Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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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

Volume 19, issue 7, 2018

Editorial pp. 445-446

Marielle de Jong and Dan diBartolomeo

Strategic asset allocation for insurers under Solvency II pp. 447-459

Roy Kouwenberg

Is high active share always good? pp. 460-471

Giuliano De Rossi and Gurvinder Brar

Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect pp. 472-494

Gregor Dorfleitner and Carina Lung

Does the F-score improve the performance of different value investment strategies in Europe? pp. 495-506

Jarno Tikkanen and Janne Äijö

Holiday effect on stock price reactions to analyst recommendation revisions pp. 507-521

Andrey Kudryavtsev

Optimal fee structures in hedge funds pp. 522-542

Marcos Escobar-Anel, Vincent Höhn, Luis Seco and Rudi Zagst

Volume 19, issue 6, 2018

Robo Advisors: quantitative methods inside the robots pp. 363-370

Mikhail Beketov, Kevin Lehmann and Manuel Wittke

Are green bonds priced differently from conventional bonds? pp. 371-383

Britta Hachenberg and Dirk Schiereck

The impact of size and book-to-market among paired stocks pp. 384-393

Hannes Mohrschladt

Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management pp. 394-412

Aktham Maghyereh, Basel Awartani and Abul Hassan

Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets pp. 413-428

Andreas Humpe and David G. McMillan

Success and failure on the corporate bond fund market pp. 429-443

Martin Rohleder, Hendrik Scholz and Marco Wilkens

Volume 19, issue 5, 2018

Word from the Editors and conference organisers pp. 275-277

Jean-Michel Beacco, Marielle Jong, Dan diBartolomeo and André Lévy-Lang

Longevity: a new asset class pp. 278-300

David Blake

Managing the financial consequences of weather variability pp. 301-315

Jean-Louis Bertrand and Xavier Brusset

Corporate ownership structure, market anomalies and asset pricing pp. 316-340

Marc Desban and Souad Lajili Jarjir

A critique of momentum strategies pp. 341-350

Yang Gao, Henry Leung and Stephen Satchell

Keep up the momentum pp. 351-361

Thierry Roncalli

Volume 19, issue 4, 2018

Wrong-way-risk in tails pp. 205-215

Janis Müller and Peter Posch

Portfolio optimisation in an uncertain world pp. 216-221

Marielle Jong

Corporate social responsibility and the performance of Australian REITs: a rolling regression approach pp. 222-234

Steffen Westermann, Scott Niblock and Michael Kortt

The diminished effect of index rebalances pp. 235-244

Konstantina Kappou

Volatility forecasting in practice: exploratory evidence from European hedge funds pp. 245-258

Max Schreder

The impact of working capital management on firms’ performance and value: evidence from Egypt pp. 259-273

Amr Ahmed Moussa

Volume 19, issue 3, 2018

Factor risk premiums and invested capital: calculations with stochastic discount factors pp. 145-155

Andrew Ang, Ked Hogan and Sara Shores

Beta dispersion and portfolio returns pp. 156-161

Kyre Dane Lahtinen, Chris M. Lawrey and Kenneth J. Hunsader

Synthetic growth stocks pp. 162-168

Wai Mun Fong

Credit spreads and merger pricing pp. 169-178

Ding Du and Mason Gerety

Psychic dividends of socially responsible investment portfolios pp. 179-190

Andrew Ainsworth, Adam Corbett and Steve Satchell

Why do firms make an additional cross-listing? An empirical investigation using multiple failure time model pp. 191-203

Imen Ghadhab, Slaheddine Hellara and Abdelkader Derbali

Volume 19, issue 2, 2018

Exploiting uncertainty with market timing in corporate bond markets pp. 79-92

Demir Bektić and Tobias Regele

“Safe” stocks pp. 93-98

Wai Mun Fong

An innovative risk management methodology for trading equity indices based on change points pp. 99-109

Josua Gösmann and Daniel Ziggel

Dead alphas as risk factors pp. 110-115

Zura Kakushadze and Willie Yu

US sector rotation with five-factor Fama–French alphas pp. 116-132

Golam Sarwar, Cesario Mateus and Natasa Todorovic

Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach pp. 133-143

Mehdi Mili

Volume 19, issue 1, 2018

A word from the Editors pp. 1-2

Marielle Jong, Dan diBartolomeo and Steve Satchell

The cash premium in international stock returns pp. 3-12

Christian Walkshäusl

Decentralized strategic asset allocation with global constraints pp. 13-26

Minho Lee, Roy H. Kwon, Chi-Guhn Lee and Hassan Anis

The impact of plan and sponsor characteristics on pension funds’ asset allocation and currency diversification pp. 27-37

Laurens Defau and Lieven De Moor

Decoding stock market with quant alphas pp. 38-48

Zura Kakushadze and Willie Yu

Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets pp. 49-63

Wolfgang Härdle, David Kuo Chuen Lee, Sergey Nasekin and Alla Petukhina

Timid performance fees in mutual funds pp. 64-77

Teresa Corzo Santamaría, Carlos Martinez de Ibarreta and Juan Rodriguez Calvo