Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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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

Volume 20, issue 7, 2019

Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge pp. 493-507

Vipul Kumar Singh

Predictability and the cross section of expected returns: evidence from the European stock market pp. 508-533

Wolfgang Drobetz, Rebekka Haller, Christian Jasperneite and Tizian Otto

Shedding light on the exposure of mutual funds: Which investments drive mutual fund characteristics? pp. 534-551

Lukas Benz, Martin Rohleder, Janik Syryca and Marco Wilkens

Non-stationary dividend-price ratios pp. 552-567

Vassilis Polimenis and Ioannis Neokosmidis

Naïve diversification in thematic investing: heuristics for the core satellite investor pp. 568-580

Florian Methling and Rüdiger Nitzsch

On the informational market efficiency of the worldwide sovereign credit default swaps pp. 581-608

Saker Sabkha, Christian Peretti and Dorra Hmaied

Volume 20, issue 6, 2019

Invited Editorial “The challenges imposed by low interest rates” pp. 413-420

Jean-Michel Beacco, Catherine Lubochinsky, Marie Brière, Alain Monfort, Caroline Hillairet and Sylvain Benoît

Revisiting private equity performance computation for multi-asset investors pp. 421-432

Edouard Nouvellon and Hugues Pirotte Speder

The analytics of momentum pp. 433-441

Oh Kang Kwon and Stephen Satchell

Trends everywhere? The case of hedge fund styles pp. 442-468

Charles Chevalier and Serge Darolles

A convergence-speed-dependent data quantity definition and its effect on risk estimation pp. 469-475

Jakob Krause

Government guarantees and the risk-taking of financial institutions: evidence from a regulatory experiment pp. 476-492

Christina Atanasova, Mingxin Li, Yevgeny Mugerman and Mehrdad Rastan

Volume 20, issue 5, 2019

Stock market reaction to green bond issuance pp. 331-340

Vishaal Baulkaran

Extracting global factors from local yield curves pp. 341-350

Lauren Stagnol

Hedge and safe haven investing with investment styles pp. 351-364

Ai Jun Hou, Ian Khrashchevskyi and Jarkko Peltomäki

Order dynamics during the flash crash pp. 365-383

James S. Ang, Kenneth J. Hunsader and Shaojun Zhang

Pricing options of security portfolio in cyclical economic environment pp. 384-394

Hong Mao and Zhongkai Wen

Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis pp. 395-402

Zhanar Bimurat, Darkhan U. Abdibekov, Dulat N. Shukayev, Yekaterina R. Kim and Malik Shukayev

Refinement of the hedging ratio using copula-GARCH models pp. 403-411

Waël Louhichi and Hassen Raïs

Volume 20, issue 4, 2019

Trading behavior of stock investors: Black Monday revisited pp. 251-262

Jeong-Ryeol Kurz-Kim

Measuring the relative return contribution of risk factors pp. 263-272

Johan Knif, James W. Kolari, Gregory Koutmos and Seppo Pynnönen

Tree-based machine learning approaches for equity market predictions pp. 273-288

Dominik Wolff and Ulrich Neugebauer

Emerging market equity benchmarks for Japanese investors: countries, sectors or styles? pp. 289-300

Harsh Parikh

China–Africa stock market linkages and the global financial crisis pp. 301-316

Beini Guo and Oyakhilome Ibhagui

Sentiment versus liquidity pricing effects in the cross-section of UK stock returns pp. 317-329

Niall O’Sullivan, Sheng Zhu and Jason Foran

Volume 20, issue 3, 2019

Taking the right course navigating the ERC universe pp. 157-174

Roberto Savona and Cesare Orsini

An examination of ex ante fund performance: identifying indicators of future performance pp. 175-195

Andrew Clare and Mariana Clare

Fine wine returns: a review of the literature pp. 196-214

Eric Le Fur and Jean-François Outreville

Asset allocation with multiple analysts’ views: a robust approach pp. 215-228

I-Chen Lu, Kai-Hong Tee and Baibing Li

State-dependent size and value premium: evidence from a regime-switching asset pricing model pp. 229-249

Bingxin Li and Natalia Piqueira

Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks pp. 250-250

Irina Bezhentseva Mateus, Cesario Mateus and Natasa Todorovic

Volume 20, issue 2, 2019

Performance expectations of basic options strategies may be different than you think pp. 91-102

Steven P. Clark and Mike Dickson

Panic-aware portfolio optimization pp. 103-110

Josef Zorn

Separating momentum from reversal in international stock markets pp. 111-123

Christian Walkshäusl, Florian Weißofner and Ulrich Wessels

Does the number of holdings in a risk parity portfolio matter? pp. 124-133

Tirthank Shah and Abhishek Parikh

Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index pp. 134-145

Ernest N. Biktimirov and Yuanbin Xu

An alternative fundamental weighting scheme based on enterprise value multiple pp. 146-156

Wenguang Lin and Gary C. Sanger

Volume 20, issue 1, 2019

Has the VIX index been manipulated? pp. 1-14

Atanu Saha, Burton G. Malkiel and Alex Rinaudo

Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks pp. 15-30

Irina Bezhentseva Mateus, Cesario Mateus and Natasa Todorovic

Corporate diversification and abnormal returns pp. 31-37

Chris M. Lawrey and Brandon C. L. Morris

Portfolio optimization with covered calls pp. 38-53

Mauricio Diaz and Roy H. Kwon

Conflicts of interest in multi-fund management pp. 54-71

Gerald Abdesaken

Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks pp. 72-90

Noureddine Benlagha and Slim Mseddi