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The dynamics of international equity market expectations

Brennan, Michael J.; Henry Cao, H.; Strong, Norman; Xu, … - In: Journal of Financial Economics 77 (2005) 2, pp. 257-288

Persistent link: https://www.econbiz.de/10005477917

A theory of price limits in futures markets

Brennan, Michael J. - In: Journal of Financial Economics 16 (1986) 2, pp. 213-233

Persistent link: https://www.econbiz.de/10005477943

Stock splits, stock prices, and transaction costs

Brennan, Michael J.; Copeland, Thomas E. - In: Journal of Financial Economics 22 (1988) 1, pp. 83-101

Persistent link: https://www.econbiz.de/10005478163

Savings bonds, retractable bonds and callable bonds

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial Economics 5 (1977) 1, pp. 67-88

Persistent link: https://www.econbiz.de/10005376527

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 49 (1998) 3, pp. 345-373

Persistent link: https://www.econbiz.de/10005376545

Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Brennan, Michael J.; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 41 (1996) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10005376828

Investment analysis and price formation in securities markets

Brennan, Michael J.; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 38 (1995) 3, pp. 361-381

Persistent link: https://www.econbiz.de/10005376831

tay's as good as cay

Brennan, Michael J.; Xia, Yihong - In: Finance Research Letters 2 (2005) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10005397440

On the Geometric Mean Index: A Note

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 20 (1985) 01, pp. 119-122

This note explores the properties of some stock markets indices that are claimed to approximate a continuously rebalanced equally weighted portfolio.

Persistent link: https://www.econbiz.de/10005407195

Convertible Bonds: Test of a Financial Signalling Model

Brennan, Michael J.; Her, Constance - Anderson Graduate School of Management, University of … - 1995

This paper presents an empirical test of the Brennan Kraus (1987) hypothesis of convertible bond financing, according to which firms signal their volatility by their choice of terms of the convertible issue. With additional assumptions about the nature of investorsâ€™ prior beliefs about...

Persistent link: https://www.econbiz.de/10011130347