Menachem Brenner

New York University (NYU) - Department of Finance

Professor

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

SCHOLARLY PAPERS

20

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Top 3,713

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10,343

SSRN CITATIONS
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Top 4,532

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Scholarly Papers (20)

1.

Asset Pricing and Ambiguity: Empirical Evidence

NYU Working Paper No. 2451/31453
Number of pages: 57 Posted: 31 Jan 2012 Last Revised: 29 Nov 2017
Menachem Brenner and Yehuda (Yud) Izhakian
New York University (NYU) - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,796 (8,689)
Citation 1

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Ambiguity aversion, Ambiguity measurement, Knightian uncertainty, Equity premium

2.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 48 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,503 (11,596)
Citation 22

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Asymmetric Information, Civil Litigations, Insider Trading, Mergers and Acquisitions, Market Microstructure, Equity Options, SEC

3.
Downloads 1,241 ( 15,673)
Citation 13

Hedging Volatility Risk

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 34 Posted: 13 Jul 2002
Menachem Brenner, Ernest Y. Ou and Jin E. Zhang
New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 1,110 (18,201)
Citation 1

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Straddle, Compound Options, Stochastic Volatility

Hedging Volatility Risk

NYU Working Paper No. FIN-00-057
Number of pages: 31 Posted: 13 Nov 2008
Menachem Brenner, Ernest Y. Ou and Jin E. Zhang
New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 75 (320,565)
Citation 2

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Straddle, Compound Options, Stochastic Volatility

Hedging Volatility Risk

NYU Working Paper No. S-DRP-01-04
Number of pages: 31 Posted: 07 Nov 2008
Menachem Brenner, Ernest Y. Ou and Jin E. Zhang
New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 56 (374,936)

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Straddle, Compound Options, Stochastic Volatility

4.
Downloads 849 ( 27,418)
Citation 3

Financial Markets and the Macro Economy

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 04 Mar 2005
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 647 (39,094)
Citation 4

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Volatility, comovement, information, market efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. FIN-05-003
Number of pages: 49 Posted: 03 Nov 2008
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 118 (237,333)

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Volatility, Comovement, Information, Market Efficiency

Financial Markets and the Macro Economy

NYU Working Paper No. SC-AM-05-03
Number of pages: 49 Posted: 04 Nov 2008
New York University (NYU) - Department of Finance, University of Michigan, Stephen M. Ross School of Business and New York University (NYU) - Department of Finance
Downloads 84 (299,190)

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5.

The Market for Volatility Trading; Vix Futures

NYU Working Paper No. FIN-07-003
Number of pages: 30 Posted: 03 Nov 2008
Menachem Brenner, Jinghong Shu and Jin E. Zhang
New York University (NYU) - Department of Finance, affiliation not provided to SSRN and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 744 (32,875)
Citation 3

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6.
Downloads 684 ( 36,912)
Citation 4

Altering the Terms of Executive Stock Options

New York University, Center for Law and Business, Working Paper No. 98-001
Number of pages: 32 Posted: 30 Aug 1998
Menachem Brenner, Rangarajan K. Sundaram and David Yermack
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Stern School of Business
Downloads 636 (40,068)
Citation 4

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Altering the Terms of Executive Stock Options

NYU Working Paper No. FIN-98-010
Number of pages: 38 Posted: 07 Nov 2008
Menachem Brenner, Rangarajan K. Sundaram and David Yermack
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Stern School of Business
Downloads 48 (402,571)

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7.

How Do Insiders Trade?

CFS Working Paper, No. 541
Number of pages: 66 Posted: 09 Oct 2016 Last Revised: 18 Jan 2018
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 675 (37,644)
Citation 2

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Insider Trading, Market Microstructure, Corporate Announcements, Extreme Price Movements, Equity Options

8.
Downloads 668 ( 38,055)
Citation 3

Ambiguity and Overconfidence

Number of pages: 49 Posted: 02 Mar 2011 Last Revised: 01 Aug 2015
Menachem Brenner, Yehuda (Yud) Izhakian and Orly Sade
New York University (NYU) - Department of Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance
Downloads 668 (37,472)
Citation 4

Abstract:

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Ambiguity Aversion, Familiarity, Overconfidence

Ambiguity and Overconfidence

NYU Working Paper No. 2451/31332
Posted: 26 Jun 2013
Menachem Brenner, Yehuda (Yud) Izhakian and Orly Sade
New York University (NYU) - Department of Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance

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9.

Pricing Systematic Ambiguity in Capital Markets

NYU Working Paper No. 2451/31587
Number of pages: 28 Posted: 28 Jul 2012 Last Revised: 10 Sep 2013
Menachem Brenner and Yehuda (Yud) Izhakian
New York University (NYU) - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 398 (73,282)

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10.
Downloads 354 ( 83,941)
Citation 4

On Rescissions in Executive Stock Options

Number of pages: 31 Posted: 27 May 2002
Menachem Brenner, Rangarajan K. Sundaram and David Yermack
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Stern School of Business
Downloads 287 (105,337)
Citation 2

Abstract:

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rescissions, executive stock options, incentives, valuation, taxes

On Rescissions in Executive Stock Options

NYU Working Paper No. FIN-02-014
Number of pages: 31 Posted: 03 Nov 2008
Menachem Brenner, Rangarajan K. Sundaram and David Yermack
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Stern School of Business
Downloads 35 (455,817)

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On Rescissions in Executive Stock Options

NYU Working Paper No. S-CG-02-05
Number of pages: 32 Posted: 04 Nov 2008
Menachem Brenner, Rangarajan K. Sundaram and David Yermack
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Stern School of Business
Downloads 32 (470,076)

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11.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 93 Posted: 11 Feb 2015 Last Revised: 01 Nov 2015
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York University (NYU) - Department of Finance
Downloads 333 (89,992)
Citation 3

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Asymmetric Information, CDS, Corporate Bonds, Insider Trading, Spinoffs, Market Microstructure, Options, TRACE

12.

Auctioning Sovereign Bonds: A Global Cross-Section Investigation of the Price Mechanism

EFA 2006 Zurich Meetings Paper
Number of pages: 32 Posted: 21 Feb 2007
Menachem Brenner, Dan Galai and Orly Sade
New York University (NYU) - Department of Finance, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Department of Finance
Downloads 249 (122,832)

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Uniform auction, discriminatory auction, treasury bonds, Tbills

13.

Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets

NYU Working Paper No. FIN-01-065
Number of pages: 21 Posted: 03 Nov 2008
Menachem Brenner and meir h sokoler
New York University (NYU) - Department of Finance and affiliation not provided to SSRN
Downloads 205 (148,414)

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Derivatives, Monetary Policy, Crawling Band

Liquidity and Efficiency in Three Related Foreign Exchange Options Markets

Number of pages: 42 Posted: 17 Jan 2007
Menachem Brenner and Ben Z. Schreiber
New York University (NYU) - Department of Finance and Bank of Israel
Downloads 120 (234,262)

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Foreign Exchange, Implied Volatility, Liquidity, Bid-Ask Spread

Liquidity and Efficiency in Three Related Foreign Exchange Options Markets

NYU Working Paper No. FIN-06-041
Number of pages: 42 Posted: 03 Nov 2008
Menachem Brenner and Ben Z. Schreiber
New York University (NYU) - Department of Finance and Bank of Israel
Downloads 44 (417,713)

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15.

Asset Prices and Ambiguity

NYU Working Paper No. 2451/31330
Number of pages: 36 Posted: 26 Jun 2013
Menachem Brenner and Yehuda (Yud) Izhakian
New York University (NYU) - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 135 (213,142)

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16.
Downloads 128 (222,228)
Citation 42

The Price of Options Illiquidity

NYU Working Paper No. FIN-99-086
Number of pages: 32 Posted: 11 Nov 2008
Menachem Brenner, Rafi Eldor and Shmuel Hauser
New York University (NYU) - Department of Finance, affiliation not provided to SSRN and Ben-Gurion University of the Negev - School of Management
Downloads 90 (286,361)
Citation 5

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The Price of Options Illiquidity

Journal of Finance, Vol. 56, No. 2, 2001
Number of pages: 18 Posted: 01 Jan 2014
Menachem Brenner, Rafi (Rafael) Eldor and Shmuel Hauser
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliya - Arison School of Business and Ben-Gurion University of the Negev - School of Management
Downloads 38 (442,585)

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Options, Liquidity, Non-tradable

17.

No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property

NYU Working Paper No. FIN-98-009
Number of pages: 42 Posted: 07 Nov 2008
Menachem Brenner and Young Ho Eom
New York University (NYU) - Department of Finance and Yonsei University
Downloads 97 (270,664)

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Option Pricing, Martingale Pricing, Semi-Nonparametric Method

18.

Endogenizing Bidder’s Choice in Financial Assets Auctions – An Experimental Investigation

NYU Working Paper No. FIN-07-011
Number of pages: 34 Posted: 03 Nov 2008 Last Revised: 18 Oct 2009
Menachem Brenner, Dan Galai and Orly Sade
New York University (NYU) - Department of Finance, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Department of Finance
Downloads 63 (348,459)

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19.

Inflation Expectations Derived from Foreign

NYU Working Paper No. FIN-07-001
Number of pages: 24 Posted: 03 Nov 2008
Eddy Azoulay, Menachem Brenner and Yoram Landskroner
affiliation not provided to SSRN, New York University (NYU) - Department of Finance and Hebrew University of Jerusalem - Department of Finance and Banking
Downloads 57 (366,126)

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20.

Sovereign Debt Auctions: Uniform or Discriminatory?

Journal of Monetary Economics, Vol. 56, No. 2, 2009
Posted: 28 Apr 2009
Menachem Brenner, Dan Galai and Orly Sade
New York University (NYU) - Department of Finance, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Department of Finance

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Uniform auction, Discriminatory auction, Treasury bonds, T-bills