Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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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

Youth, the quiescent stakeholder of sustainable enterprise pp. 627-629: Marielle Jong and Ilyup Ian Sug
Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation pp. 630-652: Benjamin Cisagara
ESG index performance: European evidence pp. 653-665: Hager Kossentini, Olfa Belhassine and Amel Zenaidi
Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital pp. 666-699: Monia Magnani, Massimo Guidolin and Ian Berk
The performance of anti-ESG ETFs in the United States pp. 700-713: Gerasimos G. Rompotis
Wealth and familiarity bias: sin stocks investment in Europe pp. 714-725: Mohammed Hamdan, Pedro Fernandez Calavia and Nasir Aminu
The impact of climate risk on bank profitability through liquidity creation channel: empirical evidence from G7 countries pp. 726-739: Seungho Lee and Md Zahangir Alam

Introduction to the special issue on derivative applications in asset management pp. 529-530: Marielle Jong
Derivative applications to asset allocation and multi-asset management pp. 531-551: William Cazalet, Dimitri Curtil, Frank J. Fabozzi, Scott Hixon, Alexander Rudin, Rahul Sathyajit, James Stavena and Shubham Upadhyay
Applications of derivatives for portfolio risk management pp. 552-578: Vineer Bhansali, Frank J. Fabozzi, Robert Harlow, Adam Kobor, Joseph Niehaus, Christopher Small and Andrew Weisman
Applications of stock index options for income enhancement pp. 579-588: John Burrello, Frank J. Fabozzi, Han Liang, Anil Sood and Kari Vatanen
Applications of equity derivatives to portfolio management pp. 589-599: Eddie C. Cheng, Frank J. Fabozzi, Robert Harlow, Wai Lee and Shaojun Zhang
Applications of FX derivatives to portfolio management pp. 600-616: Redouane Elkamhi, Frank J. Fabozzi, Jacky S. H. Lee, Marco Salerno, Kari Vatanen and Suprita Vohra
Applications of CDS to bond portfolio management pp. 617-625: Johan Duyvesteyn, Marielle Jong, Frank J. Fabozzi, Patrick Houweling and Lodewijk Linden

Properties of risk aversion estimated from portfolio weights pp. 427-444: Andrew Grant, Oh Kang Kwon and Steve Satchell
A guide to 130/30 loss harvesting pp. 445-459: Lisa R. Goldberg, Taotao Cai and Ben Schneider
Market volatility, momentum, and reversal: a switching strategy pp. 460-478: Hilal Anwar Butt, James W. Kolari and Mohsin Sadaqat
In the shadow of country risk: asset pricing model of emerging market corporate bonds pp. 479-492: Desislava Vladimirova
Downside risk reduction using regime-switching signals: a statistical jump model approach pp. 493-507: Yizhan Shu, Chenyu Yu and John M. Mulvey
The market timing ability of bond mutual funds pp. 508-527: Zhengnan Yin, Niall O’Sullivan and Meadhbh Sherman

Optimal trend-following rules in two-state regime-switching models pp. 327-348: Valeriy Zakamulin and Javier Giner
Endowment asset allocations: insights and strategies pp. 349-368: Tom Arnold, John H. Earl, Joseph Farizo and David North
Performance dispersion among target date funds pp. 369-382: Ivelina Pavlova and Ann Marie Hibbert
A century of asset allocation crash risk pp. 383-406: Mikhail Samonov and Nonna Sorokina
Modelling capacity for systematic equity strategies pp. 407-416: Carmine Franco and Luc Dumontier
Crypto-asset regulatory landscape: a comparative analysis of the crypto-asset regulation in the UK and Germany pp. 417-426: Christoph Wronka

ESG risk and returns implied by demand-based asset pricing models pp. 203-221: Chi Zhang, Xinyang Li, Andrea Tamoni, Misha Beek and Andrew Ang
Deconstructing ESG scores: investing at the category score level pp. 222-244: Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau
Do ESG fund managers pump and dump the stocks in their portfolios? European evidence pp. 245-260: Spyros Papathanasiou, Dimitris Kenourgios and Drosos Koutsokostas
Core-satellite investing with commodity futures momentum pp. 261-287: Immo Stadtmüller, Benjamin R. Auer and Frank Schuhmacher
Sharpe-optimal volatility futures carry pp. 288-302: Björn Uhl
Cost mitigation of factor investing in emerging equity markets pp. 303-325: Kay Stankov, Dirk Schiereck and Volker Flögel

Optimal design of investment committees pp. 129-135: Bernd Scherer
Network Risk Parity: graph theory-based portfolio construction pp. 136-146: Vito Ciciretti and Alberto Pallotta
Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds pp. 147-161: Jonas Zink
Do weather patterns effect investment decisions in the stock market? A South Asian perspective pp. 162-171: Emon Kalyan Chowdhury
Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options pp. 172-189: Vipul Kumar Singh and Pawan Kumar
Income illusions: challenging the high yield stock narrative pp. 190-202: Yin Chen and Roni Israelov

Quantifying the non-Gaussian gain pp. 1-18: David Allen, Stephen Satchell and Colin Lizieri
CO2 investment risk analysis pp. 19-30: Thomas M. Treptow
The cash-secured put-write strategy and the variance risk premium pp. 31-50: Pratish Patel, Andrew Raquel and Savannah Chadwick
Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises pp. 51-69: Edib Smolo, Ruslan Nagayev, Rashed Jahangir and Christo S. C. Tarazi
The performance of compliant stocks during the Covid-19 crisis pp. 70-95: Amel Farhat and Amal Hili
Decomposition of risk for small size and low book-to-market stocks pp. 96-112: Arati Kale, Devendra Kale and Sriram Villupuram
Corporate bonds: fixed versus stochastic coupons—an empirical study pp. 113-128: Belal Ehsan Baaquie and Muhammad Mahmudul Karim