M
Michael J. Brennan
Researcher at University of California, Los Angeles
Publications - 100
Citations - 12546
Michael J. Brennan is an academic researcher from University of California, Los Angeles. The author has contributed to research in topics: Capital asset pricing model & Portfolio. The author has an hindex of 42, co-authored 100 publications receiving 12138 citations. Previous affiliations of Michael J. Brennan include University of Manchester & Saint Petersburg State University.
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Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
TL;DR: This article investigated the empirical relation between monthly stock returns and measures of illiquity obtained from intraday data and found a significant relation between required rates of return and these measures after adjusting for the Fama and French risk factors and also after accounting for the effects of the stock price level.
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1
TL;DR: In this article, the authors examined the relation between stock returns, measures of risk, and several non-risk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns.
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Underpricing, ownership and control in initial public offerings of equity securities in the UK
TL;DR: In this paper, the authors examine how separation of ownership and control evolves as a result of an Initial Public Offering (IPO) and how the underpricing of the issue can be used by insiders to retain control.
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Strategic asset allocation
TL;DR: In this article, the authors analyze the portfolio problem of an investor who can invest in bonds, stock, and cash when there is time variation in expected returns on the asset classes.
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Investment Analysis and the Adjustment of Stock Prices to Common Information
TL;DR: In this paper, the effect of the number of investment analysts following a firm on the speed of adjustment of the firm's stock price to new information that has common effects across firms was investigated.