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Journal of Asset Management

2000 - 2021

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

From Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

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Volume 22, issue 3, 2021

The effect of corporate governance on bank performance: evidence from Turkish and some MENA countries banks pp. 153-162 Downloads
Berna Doğan Başar, Ahmed Bouteska, Burak Büyükoğlu and İbrahim Halil Ekşi
Prospect theory and risk-taking behavior: an empirical investigation of Islamic and conventional banks pp. 163-178 Downloads
Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes
Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness pp. 179-199 Downloads
Wajdi Hamma, Ahmed Ghorbel and Anis Jarboui
Expected returns with leverage constraints and target returns pp. 200-208 Downloads
Leon (Liang) Xin and Shanshan Ding
Dynamic copula-based expectile portfolios pp. 209-223 Downloads
Maziar Sahamkhadam
Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula pp. 224-239 Downloads
Ahmed Jeribi and Mohamed Fakhfekh
Correction to: Do board characteristics affect bank performance? Evidence from the Eurozone pp. 240-240 Downloads
Ahmed Bouteska

Volume 22, issue 2, 2021

Introductory editorial pp. 77-78 Downloads
Marielle Jong, Cécile Diana and Julie Malbois
The impact of corporate social responsibility on corporate financial performance and credit ratings in Japan pp. 79-95 Downloads
Frank J. Fabozzi, Peck Wah Ng and Diana E. Tunaru
Green bonds: shades of green and brown pp. 96-109 Downloads
Moritz Immel, Britta Hachenberg, Florian Kiesel and Dirk Schiereck
Air pollution, investor sentiment and excessive returns pp. 110-119 Downloads
Matthew Muntifering
Sustainability efforts, index recognition, and stock performance pp. 120-132 Downloads
Moonsoo Kang, K. G. Viswanathan, Nancy A. White and Edward J. Zychowicz
Expected and realized returns on stocks with high- and low-ESG exposure pp. 133-150 Downloads
Olaf Stotz
Correction to: Sustainability efforts, index recognition, and stock performance pp. 151-151 Downloads
Moonsoo Kang, K. G. Viswanathan, Nancy A. White and Edward J. Zychowicz

Volume 22, issue 1, 2021

Stock picking in the US market and the effect of passive investments pp. 1-10 Downloads
Carmine De Franco
Bottom-up versus top-down factor investing: an alpha forecasting perspective pp. 11-29 Downloads
Martin Zurek and Lars Heinrich
Modern portfolio theory with sharia: a comparative analysis pp. 30-42 Downloads
John A. Sandwick and Pablo Collazzo
Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market pp. 43-50 Downloads
Imed Medhioub and Mustapha Chaffai
The Investors Exchange’s (IEX) impact on investors pp. 51-61 Downloads
Alan Chow, Kyre Dane Lahtinen and Chris Lawrey
Managerial behavior in fund tournaments—the impact of TrueSkill pp. 62-75 Downloads
Alexander Swade, Gerrit Köchling and Peter N. Posch

Volume 21, issue 7, 2020

Word from the editors and the CQA Board pp. 567-568 Downloads
Marielle de Jong, Dan DiBartolomeo and Dan Cardell
Better portfolios with higher moments pp. 569-580 Downloads
Jarrod Wilcox
How the pandemic taught us to turn smart beta into real alpha pp. 581-590 Downloads
Christopher Kantos and Dan diBartolomeo
Regularizing Bayesian predictive regressions pp. 591-608 Downloads
Guanhao Feng and Nicholas Polson
Portfolio turnover when IC is time-varying pp. 609-622 Downloads
Zhuanxin Ding, R. Douglas Martin and Chaojun Yang
Diversification: does it really fail, when you need it most? pp. 623-625 Downloads
Bernd Scherer
Strategy design and the fallacies of breadth pp. 626-635 Downloads
Leigh Sneddon
Market implied GDP pp. 636-646 Downloads
Harris Ntantanis and Lawrence Pohlman
The Tesla stock split experiment pp. 647-651 Downloads
Bradford Cornell

Volume 21, issue 6, 2020

Automated portfolio rebalancing: Automatic erosion of investment performance? pp. 489-505 Downloads
Matthias Horn and Andreas Oehler
The Shapley value of regression portfolios pp. 506-512 Downloads
Haim Shalit
Paying dividends: Cash or credit? pp. 513-523 Downloads
Chris M. Lawrey, Kathleen P. Fuller and Brandon C. L. Morris
Can fund sentiment beta predict future performance? pp. 524-534 Downloads
Qiang Bu and Odd J. Stalebrink
Do Board Characteristics Affect Bank Performance? Evidence from the Eurozone pp. 535-548 Downloads
Ahmed Bouteska
Predictive power of ARIMA models in forecasting equity returns: a sliding window method pp. 549-566 Downloads
Huijian Dong, Xiaomin Guo, Han Reichgelt and Ruizhi Hu

Volume 21, issue 5, 2020

Broken bucks: money funds that took taxpayer guarantees in 2008 pp. 375-392 Downloads
Linus Wilson
ESG controversies and controversial ESG: about silent saints and small sinners pp. 393-412 Downloads
Gregor Dorfleitner, Christian Kreuzer and Christian Sparrer
Do smart beta ETFs deliver persistent performance? pp. 413-427 Downloads
Cesario Mateus, Irina B. Mateus and Marco Soggiu
Improving CAT bond pricing models via machine learning pp. 428-446 Downloads
Tobias Götze, Marc Gürtler and Eileen Witowski
A robust framework for risk parity portfolios pp. 447-466 Downloads
Giorgio Costa and Roy Kwon
Noise-driven abnormal institutional investor attention pp. 467-488 Downloads
Feng Dong

Volume 21, issue 4, 2020

Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles pp. 281-291 Downloads
Syed Kumail Abbas Rizvi, Nawazish Mirza, Bushra Naqvi and Birjees Rahat
Dynamic jump intensities and news arrival in oil futures markets pp. 292-325 Downloads
Katherine B. Ensor, Yu Han, Barbara Ostdiek and Stuart M. Turnbull
Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes pp. 326-332 Downloads
Haotian Cai and Anatoly B. Schmidt
International linkages of Indian equity market: evidence from panel co-integration approach pp. 333-341 Downloads
Sangita Choudhary and Shelly Singhal
Mutual fund managers’ market timing abilities: Indian evidence pp. 342-354 Downloads
Mahfooz Alam and Valeed Ahmad Ansari
Liquidity commonality beyond best prices: Indian evidence pp. 355-373 Downloads
Abhinava Tripathi, Vipul and Alok Dixit

Volume 21, issue 3, 2020

Cashing in on innovation: a taxonomy of FinTech pp. 167-177 Downloads
Michael B. Imerman and Frank J. Fabozzi
Alternative risk premia: contagion and portfolio choice pp. 178-191 Downloads
Bernd Scherer
Should investors join the index revolution? Evidence from around the world pp. 192-218 Downloads
Matthias M. M. Buehlmaier and Kit Pong Wong
Monetary policy after the crisis: A threat to hedge funds' alphas? pp. 219-238 Downloads
Alexander Berglund, Massimo Guidolin and Manuela Pedio
Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe pp. 239-260 Downloads
Constantinos Alexiou and Anshul Tyagi
The thermal optimal path model: Does Google search queries help to predict dynamic relationship between investor’s sentiment and indexes returns? pp. 261-279 Downloads
Yousra Trichilli, Mouna Abdelhédi and Mouna Boujelbène Abbes

Volume 21, issue 2, 2020

The effect of environmental sustainability on credit risk pp. 85-93 Downloads
André Höck, Christian Klein, Alexander Landau and Bernhard Zwergel
Factor-based investing in government bond markets: a survey of the current state of research pp. 94-105 Downloads
Demir Bektić, Britta Hachenberg and Dirk Schiereck
Piotroski’s FSCORE: international evidence pp. 106-118 Downloads
Christian Walkshäusl
A common risk factor and the correlation between equity and corporate bond returns pp. 119-134 Downloads
Amer Demirovic, Ali Kabiri, David Tuckett and Rickard Nyman
Forecasting index changes in the German DAX family pp. 135-153 Downloads
Friedrich-Carl Franz
Excess volatility and market efficiency in government bond markets: the ASEAN-5 context pp. 154-165 Downloads
Kin-Boon Tang, Shao-Jye Wong, Shih-Kuei Lin and Szu-Lang Liao

Volume 21, issue 1, 2020

Central banks and supervisors can contribute to an improvement of the pricing mechanisms for climate-related risks pp. 1-3 Downloads
Morgan Després and Clément Bourgey
Styles through a convergent/divergent lens: the curious case of ESG pp. 4-12 Downloads
Yang Gao, Stephen Satchell and Nandini Srivastava
Herds on green meadows: the decarbonization of institutional portfolios pp. 13-31 Downloads
Lukas Benz, Andrea Jacob, Stefan Paulus and Marco Wilkens
ESG integration: value, growth and momentum pp. 32-51 Downloads
Lars Kaiser
Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings pp. 52-69 Downloads
Benjamin Hübel and Hendrik Scholz
Fighting climate change as a global equity investor pp. 70-83 Downloads
Benoît Mercereau, Guillaume Neveux, João Paulo C. C. Sertã, Benoît Marechal and Gianluca Tonolo
Page updated 2021-05-10