Michael Brennan
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American economist
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Economics
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Financial Economics
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Macroeconomics
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Economics
Why Is Michael Brennan Influential?
(Suggest an Edit or Addition)According to Wikipedia, Michael J. Brennan is emeritus professor of finance at the UCLA Anderson School of Management. Brennan co-designed the Brennan-Schwartz interest rate model and was a pioneer of real options theory. His writings on real options and asset pricing, corporate finance, derivative securities, market microstructure, the role of information in capital markets, and risk management have been published extensively.
Michael Brennan '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
- Evaluating Natural Resource Investments (1985) (2347)
- Alternative factor specifications, security characteristics, and the cross-section of expected stock returns (1998) (1458)
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996) (1421)
- International Portfolio Investment Flows (1997) (1277)
- The Supply of Storage (1976) (791)
- Methods of Regional Analysis: An Introduction to Regional Science. (1960) (764)
- Investment analysis and price formation in securities markets (1995) (745)
- A continuous time approach to the pricing of bonds (1979) (739)
- The Valuation of American Put Options (1977) (687)
- Underpricing, ownership and control in initial public offerings of equity securities in the UK (1997) (686)
- Stock Prices and the Supply of Information (1991) (643)
- Investment Analysis and the Adjustment of Stock Prices to Common Information (1993) (621)
- TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970) (578)
- Analyzing Convertible Bonds (1980) (573)
- The Pricing of Contingent Claims in Discrete Time Models (1979) (550)
- The pricing of equity-linked life insurance policies with an asset value guarantee (1976) (510)
- Efficient Financing under Asymmetric Information (1987) (454)
- Dynamic Asset Allocation Under Inflation (2000) (416)
- Strategic asset allocation (1997) (376)
- Shareholder Preferences and Dividend Policy (1990) (362)
- An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982) (354)
- Stock Splits, Stock Prices, and Transaction Costs (1988) (333)
- Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2002) (301)
- THE CASE FOR CONVERTIBLES (1988) (298)
- The Role of Learning in Dynamic Portfolio Decisionsâ (1997) (288)
- Stock price volatility and equity premium (2001) (266)
- Optimal Financial Policy and Firm Valuation (1984) (258)
- Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978) (249)
- Savings bonds, retractable bonds and callable bonds (1977) (240)
- A theory of price limits in futures markets (1986) (229)
- Project flexibility, agency, and competition : new developments in the theory and application of real options (2000) (229)
- Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1977) (228)
- Arbitrage in Stock Index Futures (1990) (222)
- Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion (1977) (220)
- INVESTOR RELATIONS, LIQUIDITY, AND STOCK PRICES (2000) (212)
- Optimal Portfolio Insurance (1981) (194)
- Information, Trade, and Derivative Securities (1997) (183)
- Agency and Asset Pricing (2008) (167)
- Stochastic Interest Rates and the Bond-Stock Mix (2000) (163)
- The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results (1975) (159)
- Capital Market Equilibrium with Divergent Borrowing and Lending Rates (1971) (142)
- Assessing Asset Pricing Anomalies (2001) (133)
- An Analysis of the Amihud Illiquidity Premium (2011) (132)
- International Capital Markets and Foreign Exchange Risk (2004) (131)
- tay's as good as cay (2005) (130)
- Corporate Finance Over the Last 25 Years (1995) (128)
- Determinants of GNMA Mortgage Prices (1985) (122)
- Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee (1977) (120)
- The Dynamics of International Equity Market Expectations (2003) (119)
- Individual Decision Making and Investor Welfare (1999) (115)
- Consistent Regulatory Policy under Uncertainty (1982) (111)
- Beta Changes around Stock Splits: A Note (1988) (110)
- Sell-order liquidity and the cross-section of expected stock returns (2012) (109)
- Planning or organizing: The implications of theories of activity for management of operations (1996) (101)
- Portfolio Insurance and Financial Market Equilibrium (1989) (101)
- A NOTE ON DIVIDEND IRRELEVANCE AND THE GORDON VALUATION MODEL (1971) (94)
- Tranching and Rating (2008) (92)
- The Determinants of Average Trade Size (1998) (89)
- Incentives, Rationality, And Society (1994) (83)
- THE INDIVIDUAL INVESTOR (1995) (82)
- A PERSPECTIVE ON ACCOUNTING AND STOCK PRICES (1995) (76)
- AN APPROACH TO THE VALUATION OF UNCERTAIN INCOME STREAMS (1973) (73)
- The Mispricing Return Premium (2010) (73)
- Information, Trade, and Derivative Securities: Table 1 (1996) (67)
- Capital Asset Pricing Model (1989) (65)
- Brokerage Commission Schedules (1993) (65)
- Conditional Predictions of Bond Prices and Returns (1980) (63)
- Necessary Conditions for Aggregation in Securities Markets (1978) (57)
- The Valuation of American Exchange Options with Application to Real Options (1995) (50)
- Risk and Valuation Under an Intertemporal Capital Asset Pricing Model (2003) (50)
- Dollar Cost Averaging (2005) (40)
- The Term Structure of Discount Rates (1997) (40)
- Asymmetric Effects of Informed Trading on the Cost of Equity Capital (2014) (39)
- Cross-Sectional Determinants of Expected Returns (1996) (39)
- International risk sharing and capital mobility (1989) (38)
- Agency and Institutional Investment (2012) (37)
- Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model (2001) (36)
- Time-Invariant Portfolio Insurance Strategies (1988) (32)
- Pricing and Investment Strategies for Guaranteed Equity-Linked Life Insurance (1979) (32)
- Regulation and Corporate Investment Policy (1982) (31)
- The Geometry of Separation and Myopia (1976) (30)
- Stock Price Volatility, Learning, and the Equity Premium (1997) (29)
- Aspects of insurance, intermediation and finance. (1993) (29)
- Corporate Investment Policy (2003) (28)
- On the Geometric Mean Index: A Note (1985) (27)
- Stock Market Volatility and the Crash (1990) (26)
- Persistence, Predictability, and Portfolio Planning (2010) (23)
- How Did it Happen? (2004) (22)
- StockValuation and Learning about Pro ¢ tability (2003) (22)
- Aspects of Insurance, Intermediation and Finance (1993) (18)
- Asset Pricing and Mispricing (2007) (18)
- Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns (2012) (18)
- What Makes Hot Money Hot? The Relative Volatility of International Flows of Debt and Equity Capital (1999) (18)
- A Model of Seasonal Inventories (1959) (17)
- Option Pricing Kernels and the Icapm (2006) (16)
- Resolution of a Financial Puzzle (1998) (16)
- A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the Fama-French Three-Factor Model ∗ (2002) (14)
- Repurchase Tender Offers, Signaling, and Managerial Incentives (1984) (13)
- Convertible Bonds: Test of a Financial Signalling Model (1995) (12)
- Savings bonds : theory and empirical evidence (1979) (11)
- Leaning Against the Wind: Debt Financing in the Face of Adversity (2016) (10)
- Capital Gains Taxes, Agency Costs, and Closed-End Fund Discounts (2007) (10)
- A Plain Man's Response to Professor Jensen (1998) (8)
- International Portfolio Equity Flows (1998) (8)
- Empirical Tests of Multi-Factor Pricing Model: Discussion (1981) (8)
- Theory of economic statics (1970) (8)
- Asset Pricing in a Small Economy: A Test of the Omitted Assets Model (1986) (8)
- SELL-SIDE ILLIQUIDITY AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS (2009) (8)
- Notes on Costless Financial Signalling (1984) (7)
- VALUATION AND THE COST OF CAPITAL FOR REGULATED INDUSTRIES: COMMENT (1972) (7)
- Preface to Quantitative Economics & Econometrics (1986) (7)
- Preface to econometrics;: An introduction to quantitative methods in economics (1973) (5)
- High-Frequency Measures of Information Risk (2015) (5)
- Changes in Cotton Acreage in the Southeast—Implications for Supply Functions (1958) (5)
- A Re-examination of Some Popular Security Return Anomalies (1996) (4)
- The economics of age (1967) (4)
- An Inter-Temporal Approach to the Optimization of Dividend Policy with Predetermined Investments: Comment (1974) (4)
- Newsgathering. (1972) (4)
- Patterns Of Market Behavior: Essays In Honor Of Philip Taft (1965) (3)
- Predicting the Market Using Information from Equity Portfolio Returns (2010) (3)
- International Capital Markets and Foreign Exchange Risk - eScholarship (2004) (3)
- International Risk Sharing and Capital Flows (1989) (3)
- Risk and Valuation Under an Intertemporal (2003) (3)
- Sell-Side Liquidity and the Cross-Section of Expected Stock Returns (2009) (3)
- Economics: An analysis of principles and policies (1975) (3)
- EXECUTIVE COMPENSATION IN THE U.K (1996) (2)
- Financing asset growth (2013) (2)
- Predicting exchange rates (2015) (2)
- Economics and the Theory of Social Systems (1958) (2)
- Systematic Mispricing (2007) (2)
- Agency and Asset Pricing - eScholarship (1993) (2)
- International risk sharing and capital mobility: reply (1992) (1)
- SESSION TOPIC: CORPORATE FINANCE AND THE CAPITAL ASSET PRICING MODEL (1977) (1)
- Introduction to JRSA Special Section (2009) (1)
- Discussion of The Pricing of Relative Performance Based Incentives for Executive Compensation (2001) (1)
- A Note on Seasonal Inventories: Reply (1960) (1)
- EMG Working Paper Series WP-EMG-13-2009 ‘ Sell-side Illiquidity and the Cross-Section of Expected Stock Returns ’ (2009) (0)
- Financial Models of Regulated Firms: Discussion (1975) (0)
- Financial Markets and Corporate Finance: Selected Papers of Michael J. Brennan (1999) (0)
- Empirical corporate finance (2001) (0)
- An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor By Kuntara Pukthuanthong and Richard Roll (2016) (0)
- Coalition policy on the environment (1996) (0)
- Subject Index — Volumes 1 and 2 (1976) (0)
- Financial Markets and Corporate Finance (1999) (0)
- Interbank Hedging and Systemic Risk: The Role of Renegotiation Breakdowns (2008) (0)
- Stand-capable active walk to the blister pack (2009) (0)
- Frank Miles Collins (2003) (0)
- To the editor (0)
- Contents, Vol. 6, 1975 (1975) (0)
- A study of choices in pavement analysis (2006) (0)
- UCLA Recent Work Title Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S & amp ; P 500 Options Permalink (0)
- The Value of Perfect Market Forecasts in Portfolio Selection: Discussion (1972) (0)
- The Theory of Corporate Finance Volume I and The Theory of Corporate Finance Volume II. (1997) (0)
- RFQ Repetition Rate (1986) (0)
- A Protocol for Factor Identification by Kuntara Pukthuanthong and Richard Roll (2015) (0)
- Patterns of market behavior (1965) (0)
- Equilibrium Exchange Rate Hedging (2016) (0)
- the theory of Corporate finance (1996) (0)
- Resolution of a Financial Puzzle - eScholarship (1998) (0)
- Subject Index, Vol. 6, 1975 (2004) (0)
- Mutual Funds and Market Instability: Discussion (1998) (0)
- Under the rainbow : poems (1996) (0)
- Obituary (2011) (0)
- Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns (2013) (0)
- CALL FOR PAPERS EUROPEAN FINANCIAL MANAGEMENT (2008) (0)
- SESSION TOPIC: OPTIONS (1977) (0)
- One-Factor Asset Pricing (2016) (0)
- Empirical Corporate Finance Edited Readings: International Library of Critical Readings in Financial Economics (4 volumes) (2001) (0)
- Phi Alpha Theta Initiates (2014) (0)
- How Did It Happen? - eScholarship (2004) (0)
- Thanks to Reviewers2005 (2005) (0)
- Welfare Economics and Equity: Panel Discussion (1964) (0)
- We integrate the financial architecture into the theory of investment by building on two strands of literature : irreversible investment and debt pricing / capital structure (2007) (0)
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What Schools Are Affiliated With Michael Brennan ?
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