Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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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 Shah

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 Shah

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

Volume 22, issue 7, 2021

Empirical asset pricing via machine learning: evidence from the European stock market pp. 507-538

Wolfgang Drobetz and Tizian Otto

Cross-listing and crisis pp. 539-558

Imen Ghadhab

Differential impact of earnings management on the accrual anomaly pp. 559-572

Manish Bansal and Asgar Ali

Quantitative model for impact of behavioral biases on asset allocation decisions: a case study of investors in UAE pp. 573-580

Ashutosh Pradhan

Decoding insider silence: evidence from China securities market pp. 581-599

Han-Ching Huang and Ren-Cyuan Chan

Investor sentiment and the time-varying sustainability premium pp. 600-621

Vitor Azevedo, Christoph Kaserer and Lucila M. S. Campos

Correction to: Factor-based investing in government bond markets: a survey of the current state of research pp. 622-622

Demir Bektić, Britta Hachenberg and Dirk Schiereck

Volume 22, issue 6, 2021

Multiple alpha sources and portfolio design pp. 389-390

Marielle Jong and Dan diBartolomeo

The ABC’s of the ARP: understanding alternative risk premium pp. 391-404

Stephen A. Gorman and Frank J. Fabozzi

The ABC’s of the alternative risk premium: academic roots pp. 405-436

Stephen A. Gorman and Frank J. Fabozzi

Adding alternative assets: return enhancement, diversification or hedging? pp. 437-442

Bernd Scherer

Portfolio selection with active strategies: how long only constraints shape convictions pp. 443-463

Charles-Albert Lehalle and Guillaume Simon

Factor investing: alpha concentration versus diversification pp. 464-487

Lars Heinrich, Antoniya Shivarova and Martin Zurek

Factor investing and asset allocation strategies: a comparison of factor versus sector optimization pp. 488-506

Wolfgang Bessler, Georgi Taushanov and Dominik Wolff

Volume 22, issue 5, 2021

Who owns tobacco stocks? pp. 311-325

David Blitz and Laurens Swinkels

Collectors’ motives in the context of wealth management pp. 326-337

Eric Le Fur

The Volatility Effect in China pp. 338-349

David Blitz, Matthias X. Hanauer and Pim Vliet

The performance of South African exchange traded funds under changing market conditions pp. 350-359

Damien Kunjal, Faeezah Peerbhai and Paul-Francois Muzindutsi

Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak pp. 360-375

Jamila Abaidi Hasnaoui, Syed Kumail Abbas Rizvi, Krishna Reddy, Nawazish Mirza and Bushra Naqvi

The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan pp. 376-388

Farrukh Naveed, Muhammad Ishfaq and Zahid Maqbool

Volume 22, issue 4, 2021

Macroeconomics and the value premium pp. 241-252

Brian Jacobsen and Wai Lee

Exploiting the dividend month premium: evidence from Germany pp. 253-266

Felix Kreidl and Hendrik Scholz

Information content of the risk-free rate for the pricing kernel bound pp. 267-276

Milad Nozari

Can an equity structure dominate the risk-return profile of corporate bonds? pp. 277-290

Edouard Nouvellon and Hugues Pirotte Speder

Forecasting sector stock market returns pp. 291-300

David G. McMillan

Volume decomposition and volatility in dual-listing H-shares pp. 301-310

Malay K. Dey and Chaoyan Wang

Volume 22, issue 3, 2021

The effect of corporate governance on bank performance: evidence from Turkish and some MENA countries banks pp. 153-162

Berna Doğan Başar, Ahmed Bouteska, Burak Büyükoğlu and İbrahim Halil Ekşi

Prospect theory and risk-taking behavior: an empirical investigation of Islamic and conventional banks pp. 163-178

Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes

Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness pp. 179-199

Wajdi Hamma, Ahmed Ghorbel and Anis Jarboui

Expected returns with leverage constraints and target returns pp. 200-208

Leon (Liang) Xin and Shanshan Ding

Dynamic copula-based expectile portfolios pp. 209-223

Maziar Sahamkhadam

Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula pp. 224-239

Ahmed Jeribi and Mohamed Fakhfekh

Correction to: Do board characteristics affect bank performance? Evidence from the Eurozone pp. 240-240

Ahmed Bouteska

Volume 22, issue 2, 2021

Introductory editorial pp. 77-78

Marielle de Jong, Cécile Diana and Julie Malbois

The impact of corporate social responsibility on corporate financial performance and credit ratings in Japan pp. 79-95

Frank J. Fabozzi, Peck Wah Ng and Diana E. Tunaru

Green bonds: shades of green and brown pp. 96-109

Moritz Immel, Britta Hachenberg, Florian Kiesel and Dirk Schiereck

Air pollution, investor sentiment and excessive returns pp. 110-119

Matthew Muntifering

Sustainability efforts, index recognition, and stock performance pp. 120-132

Moonsoo Kang, K. G. Viswanathan, Nancy A. White and Edward J. Zychowicz

Expected and realized returns on stocks with high- and low-ESG exposure pp. 133-150

Olaf Stotz

Correction to: Sustainability efforts, index recognition, and stock performance pp. 151-151

Moonsoo Kang, K. G. Viswanathan, Nancy A. White and Edward J. Zychowicz

Volume 22, issue 1, 2021

Stock picking in the US market and the effect of passive investments pp. 1-10

Carmine De Franco

Bottom-up versus top-down factor investing: an alpha forecasting perspective pp. 11-29

Martin Zurek and Lars Heinrich

Modern portfolio theory with sharia: a comparative analysis pp. 30-42

John A. Sandwick and Pablo Collazzo

Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market pp. 43-50

Imed Medhioub and Mustapha Chaffai

The Investors Exchange’s (IEX) impact on investors pp. 51-61

Alan Chow, Kyre Dane Lahtinen and Chris Lawrey

Managerial behavior in fund tournaments—the impact of TrueSkill pp. 62-75

Alexander Swade, Gerrit Köchling and Peter N. Posch