Prof Michael Brennan

Emeritus Professor

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Publications

  1. 2019
  2. Published

    Expected Returns and Risk in the Stock Market

    Brennan, M. & Taylor, A. P., 9 Feb 2019, Social Science Research Network, p. 1-58, 58 p.

    Research output: Working paper

  3. 2018
  4. Published

    Capital Asset Pricing with a Stochastic Horizon

    Brennan, M. & Zhang, Y., 24 Oct 2018, In: Journal of Financial and Quantitative Analysis. 55, 3, p. 783-827

    Research output: Contribution to journalArticlepeer-review

  5. Published

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

    Brennan, M. J. & Kraft, H., 2 Sep 2018, In: Financial Management. 47, 3, p. 485-518

    Research output: Contribution to journalArticlepeer-review

  6. Published

    High-Frequency Measures of Informed Trading and Corporate Announcements

    Brennan, M., Huh, S-W. & Subrahmanyam, A., Jun 2018, In: Review of Financial Studies. 31, 6, p. 2326-2376

    Research output: Contribution to journalArticlepeer-review

  7. 2016
  8. Published

    Asymmetric Effects of Informed Trading on the Cost of Equity Capital

    Brennan, M., Huh, S-W. & Subrahmanyam, A., Sep 2016, In: MANAGEMENT SCIENCE. 62, 9, p. 2457-2764

    Research output: Contribution to journalArticlepeer-review

  9. 2015
  10. Published

    Predicting exchange rates

    Brennan, M. & Taylor, A. P., Feb 2015.

    Research output: Working paper

  11. 2012
  12. Published

    Sell-order liquidity and the cross-section of expected stock returns

    Brennan, M. J., Chordia, T., Subrahmanyam, A. & Tong, Q., Sep 2012, In: Journal of Financial Economics. 105, 3, p. 523-541 18 p.

    Research output: Contribution to journalArticlepeer-review

  13. Published

    Agency and institutional investment

    Brennan, M. J., Cheng, X. & Li, F., Jan 2012, In: European Financial Management. 18, 1, p. 1-27 26 p.

    Research output: Contribution to journalArticlepeer-review

  14. 2010
  15. Published

    The mispricing return premium

    Brennan, M. J. & Wang, A. W., Sep 2010, In: Review of Financial Studies. 23, 9, p. 3437-3468 31 p.

    Research output: Contribution to journalArticlepeer-review

  16. 2009
  17. Published

    Tranching and rating

    Brennan, M. J., Hein, J. & Poon, S. H., 2009, In: European Financial Management. 15, 5, p. 891-922 31 p.

    Research output: Contribution to journalArticlepeer-review

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Research output: Contribution to journalArticlepeer-review