Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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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

Volume 4, issue 6, 2004

Editorial pp. 364-366

Greg Radner

Predicting extreme performers in European equities pp. 367-391

Ying L. Becker and Richard J. Ochman

How to calculate breadth: An evolution of the fundamental law of active portfolio management pp. 393-405

David Buckle

Risk policies for active asset managers pp. 407-414

Dario Brandolini, Massimiliano Pallotta and Raffaele Zenti

Towards a goal programming methodology for constructing equity mutual fund portfolios pp. 415-428

Konstantina Pendaraki, Michael Doumpos and Constantin Zopounidis

Integrated wealth management: ‘The new direction’ for portfolio managers pp. 429-430

Greg N. Gregorion

Volume 4, issue 5, 2003

Editorial pp. 292-292

Stephen Satchell

Region, sector and style selection in global equity markets pp. 293-307

Ronald van Dijk and Tjeert Keijzer

The long-term performance of UK stocks after making rights issues pp. 308-317

Simon Harris

Time and the payoff to value investing pp. 318-325

Roland Rousseau and Paul van Rensburg

On the information ratio of tactical asset allocation pp. 326-333

Mark Lundin

Explaining the cross-section of returns in South Africa: Attributes or factor loadings? pp. 334-347

Paul van Rensburg and Michael Robertson

An analysis of the equity risk premium pp. 348-360

Rakesh Bali and Hany Guirguis

Volume 4, issue 4, 2003

Editorial — Benchmark Issues pp. 220-220

Stephen Satchell

The performance of value and momentum investment portfolios: Recent experience in the major European markets pp. 221-246

Ron Bird and Jonathan Whitaker

Estimating free cash flows and valuing a growth company pp. 247-257

Nancy L Beneda

How did the Dow do today? pp. 258-276

Paul J Haensly

GARCH models with changes in variance: An approximation to risk measurements pp. 277-287

Vicent Aragó and Ángeles Fernández-Izquierdo

Volume 4, issue 3, 2003

Editorial — Saving social security pp. 148-151

Franco Modigliani and Arun Muralidhar

Selecting a risk-adjusted shareholder performance measure pp. 152-172

Christian S Pedersen and Ted Rudholm-Alfvin

Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations pp. 173-198

Nikolaus Hautsch and Joachim Inkmann

Emerging market economies: Inevitability of volatility and contagion pp. 199-216

Dilip K Das

Volume 4, issue 2, 2003

Editorial pp. 76-76

Stephen E Satchell

Do the individual moments of REIT return distributions affect institutional ownership patterns? pp. 77-95

Scott D Below and Stanley Stansell

Benefits and risks of alternative investment strategies pp. 96-118

Noël Amenc, Lionel Martellini and Mathieu Vaissié

The impact of demand and liquidity on the informaton content and predictive power of the government bond yield curve: An illustration from the UK gilt market pp. 119-130

Moorad Choudhry

Evolving financial market structure in the emerging market economies pp. 131-144

Dilip K Das

Volume 4, issue 1, 2003

Editorial pp. 4-4

Stephen Satchell

Fundamental UK stock prices as determined by the macroeconomy pp. 5-9

Angela Black, Patricia Fraser and Nicolaas Groenewold

Optimal portfolio allocation in a world without Treasury securities pp. 10-21

Antulio Bomfim

On the information content of going concern opinions: The effects of SAS numbers 58 and 59 pp. 22-31

Mark Schaub and Michael Highfield

UK pension fund management after Myners: The hunt for correlation begins pp. 32-72

David Blake