Centre for Investment Research

Centre for Investment Research

 

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  • Foran, Jason; Hutchinson, Mark C.; O'Sullivan, Niall (Elsevier B.V., 2015-01)
    We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across ...
  • Cuthbertson, Keith; Nitzsche, Dirk; O'Sullivan, Niall (Elsevier B.V., 2016)
    This paper surveys and critically evaluates the literature on the role of management effects and fund characteristics in mutual fund performance. First, a brief overview of performance measures is provided. Second, empirical ...
  • Cotter, John; O'Sullivan, Niall; Rossi, Francesco (Elsevier, 2014-10)
    We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between systematic risk (beta) and ...
  • Foran, Jason; O'Sullivan, Niall (Elsevier, 2014-10)
    We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. Using four alternative measures of stock liquidity we extract ...
  • O'Sullivan, Fionnghuala; O'Sullivan, Niall (Blackhall Publishing, 2010-07)
    We examine the profitability of momentum-based trading strategies in the Irish equity market between 1988 and 2007. We investigate a range of trading strategies over alternative backward-looking ranking periods and ...

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