Michael J. Brennan

University of California, Los Angeles (UCLA) - Finance Area

Associate Director Univ. Dvlmt-Corp & Foundation Rel

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

33

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CITATIONS
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348

Scholarly Papers (33)

1.

Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model

University of Pennsylvania Working Paper
Number of pages: 55 Posted: 17 Aug 2001
Michael J. Brennan, Ashley Wang and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area, Federal Reserve Board and University of California, Los Angeles (Deceased)
Downloads 1,897 (7,782)
Citation 16

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Intertemporal capital asset pricing model, Fama-French three factor model, stochastic investment opportunity set, time-varying Sharpe ratio, time-varying risk premia

2.
Downloads 1,476 ( 11,710)
Citation 277

Dynamic Asset Allocation Under Inflation

AFA 2002 Atlanta Meetings
Number of pages: 69 Posted: 13 Dec 2000
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 1,476 (11,480)
Citation 277

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Dynamic asset allocation, portfolio theory

Dynamic Asset Allocation Under Inflation

Journal of Finance, Vol. 57, pp. 1201-1238, 2002
Posted: 29 Nov 2003
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

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3.

An Analysis of the Amihud Illiquidity Premium

Number of pages: 63 Posted: 08 Jun 2011 Last Revised: 04 Apr 2012
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,086 (18,885)
Citation 26

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4.

Agency and Asset Pricing

Number of pages: 39 Posted: 19 Mar 2008
Michael J. Brennan and Feifei Li
University of California, Los Angeles (UCLA) - Finance Area and Research Affiliates, LLC
Downloads 1,003 (21,236)
Citation 62

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Asset Pricing, Agency, Institutional Investing, Benchmark

5.
Downloads 932 ( 23,633)

Assessing Asset Pricing Anomalies

AFA 2001 New Orleans
Number of pages: 66 Posted: 17 Oct 2000
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 932 (23,232)
Citation 37

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Assessing Asset Pricing Anomalies

Review of Financial Studies, Vol. 14, Iss. 4, Winter 2001
Posted: 19 Sep 2001
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

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6.
Downloads 898 ( 25,002)
Citation 25

Tranching and Rating

Number of pages: 28 Posted: 25 Mar 2008
Michael J. Brennan, Julia Hein and Ser-Huang Poon
University of California, Los Angeles (UCLA) - Finance Area, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 896 (24,669)
Citation 6

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Credit rating, default probability, expected loss rate, CDO, special purpose vehicle

Tranching and Rating

European Financial Management, Vol. 15, Issue 5, pp. 891-922, November 2009
Number of pages: 32 Posted: 21 Oct 2009
Michael J. Brennan, Julia Hein and Ser-Huang Poon
University of California, Los Angeles (UCLA) - Finance Area, University of Konstanz - Department of Economics and University of Manchester - Manchester Business School
Downloads 2 (661,513)
Citation 22
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7.

Sell-Order Illiquidity and the Cross-Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 05 May 2009 Last Revised: 14 Nov 2013
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and School of Business, Renmin University of China
Downloads 682 (36,543)
Citation 22

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Liquidity, Kyle Lambda, Trading costs, Asset pricing

8.

Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing

AFA 2003 Washington, DC Meetings; 5th Annual Texas Finance Festival
Number of pages: 62 Posted: 13 Oct 2002
Michael J. Brennan, Ashley Wang and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area, Federal Reserve Board and University of California, Los Angeles (Deceased)
Downloads 661 (38,072)
Citation 122

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9.

High-Frequency Measures of Informed Trading and Corporate Announcements

Review of Financial Studies, Forthcoming, Institute of Global Finance Working Paper No. 2
Number of pages: 73 Posted: 15 Mar 2015 Last Revised: 25 Dec 2017
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 645 (39,315)
Citation 3

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High-Frequency Measures of Information Asymmetry; Daily Conditional Probability of Informed Trading; Good- and Bad-News Components; Earnings Surprises; CAR; SUE

10.

Asset Pricing and Mispricing

Number of pages: 44 Posted: 10 Jul 2006
Michael J. Brennan and Ashley Wang
University of California, Los Angeles (UCLA) - Finance Area and Federal Reserve Board
Downloads 564 (46,995)
Citation 5

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11.

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Management Science, Forthcoming
Number of pages: 59 Posted: 12 Jan 2013 Last Revised: 12 May 2015
Michael J. Brennan, Sahn-Wook Huh and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, State University of New York (SUNY) - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 500 (54,685)
Citation 5

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Information Asymmetry; Decomposition of PIN; Good-News PIN; Bad-News PIN; Earnings Announcements; Earnings Surprises; CAR; SUE; Cost of Equity Capital

12.

Risk and Valuation Under an Intertemporal Capital Asset Pricing Model

Rodney L. White Center for Financial Research Working Paper No. 09-03
Number of pages: 46 Posted: 21 Jul 2003
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 470 (59,139)
Citation 23

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13.
Downloads 456 ( 61,374)
Citation 76

Information, Trade, and Derivative Securities

Number of pages: 54 Posted: 08 Jul 1997
Michael J. Brennan and H. Henry Cao
University of California, Los Angeles (UCLA) - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 456 (60,737)
Citation 76

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Information, Trade, and Derivative Securities

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 17 Oct 1995
Michael J. Brennan and H. Henry Cao
University of California, Los Angeles (UCLA) - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area

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Information, Trade and Derivative Securities

London Business School Institute of Finance and Accounting Working Paper 188
Posted: 02 Sep 1999
Michael J. Brennan and H. Henry Cao
University of California, Los Angeles (UCLA) - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area

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14.

The Mispricing Return Premium

Number of pages: 43 Posted: 19 Aug 2008 Last Revised: 19 Feb 2009
Michael J. Brennan and Ashley Wang
University of California, Los Angeles (UCLA) - Finance Area and Federal Reserve Board
Downloads 386 (74,971)
Citation 18

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Jensen's Inequality, Asset Pricing Test

15.

Capital Asset Pricing with a Stochastic Horizon

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 92 Posted: 02 Feb 2011 Last Revised: 27 Nov 2018
Michael J. Brennan and Yuzhao Zhang
University of California, Los Angeles (UCLA) - Finance Area and Rutgers, The State University of New Jersey - Department of Finance
Downloads 377 (76,975)
Citation 1

Abstract:

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Capital, Asset Pricing, Horizon

16.

Capital Gains Taxes, Agency Costs, and Closed-End Fund Discounts

EFA 2008 Athens Meetings Paper
Number of pages: 29 Posted: 17 Mar 2008
Michael J. Brennan and Ravi Jain
University of California, Los Angeles (UCLA) - Finance Area and National University of Singapore
Downloads 373 (77,941)
Citation 7

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Agency costs, capital gains, closed-end fund discounts, dividends, tax clienteles

17.

Option Pricing Kernels and the Icapm

EFA 2006 Zurich Meetings
Number of pages: 28 Posted: 19 Jul 2006
Xiaoquan Liu, Michael J. Brennan and Yihong Xia
Essex Business School, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 373 (77,941)

Abstract:

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pricing kernel, state variables, intertemporal CAPM

18.

International Capital Markets and Foreign Exchange Risk

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 30 Dec 2004
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 348 (84,529)
Citation 52

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19.
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Citation 39

Stochastic Interest Rates and the Bond-Stock Mix

Number of pages: 14 Posted: 02 Jun 2001
Yihong Xia and Michael J. Brennan
University of California, Los Angeles (Deceased) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 302 (98,371)
Citation 39

Abstract:

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dynamic portfolio policy, hedging, asset allocation puzzle

Stochastic Interest Rates and the Bond-Stock Mix

European Finance Review, Vol. 4, No. 2
Posted: 11 Sep 2001
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

Abstract:

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Dynamic portfolio policy, hedging, asset allocation puzzle

Leaning Against the Wind: Debt Financing in the Face of Adversity

Number of pages: 33 Posted: 01 Nov 2015 Last Revised: 29 Dec 2016
Michael J. Brennan and Holger Kraft
University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 83 (297,648)
Citation 1

Abstract:

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Capital structure, financing policy, managerial incentives

Leaning Against the Wind: Debt Financing in the Face of Adversity

SAFE Working Paper No. 119
Number of pages: 36 Posted: 30 Nov 2015 Last Revised: 29 Dec 2016
Michael J. Brennan and Holger Kraft
University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 77 (311,534)

Abstract:

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Capital structure, financing policy, managerial incentives

21.

Expected Returns and Risk in the Stock Market

Number of pages: 58 Posted: 27 Feb 2019
Michael J. Brennan and Alex P. Taylor
University of California, Los Angeles (UCLA) - Finance Area and Alliance Manchester Business School
Downloads 144 (199,728)
Citation 1

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Predictability, Expected Market Returns, Risk

22.

Predicting the Market Using Information from Equity Portfolio Returns

Number of pages: 47 Posted: 19 Mar 2011
Alex P. Taylor and Michael J. Brennan
Alliance Manchester Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 136 (209,124)
Citation 1

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predictability, equity premium

23.

How Did it Happen?

Economic Notes, Vol. 33, No. 1, pp. 3-22, February 2004
Number of pages: 20 Posted: 03 Jul 2004
Michael J. Brennan
University of California, Los Angeles (UCLA) - Finance Area
Downloads 40 (419,367)
Citation 4
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24.

Agency and Institutional Investment

European Financial Management, Vol. 18, Issue 1, pp. 1-27, 2012
Posted: 31 Dec 2011
Michael J. Brennan, Xiaolong Cheng and Feifei Li
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Anderson School of Management and Research Affiliates, LLC
Downloads 2 (631,365)
Citation 15
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portfolio choice, asset pricing, CAPM, institutional investors

25.

Convertible Bonds: Tests of a Financial Signalling Model

London Business School Institute of Finance and Accounting Working Paper 187
Posted: 15 Oct 2000
Michael J. Brennan and C. Her
University of California, Los Angeles (UCLA) - Finance Area and affiliation not provided to SSRN

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26.

Market Microstructure and Asset Pricing: On the Compensation for Market Illiquidity in Stock Returns

London Business School Institute of Finance and Accounting Working Paper 190
Posted: 06 Sep 1999
Michael J. Brennan and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

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27.

Investment Analysis and Price Formation in Securities Markets

London Business School Institute of Finance and Accounting Working Paper 188
Posted: 02 Sep 1999
Michael J. Brennan and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

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28.

A Plain Man's Response to Professor Jensen

Posted: 27 Dec 1998
Michael J. Brennan
University of California, Los Angeles (UCLA) - Finance Area

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29.

Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK

London Business School Institute of Finance and Accounting Working Paper 209-1995
Posted: 25 Aug 1998
Michael J. Brennan and Julian R. Franks
University of California, Los Angeles (UCLA) - Finance Area and London Business School - Institute of Finance and Accounting

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30.

Cross-Sectional Determinants of Expected Returns

Posted: 11 May 1998
Michael J. Brennan, Tarun Chordia and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, Emory University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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31.

The Determinants of Average Trade Size

Journal of Business, Vol. 71 No. 1, January 1998
Posted: 20 Apr 1998
Michael J. Brennan
University of California, Los Angeles (UCLA) - Finance Area

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32.

International Portfolio Equity Flows

Journal of Finance, Vol 52 No. 4, December 1997
Posted: 12 Apr 1998
Michael J. Brennan and H. Henry Cao
University of California, Los Angeles (UCLA) - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area

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33.

International Portfolio Investment Flows

J. OF FINANCE
Posted: 07 May 1997
Michael J. Brennan and H. Henry Cao
University of California, Los Angeles (UCLA) - Finance Area and University of North Carolina (UNC) at Chapel Hill - Finance Area

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