Research Papers

Working Papers
The Mispricing Return Premium
Capital Gains Taxes, Agency Costs, and Closed-end Fund Discounts
Systematic Mispricing
International Capital Markets and Foreign Exchange Risk
The Dynamics of International Equity Market Expectations
Risk and Valuation Under an Intertemporal Capital Asset Pricing Model
A Re-examination of Some Popular Security Return Anomalies
Hedging Long Maturity Commodity Commitments with Short-dated Futures Contracts (Appendix)
A Plain Man's Response to Professor Jensen
Conservatism in Accounting: An Outsider's Perspective
Convertible Bonds: Test of a Financial Signalling Model
The Term Structure of Discount Rates

Agency and Asset Pricing
Aspects of Insurance, Intermediation and Finance
Contributing Shares - Part I, Part II

Forthcoming Papers
Assessing Asset Pricing Anomalies (forthcoming, Review of Financial Studies)
Resolution of a Financial Puzzle
Stock Price Volatility, Learning, and the Equity Premium
Developments in the Financial Sector
What Makes Hot Money Hot? The Relative Volatility of International Flows of Debt and Equity Capital
Investor Relations, Liquidity, and Stock Prices

Selected Published Papers
Brennan, M.J., The Role of Learning in Dynamic Portfolio Decisions, European Finance Review, 1, 295-306 (1998).
Brennan, M.J. and Torous, W.N., Individual Decision Making and Investor Welfare, Economic Notes, 28, 2, 119-143 (July 1999).
Brennan, M.J., Chordia, T. and Subrahmanyam, A., Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns, Journal of Financial Economics, 49, 3, 345-373 (September 1998).
Brennan, M.J. and Franks, J.R., Underpricing, Ownership and Control in Initial Public Offerings of Equity Securities in the UK, Journal of Financial Economics, 45, 391-413 (September 1997).