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Michael J. Brennan Irish Finance Working Paper Series

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Viewing: 1 - 37 of 37 papers

1.

Food Prices, Ethics and Forms of Speculation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-9
Number of pages: 27 Posted: 26 Oct 2020
Working Paper Series
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin and Universitat Jaume I - Department of Finance and Accounting
Downloads 16
2.

Commodity Futures Return Predictability and Intertemporal Asset Pricing

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-8
Number of pages: 55 Posted: 23 Oct 2020 Last Revised: 26 Oct 2020
Working Paper Series
University College Dublin, Rennes School of Business and University College Dublin
Downloads 93
3.

American Student Loans: Repayment and Valuation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-11
Number of pages: 19 Posted: 23 Oct 2020 Last Revised: 26 Oct 2020
Working Paper Series
Dublin City University - School of Mathematical Sciences, University of Colorado at Boulder - Department of Applied Mathematics and University of Colorado Boulder
Downloads 58
4.

Integration Among US Banks

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-5
Number of pages: 39 Posted: 28 Sep 2020
Working Paper Series
IIM Bangalore and University College Dublin

Multiple version iconThere are 3 versions of this paper

Downloads 35
5.

Operational Risk Capital

Swiss Finance Institute Research Paper No. 20-55, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-10
Number of pages: 71 Posted: 28 Jul 2020 Last Revised: 26 Oct 2020
Working Paper Series
University College Dublin, University of Warwick - Accounting Group and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 67
6.

Shadow Money, Banking Competition and Stability: Evidence from China

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-9
Number of pages: 62 Posted: 23 Jul 2020 Last Revised: 23 Jul 2020
Working Paper Series
Tianjin University - College of Management and Economics, University of Freiburg, Institute for Economic Research and University College Dublin (UCD)
Downloads 79
7.

Optimal Characteristic Portfolios

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-6
Number of pages: 56 Posted: 13 Jul 2020 Last Revised: 20 Jul 2020
Working Paper Series
Smurfit Business School and Universidad de Zaragoza
Downloads 122
8.

Neural Networks and Value at Risk

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-7
Number of pages: 43 Posted: 03 Jun 2020 Last Revised: 16 Jul 2020
Working Paper Series
University of Kaiserslautern - Sociovestix Labs - a DFKI spin-off, University of St. Gallen - Institute of Computer Science, Smurfit Graduate Business School, University College Dublin, Warburg Invest AG and affiliation not provided to SSRN
Downloads 123
9.

Information in the Term Structure of WTI Crude Oil Futures

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-2
Number of pages: 59 Posted: 02 Mar 2020
Working Paper Series
University College Dublin (UCD) - Department of Banking & Finance, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Department of Banking & Finance
Downloads 136
10.

Women on Boards and Corporate Social Irresponsibility: Evidence From a Granger Style Reverse Causality Minimisation Procedure

Forthcoming in European Journal of Finance, Previous version circulated as Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-4
Number of pages: 50 Posted: 08 Feb 2020 Last Revised: 19 Oct 2020
Accepted Paper Series
University of Manchester - Alliance Manchester Business School, Smurfit Graduate Business School, University College Dublin, University of Essex and Alliance Manchester Business School, University of Manchester
Downloads 136
11.

High-Frequency Trading with Fractional Brownian Motion

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-5
Number of pages: 27 Posted: 16 Aug 2019 Last Revised: 17 Jul 2020
Working Paper Series
Dublin City University - School of Mathematical Sciences, Taras Shevchenko National University of Kyiv and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 198
12.

Semi-strong Factors in Asset Returns

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-6
Number of pages: 51 Posted: 15 Jul 2019 Last Revised: 21 Nov 2019
Working Paper Series
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and Northwestern University
Downloads 110
13.

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 213
14.

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 78
15.

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
Working Paper Series
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 123
16.

Sharing Profits in the Sharing Economy

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-3
Number of pages: 22 Posted: 07 Nov 2018 Last Revised: 02 Mar 2020
Working Paper Series
Dublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 116
17.

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 College Cork, Southern Illinois University at Edwardsville - Department of Economics and University College Dublin

Multiple version iconThere are 2 versions of this paper

Downloads 62
18.

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 121
19.

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 102
20.

Should Commodity Investors Follow Commodities' Prices?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-8
Number of pages: 27 Posted: 24 Jul 2018 Last Revised: 25 Sep 2019
Working Paper Series
Dublin City University - School of Mathematical Sciences, University of Torino and Worcester Polytechnic Institute
Downloads 134
21.

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: 60 Posted: 18 Jun 2018 Last Revised: 11 Aug 2019
Working Paper Series
Emory University - Goizueta Business School and University of Toronto - Finance Area
Downloads 1,259
22.

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 100
23.

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 76
24.

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 Aug 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 5,231
25.

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
Working Paper Series
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 47
26.

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
Working Paper Series
Dublin City University - School of Mathematical Sciences and Dublin City University - School of Mathematical Sciences

Multiple version iconThere are 2 versions of this paper

Downloads 44
27.

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: 60 Posted: 09 May 2018 Last Revised: 10 Feb 2020
Accepted 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 115
28.

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 333
29.

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: 06 Oct 2020
Working Paper Series
University College Cork, University College Dublin, Fudan University - Fanhai International School of Finance (FISF) and Boston College - Department of Finance
Downloads 60
30.

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
Working Paper Series
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 1,109
31.

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 270
32.

Options Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 37 Posted: 28 Nov 2017 Last Revised: 01 May 2020
Working Paper Series
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 421
33.

Bondholders’ returns and stakeholder interests: When are they aligned?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-13
Number of pages: 42 Posted: 31 Mar 2017 Last Revised: 26 Oct 2020
Working Paper Series
Pepperdine University - Pepperdine Graziadio Business School (PGBS), Smurfit Graduate Business School, University College Dublin and Sociovestix Labs - a DFKI spin-off
Downloads 446
34.

Macro-Financial Spillovers

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-12
Number of pages: 56 Posted: 25 Jan 2017 Last Revised: 26 Oct 2020
Working Paper Series
University College Dublin, University of Essex - Essex Business School and Koc University
Downloads 210
35.

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
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 280
36.

Minority Acquisitions and Information Risk

29th Australasian Finance and Banking Conference 2016, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-7
Number of pages: 52 Posted: 25 Aug 2016 Last Revised: 25 Sep 2019
Working Paper Series
University of Waikato, UNSW Business School and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 103
37.

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 124