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Underpricing, ownership and control in initial public offerings of equity securities in the UK

Brennan, M. J.; Franks, J. - In: Journal of Financial Economics 45 (1997) 3, pp. 391-413

Persistent link: https://www.econbiz.de/10005477985

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

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541

We estimate buy- and sell-order illiquidity measures (lambdas) for a comprehensive sample of NYSE stocks. We show that sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our analysis indicates that the liquidity premium in...

Persistent link: https://www.econbiz.de/10010617605

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

The pricing of equity-linked life insurance policies with an asset value guarantee

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial Economics 3 (1976) 3, pp. 195-213

Persistent link: https://www.econbiz.de/10005210468

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