Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Editorial — Investor activism and corporate responsibility pp. 296-300: Craig Mackenzie and Rory Sullivan
Economic implications of passive investing pp. 303-312: Paul Woolley and Ron Bird
The structure of multifactor equity risk models pp. 313-322: Jason MacQueen
Market abuse pp. 323-331: Joe Coffey and Jonathan Overett Somnier
Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001 pp. 333-344: Stephen J Ciccone
Financial liberalisation in the emerging market economies pp. 345-359: Dilip K Das
Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds pp. 361-382: Roy Kouwenberg

Editorial — The use and abuse of risk management pp. 200-201: J MacQueen
Asset allocation versus security selection: Evidence from global markets pp. 202-212: M Kritzman and S Page
Non-parametric forecasting for conditional asset allocation pp. 213-228: S Beckers and B Blair
Does European high yield lead or lag? Turning lead into gold … pp. 229-236: M C Garman
Hedge fund survival lifetimes pp. 237-252: G N Gregoriou
International stock market linkages: A factor analysis approach pp. 253-265: M Illueca and Juan Angel Lafuente
The impact of technological alliances on the information set: Evidence from the Spanish stock exchange pp. 266-278: C Bayona, P Corredor and R Santamaría
Are asset managers properly using tracking error estimates? pp. 279-289: R Zenti and M Pallotta
Portfolio Construction and Risk Budgeting pp. 290-291: Stephen E Satchell

Editorial pp. 100-100: S Satchell
Bond Market volatility compared with stock market volatility: Evidence from the UK pp. 101-111: R Johnson and P Young
Growth stocks outperform value stocks over the long term pp. 112-123: N Beneda
International industry momentum pp. 124-141: Laurens Swinkels
The impact of monetary policy on value and growth stocks: An international evaluation pp. 142-172: Angela Black
Performance clustering and incentives in the UK pension fund industry pp. 173-194: David Blake, B N Lehmann and A Timmermann

Editorial pp. 5-5: S Satchell
Hazardous to your wealth? The early and long-term performance of Mexican ADRs on the New York Stock Exchange pp. 9-16: M Schaub
What private equity investments are being made in Europe, who is investing and how are they doing? pp. 17-28: K Arundale
Cross-country and intertemporal indexes of risk aversion pp. 29-38: M Kritzman, K Lowry and A-S van Royen
Has Europe outgrown its national boundaries? pp. 39-54: T Goodwin and L Ross
On a model of portfolio selection with benchmark pp. 55-65: Niklas Wagner
Beta and return: One-day effect pp. 67-72: M Feinberg and Damir Tokic
Simulating skilled active management pp. 73-89: S M Fox

Editorial: The boom in technology funds — Implications for the fund management industry pp. 300-302: J Mellon
The evaluation of active manager returns in a non-symmetrical environment pp. 303-324: Ron Bird and David Gallagher
Conditional asset allocation using prediction intervals to produce allocation decisions pp. 325-335: B Blair
Do exotic currencies improve the risk-adjusted performance of dynamic currency overlays? pp. 336-352: Dunis Cl and N Levy
Regime switching in currency markets and portfolio flows pp. 353-367: Foley Aj
The record on small companies: A review of the evidence pp. 368-397: M Levis

Editorial pp. 204-204: S Satchell
Do tracking errors reliably estimate portfolio risk? pp. 205-222: A Scowcroft and J Sefton
An alternative calculation of tracking error pp. 223-234: C Lawton-Browne
A note on tracking error funding assumptions pp. 235-240: B Scherer
Tracking error: Ex ante versus ex post measures pp. 241-246: Satchell Se and S Hwang
Process attribution — A new way to measure skill in portfolio construction pp. 247-259: S Bridgeland
Exchange-traded funds: A primer pp. 260-273: D Fuhr
Highest-density forecast regions: An essay in the Spanish stock market pp. 274-283: N Blasco and R Santamaría
Information flows among the major stock market areas pp. 284-292: Climent Fj, V Meneu and A Pardo

Editorial: Torpedoes and Rockets pp. 101-106: Brown Aj
Extreme stock returns pp. 107-127: D Glickman, DiRienzo Ag and R Ochman
How important is asset allocation? pp. 128-135: M Statman
Portfolio insurance and market crashes pp. 136-161: F Longin
Can profitable trading strategies be derived from investment best-sellers? pp. 162-179: Chris Brooks, W Chow and Ward Cwr
The prediction of earnings movements using accounting data: An update and extension of Ou and Penman pp. 180-195: Ron Bird, R Gerlach and Hall Ad
‘The prediction of earnings movements using accounting data: An update and extension of Ou and Penman’ — A response pp. 196-199: D Damant

Editorial pp. 5-7: B Maitra
Strategic currency hedging pp. 9-21: A Dales and R Meese
The optimal benchmark for a currency overlay mandate pp. 22-34: J Binny
The search for a balanced hedge ratio policy pp. 35-46: B Lindenhovius and G de Vrij
Views: Use and abuse pp. 47-55: A Muralidhar and Paolo Pasquariello
Trading style analysis of leveraged currency funds pp. 56-74: P Lequeux
Empirical measures of liquidity — a new approach pp. 75-83: R Adams, R Williams and E Acar
Measuring the degree of currency misalignment using offshore forward exchange rates: The case of the Korean Financial crisis pp. 84-95: D Park and C Rhee