Cork University Business School - Journal Articles
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Item The financial risks from wind turbine failures: a value at risk approach(Taylor & Francis, 2024-07-21) Mikindani, Dorcas; O’Brien, John; Leahy, Paul; Deeney, Peter; Irish Research CouncilThis paper models the financial risk associated with the cost of turbine failures over the lifetime of a wind farm. These failures cause significant variation in realized profit on wind generation projects. A model of the fault generating process is presented and industry data is used to parameterize the model. The model is then used to measure the financial risk associated with the wind project. Risks are measured using the financial metrics Value at Risk (VaR) and Conditional VaR (CVaR) metrics. The study shows that the 95% lifetime VaR of a turbine is equivalent to 52% of the initial capital expenditure. However, as the number of turbines in a farm increases, this risk diminishes. These findings have significant implications for small-scale projects, particularly community projects.Item The CNN Fear and Greed Index as a predictor of US equity index returns: Static and time-varying Granger causality(Elsevier Inc., 2024-12-01) Farrell, Hugh; O'Connor, FergalWe assess whether the CNN “Fear and Greed” Index can be used to predict returns on equity indices and gold. Using static tests, we find that the Fear and Greed Index Granger causes returns on the S&P 500, Nasdaq Composite and Russell 3000 indices in the first sample period (2011–2020), but not gold returns. Analysis from 2021 to 2024 indicates the Fear and Greed index Granger causes S&P 500 and Nasdaq Composite returns, but the relationship is considerably weaker. Using dynamic tests from Shi et al. (2020) we that show that these results may be driven by a stronger relationship existing pre-2014.Item The liquidity timing ability of mutual funds(Elsevier Inc., 2024-06-08) Yin, Zhengnan; O’Sullivan, Niall; Sherman, Meadhbh; University College CorkWe apply the nonparametric methodology of Jiang (2003) to test the market liquidity timing skills across individual equity mutual funds in three countries (the US, UK, and China). We calculate the monthly stock market liquidity using simple averages (across stocks) as well as the asymptotic principal component analysis (APCA) method based on six stock liquidity measures. Using an across-measure of market liquidity from APCA, we find a relatively small number of funds demonstrate statistically positive liquidity timing skills at a 5% significance level for the period of 2000–2021. After controlling for lagged market liquidity information, we still find a small number of mutual funds that have conditional liquidity timing ability using the nonparametric method.Item The market timing ability of bond mutual funds(Springer Nature, 2024-09-17) Yin, Zhengnan; O’Sullivan, Niall; Sherman, MeadhbhWe apply the nonparametric methodology of Jiang (Journal of Empirical Finance 10:399–425, 2003) to examine whether bond mutual funds can time the bond market by adjusting their portfolios' market exposure based on anticipated market movement. This approach offers several advantages over the widely used regression-based tests such as Treynor and Mazuy (Harvard Business Review 44(4):131–136, 1966) and Henriksson and Merton (The Journal of Business 54(4):513–533, 1981). In a comprehensive study covering the USA, UK, and China, we find some evidence of positive market timing of bond funds at the individual fund level. On average, bond funds show neutral to slightly negative market timing abilities. After controlling for public information, we find that a smaller number of bond funds successfully time the market based on private timing signals. In terms of categories, we find strong evidence of positive market timing for Government bond funds as a group, consistent with the findings of Huang and Wang (Management Science 60:2091–2109, 2014).Item The legacy of COVID-19 financial supports: (2) adapting to a life beyond the pandemic(Sweet & Maxwell, 2024) McCarthy, JonathanThis, the second part of a two-part article on public support to businesses, examines whether EU Member States should continue to support businesses after the COVID-19 pandemic, but reformulate the aid to promote sustainability and digitalisation.