• Liquidity commonality and pricing in UK equities 

  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 ...
• A review of behavioural and management effects in mutual fund performance 

  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 ...
• The conditional pricing of systematic and idiosyncratic risk in the UK equity market 

  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 ...
• Liquidity risk and the performance of UK mutual funds 

  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 ...
• The profitability of momentum trading strategies in the Irish equity market 

  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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