Journal of Asset Management

2016 - 2018

Current editor(s): Stephen Satchell

From Palgrave Macmillan
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Volume 19, issue 6, 2018

Robo Advisors: quantitative methods inside the robots pp. 363-370

Mikhail Beketov, Kevin Lehmann and Manuel Wittke

Are green bonds priced differently from conventional bonds? pp. 371-383

Britta Hachenberg and Dirk Schiereck

The impact of size and book-to-market among paired stocks pp. 384-393

Hannes Mohrschladt

Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management pp. 394-412

Aktham Maghyereh, Basel Awartani and Abul Hassan

Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets pp. 413-428

Andreas Humpe and David G. McMillan

Success and failure on the corporate bond fund market pp. 429-443

Martin Rohleder, Hendrik Scholz and Marco Wilkens

Volume 19, issue 5, 2018

Word from the Editors and conference organisers pp. 275-277

Jean-Michel Beacco, Marielle Jong, Dan diBartolomeo and André Lévy-Lang

Longevity: a new asset class pp. 278-300

David Blake

Managing the financial consequences of weather variability pp. 301-315

Jean-Louis Bertrand and Xavier Brusset

Corporate ownership structure, market anomalies and asset pricing pp. 316-340

Marc Desban and Souad Lajili Jarjir

A critique of momentum strategies pp. 341-350

Yang Gao, Henry Leung and Stephen Satchell

Keep up the momentum pp. 351-361

Thierry Roncalli

Volume 19, issue 4, 2018

Wrong-way-risk in tails pp. 205-215

Janis Müller and Peter N. Posch

Portfolio optimisation in an uncertain world pp. 216-221

Marielle Jong

Corporate social responsibility and the performance of Australian REITs: a rolling regression approach pp. 222-234

Steffen Westermann, Scott Niblock and Michael Kortt

The diminished effect of index rebalances pp. 235-244

Konstantina Kappou

Volatility forecasting in practice: exploratory evidence from European hedge funds pp. 245-258

Max Schreder

The impact of working capital management on firms’ performance and value: evidence from Egypt pp. 259-273

Amr Ahmed Moussa

Volume 19, issue 3, 2018

Factor risk premiums and invested capital: calculations with stochastic discount factors pp. 145-155

Andrew Ang, Ked Hogan and Sara Shores

Beta dispersion and portfolio returns pp. 156-161

Kyre Dane Lahtinen, Chris M. Lawrey and Kenneth J. Hunsader

Synthetic growth stocks pp. 162-168

Wai Mun Fong

Credit spreads and merger pricing pp. 169-178

Ding Du and Mason Gerety

Psychic dividends of socially responsible investment portfolios pp. 179-190

Andrew Ainsworth, Adam Corbett and Steve Satchell

Why do firms make an additional cross-listing? An empirical investigation using multiple failure time model pp. 191-203

Imen Ghadhab, Slaheddine Hellara and Abdelkader Derbali

Volume 19, issue 2, 2018

Exploiting uncertainty with market timing in corporate bond markets pp. 79-92

Demir Bektić and Tobias Regele

“Safe” stocks pp. 93-98

Wai Mun Fong

An innovative risk management methodology for trading equity indices based on change points pp. 99-109

Josua Gösmann and Daniel Ziggel

Dead alphas as risk factors pp. 110-115

Zura Kakushadze and Willie Yu

US sector rotation with five-factor Fama–French alphas pp. 116-132

Golam Sarwar, Cesario Mateus and Natasa Todorovic

Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach pp. 133-143

Mehdi Mili

Volume 19, issue 1, 2018

A word from the Editors pp. 1-2

Marielle Jong, Dan diBartolomeo and Steve Satchell

The cash premium in international stock returns pp. 3-12

Christian Walkshäusl

Decentralized strategic asset allocation with global constraints pp. 13-26

Minho Lee, Roy H. Kwon, Chi-Guhn Lee and Hassan Anis

The impact of plan and sponsor characteristics on pension funds’ asset allocation and currency diversification pp. 27-37

Laurens Defau and Lieven De Moor

Decoding stock market with quant alphas pp. 38-48

Zura Kakushadze and Willie Yu

Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets pp. 49-63

Wolfgang Härdle, David Kuo Chuen Lee, Sergey Nasekin and Alla Petukhina

Timid performance fees in mutual funds pp. 64-77

Teresa Corzo Santamaría, Carlos Martinez de Ibarreta and Juan Rodriguez Calvo

Volume 18, issue 7, 2017

A note on the early effects of the US Presidential vote on Mexican ADR values pp. 511-515

Mark Schaub

Information content of right option tails: Evidence from S&P 500 index options pp. 516-526

Greg Orosi

Shariah-compliant Capital Asset Pricing Model: new mathematical modeling pp. 527-537

Abdelkader Derbali, Abderrazek El Khaldi and Fathi Jouini

Efficient integration of risk premia exposures into equity portfolios pp. 538-546

B. Vaucher and A. Medvedev

Assessing hedge fund performance with institutional constraints: evidence from CTA funds pp. 547-565

Marat Molyboga, Seungho Baek and John Bilson

Do target date mutual funds meet their targets? pp. 566-579

William F. Johnson and Ha-Chin Yi

The Black–Litterman model: active risk targeting and the parameter tau pp. 580-587

Randy O’Toole

Volume 18, issue 6, 2017

The mispricing of equity risk: behavioral and corporate leverage factors pp. 421-432

Dorsaf Ben Aissia

Bond mutual funds and complex investments pp. 433-456

Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens

Extreme risk and small investor behavior in developed markets pp. 457-475

Lorne N. Switzer, Jun Wang and Seungho Lee

Linear and nonlinear predictability in investment style factors: multivariate evidence pp. 476-509

Francesco Chincoli and Massimo Guidolin

Volume 18, issue 5, 2017

What’s the big deal about Risk Parity? pp. 341-346

Anna Agapova, Robert Ferguson, Dean Leistikow and Danny Meidan

Leading or lagging indicators of risk? The informational content of extra-financial performance scores pp. 347-370

Amos Sodjahin, Claudia Champagne, Frank Coggins and Roland Gillet

Time-Dependent Black–Litterman pp. 371-387

Martin Schans and Hens Steehouwer

Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility pp. 388-404

Xiaoli Wang

Fundamental indexation for developed, emerging, and frontier government bond markets pp. 405-420

Vanja Piljak and Laurens Swinkels

Volume 18, issue 4, 2017

Negative interest rates: Causes and consequences pp. 243-254

Damir Tokic

Does fundamental value run asset price formation process? Evidence from option price information content pp. 255-268

Abderrahmen Aloulou and Siwar Ellouze

A risk control tool for foreign financial activities – A new derivatives pricing model pp. 269-294

I-Ming Jiang, Chia Chun Lo, Andreas Karathanasopoulos and Konstantinos Skindilias

Hedge funds risk and connectedness pp. 295-316

Christian Manicaro and Joseph Falzon

A strong case to calculate the Treynor ratio using log-returns pp. 317-325

Ziemowit Bednarek, Oleksandr Firsov and Pratish Patel

Further evidence in support of a low-volatility anomaly: Optimizing buy-and-hold portfolios by minimizing historical aggregate volatility pp. 326-339

Phil Maguire, Stephen Kelly, Robert Miller, Philippe Moser, Philip Hyland and Rebecca Maguire

Volume 18, issue 3, 2017

Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia pp. 157-162

Shaista Wasiuzzaman

Managing ambiguity in asset allocation pp. 163-187

Hakan Kaya

Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence pp. 188-208

Rama Malladi and Frank J. Fabozzi

Time-varying correlations and interrelations: Firm-level-based sector evidence pp. 209-221

P. Evans, David G. McMillan and Fiona J. McMillan

A truly market-value weighted commodity index pp. 222-242

Michael Ludwig, Herbert G. Mayer, Andreas W. Rathgeber, Christina Spriegel and Florian Vogg

Volume 18, issue 2, 2017

A new approach for optimizing responsible investments dependently on the initial wealth pp. 81-98

Gregor Dorfleitner and Mai Nguyen

Fundamental driver of fund style drift pp. 99-123

Giuseppe Galloppo and Giovanni Trovato

The value of stop-loss, stop-gain strategies in dynamic asset allocation pp. 124-143

Austin Shelton

The role of correlation in risk profile portfolios pp. 144-153

Jürgen Vandenbroucke

RETRACTED ARTICLE: Traditional beta, average drawdown beta and market risk premium pp. 154-154

Mohammad Reza Tavakoli Baghdadabad

Retraction Note to: Traditional beta, average drawdown beta and market risk premium pp. 155-155

Mohammad Reza Takavoli Baghdadabad

Volume 18, issue 1, 2017

Portfolio implications of job-specific human capital risk pp. 1-15

David Blanchett and Philip Straehl

Asset valuation impact of investor sentiment: A revised Fama–French five-factor model pp. 16-28

Abderrazak Dhaoui and Nesrine Bensalah

Dependence between oil price volatility, Islamic and conventional Dow Jones indexes: Implication for portfolio management and hedging effectiveness pp. 29-48

Mohamed Fakhfekh, Ahmed Ghorbel, Nadhem Selmi and Nejib Hachicha

The profiles of merged hedge funds, funds of hedge funds, and CTA pp. 49-63

Greg N. Gregoriou and Maher Kooli

How to combine a billion alphas pp. 64-80

Zura Kakushadze and Willie Yu