Journal of Asset Management

2000 - 2025

Current editor(s): Marielle de Jong and Dan diBartolomeo

From Palgrave Macmillan
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Volume 26, issue 7, 2025

ESG ratings: cocktails of stakeholder values pp. 707-710

Marielle De Jong, Jean-Charles Garibal and Anita Mukherjee

A Refinement to the Treynor Ratio pp. 711-724

Janusz Brzeszczyński, Jerzy Gajdka, Piotr Pietraszewski and Tomasz Schabek

Performance and investment styles of green mutual funds: a cross-country analysis pp. 725-740

Lagan Jindal

Don't stop greenin': green bond issuance and the equity halo effect pp. 741-752

Karim Henide

Investigating the nexus between sovereign green and vanilla bonds in the secondary market pp. 753-767

László Bokor

Financial returns of going green: evidence from MSCI indices pp. 768-787

Jan Heldmann, Thomas Brückner and Huong Dieu Dang

Optimizing asset allocation in the COVID-19 era: curtailing variance and VaR while enhancing sharpe ratio across conventional and green assets pp. 788-803

Indranarain Ramlall

Green bond issuance and energy transition: the moderator effect of national culture pp. 804-818

Mohammed Benlemlih and Jamil Jaballah

Combining realized volatility estimators based on economic performance pp. 819-846

Vasiliki Skintzi and Stavroula P. Fameliti

Exploring emerging markets debt: Bond voyage? pp. 847-862

João Gabriel Giesta de Mello Fernandes and Laurens Swinkels

Enhancing diversification in fixed-income portfolios: an entropy-based optimization framework pp. 863-882

Mario Bajo Traver

Performance Misattributions pp. 883-894

Matteo Bagnara and Benoit Vaucher

Volume 26, issue 6, 2025

Deciphering digital assets exchange-traded funds: correlations, contradictions, and systematic influences pp. 567-578

D. K. Malhotra

Does the research done by the institutional investors affect the stock price synchronicity? pp. 579-595

Fateh Saci

The dynamics of firms' abnormal earnings and the growth differential between market and book value of equity pp. 596-614

Adnan Abo Al Haija

Asset Allocation, Diversification, and Co-Movement Effects: A Global Analysis of Bonds and Equities Issued by the Same Firm pp. 615-641

Lewis Liu and Peter Clarkson

The reasons why maximum diversification is better than minimum risk, including in terms of risk pp. 642-675

Maria-Laura Torrente and Pierpaolo Uberti

Are CLO markets that contagious? Evidence from COVID-19 induced sell-off in the financial markets pp. 676-696

Tolulope Fadina, Komla Agudze and Chikaodinaka Iwuagwu

Sector-based portfolio changes of private equity funds during economic shocks pp. 697-706

Moritz Wehking and Tim Alexander Herberger

Volume 26, issue 5, 2025

Loss harvesting strategies tax efficiently diversify concentrated stock pp. 447-463

Slava Malkin, Harrison Selwitz, Taotao Cai and Lisa R. Goldberg

Cointegration-based pairs trading: identifying and exploiting similar exchange-traded funds pp. 464-488

Kezhong Chen and Constantinos Alexiou

Change of the disposition effect and investor sentiment pp. 489-505

Pujian Yang and Liu Yang

Inflation-driven instability in US sectoral betas pp. 506-513

Abbas Valadkhani

The factor/style index investing: Midcap growth has been the winner in 1995–2024 pp. 514-522

Damir Tokic, Dave Jackson and Karlo Tokic

Intraday overreaction and underreaction: profitability analysis and factor explanations pp. 523-534

Adnan Ahmed Siddiqui and Arun Kumar Misra

Portfolio analysis for diversification benefit: evidence from financial innovations pp. 535-565

Mohammed Sawkat Hossain

Volume 26, issue 4, 2025

Artificial intelligence exchange-traded funds: the intersection of finance, technology and sustainability pp. 345-354

Claudio Boido and Mauro Aliano

Market reactions of African and non-African firms to changes in the S&P Africa 40 index pp. 355-376

Pyemo N. Afego and Ernest N. Biktimirov

A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages pp. 377-385

Kasper Johansson, Thomas Schmelzer and Stephen Boyd

Tail risk and Flight-to-Safety pp. 386-410

Xinyang Li

The pricing of sustainability-linked bonds on the primary and secondary bond markets pp. 411-431

Jannis Poggensee

ESG or E, S and G investing: a portfolio approach pp. 432-446

Samveg Patel

Volume 26, issue 3, 2025

Rolling in the green? A closer look at cannabis ETFs’ market munchies pp. 239-254

Frank J. Fabozzi and Davinder K. Malhotra

Superior forecasting with simple AR(1) models in a low-volatility environment: evidence from the CAT bond market pp. 255-270

Marc Gürtler and Eileen Witowski

Comparative analysis of long-term returns, financial considerations, and measurement challenges in future ESG investing pp. 271-297

Olakunle Oloruntobi, Adel Gohari, Safizahanin Mokhtar, Kasypi Mokhtar and Siti Marsila Mhd. Ruslan

Resilience of green bonds in portfolio diversification: evidence from crisis periods pp. 298-315

Maneesh Gupta, Vipul Kumar Singh and Pawan Kumar

Environmental, social and governance risk exposures of mutual funds pp. 316-332

Christine Helliar, Barbara Petracci and Nongnuch Tantisantiwong

Jumpstart our SPAC IPOs? Unintended consequences of the JOBS Act pp. 333-343

Danial Hemmings and Aziz Jaafar

Volume 26, issue 2, 2025

Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors pp. 115-135

Rong Huang, Dimos Kambouroudis and David G. McMillan

Stock market reaction to COVID-19 outbreak: evidence from ESG firms in emerging economies pp. 136-158

Mai T. Said and Mona Elbannan

Tracking efficiency of Australian equity ETFs pp. 159-175

Gerasimos G. Rompotis

Portfolio optimization in deformed time pp. 176-185

Malick Fall

Sensitivity analysis applied to tilting methodologies pp. 186-215

Tom Chan, Julien Riposo, E. G. Klepfish and Andreas Schroeder

What attracts sustainable fund flows? Prospectus versus ratings* pp. 216-237

Kevin Birk, Stefan Jacob and Marco Wilkens

Volume 26, issue 1, 2025

Volatility in the Turkish stock market: an analysis of influential events pp. 1-14

Hazar Altinbas

The effect of sector specialisation on unlisted real estate fund performance amid economic downturns pp. 15-29

Bas Hilders, Simon Marx and Sotiris Tsolacos

Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach pp. 30-43

Hassan Zada, Mirzat Ullah and Kazi Sohag

ESG as risk factor pp. 44-70

Juris Dobrick, Christian Klein and Bernhard Zwergel

How much concentration is good for minority shareholders? Evidence from Chinese companies pp. 71-82

Chaoyan Wang and Yang Tian

Trade informativeness of foreign investors in India pp. 83-90

Gaurav Raizada and Samarpan Nawn

Forecasting stock returns with sum-of-the-parts methodology: international evidence pp. 91-114

Mahtab Athari, Atsuyuki Naka and Abdullah Noman