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 18, issue 7, 2017

A note on the early effects of the US Presidential vote on Mexican ADR values pp. 511-515

Mark Schaub

Information content of right option tails: Evidence from S&P 500 index options pp. 516-526

Greg Orosi

Shariah-compliant Capital Asset Pricing Model: new mathematical modeling pp. 527-537

Abdelkader Derbali, Abderrazek El Khaldi and Fathi Jouini

Efficient integration of risk premia exposures into equity portfolios pp. 538-546

B. Vaucher and A. Medvedev

Assessing hedge fund performance with institutional constraints: evidence from CTA funds pp. 547-565

Marat Molyboga, Seungho Baek and John Bilson

Do target date mutual funds meet their targets? pp. 566-579

William F. Johnson and Ha-Chin Yi

The Black–Litterman model: active risk targeting and the parameter tau pp. 580-587

Randy O’Toole

Volume 18, issue 6, 2017

The mispricing of equity risk: behavioral and corporate leverage factors pp. 421-432

Dorsaf Ben Aissia

Bond mutual funds and complex investments pp. 433-456

Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens

Extreme risk and small investor behavior in developed markets pp. 457-475

Lorne Switzer, Jun Wang and Seungho Lee

Linear and nonlinear predictability in investment style factors: multivariate evidence pp. 476-509

Francesco Chincoli and Massimo Guidolin

Volume 18, issue 5, 2017

What’s the big deal about Risk Parity? pp. 341-346

Anna Agapova, Robert Ferguson, Dean Leistikow and Danny Meidan

Leading or lagging indicators of risk? The informational content of extra-financial performance scores pp. 347-370

Amos Sodjahin, Claudia Champagne, Frank Coggins and Roland Gillet

Time-Dependent Black–Litterman pp. 371-387

Martin Schans and Hens Steehouwer

Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility pp. 388-404

Xiaoli Wang

Fundamental indexation for developed, emerging, and frontier government bond markets pp. 405-420

Vanja Piljak and Laurens Swinkels

Volume 18, issue 4, 2017

Negative interest rates: Causes and consequences pp. 243-254

Damir Tokic

Does fundamental value run asset price formation process? Evidence from option price information content pp. 255-268

Abderrahmen Aloulou and Siwar Ellouze

A risk control tool for foreign financial activities – A new derivatives pricing model pp. 269-294

I-Ming Jiang, Chia Chun Lo, Andreas Karathanasopoulos and Konstantinos Skindilias

Hedge funds risk and connectedness pp. 295-316

Christian Manicaro and Joseph Falzon

A strong case to calculate the Treynor ratio using log-returns pp. 317-325

Ziemowit Bednarek, Oleksandr Firsov and Pratish Patel

Further evidence in support of a low-volatility anomaly: Optimizing buy-and-hold portfolios by minimizing historical aggregate volatility pp. 326-339

Phil Maguire, Stephen Kelly, Robert Miller, Philippe Moser, Philip Hyland and Rebecca Maguire

Volume 18, issue 3, 2017

Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia pp. 157-162

Shaista Wasiuzzaman

Managing ambiguity in asset allocation pp. 163-187

Hakan Kaya

Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence pp. 188-208

Rama Malladi and Frank Fabozzi

Time-varying correlations and interrelations: Firm-level-based sector evidence pp. 209-221

P. Evans, David G. McMillan and Fiona J. McMillan

A truly market-value weighted commodity index pp. 222-242

Michael Ludwig, Herbert G. Mayer, Andreas W. Rathgeber, Christina Spriegel and Florian Vogg

Volume 18, issue 2, 2017

A new approach for optimizing responsible investments dependently on the initial wealth pp. 81-98

Gregor Dorfleitner and Mai Nguyen

Fundamental driver of fund style drift pp. 99-123

Giuseppe Galloppo and Giovanni Trovato

The value of stop-loss, stop-gain strategies in dynamic asset allocation pp. 124-143

Austin Shelton

The role of correlation in risk profile portfolios pp. 144-153

Jürgen Vandenbroucke

RETRACTED ARTICLE: Traditional beta, average drawdown beta and market risk premium pp. 154-154

Mohammad Reza Tavakoli Baghdadabad

Retraction Note to: Traditional beta, average drawdown beta and market risk premium pp. 155-155

Mohammad Reza Takavoli Baghdadabad

Volume 18, issue 1, 2017

Portfolio implications of job-specific human capital risk pp. 1-15

David Blanchett and Philip Straehl

Asset valuation impact of investor sentiment: A revised Fama–French five-factor model pp. 16-28

Abderrazak Dhaoui and Nesrine Bensalah

Dependence between oil price volatility, Islamic and conventional Dow Jones indexes: Implication for portfolio management and hedging effectiveness pp. 29-48

Mohamed Fakhfekh, Ahmed Ghorbel, Nadhem Selmi and Nejib Hachicha

The profiles of merged hedge funds, funds of hedge funds, and CTA pp. 49-63

Greg N. Gregoriou and Maher Kooli

How to combine a billion alphas pp. 64-80

Zura Kakushadze and Willie Yu

Volume 17, issue 7, 2016

Individual investors and stock returns pp. 477-485

Sofiane Aboura

Maximizing excess return per unit variance: A novel investment management objective pp. 486-501

Paskalis Glabadanidis

Aligning factor attribution with latent exposures pp. 502-525

Sanne De Boer and Vishv Jeet

The q-factor model and the redundancy of the value factor: An application to hedge funds pp. 526-539

François-Éric Racicot and Raymond Théoret

Time aggregation of the Sharpe ratio pp. 540-555

Ziemowit Bednarek, Pratish Patel and Cyrus A. Ramezani

Volume 17, issue 6, 2016

Do European hedge fund managers time market liquidity? pp. 393-407

Soumaya Ben Khelifa and Dorra Mezzez Hmaied

Socially responsible investing in hedge funds pp. 408-421

Greg Filbeck, Timothy A. Krause and Lauren Reis

Option spread trades: Returns on directional and volatility trades pp. 422-433

Ryan McKeon

A simulation-based methodology for evaluating hedge fund investments pp. 434-452

Marat Molyboga and Christophe L’ Ahelec

Pricing and hedging competitiveness of the tree option pricing models: Evidence from India pp. 453-475

Vipul Kumar Singh

Volume 17, issue 5, 2016

Investigating the Arab stock markets during Arab spring pp. 313-318

Naser I Abumustafa

Pure return persistence, Hurst exponents and hedge fund selection – A practical note pp. 319-330

Benjamin R Auer

Efficient skewness/semivariance portfolios pp. 331-346

Rui Brito, Helder Sebastião and Pedro Godinho

The reaction of sovereign CDS spread volatilities to news announcements pp. 347-360

Houssam Bouzgarrou and Tarek Chebbi

Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation pp. 361-374

Peter Nystrup, Bo William Hansen, Henrik Madsen and Erik Lindström

Parliamentary elections create more ‘options’: Evidences from world’s largest democracy ‘India’ pp. 375-392

Vipul Kumar Singh

Volume 17, issue 4, 2016

Appraising investment risk pp. 215-217

Pascal Blanqué, Marielle de Jong and Philippe Ithurbide

On entropy and portfolio diversification pp. 218-228

Gianni Pola

An anatomy of global risk premiums pp. 229-243

Ling-Ni Boon and Florian Ielpo

Consumer signals pp. 244-263

Douglas T Breeden

Low-risk equity investment – From theory to practice pp. 264-279

Alessandro Russo

A fundamental bond index including solvency criteria pp. 280-294

Marielle de Jong and Lauren Stagnol

Towards greater diversification in central bank reserves pp. 295-312

Marie Brière, Valérie Mignon, Kim Oosterlinck and Ariane Szafarz

Volume 17, issue 3, 2016

The dynamics of volatility and correlation during periods of crisis: Implications for active asset management pp. 135-140

Marcello Esposito

Equity style allocation: A nonparametric approach pp. 141-164

Mohan Subbiah and Frank Fabozzi

Return and volatility of emerging markets leveraged ETFs pp. 165-194

Gerasimos Rompotis

Jensen alpha and market climate pp. 195-214

Bernhard Breloer, Hannah Lea Hühn and Hendrik Scholz

Volume 17, issue 2, 2016

Shrinkage=factor model pp. 69-72

Zura Kakushadze

Investor sentiment and oil prices pp. 73-88

Ding Du, Ronald J Gunderson and Xiaobing Zhao

Benchmark buyer beware: How well do you know your index? pp. 89-99

Paul A Hamilos and Jason M Ribando

Marking to two-price markets pp. 100-118

Dilip B Madan

Influence of market states on industry returns pp. 119-134

Warren Thomson

Volume 17, issue 1, 2016

GHAUS asset allocation pp. 1-9

Javier Estrada

Stock market returns and the price of gold pp. 10-21

Deren Caliskan and Mohammad Najand

Optimal portfolio leverage pp. 22-33

Paul van Rensburg

Investment flows: Retail versus institutional mutual funds pp. 34-44

Galla Salganik-Shoshan

Investment strategies and macroeconomic news announcement days pp. 45-56

Olaf Stotz

Net payout yields and the cross-section of international stock returns pp. 57-67

Christian Walkshäusl