Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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Volume 6, issue 6, 2006

Editorial pp. 389-389

Stephen E Satchell

A benchmark approach to asset management pp. 390-405

Eckhard Platen

To sin or not to sin? Now that's the question pp. 406-417

James Chong, Monica Her and G. Michael Phillips

Explaining US stock market returns from 1980 to 2005: Implications for the next 25 years pp. 418-432

Damir Tokic

The added value of hedge funds in an asset-liability framework pp. 433-444

Susanne Otruba, Carmen Quesada and Stefan Scholz

Optimisation of the largest US mutual funds using data envelopment analysis pp. 445-455

Greg N Gregoriou

Decomposing the price-earnings ratio pp. 456-469

Keith Anderson and Chris Brooks

Volume 6, issue 5, 2006

Editorial pp. 319-319

Stephen E Satchell

Do funds of funds make sense? pp. 322-328

Kristof Agache and Knut Huys

Profiting from past winners and losers pp. 329-344

Nauzer Balsara and Lin Zheng

Biases and information in analysts' recommendations: The European experience pp. 345-380

Sarah Azzi, Ron Bird, Paolo Ghiringhelli and Emanuele Rossi

Momentum profits following bull and bear markets pp. 381-388

Antonios Siganos and Patricia Chelley-Steeley

Volume 6, issue 4, 2005

Editorial pp. 245-245

Stephen E Satchell

Independent variable selection: Application of independent component analysis to forecasting a stock index pp. 248-258

Andrzej Cichocki, Stanley R Stansell, Zbigniew Leonowicz and James Buck

Does inflation matter for equity returns? pp. 259-273

Salman Ahmed and Mirko Cardinale

Does good corporate governance really work? More evidence from CalPERS pp. 274-287

James Nelson

Wealth effects of American depository receipts listed on the New York Stock Exchange: The case of telecom firms pp. 288-297

Mark Schaub

Seasonality in the Asia Pacific stock markets pp. 298-318

Noor Azuddin Yakob, Diana Beal and Sarath Delpachitra

Volume 6, issue 3, 2005

Editorial pp. 165-165

Stephen E Satchell

Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit? pp. 168-190

Christian L Dunis and Gary Shannon

Flow-through capability: The Spanish case pp. 191-205

Francisco Jareño

A multivariate dichotomic approach for tactical asset allocation pp. 206-218

Mathieu Roberge and Cécile Le Moigne

Impact of fund size on hedge fund performance pp. 219-238

Manuel Ammann and Patrick Moerth

Volume 6, issue 2, 2005

Editorial pp. 84-84

Stephen E Satchell

Countries versus industries in Europe: A normative portfolio approach pp. 85-103

Javier Estrada, Mark Kritzman, Simon Myrgren and Sébastien Page

Value and growth stocks and cyclical asymmetries pp. 104-116

Angela Black and David G McMillan

Discretionary trading and the search for alpha pp. 117-135

Don Chance

A proposed fuzzy optimal control model to minimise target tracking error in a dynamic hedging problem with a multi-asset, best-of option pp. 136-140

Sukanto Bhattacharya and Mohammad Khoshnevisan

Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks pp. 141-157

B F Hunt

Volume 6, issue 1, 2005

Editorial pp. 4-4

Stephen E Satchell

Returns from active management in international equity markets: Evidence from a panel of UK pension funds pp. 5-20

David Blake and Allan Timmermann

Ex post reality versus ex ante theory of the fundamental law of active management pp. 21-32

David J Buckle

Cointegration portfolios of European equities for index tracking and market neutral strategies pp. 33-52

Christian L Dunis and Richard Ho

Computing implied returns in a meaningful way pp. 53-64

Ulf Herold

How model risk and alpha dispersion affect portfolio efficiency pp. 65-78

Eriks Smidchens

Volume 5, issue 6, 2005

Editorial pp. 364-364

Stephen E Satchell

The case for market inefficiency: Investment style and market pricing pp. 365-388

Ron Bird, Xue-Zhong (Tony) He, Satish Thosar and Paul Woolley

Why economic models fail: Examples in asset management and in risk management pp. 389-396

Freddy Van den Spiegel

Style portfolio performance: Empirical evidence from the Spanish equity funds pp. 397-409

Luis Ferruz and Luis Vicente

Actively managing tracking error pp. 410-422

Curt Burmeister, Helmut Mausser and Rafael Mendoza

A refinement to the Sharpe ratio and information ratio pp. 423-427

Craig Israelsen

A note on portfolio performance attribution: Taking risk into account pp. 428-437

Philippe Bertrand

Asset and Liability Management Tools: A Handbook for Best Practice pp. 438-439

Sally Bridgeland

Volume 5, issue 5, 2005

Editorial pp. 292-292

Stephen E Satchell

Whither active management? pp. 293-304

Charles Jackson

Optimal trading frequency for active asset management: Evidence from technical trading rules pp. 305-326

Christian L Dunis and Jia Miao

Managing an asset management firm's risk portfolio pp. 327-337

Nancy Beneda

Risk management for asset managers: A test of relative VaR pp. 338-350

Davide Maspero and Francesco Saita

Investing pension funds as if the long term really did matter pp. 351-359

Sally Bridgeland

Volume 5, issue 4, 2004

Editorial pp. 220-222

Kimberly Gluck and Ying Becker

Expectations, outcomes and risk pp. 223-229

Paul Bostock

Alternative valuation techniques for predicting UK stock returns pp. 230-250

Christian Dunis and Declan Reilly

Do currencies influence the stock prices of companies? pp. 251-262

Erik Kroon and Olaf van Veen

Short-term and long-term performance of IPOs and SEOs traded as American depository receipts: Does timing matter? pp. 263-271

Mark Schaub and Michael J. Highfield

Lagged factors affecting Berkshire Hathaway returns pp. 272-276

Robert Christopherson and Greg Gregoriou

Literature survey of measurement of risk: The value premium pp. 277-288

Oluwatobi Oyefeso

Volume 5, issue 3, 2004

Editorial pp. 148-148

Stephen E Satchell

Good corporate governance works: More evidence from CalPERS pp. 149-156

Mark Anson, Ted White and Ho Ho

The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2 pp. 157-175

Ron Bird and Jonathan Whitaker

Expect something sensible: Putting US returns in an international perspective pp. 176-191

Roelof Salomons

How to profit from mean reverting risk premiums? Implications for stock selection pp. 192-202

Olaf Stotz

Portfolio formations can affect asset pricing tests pp. 203-216

Ingrid Lo

Volume 5, issue 2, 2004

Editorial pp. 76-76

Stephen Satchell

How do US and Japanese investors process information, and how do they form their expectations of the future? Evidence from quantitative survey based data pp. 77-90

Patricia Fraser

Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance pp. 91-104

Rob Bauer, Nadja Guenster and Rogér Otten

Active bond strategies: What link between forecasting ability, excess return and performance? pp. 105-119

Hubert de La Bruslerie

Momentum investing: A survey pp. 120-143

Laurens Swinkels

Volume 5, issue 1, 2004

Editorial pp. 4-4

Stephen Satchell

An alternative route to performance hypothesis testing pp. 5-12

Bernd Scherer

Risk management: Survival of the fittest pp. 13-24

Jarrod Wilcox

Momentum and the FTSE 350 pp. 25-36

Mark Ellis and Dylan C Thomas

Forecasting the direction of change in sector stock indexes: An application of neural networks pp. 37-48

Stanley R Stansell and Stanley G Eakins

A fuller theory of short selling pp. 49-63

Harlan Platt

Measuring style tilting and decomposing style risk pp. 64-71

Theofanis Darsinos and Stephen Satchell