Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 21, issue 7, 2020

Word from the editors and the CQA Board pp. 567-568

Marielle de Jong, Dan DiBartolomeo and Dan Cardell

Better portfolios with higher moments pp. 569-580

Jarrod Wilcox

How the pandemic taught us to turn smart beta into real alpha pp. 581-590

Christopher Kantos and Dan diBartolomeo

Regularizing Bayesian predictive regressions pp. 591-608

Guanhao Feng and Nicholas Polson

Portfolio turnover when IC is time-varying pp. 609-622

Zhuanxin Ding, R. Douglas Martin and Chaojun Yang

Diversification: does it really fail, when you need it most? pp. 623-625

Bernd Scherer

Strategy design and the fallacies of breadth pp. 626-635

Leigh Sneddon

Market implied GDP pp. 636-646

Harris Ntantanis and Lawrence Pohlman

The Tesla stock split experiment pp. 647-651

Bradford Cornell

Volume 21, issue 6, 2020

Automated portfolio rebalancing: Automatic erosion of investment performance? pp. 489-505

Matthias Horn and Andreas Oehler

The Shapley value of regression portfolios pp. 506-512

Haim Shalit

Paying dividends: Cash or credit? pp. 513-523

Chris M. Lawrey, Kathleen P. Fuller and Brandon C. L. Morris

Can fund sentiment beta predict future performance? pp. 524-534

Qiang Bu and Odd J. Stalebrink

Do Board Characteristics Affect Bank Performance? Evidence from the Eurozone pp. 535-548

Ahmed Bouteska

Predictive power of ARIMA models in forecasting equity returns: a sliding window method pp. 549-566

Huijian Dong, Xiaomin Guo, Han Reichgelt and Ruizhi Hu

Volume 21, issue 5, 2020

Broken bucks: money funds that took taxpayer guarantees in 2008 pp. 375-392

Linus Wilson

ESG controversies and controversial ESG: about silent saints and small sinners pp. 393-412

Gregor Dorfleitner, Christian Kreuzer and Christian Sparrer

Do smart beta ETFs deliver persistent performance? pp. 413-427

Cesario Mateus, Irina B. Mateus and Marco Soggiu

Improving CAT bond pricing models via machine learning pp. 428-446

Tobias Götze, Marc Gürtler and Eileen Witowski

A robust framework for risk parity portfolios pp. 447-466

Giorgio Costa and Roy Kwon

Noise-driven abnormal institutional investor attention pp. 467-488

Feng Dong

Volume 21, issue 4, 2020

Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles pp. 281-291

Syed Kumail Abbas Rizvi, Nawazish Mirza, Bushra Naqvi and Birjees Rahat

Dynamic jump intensities and news arrival in oil futures markets pp. 292-325

Katherine B. Ensor, Yu Han, Barbara Ostdiek and Stuart M. Turnbull

Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes pp. 326-332

Haotian Cai and Anatoly B. Schmidt

International linkages of Indian equity market: evidence from panel co-integration approach pp. 333-341

Sangita Choudhary and Shelly Singhal

Mutual fund managers’ market timing abilities: Indian evidence pp. 342-354

Mahfooz Alam and Valeed Ahmad Ansari

Liquidity commonality beyond best prices: Indian evidence pp. 355-373

Abhinava Tripathi, Vipul and Alok Dixit

Volume 21, issue 3, 2020

Cashing in on innovation: a taxonomy of FinTech pp. 167-177

Michael B. Imerman and Frank J. Fabozzi

Alternative risk premia: contagion and portfolio choice pp. 178-191

Bernd Scherer

Should investors join the index revolution? Evidence from around the world pp. 192-218

Matthias M. M. Buehlmaier and Kit Pong Wong

Monetary policy after the crisis: A threat to hedge funds' alphas? pp. 219-238

Alexander Berglund, Massimo Guidolin and Manuela Pedio

Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe pp. 239-260

Constantinos Alexiou and Anshul Tyagi

The thermal optimal path model: Does Google search queries help to predict dynamic relationship between investor’s sentiment and indexes returns? pp. 261-279

Yousra Trichilli, Mouna Abdelhédi and Mouna Boujelbène Abbes

Volume 21, issue 2, 2020

The effect of environmental sustainability on credit risk pp. 85-93

André Höck, Christian Klein, Alexander Landau and Bernhard Zwergel

Factor-based investing in government bond markets: a survey of the current state of research pp. 94-105

Demir Bektić, Britta Hachenberg and Dirk Schiereck

Piotroski’s FSCORE: international evidence pp. 106-118

Christian Walkshäusl

A common risk factor and the correlation between equity and corporate bond returns pp. 119-134

Amer Demirovic, Ali Kabiri, David Tuckett and Rickard Nyman

Forecasting index changes in the German DAX family pp. 135-153

Friedrich-Carl Franz

Excess volatility and market efficiency in government bond markets: the ASEAN-5 context pp. 154-165

Kin-Boon Tang, Shao-Jye Wong, Shih-Kuei Lin and Szu-Lang Liao

Volume 21, issue 1, 2020

Central banks and supervisors can contribute to an improvement of the pricing mechanisms for climate-related risks pp. 1-3

Morgan Després and Clément Bourgey

Styles through a convergent/divergent lens: the curious case of ESG pp. 4-12

Yang Gao, Stephen Satchell and Nandini Srivastava

Herds on green meadows: the decarbonization of institutional portfolios pp. 13-31

Lukas Benz, Andrea Jacob, Stefan Paulus and Marco Wilkens

ESG integration: value, growth and momentum pp. 32-51

Lars Kaiser

Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings pp. 52-69

Benjamin Hübel and Hendrik Scholz

Fighting climate change as a global equity investor pp. 70-83

Benoît Mercereau, Guillaume Neveux, João Paulo C. C. Sertã, Benoît Marechal and Gianluca Tonolo