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Journal of Asset Management

2016 - 2019

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

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

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Volume 20, issue 1, 2019

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

Volume 19, issue 7, 2018

Editorial pp. 445-446 Downloads
Marielle de Jong and Dan diBartolomeo
Strategic asset allocation for insurers under Solvency II pp. 447-459 Downloads
Roy Kouwenberg
Is high active share always good? pp. 460-471 Downloads
Giuliano De Rossi and Gurvinder Brar
Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect pp. 472-494 Downloads
Gregor Dorfleitner and Carina Lung
Does the F-score improve the performance of different value investment strategies in Europe? pp. 495-506 Downloads
Jarno Tikkanen and Janne Äijö
Holiday effect on stock price reactions to analyst recommendation revisions pp. 507-521 Downloads
Andrey Kudryavtsev
Optimal fee structures in hedge funds pp. 522-542 Downloads
Marcos Escobar-Anel, Vincent Höhn, Luis Seco and Rudi Zagst

Volume 19, issue 6, 2018

Robo Advisors: quantitative methods inside the robots pp. 363-370 Downloads
Mikhail Beketov, Kevin Lehmann and Manuel Wittke
Are green bonds priced differently from conventional bonds? pp. 371-383 Downloads
Britta Hachenberg and Dirk Schiereck
The impact of size and book-to-market among paired stocks pp. 384-393 Downloads
Hannes Mohrschladt
Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management pp. 394-412 Downloads
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 Downloads
Andreas Humpe and David G. McMillan
Success and failure on the corporate bond fund market pp. 429-443 Downloads
Martin Rohleder, Hendrik Scholz and Marco Wilkens

Volume 19, issue 5, 2018

Word from the Editors and conference organisers pp. 275-277 Downloads
Jean-Michel Beacco, Marielle Jong, Dan diBartolomeo and André Lévy-Lang
Longevity: a new asset class pp. 278-300 Downloads
David Blake
Managing the financial consequences of weather variability pp. 301-315 Downloads
Jean-Louis Bertrand and Xavier Brusset
Corporate ownership structure, market anomalies and asset pricing pp. 316-340 Downloads
Marc Desban and Souad Lajili Jarjir
A critique of momentum strategies pp. 341-350 Downloads
Yang Gao, Henry Leung and Stephen Satchell
Keep up the momentum pp. 351-361 Downloads
Thierry Roncalli

Volume 19, issue 4, 2018

Wrong-way-risk in tails pp. 205-215 Downloads
Janis Müller and Peter N. Posch
Portfolio optimisation in an uncertain world pp. 216-221 Downloads
Marielle Jong
Corporate social responsibility and the performance of Australian REITs: a rolling regression approach pp. 222-234 Downloads
Steffen Westermann, Scott Niblock and Michael Kortt
The diminished effect of index rebalances pp. 235-244 Downloads
Konstantina Kappou
Volatility forecasting in practice: exploratory evidence from European hedge funds pp. 245-258 Downloads
Max Schreder
The impact of working capital management on firms’ performance and value: evidence from Egypt pp. 259-273 Downloads
Amr Ahmed Moussa

Volume 19, issue 3, 2018

Factor risk premiums and invested capital: calculations with stochastic discount factors pp. 145-155 Downloads
Andrew Ang, Ked Hogan and Sara Shores
Beta dispersion and portfolio returns pp. 156-161 Downloads
Kyre Dane Lahtinen, Chris M. Lawrey and Kenneth J. Hunsader
Synthetic growth stocks pp. 162-168 Downloads
Wai Mun Fong
Credit spreads and merger pricing pp. 169-178 Downloads
Ding Du and Mason Gerety
Psychic dividends of socially responsible investment portfolios pp. 179-190 Downloads
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 Downloads
Imen Ghadhab, Slaheddine Hellara and Abdelkader Derbali

Volume 19, issue 2, 2018

Exploiting uncertainty with market timing in corporate bond markets pp. 79-92 Downloads
Demir Bektić and Tobias Regele
“Safe” stocks pp. 93-98 Downloads
Wai Mun Fong
An innovative risk management methodology for trading equity indices based on change points pp. 99-109 Downloads
Josua Gösmann and Daniel Ziggel
Dead alphas as risk factors pp. 110-115 Downloads
Zura Kakushadze and Willie Yu
US sector rotation with five-factor Fama–French alphas pp. 116-132 Downloads
Golam Sarwar, Cesario Mateus and Natasa Todorovic
Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach pp. 133-143 Downloads
Mehdi Mili

Volume 19, issue 1, 2018

A word from the Editors pp. 1-2 Downloads
Marielle Jong, Dan diBartolomeo and Steve Satchell
The cash premium in international stock returns pp. 3-12 Downloads
Christian Walkshäusl
Decentralized strategic asset allocation with global constraints pp. 13-26 Downloads
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 Downloads
Laurens Defau and Lieven De Moor
Decoding stock market with quant alphas pp. 38-48 Downloads
Zura Kakushadze and Willie Yu
Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets pp. 49-63 Downloads
Wolfgang Härdle, David Kuo Chuen Lee, Sergey Nasekin and Alla Petukhina
Timid performance fees in mutual funds pp. 64-77 Downloads
Teresa Corzo Santamaría, Carlos Martinez de Ibarreta and Juan Rodriguez Calvo
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