Mark C. Hutchinson

University College Cork

Professor, Corporate Finance

O'Rahilly Building

College Road

Cork

Ireland

  • University College Cork

SCHOLARLY PAPERS

16

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Scholarly Papers (16)

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1.

Pairs Trading in the UK Equity Market: Risk and Return

European Journal of Finance, Forthcoming
Number of pages: 43 Posted: 05 Nov 2013 Last Revised: 23 Sep 2014
David Bowen and Mark C. Hutchinson
University College Cork and University College Cork
Downloads 555 (48,625)
Citation 1

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Pairs Trading; Statistical Arbitrage; Hedge Funds; Asset Allocation

2.

Time Series Momentum and Macroeconomic Risk

Number of pages: 45 Posted: 18 Jan 2015 Last Revised: 09 Oct 2018
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 496 (56,022)
Citation 1

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Trend Following, Time Series Momentum, Macroeconomic Risk, CTA

3.

Testing Futures Trading Strategy Assumptions

Number of pages: 34 Posted: 03 Apr 2018 Last Revised: 21 Apr 2018
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 222 (137,707)

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Time Series Momentum, Commodity Trading Advisors, CTAs, Fees, Transaction Costs, Synthetic Futures

4.

Skewness, Fund Flows, and Hedge Fund Performance

Number of pages: 45 Posted: 12 Jun 2014 Last Revised: 29 Feb 2016
Andrea J. Heuson, Mark C. Hutchinson and Alok Kumar
University of Miami - Department of Finance, University College Cork and University of Miami - School of Business Administration
Downloads 210 (145,125)
Citation 2

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Performance measurement, hedge funds, return skewness, performance persistence

5.

Simulating Convertible Bond Arbitrage Portfolios

Downloads 197 (154,134)

Simulating Convertible Bond Arbitrage Portfolios

Number of pages: 40 Posted: 09 Jul 2010
Liam A. Gallagher and Mark C. Hutchinson
Dublin City University Business School and University College Cork
Downloads 197 (153,977)

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Convertible Bonds, Arbitrage

Simulating Convertible Bond Arbitrage Portfolios

Applied Financial Economics, Vol. 18, No. 15, pp. 1247-1262, August 2008
Posted: 22 May 2010
Liam A. Gallagher and Mark C. Hutchinson
Dublin City University Business School and University College Cork

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Arbitrage, Convertible Bonds, Hedge Funds

6.

Risk and Return of Merger Arbitrage in the UK: 2001 to 2004

Number of pages: 37 Posted: 07 Nov 2013 Last Revised: 09 Nov 2013
Patrick Kearney, Mark C. Hutchinson and Derry Cotter
University College Cork, University College Cork and University College Cork
Downloads 108 (251,724)

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Merger arbitrage, hedge funds

7.

The Asset Pricing Effects of UK Market Liquidity Shocks: Evidence from Tick Data

Number of pages: 30 Posted: 13 Jan 2014
Jason Foran, Mark C. Hutchinson and Niall O'Sullivan
University College Cork, University College Cork and University College Cork
Downloads 66 (340,235)
Citation 3

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liquidity risk, liquidity measures, asset pricing

8.

Does Convertible Arbitrage Risk Exposure Vary Through Time?

Number of pages: 34 Posted: 18 Apr 2015 Last Revised: 16 Jun 2018
Liam A. Gallagher, Mark C. Hutchinson and John O'Brien
Dublin City University Business School, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 62 (351,297)

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Regime switching, hedge fund, convertible arbitrage, Risk Model

9.

Liquidity Commonality and Pricing in UK Equities

Forthcoming, Research in International Business and Finance
Number of pages: 29 Posted: 03 Feb 2015
Jason Foran, Mark C. Hutchinson and Niall O'Sullivan
University College Cork, University College Cork and University College Cork
Downloads 54 (375,816)
Citation 1

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Liquidity pricing, liquidity risk, commonality.

10.

Predictability Revisited: UK Equity Returns 1965 to 2007

Irish Accounting Review, Vol. 17, No. 2, Winter 2010, pp 1-20
Number of pages: 20 Posted: 28 May 2013 Last Revised: 29 May 2013
David Bowen, Mark C. Hutchinson and Niall O'Sullivan
University College Cork, University College Cork and University College Cork
Downloads 21 (516,939)

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Predictability, Serial Correlation, Equity Returns

11.

Convertible Bond Arbitrage: Risk and Return

Journal of Business Finance & Accounting, Vol. 37, Issue 1-2, pp. 206-241, January/March 2010
Number of pages: 36 Posted: 02 Feb 2010
Mark C. Hutchinson and Liam A. Gallagher
University College Cork and Dublin City University Business School
Downloads 3 (630,895)
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12.

Dedicated Short Bias Hedge Funds Diversification and Alpha during Financial Crises

https://doi.org/10.3905/jai.2012.14.3.028
Posted: 21 May 2019
Ciara Connolly and Mark C. Hutchinson
University College Cork and University College Cork

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Hedge Funds, Put Options, STR Models, Short Selling

13.

Is This Time Different? Trend Following and Financial Crises

https://doi.org/10.3905/jai.2014.17.2.082
Posted: 21 May 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems

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Trend Following, Time Series Momentum, Financial Crisis, CTA

14.

High Frequency Equity Pairs Trading: Transaction Costs, Speed of Execution and Patterns in Returns

Journal of Trading, Summer 2010, Vol. 5, No. 3, 31-38., https://doi.org/10.3905/jot.2010.5.3.031
Posted: 21 May 2019
David Bowen, Mark C. Hutchinson and Niall O'Sullivan
University College Cork, University College Cork and University College Cork

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Intra Day, Pairs Trading, Reversal Strategies

15.

Just a One Trick Pony? An Analysis of CTA Risk and Return

https://doi.org/10.3905/jai.2017.20.2.008
Posted: 10 Jun 2016 Last Revised: 22 May 2019
Jason Foran, Mark C. Hutchinson, David McCarthy and John O'Brien
University College Cork, University College Cork, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 0 (670,915)

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Performance measurement, Commodity Trading Advisors, CTAs, Alternative risk premia

16.

Empirical Evidence of the Stock Market's (Mis)Pricing of Customer Satisfaction

International Journal of Research in Marketing, Vol. 26, pp. 154-161, 2009
Posted: 10 Aug 2009
Don O'Sullivan, Mark C. Hutchinson and Vincent O'Connell
University of Melbourne - Melbourne Business School, University College Cork and University of Amsterdam Business School

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customer satisfaction, firm value, mis-pricing, risk

Other Papers (1)

Total Downloads: 35
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1.

Convertible Bond Arbitrage: Risk and Return

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 55 Posted: 07 Mar 2006 Last Revised: 08 Jul 2010
Mark C. Hutchinson and Liam A. Gallagher
University College Cork and Dublin City University Business School
Downloads 35

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Arbitrage, Convertible bonds, Trading, Hedge funds, Factor models