Economics - Journal Articles

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Economics - Journal Articles

 

Recent Submissions

  • Foran, Jason; Hutchinson, Mark C.; O'Sullivan, Niall (Elsevier, 2014-03)
    Using tick data covering a 12 year period including much of the recent financial crisis we provide an unprecedented examination of the relationship between liquidity and stock returns in the UK market. Previous research ...
  • Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O’Sullivan, Niall (Elsevier, 2008-04)
    This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying ...
  • Cuthbertson, Keith; Nitzsche, Dirk; O'Sullivan, Niall (Blackwell Publishing Ltd., 2010-01)
    We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy ...
  • Cuthbertson, Keith; Nitzsche, Dirk; O'Sullivan, Niall (Blackwell Publishing Ltd, 2010-05)
    The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha ...
  • Gallagher, Robert; O'Sullivan, Niall (Dunker & Humblot, 2011)
    This paper contributes to the behavioural finance literature that examines the asset pricing impact of mood altering events such as sports results, sunshine levels, daylight hours, public holidays, temperature etc. ...