Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Volume 24, issue 7, 2023

Green commodities: the making of a new asset class pp. 531-533

Caroline Bavasso and Marielle Jong

Ownership of ESG characteristics pp. 534-540

Mark E. Bateman and Lisa R. Goldberg

Greenlabelling: How valuable is the SFDR Art 9 label? pp. 541-546

Bernd Scherer and Milot Hasaj

Greenium, credit rating, and the COVID-19 pandemic pp. 547-557

Emre Arat, Britta Hachenberg, Florian Kiesel and Dirk Schiereck

Portfolio benefits of taxonomy orientated and renewable European electric utilities pp. 558-571

Thomas Cauthorn, Christian Klein, Leonard Remme and Bernhard Zwergel

ESG criteria and the credit risk of corporate bond portfolios pp. 572-580

Andre Höck, Tobias Bauckloh, Maurice Dumrose and Christian Klein

Portfolio diversification and sustainable assets from new perspectives pp. 581-600

Takashi Kanamura

The futility of measuring relative performance of ESG portfolios if ESG investing improves the market performance pp. 601-607

David Buckle

Volume 24, issue 6, 2023

Risk budgeting using a generalized diversity index pp. 443-458

Gilles Boevi Koumou

Alternative risk premium: specification noise pp. 459-473

Stephen A. Gorman and Frank J. Fabozzi

Effects of size on the exchange-traded funds performance pp. 474-484

Kiran Paudel and Atsuyuki Naka

Large portfolio optimisation approaches pp. 485-497

Esra Ulasan and A. Özlem Önder

Exploring the nexus between price and volume changes in the cryptocurrency market pp. 498-512

Adeyinka Adediran, Bola Babajide and Nataliia Osina

The cross-section of January effect pp. 513-530

Arbab Khalid Cheema, Wenjie Ding and Qingwei Wang

Volume 24, issue 5, 2023

Pension fund investments in infrastructure pp. 329-345

Alexander Carlo, Piet Eichholtz, Nils Kok and Ruud Wijnands

Determinants of bid-ask spread in emerging sovereign bond markets pp. 346-352

Emre Su and Kaya Tokmakçıoğlu

The informational content of sovereign credit rating: another look pp. 353-373

Fathi Nakai and Tarek Chebbi

Common risk factors and risk–return trade-off for REITs and treasuries pp. 374-395

Faten Ben Bouheni and Manish Tewari

Are return predictors of industrial equity indexes common across regions? pp. 396-418

Pelin Bengitöz and Mehmet Umutlu

Stock market anomalies and machine learning across the globe pp. 419-441

Vitor Azevedo, Georg Sebastian Kaiser and Sebastian Mueller

Volume 24, issue 4, 2023

Investment in non-fungible tokens (NFTs): the return of Ethereum secondary market NFT sales pp. 241-254

Niklas Konstantin Klein, Fritz Lattermann and Dirk Schiereck

Investigating risk assessment in post-pandemic household cryptocurrency investments: an explainable machine learning approach pp. 255-267

Lin Li

Fund family versus mutual fund performance: evidence from the Indian investors’ perspective pp. 268-283

Yogesh Chauhan, Ajay Kumar Mishra and Bhavik Parikh

UK mutual funds: performance persistence and portfolio size pp. 284-298

Keith Cuthbertson, Dirk Nitzsche and Niall O’Sullivan

Multifactor funds: an early (bearish) assessment pp. 299-311

Javier Estrada

Does governance matter for bank stability? “MENA region case” pp. 312-328

Djebali Nesrine

Volume 24, issue 3, 2023

The risk-return tradeoff: are sustainable investors compensated adequately? pp. 165-172

Christina Bannier, Yannik Bofinger and Björn Rock

Price contingent and price-volume contingent portfolio strategies pp. 173-183

Alain Guéniche, Philippe Dupuy and Wan Ni Lai

When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach pp. 184-197

Damir Tokic and Dave Jackson

Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 pp. 198-211

Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas and Georgios Pergeris

How does retirement affect optimal life cycle portfolio allocation between stocks and bonds? pp. 212-224

Valentinas Rudys

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency? pp. 225-240

Ailie Charteris and Conrad Alexander Steyn

Volume 24, issue 2, 2023

Trust me, I am a Robo-advisor pp. 85-96

Bernd Scherer and Sebastian Lehner

Notes on the convergence of the estimated risk factor matrix in linear regression models pp. 97-107

Julien Riposo and E G Klepfish

Analyst target price and dividend forecasts and expected stock returns pp. 108-120

Jinji Hao and Jonathon Skinner

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index pp. 121-135

Ewa Feder-Sempach and Tomasz Miziołek

Dynamic asset allocation strategy: an economic regime approach pp. 136-147

Min Jeong Kim and Dohyoung Kwon

Can experience mitigate precautionary bidding? Evidence from a quasi-experiment at an IPO auction pp. 148-163

Wenjun Wang

Volume 24, issue 1, 2023

The statistics of time varying cross-sectional information coefficients pp. 1-15

Zhuanxin Ding and Yixiao Sun

The relationship of financial performance and stock returns in countries under economic sanctions pp. 16-26

Ali Akbar Gholizadeh, Davood Jafari Seresht, Zahra Bayat and Leyla Jabari

Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market pp. 27-43

Asgar Ali and K. N. Badhani

Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price pp. 44-58

Mouna Youssef and Khaled Mokni

Risk and return of classic car market prices: passion or financial investment? pp. 59-68

Eric Fur

Bonding, signaling theory and dividend policy: Evidence from multinational firms pp. 69-83

Imen Ghadhab

Volume 23, issue 7, 2022

ESG and impact investing pp. 547-549

Marielle Jong and Steve Rocco

Creating shareholder value through ESG engagement pp. 550-566

Benoît Mercereau, Lionel Melin and Maria Margarita Lugo

Smart beta ESG disclosure pp. 567-580

Besbes Yasmine and Maher Kooli

Comparing SRI funds to conventional funds using a PCA methodology pp. 581-595

Christine Helliar, Barbara Petracci and Nongnuch Tantisantiwong

Pricing climate change risk in corporate bonds pp. 596-618

Elsa Allman

Explainable artificial intelligence modeling for corporate social responsibility and financial performance pp. 619-630

Julien Lachuer and Sami Ben Jabeur

Cross-dispersion bias-adjusted ESG rankings pp. 631-643

Philippe Dupuy and Jean-Charles Garibal

Volume 23, issue 6, 2022

Portfolio optimization with sparse multivariate modeling pp. 445-465

Pier Francesco Procacci and Tomaso Aste

Global mutual fund market: the turn of the month effect and investment strategy pp. 466-476

Tirthank Shah and Narayan Baser

Gambling with lottery stocks? pp. 477-503

Andreas Oehler and Julian Schneider

Company visits and mutual fund performance: new evidence on managerial skills pp. 504-521

Yanan Li and Wenjun Wang

The impact of volatility scaling on factor portfolio performance and factor timing pp. 522-533

Federico Calogero Nucera and Björn Uhl

Tail risk management and the skewness premium pp. 534-546

Martin Kipp and Christian Koziol

Volume 23, issue 5, 2022

A lifetime allocation with human capital: implications for target date fund pp. 365-375

Seokkeun Ha and Frank J. Fabozzi

The asset allocation of defined benefit pension plans: the role of sponsor contributions pp. 376-389

Artem Dyachenko, Patrick Ley, Marc Oliver Rieger and Alexander Wagner

American hedge funds industry, market timing and COVID-19 crisis pp. 390-399

Soumaya Ben Khelife, Christian Urom, Khaled Guesmi and Ramzi Benkraiem

The impact of analyst forecast errors on fundamental indexation: the Australian evidence pp. 400-418

Lorenzo Casavecchia, Gerhard Hambusch and Justin Hitchen

Asymmetric volume volatility causality in dual listing H-shares pp. 419-428

Malay K. Dey and Chaoyan Wang

Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets pp. 429-444

Daouda Lawa tan Toe and Salifou Ouedraogo

Volume 23, issue 4, 2022

Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach pp. 277-296

Gül Huyugüzel Kışla, Y. Gülnur Muradoğlu and A. Özlem Önder

Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach pp. 297-309

Adlane Haffar and Éric Le Fur

Bitcoin: like a satellite or always hardcore? A core–satellite identification in the cryptocurrency market pp. 310-321

Christoph J. Börner, Ingo Hoffmann, Jonas Krettek and Tim Schmitz

Herding in different states and terms: evidence from the cryptocurrency market pp. 322-336

Syed Riaz Mahmood Ali

Harvesting the seasons of the size anomaly pp. 337-349

Boris Fays, Georges Hübner and Marie Lambert

Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume pp. 350-363

Shaista Wasiuzzaman

Volume 23, issue 3, 2022

Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis pp. 173-200

Surbhi Gupta and Anil Kumar Sharma

Sovereign wealth funds and economic growth pp. 201-214

Ermanno Affuso, Khandokar M. Istiak and Alex Sharland

Efficient bias robust regression for time series factor models pp. 215-234

R. Douglas Martin and Daniel Z. Xia

Foreign institutional investors and dividend policy in Indonesia pp. 235-245

Sangapta Damarjati Purba, Tastaftiyan Risfandy, Muizzuddin Muizzuddin and Muh. Rudi Nugroho

Managements’ tone strategies by earnings call transcripts in the global markets pp. 246-255

Rei Yamamoto, Naoya Kawadai, Masataka Kurita and Satoshi Baba

Puzzle solved? A comprehensive analysis of hedge fund-like mutual funds according to the value-added paradigm pp. 256-275

Nathaniel Light and Ivan Stetsyuk

Volume 23, issue 2, 2022

Dividend predictability and higher moment risk premia pp. 83-99

Aşty Al-Jaaf

Equity factors for multi-asset class portfolios: a strategic asset allocation perspective pp. 100-113

Stefano Cavaglia, Louis Scott, Kenneth Blay and Tarun Gupta

The ESG ETFs in the UK pp. 114-129

Gerasimos G. Rompotis

When does slower order execution occur? Evidence from U.S. equity investors pp. 130-137

Ryan Garvey and Yaohua Qin

Factor momentum, option-implied volatility scaling, and investor sentiment pp. 138-155

Klaus Grobys, James W. Kolari and Jere Rutanen

The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets pp. 156-171

Seungho Lee

Correction to: Are religious investors financially smart? Evidence from equity funds pp. 172-172

Murat Yas, Ahmet Aysan and Mohamed Eskandar Shah Mohd Rasid

Volume 23, issue 1, 2022

European sin stocks pp. 1-18

Siri Tronslien Sagbakken and Dan Zhang

Is there a boutique asset management premium? Evidence from the European fund management industry pp. 19-32

Andrew Clare

Are religious investors financially smart? evidence from equity funds pp. 33-45

Murat Yas, Ahmet Aysan and Mohamed Eskandar Shah Mohd Rasid

Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds pp. 46-61

Mayank Patel, Vinodh Madhavan and Supratim Gupta

Performance attribution, time-weighted rate of return, and clean finite change sensitivity index pp. 62-72

Carlo Alberto Magni and Andrea Marchioni

Industry momentum with correlation consolidation: evidence from China pp. 73-82

Sabri Boubaker, Lechuan Du and Zhenya Liu