Liquidity risk and the performance of UK mutual funds

Foran, Jason; O'Sullivan, Niall

doi:10.1016/j.irfa.2014.09.001

UCC | UCC Library | IRIS

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