical Rank

#960

USA Rank

economics Degrees

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Business
Economics

Menachem Brenner's Degrees

PhD Finance University of Chicago
Masters Finance University of Chicago
Bachelors Economics University of Chicago

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Why Is Menachem Brenner Influential?

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According to Wikipedia, Menachem Brenner is a professor of finance and a Bank and Financial Analysts Faculty Fellow at New York University Stern School of Business. Biography Brenner's primary areas of research include derivative markets, hedging, option pricing, and the stock market. He developed the VIX volatility index based on the prices of traded index options.

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Menachem Brenner's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Altering the Terms of Executive Stock Options (1998) (252)
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009) (164)
A Simple Formula to Compute the Implied Standard Deviation (1988) (164)
New Financial Instruments for Hedge Changes in Volatility (1989) (128)
The Price of Options Illiquidity (2001) (128)
The new market for volatility trading (2010) (104)
The behavior of prices in the Nikkei spot and futures market (1989) (101)
The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model (1979) (89)
Asset Pricing and Ambiguity: Empirical Evidence (2017) (88)
Hedging Volatility Risk (2000) (77)
Informed Options Trading Prior to M&A Announcements: Insider Trading? (2015) (75)
Sovereign Debt Auctions: Uniform or Discriminatory? (2009) (73)
Options on the Spot and Options on Futures (1985) (70)
A Simple Model of Non-Stationarity of Systematic Risk (1977) (70)
Abstract: Information Effects and Stock Market Response to Signs of Firm Deterioration (1976) (63)
Informed Options Trading Prior to Takeover Announcements: Insider Trading? (2019) (60)
Hedging Volatility in Foreign Currencies (1993) (56)
Arbitrage Opportunities in the Japanese Stock and Futures Markets (1990) (54)
A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model (1994) (50)
Implied Interest Rates (1986) (45)
THE EFFECT OF MODEL MISSPECIFICATION ON TESTS OF THE EFFICIENT MARKET HYPOTHESIS (1977) (41)
Asset Characteristics and Systematic Risk (1978) (34)
No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property (1997) (32)
On the Stability of the Distribution of the Market Component in Stock Price Changes (1974) (31)
Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets (2006) (28)
Derivatives: The Ultimate Financial Innovation (2009) (25)
Option pricing : theory and applications (1984) (22)
On Measuring the Risk of Common Stocks Implied by Options Prices: A Note (1984) (22)
Financial Markets and the Macro Economy (2005) (22)
The Optimal Duration of Growth Investments and Search (1979) (18)
Stock index futures arbitrage in the Japanese markets (1989) (17)
The Effects of Inflation and Taxes on Growth Investments and Replacement Policies (1983) (16)
Inflation Uncertainties and Returns on Bonds (1983) (15)
On Rescissions in Executive Stock Options (2002) (13)
Are Corporate Spin-Offs Prone to Insider Trading? (2015) (11)
The Market for Volatility Trading; Vix Futures (2007) (10)
Ambiguity and Overconfidence (2015) (9)
A Note on Risk, Return, and Equilibrium: Empirical Tests (1976) (9)
Pricing Systematic Ambiguity in Capital Markets (2012) (8)
The determinants of the return on index bonds (1978) (8)
Information Effects and Stock Market Response to Signs of Firm Deterioration (1981) (7)
Implied foreign exchange rates using options prices (1996) (7)
How Do Insiders Trade? (2016) (7)
How do Informed Investors Trade in the Options Market? (2016) (6)
Options on stock indices and options on futures (1989) (6)
Asset Prices and Ambiguity (2011) (5)
INTRA-EQUILIBRIUM AND INTER-EQUILIBRIUM ANALYSIS IN CAPITAL MARKET THEORY: A CLARIFICATION (1977) (5)
Altering the terms of executive stock options q (2000) (3)
INFLATION RISK PREMIUM DERIVED FROM FOREIGN EXCHANGE OPTIONS (2007) (3)
Liquidity and Efficiency in Three Related Foreign Exchange Options Markets (2006) (3)
Inflation risk premium implied by options (2014) (2)
Risk and Ambiguity in Turbulent Times (2021) (2)
Auctioning Sovereign Bonds: A Global Cross-Section Investigation of the Price Mechanism (2007) (1)
Informed options strategies before corporate events (2022) (1)
A Critical Evaluation of the Measurement of Conglomerate Performance, Using the Capital Asset Pricing Model. (1979) (1)
Are Corporate Spin-os Prone to Insider Trading? Preliminary Draft (2014) (1)
Economic Evaluation of Oil and Gas Reserves of the USSR (1965) (0)
The relation between SPX options and the CBOE-listed volatility derivatives (2010) (0)
The Y2K Enigma (2001) (0)
Option Greeks, Insider Trading, and the Heinz Acquisition (2021) (0)
[A.J.P. Martin and R.L.M. Synge]. (1952) (0)
Endogenizing Bidders Choice in Divisible Goods Auctions (2007) (0)
Inflation Expectations Derived from Foreign (2008) (0)
A Market-Based Approach to Sharing the Economic Benefits and Consequences of Aging in the People’s Republic of China (2020) (0)
and Systematic Risk (2016) (0)
An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong and Richard Roll (2016) (0)
Trading Prior to Takeover Announcements: Insider Trading? (2018) (0)
A Special Issue of the International Risk Management Conference in Warsaw Poland (2017) (0)
Are Corporate Spin-os (2015) (0)
Remembering Mark Rubinstein (2019) (0)
Some Economic Problems in the Development of the USSR Petroleum Industry (1959) (0)
A Note on Sovereign Debt Auctions: Uniform or Discriminatory? (2011) (0)
Procedure for Determining Effectiveness of Geological Exploration for Oil and Gas (1965) (0)
Endogenizing Bidder’s Choice in Financial Assets Auctions – An Experimental Investigation (2009) (0)
The Foreign Exchange Options Markets in a Small Open Economy (2006) (0)
Problems of Petroleum in the Perspective of Development of the USSR Economy (1958) (0)
MARKET COMPONENT IN STOCK PRICE CHANGES (2016) (0)
Uniform or Discriminatory Auctions: Endogenizing Bidder’s Choice in Divisible Goods Auctions (2016) (0)

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