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Outperformance in Exchange Traded Fund Pricing Deviations : Generalised Control of Data Snooping Bias

Kearney, Fearghal - 2015

An investigation into Exchange Traded Fund (ETF) outperformance during the period 2008-2012 is undertaken utilising a data set of 288 US traded securities. ETFs are tested for Net Asset Value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor and Sortino...

Persistent link: https://www.econbiz.de/10013036138

Price discovery analysis of green equity indices using robust asymmetric vector autoregression

Cummins, Mark; Garry, Oonagh; Kearney, Claire - In: International review of financial analysis 35 (2014), pp. 261-267

Persistent link: https://www.econbiz.de/10010530227

The effect of data breach announcements beyond the stock price : empirical evidence on market activity

Rosati, Pierangelo; Cummins, Mark; Deeney, Peter; … - In: International review of financial analysis 49 (2017), pp. 146-154

Persistent link: https://www.econbiz.de/10011741281

Analyst recommendations and volatility in a rising, falling, and crisis equity market

Corbet, Shaen; Dowling, Michael; Cummins, Mark - In: Finance research letters 15 (2015), pp. 187-194

Persistent link: https://www.econbiz.de/10011553187

The value of director reputation : evidence from outside director appointments

Gogolin, Fabian; Cummins, Mark; Dowling, Michael - In: Finance research letters 27 (2018), pp. 266-272

Persistent link: https://www.econbiz.de/10012006880

A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency

Alexakis, Christos A.; Cummins, Mark; Dowling, Michael; … - In: Applied economics 50 (2018) 36, pp. 3949-3965

Persistent link: https://www.econbiz.de/10012060172

Social media and stock price reaction to data breach announcements : evidence from US listed companies

Rosati, Pierangelo; Deeney, Peter; Cummins, Mark; … - In: Research in international business and finance 47 (2019), pp. 458-469

Persistent link: https://www.econbiz.de/10012135774