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Journal of Asset Management

2000 - 2022

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 23, issue 3, 2022

Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis pp. 173-200 Downloads
Surbhi Gupta and Anil Kumar Sharma
Sovereign wealth funds and economic growth pp. 201-214 Downloads
Ermanno Affuso, Khandokar M. Istiak and Alex Sharland
Efficient bias robust regression for time series factor models pp. 215-234 Downloads
R. Douglas Martin and Daniel Z. Xia
Foreign institutional investors and dividend policy in Indonesia pp. 235-245 Downloads
Sangapta Damarjati Purba, Tastaftiyan Risfandy, Muizzuddin Muizzuddin and Muh. Rudi Nugroho
Managements’ tone strategies by earnings call transcripts in the global markets pp. 246-255 Downloads
Rei Yamamoto, Naoya Kawadai, Masataka Kurita and Satoshi Baba
Puzzle solved? A comprehensive analysis of hedge fund-like mutual funds according to the value-added paradigm pp. 256-275 Downloads
Nathaniel Light and Ivan Stetsyuk

Volume 23, issue 2, 2022

Dividend predictability and higher moment risk premia pp. 83-99 Downloads
Aşty Al-Jaaf
Equity factors for multi-asset class portfolios: a strategic asset allocation perspective pp. 100-113 Downloads
Stefano Cavaglia, Louis Scott, Kenneth Blay and Tarun Gupta
The ESG ETFs in the UK pp. 114-129 Downloads
Gerasimos G. Rompotis
When does slower order execution occur? Evidence from U.S. equity investors pp. 130-137 Downloads
Ryan Garvey and Yaohua Qin
Factor momentum, option-implied volatility scaling, and investor sentiment pp. 138-155 Downloads
Klaus Grobys, James W. Kolari and Jere Rutanen
The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets pp. 156-171 Downloads
Seungho Lee
Correction to: Are religious investors financially smart? Evidence from equity funds pp. 172-172 Downloads
Murat Yas, Ahmet Faruk Aysan and Mohamed Eskandar Shah Mohd Rasid

Volume 23, issue 1, 2022

European sin stocks pp. 1-18 Downloads
Siri Tronslien Sagbakken and Dan Zhang
Is there a boutique asset management premium? Evidence from the European fund management industry pp. 19-32 Downloads
Andrew Clare
Are religious investors financially smart? evidence from equity funds pp. 33-45 Downloads
Murat Yas, Ahmet Faruk Aysan and Mohamed Eskandar Shah Mohd Rasid
Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds pp. 46-61 Downloads
Mayank Patel, Vinodh Madhavan and Supratim Gupta
Performance attribution, time-weighted rate of return, and clean finite change sensitivity index pp. 62-72 Downloads
Carlo Alberto Magni and Andrea Marchioni
Industry momentum with correlation consolidation: evidence from China pp. 73-82 Downloads
Sabri Boubaker, Lechuan Du and Zhenya Liu

Volume 22, issue 7, 2021

Empirical asset pricing via machine learning: evidence from the European stock market pp. 507-538 Downloads
Wolfgang Drobetz and Tizian Otto
Cross-listing and crisis pp. 539-558 Downloads
Imen Ghadhab
Differential impact of earnings management on the accrual anomaly pp. 559-572 Downloads
Manish Bansal and Asgar Ali
Quantitative model for impact of behavioral biases on asset allocation decisions: a case study of investors in UAE pp. 573-580 Downloads
Ashutosh Pradhan
Decoding insider silence: evidence from China securities market pp. 581-599 Downloads
Han-Ching Huang and Ren-Cyuan Chan
Investor sentiment and the time-varying sustainability premium pp. 600-621 Downloads
Vitor Azevedo, Christoph Kaserer and Lucila M. S. Campos
Correction to: Factor-based investing in government bond markets: a survey of the current state of research pp. 622-622 Downloads
Demir Bektić, Britta Hachenberg and Dirk Schiereck

Volume 22, issue 6, 2021

Multiple alpha sources and portfolio design pp. 389-390 Downloads
Marielle Jong and Dan diBartolomeo
The ABC’s of the ARP: understanding alternative risk premium pp. 391-404 Downloads
Stephen A. Gorman and Frank J. Fabozzi
The ABC’s of the alternative risk premium: academic roots pp. 405-436 Downloads
Stephen A. Gorman and Frank J. Fabozzi
Adding alternative assets: return enhancement, diversification or hedging? pp. 437-442 Downloads
Bernd Scherer
Portfolio selection with active strategies: how long only constraints shape convictions pp. 443-463 Downloads
Charles-Albert Lehalle and Guillaume Simon
Factor investing: alpha concentration versus diversification pp. 464-487 Downloads
Lars Heinrich, Antoniya Shivarova and Martin Zurek
Factor investing and asset allocation strategies: a comparison of factor versus sector optimization pp. 488-506 Downloads
Wolfgang Bessler, Georgi Taushanov and Dominik Wolff

Volume 22, issue 5, 2021

Who owns tobacco stocks? pp. 311-325 Downloads
David Blitz and Laurens Swinkels
Collectors’ motives in the context of wealth management pp. 326-337 Downloads
Eric Le Fur
The Volatility Effect in China pp. 338-349 Downloads
David Blitz, Matthias X. Hanauer and Pim Vliet
The performance of South African exchange traded funds under changing market conditions pp. 350-359 Downloads
Damien Kunjal, Faeezah Peerbhai and Paul-Francois Muzindutsi
Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak pp. 360-375 Downloads
Jamila Abaidi Hasnaoui, Syed Kumail Abbas Rizvi, Krishna Reddy, Nawazish Mirza and Bushra Naqvi
The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan pp. 376-388 Downloads
Farrukh Naveed, Muhammad Ishfaq and Zahid Maqbool

Volume 22, issue 4, 2021

Macroeconomics and the value premium pp. 241-252 Downloads
Brian Jacobsen and Wai Lee
Exploiting the dividend month premium: evidence from Germany pp. 253-266 Downloads
Felix Kreidl and Hendrik Scholz
Information content of the risk-free rate for the pricing kernel bound pp. 267-276 Downloads
Milad Nozari
Can an equity structure dominate the risk-return profile of corporate bonds? pp. 277-290 Downloads
Edouard Nouvellon and Hugues Pirotte
Forecasting sector stock market returns pp. 291-300 Downloads
David G. McMillan
Volume decomposition and volatility in dual-listing H-shares pp. 301-310 Downloads
Malay K. Dey and Chaoyan Wang

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
Page updated 2022-05-20