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

DOWNLOADS
Rank 4,063

SSRN RANKINGS

Top 4,063

in Total Papers Downloads

8,354

CITATIONS
Rank 3,631

SSRN RANKINGS

Top 3,631

in Total Papers Citations

150

Scholarly Papers (20)

1.
Downloads 1,221 ( 13,082)
Citation 12

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 1,095 (15,234)
Citation 12

Abstract:

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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 (276,379)
Citation 12

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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 51 (338,826)
Citation 12

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Straddle, Compound Options, Stochastic Volatility

2.
Downloads 822 ( 23,810)
Citation 2

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 - Stern School of Business
Downloads 634 (33,630)
Citation 2

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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 - Stern School of Business
Downloads 110 (214,599)
Citation 2

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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 - Stern School of Business
Downloads 78 (269,899)
Citation 2

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3.
Downloads 667 ( 31,883)
Citation 80

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 628 (34,067)
Citation 80

Abstract:

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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 39 (379,621)
Citation 80

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4.
Downloads 642 ( 33,555)
Citation 2

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance
Downloads 642 (33,057)
Citation 2

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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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance

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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 642 (29,892)
Citation 4

Abstract:

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6.

Asset Pricing and Ambiguity: Empirical Evidence

NYU Working Paper No. 2451/31453
Number of pages: 57 Posted: 31 Jan 2012 Last Revised: 12 Aug 2015
Menachem Brenner and Yehuda (Yud) Izhakian
New York University (NYU) - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 610 (20,287)
Citation 2

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Ambiguity aversion, Ambiguity measurement, Knightian uncertainty, Equity premium

7.

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

Number of pages: 117 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 - Stern School of Business
Downloads 379 (17,535)
Citation 2

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

8.

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 365 (65,881)
Citation 1

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9.
Downloads 341 ( 73,868)
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 282 (91,007)
Citation 4

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 31 (412,296)
Citation 4

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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 28 (426,710)
Citation 4

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10.

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 227 (107,549)

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Uniform auction, discriminatory auction, treasury bonds, Tbills

11.

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 193 (128,523)
Citation 1

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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 118 (203,766)
Citation 1

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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 (361,406)
Citation 1

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13.

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 - Stern School of Business
Downloads 122 (96,647)

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

14.
Downloads 114 (208,098)
Citation 29

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 85 (255,957)
Citation 29

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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 29 (421,764)
Citation 29

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Options, Liquidity, Non-tradable

15.

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 74 (250,144)
Citation 7

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Option Pricing, Martingale Pricing, Semi-Nonparametric Method

16.

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 63 (197,814)
Citation 3

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17.

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 62 (300,917)

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18.

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 53 (321,846)

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19.

How Do Insiders Trade?

CFS WP No. 541
Number of pages: 66 Posted: 09 Oct 2016
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University - Stern School of Business
Downloads 0 (72,396)

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

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