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Michael Brennan


Michael Brennan - The University of Manchester (UK)

Michael Brennan earned his PhD in Business Administration from the Massachusetts Institute of Technology. Currently he is a professor of Finance at both the UCLA Anderson School of Business and the London Business School; other positions include former president of the American Finance Association. His research interests include the role of information in capital markets and market microstructure. He is currently working on several issues, including: the problem of asset allocation when investors face time-varying opportunity sets. Dr. Brennen has worked as an editor of the Journal of Finance. He was also the founding editor of the Review of Financial Studies. In 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies, and he is highly sought after as an economic adviser.


Project: The stay includes several projects which have the common theme of asset pricing. First, I am working on a paper on the role of liquidity for asset pricing. Secondly, I am working on the predictability of stock market returns from past returns. My third project concerns the role of dividend futures prices for the rational pricing of stocks.

Stay Period: FEB 11 - JUL 11


Title: "The Capital Question".
Author: Prof. Michael Brennan
Date: June 22, 2011
Time: 12:00h
Place: Aula Multimedia. Getafe Campus

Conference video


    "Sell-Order Liquidity and the Cross-Section of Expected Stock Returns" by Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong (2011). Journal of Financial Economics