Journal of Asset Management

2016 - 2020

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

From Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2020, volume 21, issue 3

Cashing in on innovation: a taxonomy of FinTech pp. 167-177

Michael B. Imerman and Frank J. Fabozzi

Alternative risk premia: contagion and portfolio choice pp. 178-191

Bernd Scherer

Should investors join the index revolution? Evidence from around the world pp. 192-218

Matthias M. M. Buehlmaier and Kit Pong Wong

Monetary policy after the crisis: A threat to hedge funds' alphas? pp. 219-238

Alexander Berglund, Massimo Guidolin and Manuela Pedio

Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe pp. 239-260

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

Yousra Trichilli, Mouna Abdelhédi and Mouna Boujelbène Abbes

2020, volume 21, issue 2

The effect of environmental sustainability on credit risk pp. 85-93

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

Demir Bektić, Britta Hachenberg and Dirk Schiereck

Piotroski’s FSCORE: international evidence pp. 106-118

Christian Walkshäusl

A common risk factor and the correlation between equity and corporate bond returns pp. 119-134

Amer Demirovic, Ali Kabiri, David Tuckett and Rickard Nyman

Forecasting index changes in the German DAX family pp. 135-153

Friedrich-Carl Franz

Excess volatility and market efficiency in government bond markets: the ASEAN-5 context pp. 154-165

Kin-Boon Tang, Shao-Jye Wong, Shih-Kuei Lin and Szu-Lang Liao

2020, volume 21, issue 1

Central banks and supervisors can contribute to an improvement of the pricing mechanisms for climate-related risks pp. 1-3

Morgan Després and Clément Bourgey

Styles through a convergent/divergent lens: the curious case of ESG pp. 4-12

Yang Gao, Stephen Satchell and Nandini Srivastava

Herds on green meadows: the decarbonization of institutional portfolios pp. 13-31

Lukas Benz, Andrea Jacob, Stefan Paulus and Marco Wilkens

ESG integration: value, growth and momentum pp. 32-51

Lars Kaiser

Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings pp. 52-69

Benjamin Hübel and Hendrik Scholz

Fighting climate change as a global equity investor pp. 70-83

Benoît Mercereau, Guillaume Neveux, João Paulo C. C. Sertã, Benoît Marechal and Gianluca Tonolo

2019, volume 20, issue 7

Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge pp. 493-507

Vipul Kumar Singh

Predictability and the cross section of expected returns: evidence from the European stock market pp. 508-533

Wolfgang Drobetz, Rebekka Haller, Christian Jasperneite and Tizian Otto

Shedding light on the exposure of mutual funds: Which investments drive mutual fund characteristics? pp. 534-551

Lukas Benz, Martin Rohleder, Janik Syryca and Marco Wilkens

Non-stationary dividend-price ratios pp. 552-567

Vassilis Polimenis and Ioannis Neokosmidis

Naïve diversification in thematic investing: heuristics for the core satellite investor pp. 568-580

Florian Methling and Rüdiger Nitzsch

On the informational market efficiency of the worldwide sovereign credit default swaps pp. 581-608

Saker Sabkha, Christian Peretti and Dorra Hmaied

2019, volume 20, issue 6

Invited Editorial “The challenges imposed by low interest rates” pp. 413-420

Jean-Michel Beacco, Catherine Lubochinsky, Marie Brière, Alain Monfort, Caroline Hillairet and Sylvain Benoît

Revisiting private equity performance computation for multi-asset investors pp. 421-432

Edouard Nouvellon and Hugues Pirotte

The analytics of momentum pp. 433-441

Oh Kang Kwon and Stephen Satchell

Trends everywhere? The case of hedge fund styles pp. 442-468

Charles Chevalier and Serge Darolles

A convergence-speed-dependent data quantity definition and its effect on risk estimation pp. 469-475

Jakob Krause

Government guarantees and the risk-taking of financial institutions: evidence from a regulatory experiment pp. 476-492

Christina Atanasova, Mingxin Li, Yevgeny Mugerman and Mehrdad Rastan

2019, volume 20, issue 5

Stock market reaction to green bond issuance pp. 331-340

Vishaal Baulkaran

Extracting global factors from local yield curves pp. 341-350

Lauren Stagnol

Hedge and safe haven investing with investment styles pp. 351-364

Ai Jun Hou, Ian Khrashchevskyi and Jarkko Peltomäki

Order dynamics during the flash crash pp. 365-383

James S. Ang, Kenneth J. Hunsader and Shaojun Zhang

Pricing options of security portfolio in cyclical economic environment pp. 384-394

Hong Mao and Zhongkai Wen

Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis pp. 395-402

Zhanar Bimurat, Darkhan U. Abdibekov, Dulat N. Shukayev, Yekaterina R. Kim and Malik Shukayev

Refinement of the hedging ratio using copula-GARCH models pp. 403-411

Waël Louhichi and Hassen Raïs

2019, volume 20, issue 4

Trading behavior of stock investors: Black Monday revisited pp. 251-262

Jeong-Ryeol Kurz-Kim

Measuring the relative return contribution of risk factors pp. 263-272

Johan Knif, James W. Kolari, Gregory Koutmos and Seppo Pynnönen

Tree-based machine learning approaches for equity market predictions pp. 273-288

Dominik Wolff and Ulrich Neugebauer

Emerging market equity benchmarks for Japanese investors: countries, sectors or styles? pp. 289-300

Harsh Parikh

China–Africa stock market linkages and the global financial crisis pp. 301-316

Beini Guo and Oyakhilome Ibhagui

Sentiment versus liquidity pricing effects in the cross-section of UK stock returns pp. 317-329

Niall O’Sullivan, Sheng Zhu and Jason Foran

2019, volume 20, issue 3

Taking the right course navigating the ERC universe pp. 157-174

Roberto Savona and Cesare Orsini

An examination of ex ante fund performance: identifying indicators of future performance pp. 175-195

Andrew Clare and Mariana Clare

Fine wine returns: a review of the literature pp. 196-214

Eric Le Fur and Jean-François Outreville

Asset allocation with multiple analysts’ views: a robust approach pp. 215-228

I-Chen Lu, Kai-Hong Tee and Baibing Li

State-dependent size and value premium: evidence from a regime-switching asset pricing model pp. 229-249

Bingxin Li and Natalia Piqueira

Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks pp. 250-250

Irina Bezhentseva Mateus, Cesario Mateus and Natasa Todorovic

2019, volume 20, issue 2

Performance expectations of basic options strategies may be different than you think pp. 91-102

Steven P. Clark and Mike Dickson

Panic-aware portfolio optimization pp. 103-110

Josef Zorn

Separating momentum from reversal in international stock markets pp. 111-123

Christian Walkshäusl, Florian Weißofner and Ulrich Wessels

Does the number of holdings in a risk parity portfolio matter? pp. 124-133

Tirthank Shah and Abhishek Parikh

Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index pp. 134-145

Ernest N. Biktimirov and Yuanbin Xu

An alternative fundamental weighting scheme based on enterprise value multiple pp. 146-156

Wenguang Lin and Gary C. Sanger

2019, volume 20, issue 1

Has the VIX index been manipulated? pp. 1-14

Atanu Saha, Burton G. Malkiel and Alex Rinaudo

Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks pp. 15-30

Irina Bezhentseva Mateus, Cesario Mateus and Natasa Todorovic

Corporate diversification and abnormal returns pp. 31-37

Chris M. Lawrey and Brandon C. L. Morris

Portfolio optimization with covered calls pp. 38-53

Mauricio Diaz and Roy H. Kwon

Conflicts of interest in multi-fund management pp. 54-71

Gerald Abdesaken

Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks pp. 72-90

Noureddine Benlagha and Slim Mseddi