Agency and Asset Pricing

By Michael J. Brennan. 2008

158 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1855cee1d60d11ecf46dc7e4c63e695b636babd3

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Citations in the corpus

Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, unknown): “…and Pedersen, 2012; Black, 1972; Frazzini and Pedersen, 2014 ), benchmarked institutional investors (see, e.g., Baker, Bradley, and Wurgler, 2011; Brennan, 1993 ), money illusion (see, e.g., Cohen, Polk, and Vuolteenaho, 2005 ), disagreement (see, e.g., Hong and Sraer, 2011 ), and market-wide…”
Optimal Asset Allocation and Risk Shifting in Money Management (2007, background): “Brennan (1993) , Cuoco and Kaniel (2003), and Gomez and Zapatero (2003) study equilibrium asset”
Speculative Betas: Speculative Betas (2016, unknown): “7 High beta stocks might also be more diﬃcult to arbitrage because of incentives for benchmarking and other agency issues (Brennan (1993), Baker et al. (2011).) those of low beta ones.”
Asset Prices and Institutional Investors (2013, background): “We here note the resemblance of the results in Lemma 1 to those of Brennan (1993). In a static setting, Brennan argues that an investor who is paid based on performance relative to an index has an additional demand for the index portfolio.”
Betting Against Beta (2010, unknown): “Theoretically, asset pricing models with benchmarked managers (Brennan, 1993) or constraints imply more general CAPM-like relations (Hindy, 1995; Cuoco, 1997).”
A Model of Financialization of Commodities (2015, unknown): “Consistent with the extant literature on benchmarking (originating from Brennan (1993)), we postulate that the marginal utility of institutional investors increases with the index.”