Recently added

CORA: Recently added

  • McLaughlin, Eoin; Pecchenino, Rowena (European Historical Economics Society, 2021-09)
    Pawnbroking, one of the oldest and most accessible forms of credit, was a common feature of life in pre-famine and famine Ireland. This paper studies the role of pawnbroking in the Irish financial system during this important ...
  • Hutchinson, Mark C.; Gallagher, Liam A. (John Wiley & Sons, Inc., 2010-02-01)
    This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly ...
  • Hutchinson, Mark C.; Gallagher, Liam A. (Routledge - Taylor & Francis Group, 2008-07-21)
    The recent growth in interest in convertible bond arbitrage (CBA) has predominantly come from the hedge fund industry. Past empirical evidence has shown that a CBA strategy generates positive monthly abnormal risk-adjusted ...
  • Gallagher, Liam; Hutchinson, Mark C.; O'Brien, John (World Scientific Publishing, 2018)
    We model the returns of the convertible arbitrage strategy using a non-linear framework. This strategy has generated long periods of positive returns and low volatility, followed by shorter periods of extreme negative ...
  • Hamill, Philip A.; Hutchinson, Mark C.; Nguyen, Quang Minh Nhi; Mulcahy, Mark (Elsevier B.V., 2018-06-25)
    The attention-grabbing hypothesis has been offered as a behavioural explanation for post-event abnormal returns for FDA drug approval announcements for NYSE listed firms. We show that when event-day mis-specification is ...
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