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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 ().

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2020, volume 21, issue 3

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

2020, volume 21, issue 2

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

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 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

2019, volume 20, issue 7

Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge pp. 493-507 Downloads
Vipul Kumar Singh
Predictability and the cross section of expected returns: evidence from the European stock market pp. 508-533 Downloads
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 Downloads
Lukas Benz, Martin Rohleder, Janik Syryca and Marco Wilkens
Non-stationary dividend-price ratios pp. 552-567 Downloads
Vassilis Polimenis and Ioannis Neokosmidis
Naïve diversification in thematic investing: heuristics for the core satellite investor pp. 568-580 Downloads
Florian Methling and Rüdiger Nitzsch
On the informational market efficiency of the worldwide sovereign credit default swaps pp. 581-608 Downloads
Saker Sabkha, Christian Peretti and Dorra Hmaied

2019, volume 20, issue 6

Invited Editorial “The challenges imposed by low interest rates” pp. 413-420 Downloads
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 Downloads
Edouard Nouvellon and Hugues Pirotte
The analytics of momentum pp. 433-441 Downloads
Oh Kang Kwon and Stephen Satchell
Trends everywhere? The case of hedge fund styles pp. 442-468 Downloads
Charles Chevalier and Serge Darolles
A convergence-speed-dependent data quantity definition and its effect on risk estimation pp. 469-475 Downloads
Jakob Krause
Government guarantees and the risk-taking of financial institutions: evidence from a regulatory experiment pp. 476-492 Downloads
Christina Atanasova, Mingxin Li, Yevgeny Mugerman and Mehrdad Rastan

2019, volume 20, issue 5

Stock market reaction to green bond issuance pp. 331-340 Downloads
Vishaal Baulkaran
Extracting global factors from local yield curves pp. 341-350 Downloads
Lauren Stagnol
Hedge and safe haven investing with investment styles pp. 351-364 Downloads
Ai Jun Hou, Ian Khrashchevskyi and Jarkko Peltomäki
Order dynamics during the flash crash pp. 365-383 Downloads
James S. Ang, Kenneth J. Hunsader and Shaojun Zhang
Pricing options of security portfolio in cyclical economic environment pp. 384-394 Downloads
Hong Mao and Zhongkai Wen
Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis pp. 395-402 Downloads
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 Downloads
Waël Louhichi and Hassen Raïs

2019, volume 20, issue 4

Trading behavior of stock investors: Black Monday revisited pp. 251-262 Downloads
Jeong-Ryeol Kurz-Kim
Measuring the relative return contribution of risk factors pp. 263-272 Downloads
Johan Knif, James W. Kolari, Gregory Koutmos and Seppo Pynnönen
Tree-based machine learning approaches for equity market predictions pp. 273-288 Downloads
Dominik Wolff and Ulrich Neugebauer
Emerging market equity benchmarks for Japanese investors: countries, sectors or styles? pp. 289-300 Downloads
Harsh Parikh
China–Africa stock market linkages and the global financial crisis pp. 301-316 Downloads
Beini Guo and Oyakhilome Ibhagui
Sentiment versus liquidity pricing effects in the cross-section of UK stock returns pp. 317-329 Downloads
Niall O’Sullivan, Sheng Zhu and Jason Foran

2019, volume 20, issue 3

Taking the right course navigating the ERC universe pp. 157-174 Downloads
Roberto Savona and Cesare Orsini
An examination of ex ante fund performance: identifying indicators of future performance pp. 175-195 Downloads
Andrew Clare and Mariana Clare
Fine wine returns: a review of the literature pp. 196-214 Downloads
Eric Le Fur and Jean-François Outreville
Asset allocation with multiple analysts’ views: a robust approach pp. 215-228 Downloads
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 Downloads
Bingxin Li and Natalia Piqueira
Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks pp. 250-250 Downloads
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 Downloads
Steven P. Clark and Mike Dickson
Panic-aware portfolio optimization pp. 103-110 Downloads
Josef Zorn
Separating momentum from reversal in international stock markets pp. 111-123 Downloads
Christian Walkshäusl, Florian Weißofner and Ulrich Wessels
Does the number of holdings in a risk parity portfolio matter? pp. 124-133 Downloads
Tirthank Shah and Abhishek Parikh
Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index pp. 134-145 Downloads
Ernest N. Biktimirov and Yuanbin Xu
An alternative fundamental weighting scheme based on enterprise value multiple pp. 146-156 Downloads
Wenguang Lin and Gary C. Sanger

2019, volume 20, issue 1

Has the VIX index been manipulated? pp. 1-14 Downloads
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 Downloads
Irina Bezhentseva Mateus, Cesario Mateus and Natasa Todorovic
Corporate diversification and abnormal returns pp. 31-37 Downloads
Chris M. Lawrey and Brandon C. L. Morris
Portfolio optimization with covered calls pp. 38-53 Downloads
Mauricio Diaz and Roy H. Kwon
Conflicts of interest in multi-fund management pp. 54-71 Downloads
Gerald Abdesaken
Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks pp. 72-90 Downloads
Noureddine Benlagha and Slim Mseddi
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