- Bond Markets
- Derivatives
- Future Markets
- Hedging Strategies
- Initial Product Offerings
- Interest Rates
- Mining
- Oil and Gas Industry
Biography
Michael Brennan is a professor of finance at both UCLA Anderson School of Management and London Business School. His research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure and the role of information in capital markets. He has published extensively in all of these areas.
His current research concerns several topics, including: the problem of asset allocation when investors face time-varying opportunity sets; initial public offerings and the allocation of control rights in the corporation; the determinants of international flows of portfolio investment; the role of convertible securities in corporate finance; and corporate hedging strategies.
A former president of the American Finance Association, Brennan has served as editor of the Journal of Finance and was the founding editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the U.S., and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies.
Education
Ph.D. Business, 1970, Massachusetts Institute of Technology
MBA Management, 1967, University of Pittsburgh
B.Phil. Economics, 1964, Oxford University
Selected Published Papers
Brennan, M.J., The Role of Learning in Dynamic Portfolio Decisions, European Finance Review, 1, 295-706 (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)
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
Working Papers
Capital Gains Taxes, Agency Costs, and Closed-end Fund Discounts
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 Signaling Model
The Term Structure of Discount Rates