Economics - Journal Articles

Economics - Journal Articles

 

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  • 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 ...
  • Bowen, David A.; Hutchinson, Mark C.; O'Sullivan, Niall (Blackhall Publishing, 2010)
    This study tests a large sample of UK equity returns from 1965 to 2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio ...
  • Cuthbertson, Keith; Nitzsche, Dirk; O'Sullivan, Niall (Quantitative and Qualitative Analysis in Social Sciences, 2008-06)
    Investment funds provide a low cost method of sharing in the rewards from capitalism. Recently “alternative investments” such as hedge funds have grown rapidly and the trading strategies open to hedge funds are now becoming ...

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