Financial markets and corporate finance: selected papers of Michael J. Brennan
This outstanding collection of Michael Brennan's writing spans almost thirty years and reflects the rapid development and growing importance of the field of finance over this period. The papers cover corporate finance, option pricing and derivative markets, international finance and the role of information in financial markets. The chapters on corporate finance include Brennan's seminal 1970 paper on the effects of personal taxation on financial market equilibrium, an analysis of consistency in utility rate regulation and the classic piece on the application of options analysis to natural resource investments. The chapters on option pricing range from the earliest analysis of the American put option to a synthesis of methods of valuing derivatives, portfolio insurance and the effect of derivatives on trading volume and welfare. More recent papers include empirical asset pricing studies and an innovative proposal to strip the dividends from the S&P500 portfolio. Michael Brennan has been at the forefront of recent developments in financial economics and financial management and this collection of his work will be warmly welcomed by those working in finance, monetary economics, banking and financial sector research.
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Portfolio Insurance and Financial Market Equilibrium with
OPTION PRICING AND DERIVATIVES MARKETS
Finite Difference Methods and Jump Processes Arising in the Pricing
8 other sections not shown
adverse selection aggregate American Put Options assumed assumption Bell Journal Black-Scholes bonds capital structure cash flow coefficient contingent claim contract convenience yield corporate finance cost debt derived discount distribution dividend dividend strips E.S. Schwartz effect equity estimated expected factors Financial Economics Financial Studies firm's given implies incentive information asymmetry interest rate investment Journal of Economics Journal of Finance lagged latent assets logarithm lognormal M.J. Brennan Management market equilibrium market portfolio maturity maximization Merton NASDAQ number of analysts obtained optimal parameter Pareto efficient partial differential equation payoff function period poor farmers portfolio insurance present value private information purchase rate of return ratio reference portfolio regressions regulated firm regulatory policy representative investor Review of Financial risk aversion riskless risky asset RNVR Scholes Section share price signal stochastic process stock price strategy Theorem theory trading session underlying asset utility function valuation value function variable vendor financing wealth zero