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

  • New York University (NYU) - Department of Finance

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    • Tel: 212-998-0323
    • Fax: 212-995-4233
SCHOLARLY PAPERS

21

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68

CROSSREF CITATIONS

203

Scholarly Papers (21)

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1.

Asset Pricing and Ambiguity: Empirical Evidence

Journal of Financial Economics (JFE), Vol. 130, No. 3, 2018
Number of pages: 57 Posted: 31 Jan 2012 Last Revised: 28 Jan 2020
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 1,959 (9,560)
Citation 13

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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, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,849 (10,496)
Citation 39

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

3.

Hedging Volatility Risk

Downloads 1,271 ( 18,842)
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 1,136 (21,949)
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 79 (368,140)
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 (443,095)

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Straddle, Compound Options, Stochastic Volatility

4.

Financial Markets and the Macro Economy

Downloads 873 ( 32,615)
Citation 4

Financial Markets and the Macro Economy

AFA 2007 Chicago Meetings Paper
Number of pages: 49 Posted: 04 Mar 2005
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
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 656 (47,491)
Citation 6

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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
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
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 132 (259,644)

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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
Menachem Brenner, Paolo Pasquariello and Marti G. Subrahmanyam
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 85 (352,154)

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5.

How Do Insiders Trade?

CFS Working Paper, No. 541
Number of pages: 66 Posted: 09 Oct 2016 Last Revised: 18 Jan 2018
Patrick Augustin, Menachem Brenner, Gunnar Grass and Marti G. Subrahmanyam
McGill University, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 850 (33,828)
Citation 2

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

6.

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 766 (39,043)
Citation 7

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7.

Altering the Terms of Executive Stock Options

Downloads 696 ( 44,417)
Citation 8

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 642 (48,821)
Citation 9

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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 54 (450,744)

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8.

Ambiguity and Overconfidence

Downloads 686 ( 45,327)
Citation 4

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 686 (44,695)
Citation 5

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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 409 (86,342)

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10.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 41 Posted: 11 Feb 2015 Last Revised: 26 Feb 2020
Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
McGill University, 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 400 (88,599)
Citation 6

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Capital Structure, Derivatives, Options, SEC

11.

On Rescissions in Executive Stock Options

Downloads 362 ( 99,346)
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 290 (125,797)
Citation 2

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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 39 (516,954)

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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 33 (548,717)

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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 253 (145,575)

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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 207 (176,445)

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Derivatives, Monetary Policy, Crawling Band

14.

Liquidity and Efficiency in Three Related Foreign Exchange Options Markets

Downloads 168 (212,378)

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 121 (277,182)

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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 47 (479,616)

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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 144 (241,411)

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16.

The Price of Options Illiquidity

Downloads 143 (242,821)
Citation 45

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 96 (325,818)
Citation 9

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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 47 (479,616)
Citation 1

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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 104 (306,887)

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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 64 (408,787)

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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 60 (422,216)

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20.

Risk and Ambiguity in Turbulent Times

The Quarterly Journal of Finance, Forthcoming
Number of pages: 18 Posted: 05 May 2021
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 17 (635,097)

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Ambiguity, Knightian Uncertainty, Financial Crisis, Covid Crisis, Volatility Index

21.

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