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Discussion Papers

Discussion Papers

 

  • WP 19-03: The Performance of US Bond Mutual Funds - Andrew Clare, Niall O'Sullivan, Meadhbh Sherman and Sheng Zhu
  • WP 19-02: The Role of Economic Uncertainty in UK Stock Returns - Jun Gao, Sheng Zhu, Niall O'Sullivan and Meadhbh Sherman
  • WP 19-01: Sentiment Versus Liquidity Pricing Effects in the Cross-Section of UK Stock Returns - Niall O'Sullivan, Sheng Zhu and Jason Foran
  • WP 17-03: The Market Timing Ability of Chinese Equity Securities Investment Funds - Jun Gao, Niall O'Sullivan and Meadhbh Sherman
  • WP 17-02 (328kB) (328kB): Performance Persistence of Chinese Securities Investment Funds - Jun Gao, Niall O'Sullivan and Meadhbh Sherman
  • WP 17-01 (752kB) (752kB): Mutual Fund Skill in Timing Market Volatility and Liquidity - Jason Foran and Niall O'Sullivan
  • WP 16-02(314kB): Just a one trick pony? An analysis of CTA risk and return - J. Foran, M.C. Hutchinson, D.F. McCarthy and J. O'Brien
  • WP 16-01 (332kB) (332kB): A Review of Behavioural and Management Effects in Mutual Fund Performance - K. Cuthbertson, D. Nitzsche and N.O'Sullivan
  • WP 15-05 (429kB) (429kB): Does Convertible Arbitrage Risk Exposure Vary Through Time? - L.A. Gallagher, M.C. Hutchinon and J. O'Brien
  • WP 15-04 (234kB) (234kB): Benchmarking UK Mutual Fund Performance: the Random Portfolio Experiment - A. Clare, N. O'Sullivan and M. Sherman
  • WP 15-03 (262kB) (262kB)‌: Multi-Asset Class Mutual funds: Can they Time the Market? Evidence from the US, UK and Canada - A. Clare, N. O'Sullivan, M. Sherman and S. Thomas
  • WP15-02 (306kB) (306kB)‌:  Liquidity Commonality and Pricing in UK Equities - Jason Foran, Mark Hutchinson and Niall O'Sullivan.  
  • WP 15-01 (714kB) (714kB): Time Series Momentum and Macroeconomic Risk - M.C. Hutchinson and J. O'Brien
  • WP 14-05 (196kB) (196kB)‌‌: The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market – John Cotter, Niall O’Sullivan and Francesco Ross
  • ‌WP 14-04 (517kB) (517kB)‌: Liquidity Risk and the Performance of UK Mutual Funds - Jason Foran and Niall O'Sullivan
  • WP 14-03 (405kB) (405kB): Pairs Trading in the UK Equity Market: Risk and Return - D.A. Bowen and M.C. Hutchinson
  • WP 14-02 (295kB) (295kB): The Asset Pricing Effects of UK Market Liquidity Shocks: Evidence from Tick Data - Jason Foran, M.C. Hutchinson and Niall O'Sullivan
  • WP 14-01 (296kB) (296kB): Is This Time Different? Trend Following and Financial Crisis - M.C. Hutchinson and J. O'Brien
  • WP 13-01 (331kB) (331kB): Family Status and Mutual Fund Performance - Andrew Clare, Niall O'Sullivan and Meadhbh Sherman 
  • WP 11-02 (525kB) (525kB): Which Hedge Fund Managers Deliver in a Crisis? Assessing Performance when Returns are Skewed  - A. Heuson and M.C. Hutchinson
  • WP 11-01 (336kB) (336kB): Dedicated Short Bias Hedge Funds: Diversification and Alpha during Financial Crises - C. Connolly and M.C. Hutchinson
  • WP 10-04 (525kB) (525kB): High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns  - David Bowen, M.C. Hutchinson and Niall O'Sullivan
  • WP 10-01 (169kB) (169kB): Dedicated Short Bias Hedge Funds – Just a one trick pony? - C. Connolly and M.C. Hutchinson
  • WP 09-04 (108kB) (108kB): The Profitability of Momentum Trading Strategies in the Irish Equity Market - Fionnghuala O'Sullivan and Niall O'Sullivan
  • WP 09-03 (128kB) (128kB): Asset Price Effects Arising from Sports Results and Investor Mood: The Case of a Homogenous Fan Base Area  - Robert Gallagher and Niall O'Sullivan
  • WP 09-02 (630kB) (630kB): Robust Estimation of Hedge Fund Performance  - M.C. Hutchinson
  • WP 09-01 (273kB) (273kB): Predictability Revisited: UK Equity Returns 1965 to 2007 - David Bowen, M.C. Hutchinson and Niall O'Sullivan
  • WP 08-03 (102kB) (102kB): Investment Funds: What Next? - Keith Cuthbertson, Dirk Nitsche and Niall O'Sullivan
  • WP 08-02 (226kB) (226kB): Momentum Profits and Time Varying Systematic Risk  - Chris Brooks, Xi Liang, Joelle Miffre and Niall O'Sullivan‌
  • WP 08-01 (266kB) (266kB): Empirical Evidence of the Stock Market's (mis)Pricing of Customer Satisfaction  - D O'Sullivan, M.C. Hutchinson and V. O'Connell
  • WP 07-06 (230kB) (230kB): False Discoveries: Winners and Losers in Mutual Fund Performance - Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan
  • WP 07-05 (234kB) (234kB): Risk and Return of Merger Arbitrage in the UK: 2001 to 2004  - P. Kearney, M.C. Hutchinson and D. Cotter
  • WP 07-04 (264kB) (264kB): Regime Change and Convertible Arbitrage Risk  - M.C. Hutchinson and L.A. Gallagher
  • WP 07-03 (415kB) (415kB): Mutual Fund Performance - Keith Cuthbertson, Dirk Nitzsche and Niall O’Sullivan
  • WP 07-02 (354kB) (354kB): The Market Timing Ability of UK Equity Mutual Funds  - Keith Cuthbertson, Dirk Nitzsche and Niall O’Sullivan
  • WP 07-01 (224kB) (224kB): Convertible Arbitrage: Risk and Return  - M.C. Hutchinson and L. Gallagher
  • WP 06-03 (419kB) (419kB): Mutual Fund Performance: Skill or Luck?  - Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan
  • WP 06-02 (300kB) (300kB): Simulating Convertible Bond Arbitrage Portfolios - M.C. Hutchinson and L. Gallagher
  • WP 06-01 (110kB) (110kB): Hedge Funds: An Irish Perspective  - M.C. Hutchinson
  • WP 05-01 (115kB) (115kB): Stocks and Bonds: Eggs in the Same or Different Baskets. A Cointegration Analysis  - Niall O' Sullivan

Centre for Investment Research

University College Cork, College Road, Cork, Ireland

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