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Journal of Asset Management

2016 - 2018

Current editor(s): Stephen Satchell

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

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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

Volume 18, issue 7, 2017

A note on the early effects of the US Presidential vote on Mexican ADR values pp. 511-515 Downloads
Mark Schaub
Information content of right option tails: Evidence from S&P 500 index options pp. 516-526 Downloads
Greg Orosi
Shariah-compliant Capital Asset Pricing Model: new mathematical modeling pp. 527-537 Downloads
Abdelkader Derbali, Abderrazek El Khaldi and Fathi Jouini
Efficient integration of risk premia exposures into equity portfolios pp. 538-546 Downloads
B. Vaucher and A. Medvedev
Assessing hedge fund performance with institutional constraints: evidence from CTA funds pp. 547-565 Downloads
Marat Molyboga, Seungho Baek and John Bilson
Do target date mutual funds meet their targets? pp. 566-579 Downloads
William F. Johnson and Ha-Chin Yi
The Black–Litterman model: active risk targeting and the parameter tau pp. 580-587 Downloads
Randy O’Toole

Volume 18, issue 6, 2017

The mispricing of equity risk: behavioral and corporate leverage factors pp. 421-432 Downloads
Dorsaf Ben Aissia
Bond mutual funds and complex investments pp. 433-456 Downloads
Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens
Extreme risk and small investor behavior in developed markets pp. 457-475 Downloads
Lorne N. Switzer, Jun Wang and Seungho Lee
Linear and nonlinear predictability in investment style factors: multivariate evidence pp. 476-509 Downloads
Francesco Chincoli and Massimo Guidolin

Volume 18, issue 5, 2017

What’s the big deal about Risk Parity? pp. 341-346 Downloads
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 Downloads
Amos Sodjahin, Claudia Champagne, Frank Coggins and Roland Gillet
Time-Dependent Black–Litterman pp. 371-387 Downloads
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 Downloads
Xiaoli Wang
Fundamental indexation for developed, emerging, and frontier government bond markets pp. 405-420 Downloads
Vanja Piljak and Laurens Swinkels

Volume 18, issue 4, 2017

Negative interest rates: Causes and consequences pp. 243-254 Downloads
Damir Tokic
Does fundamental value run asset price formation process? Evidence from option price information content pp. 255-268 Downloads
Abderrahmen Aloulou and Siwar Ellouze
A risk control tool for foreign financial activities – A new derivatives pricing model pp. 269-294 Downloads
I-Ming Jiang, Chia Chun Lo, Andreas Karathanasopoulos and Konstantinos Skindilias
Hedge funds risk and connectedness pp. 295-316 Downloads
Christian Manicaro and Joseph Falzon
A strong case to calculate the Treynor ratio using log-returns pp. 317-325 Downloads
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 Downloads
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 Downloads
Shaista Wasiuzzaman
Managing ambiguity in asset allocation pp. 163-187 Downloads
Hakan Kaya
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence pp. 188-208 Downloads
Rama Malladi and Frank J. Fabozzi
Time-varying correlations and interrelations: Firm-level-based sector evidence pp. 209-221 Downloads
P. Evans, David G. McMillan and Fiona J. McMillan
A truly market-value weighted commodity index pp. 222-242 Downloads
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 Downloads
Gregor Dorfleitner and Mai Nguyen
Fundamental driver of fund style drift pp. 99-123 Downloads
Giuseppe Galloppo and Giovanni Trovato
The value of stop-loss, stop-gain strategies in dynamic asset allocation pp. 124-143 Downloads
Austin Shelton
The role of correlation in risk profile portfolios pp. 144-153 Downloads
Jürgen Vandenbroucke
RETRACTED ARTICLE: Traditional beta, average drawdown beta and market risk premium pp. 154-154 Downloads
Mohammad Reza Tavakoli Baghdadabad
Retraction Note to: Traditional beta, average drawdown beta and market risk premium pp. 155-155 Downloads
Mohammad Reza Takavoli Baghdadabad

Volume 18, issue 1, 2017

Portfolio implications of job-specific human capital risk pp. 1-15 Downloads
David Blanchett and Philip Straehl
Asset valuation impact of investor sentiment: A revised Fama–French five-factor model pp. 16-28 Downloads
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 Downloads
Mohamed Fakhfekh, Ahmed Ghorbel, Nadhem Selmi and Nejib Hachicha
The profiles of merged hedge funds, funds of hedge funds, and CTA pp. 49-63 Downloads
Greg N. Gregoriou and Maher Kooli
How to combine a billion alphas pp. 64-80 Downloads
Zura Kakushadze and Willie Yu
Page updated 2018-10-16