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Michael J. Brennan Irish Finance Working Paper Series

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Viewing: 1 - 21 of 21 papers

1.

Dividend Capture Returns: Anomaly or Risk Premium? Evidence from the Equity Options Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-2
Number of pages: 102 Posted: 20 Feb 2019
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 133
2.

Does Corporate Hedging Enhance Shareholder Value? A Meta-Analysis

International Review of Financial Analysis, Forthcoming, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-4
Number of pages: 35 Posted: 19 Dec 2018 Last Revised: 21 Feb 2019
Working Paper Series
Justus-Liebig-University Giessen, University College Dublin and University of Warwick - Accounting Group
Downloads 58
3.

Deep Learning for Assessing Banks’ Distress from News and Numerical Financial Data

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-15
Number of pages: 14 Posted: 28 Nov 2018
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University of Pavia - Department of Economics and Management Science, University of Pavia - Department of Economics and Management Science, Åbo Akademi University - Turku Centre for Computer Science (TUCS) and Hanken School of Economics
Downloads 86
4.

Why Do Privatized Firms Pay Higher Dividends?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-10
Number of pages: 52 Posted: 19 Sep 2018 Last Revised: 26 Jun 2019
Working Paper Series
University of Liverpool - Management School (ULMS), Southern Illinois University at Edwardsville - Department of Economics and University College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 40
5.

Nonparametric Option Implied Tail Risk and Market Returns

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-8
Number of pages: 51 Posted: 19 Sep 2018
Working Paper Series
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 85
6.

Can Alert Models for Fraud Protect the Elderly Clients of a Financial Institution?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-16
Number of pages: 27 Posted: 23 Aug 2018 Last Revised: 28 Nov 2018
Working Paper Series
University College Dublin (UCD), University College Dublin, Michael Smurfit Graduate School of Business and University College Dublin (UCD)
Downloads 75
7.

Reintermediation in FinTech: Evidence from Online Lending

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-17, 31st Australasian Finance and Banking Conference 2018
Number of pages: 58 Posted: 18 Jun 2018 Last Revised: 22 Mar 2019
Working Paper Series
Emory University - Goizueta Business School and University of Toronto - Finance Area
Downloads 369
8.

Long-Run Wavelet-Based Correlation for Financial Time Series

European Journal of Operational Research - Forthcoming , Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-7
Number of pages: 41 Posted: 14 Jun 2018 Last Revised: 19 Sep 2018
Working Paper Series
University College Dublin, University College Dublin and Simon Fraser University
Downloads 80
9.

Agreement Matters: OPEC Announcement Effects on WTI Term Structure

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-3
Number of pages: 44 Posted: 29 May 2018 Last Revised: 21 Feb 2019
Working Paper Series
University College Dublin (UCD) - Department of Banking & Finance and University College Dublin (UCD) - Department of Banking & Finance
Downloads 65
10.

On the Rise of FinTechs – Credit Scoring Using Digital Footprints

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-12
Number of pages: 66 Posted: 12 May 2018 Last Revised: 15 Jul 2019
Working Paper Series
Frankfurt School of Finance & Management, Humboldt University, Frankfurt School of Finance & Management and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,009
11.

The Investment Behavior of Qualified Foreign Institutional Investors in China

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-6
Number of pages: 41 Posted: 09 May 2018
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Beijing Institute of Technology, University College Dublin (UCD) - Department of Banking & Finance and Sun Yat-Sen University (SYSU)

Multiple version iconThere are 2 versions of this paper

Downloads 44
12.

Asset Prices in Segmented and Integrated Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-5
Number of pages: 29 Posted: 09 May 2018
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Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences

Multiple version iconThere are 2 versions of this paper

Downloads 41
13.

Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-4
Number of pages: 61 Posted: 09 May 2018
Working Paper Series
University College Dublin, University College Dublin and University of Sharjah - College of Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 80
14.

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-3
Number of pages: 70 Posted: 09 May 2018
Working Paper Series
University College Dublin, University of California, Los Angeles (UCLA) and California Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 227
15.

Investment and Deleveraging Financed by Dividends: Evidence from Japanese Business Groups

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-2
Number of pages: 49 Posted: 09 May 2018 Last Revised: 30 Jul 2018
Working Paper Series
University of Liverpool - Management School (ULMS), University College Dublin, Fudan University - Fanhai International School of Finance (FISF) and Boston College - Department of Finance
Downloads 48
16.

P2P Lenders versus Banks: Cream Skimming or Bottom Fishing?

SAFE Working Paper No. 206, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-13
Number of pages: 72 Posted: 08 May 2018 Last Revised: 09 May 2019
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Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and Washington University, Saint Louis - John M. Olin School of Business
Downloads 547
17.

Commodity Pricing: Evidence from Rational and Behavioral Models

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-1
Number of pages: 64 Posted: 08 May 2018 Last Revised: 01 Aug 2018
Working Paper Series
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 227
18.

FinTechs and the Market for Financial Analysis

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-11, Swiss Finance Institute Research Paper No. 19-10
Number of pages: 65 Posted: 12 Mar 2018 Last Revised: 02 Jul 2019
Working Paper Series
Duke University - Fuqua School of Business and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 757
19.

Options Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 23 Posted: 28 Nov 2017 Last Revised: 19 Sep 2018
Working Paper Series
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 305
20.

Leveraged Funds: Robust Replication and Performance Evaluation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-1
Number of pages: 32 Posted: 19 Sep 2016 Last Revised: 21 Feb 2019
Working Paper Series
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 250
21.

A Framework for Analyzing Contagion in Banking Networks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-14
Number of pages: 24 Posted: 19 Oct 2011 Last Revised: 28 Nov 2018
Working Paper Series
McMaster University - Department of Mathematics and Statistics and University of Limerick, Ireland
Downloads 120