Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Volume 26, issue 2, 2025

Is portfolio diversification still effective: evidence spanning three crises from the perspective of U.S. investors pp. 115-135

Rong Huang, Dimos Kambouroudis and David G. McMillan

Stock market reaction to COVID-19 outbreak: evidence from ESG firms in emerging economies pp. 136-158

Mai T. Said and Mona A. ElBannan

Tracking efficiency of Australian equity ETFs pp. 159-175

Gerasimos G. Rompotis

Portfolio optimization in deformed time pp. 176-185

Malick Fall

Sensitivity analysis applied to tilting methodologies pp. 186-215

Tom Chan, Julien Riposo, E. G. Klepfish and Andreas Schroeder

What attracts sustainable fund flows? Prospectus versus ratings* pp. 216-237

Kevin Birk, Stefan Jacob and Marco Wilkens

Volume 26, issue 1, 2025

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

Volume 25, issue 7, 2024

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

Volume 25, issue 6, 2024

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

Volume 25, issue 5, 2024

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

Volume 25, issue 4, 2024

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

Volume 25, issue 3, 2024

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

Volume 25, issue 2, 2024

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

Volume 25, issue 1, 2024

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