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The dynamics of international equity market expectations

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

Persistent link: https://www.econbiz.de/10003052522

Investment analysis and price formation in securities markets

Brennan, Michael J. - In: Journal of financial economics 38 (1995) 3, pp. 361-381

Persistent link: https://www.econbiz.de/10001180865

The determinants of average trade size

Brennan, Michael J. - In: The journal of business : B 71 (1998) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001233463

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

Brennan, Michael J. - In: Journal of financial economics 41 (1996) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10001200400

Efficient financing under asymmetric information

Brennan, Michael J. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1225-1243

Persistent link: https://www.econbiz.de/10001055476

International portfolio investment flows

Brennan, Michael J. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1851-1880

Persistent link: https://www.econbiz.de/10001232341

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

Brennan, Michael J. - 2015

We decompose the structural estimate of the probability of informed trading, PIN, into components that capture informed trading on good and on bad news. We estimate these two components at quarterly intervals, and provide new evidence that they capture informed trading around earnings...

Persistent link: https://www.econbiz.de/10013036090

Asymmetric effects of informed trading on the cost of equity capital

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: Management science : journal of the Institute for … 62 (2016) 9, pp. 2460-2480

Persistent link: https://www.econbiz.de/10011577121