Liquidity risk and the performance of UK mutual funds

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dc.contributor.author Foran, Jason
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2014-11-27T17:05:25Z
dc.date.available 2014-11-27T17:05:25Z
dc.date.issued 2014-10
dc.identifier.citation FORAN, J. & O'SULLIVAN, N. 2014. Liquidity risk and the performance of UK mutual funds. International Review of Financial Analysis, 35, 178-189. http://dx.doi.org/10.1016/j.irfa.2014.09.001 en
dc.identifier.volume 35 en
dc.identifier.startpage 178 en
dc.identifier.endpage 189 en
dc.identifier.issn 1057-5219
dc.identifier.uri http://hdl.handle.net/10468/1721
dc.identifier.doi 10.1016/j.irfa.2014.09.001
dc.description.abstract 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 principal components across stocks in order to construct systematic or market liquidity factors. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity as a stock characteristic is positively priced in the cross-section of fund performance. We find that systematic liquidity risk is positively priced in the cross-section of fund performance. Overall, our results reveal a strong role for stock liquidity level and systematic liquidity risk in fund performance evaluation models. en
dc.description.sponsorship University College Cork (Strategic Research Fund) en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Elsevier en
dc.relation.uri http://www.sciencedirect.com/science/article/pii/S1057521914001252
dc.rights Copyright © 2014 Elsevier Inc. All rights reserved. NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, [Volume 35, October 2014, Pages 178–189] DOI http://dx.doi.org/10.1016/j.irfa.2014.09.001 en
dc.subject Mutual fund performance en
dc.subject Liquidity risk en
dc.subject Liquidity characteristics en
dc.title Liquidity risk and the performance of UK mutual funds en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2014-09-11T11:12:48Z
dc.description.version Accepted Version en
dc.internal.rssid 270590128
dc.contributor.funder Irish Research Council
dc.contributor.funder University College Cork
dc.description.status Peer reviewed en
dc.identifier.journaltitle International Review of Financial Analysis en
dc.internal.copyrightchecked No !!CORA!! AV permitted & set statement en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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