Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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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

Volume 16, issue 3, 2015

Erratum: A simple scheme for allocating capital in a foreign exchange proprietary trading firm pp. 220-220

Antony Jackson

Volume 15, issue 6, 2014

Impact investment funds for frontier markets in Southeast Asia: Creating a platform for institutional capital, high-quality foreign direct investment, and proactive policy pp. 347-352

Manuel Stagars

Modeling manager confidence in forecasted excess returns under active portfolio management pp. 353-365

John Birge and Luis Chavez-Bedoya

Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe pp. 366-377

Wei Rong Ang, Greg N Gregoriou and Hooi Hooi Lean

Legitimate speculation versus excessive speculation pp. 378-391

Damir Tokic

Country ETFs, currencies and international diversification pp. 392-414

S Owen Williams

Volume 15, issue 5, 2014

Domestic contrarians win in the long run: A case study pp. 279-283

Vesa Puttonen and Michael Ståhle

Portfolio selection in the presence of systemic risk pp. 285-299

Almira Biglova, Sergio Ortobelli and Frank J Fabozzi

Disentangling rebalancing return pp. 301-316

Winfried Hallerbach

Green and socially responsible investing in international markets pp. 317-331

Kathrin Lesser, Sebastian Lobe and Christian Walkshäusl

Time-varying flow-performance sensitivity and investor sophistication pp. 333-345

Steve Nenninger and David Rakowski

Volume 15, issue 4, 2014

Delivering Alpha conference pp. 219-221

Greg N Gregoriou

Market states and momentum in sector exchange-traded funds pp. 223-237

Ding Du, Karen Craft Denning and Xiaobing Zhao

Rethinking risk pp. 239-259

Javier Estrada

The real-life performance of market timing with moving average and time-series momentum rules pp. 261-278

Valeriy Zakamulin

Volume 15, issue 3, 2014

Family status and mutual fund performance pp. 163-175

Andrew Clare, Niall O'Sullivan and Meadhbh Sherman

Tangent portfolio weights without explicitly specified expected returns pp. 177-190

Paskalis Glabadanidis

Margin requirements and portfolio optimization: A geometric approach pp. 191-204

Sheng Guo

Modern pension fund diversification pp. 205-217

Martin Anderson, Shan Chen, James Hacking, Marc R Lieberman, Mark Lundin, Vaida Maleckaite, Allan Martin, Ryan Parham and Mark Steed

Volume 15, issue 2, 2014

Ten years of dividend yields in Europe: 2000–2009 pp. 83-91

Teresa Corzo Santamaría, Dolores Lagoa-Varela and Inés Portillo García

The impact of fund characteristics on the use of analyst forecasts pp. 92-109

Alexander Franck and Alexander Kerl

Fama French factors and US stock return predictability pp. 110-128

Ekaterini Panopoulou and Sotiria Plastira

The real benchmark of DAX index products and the influence of information dissemination: A natural experiment pp. 129-149

Christoph Schmidhammer, Sebastian Lobe and Klaus Röder

The state-dependent time variation in the value premium pp. 150-161

Yazid M Sharaiha and Kristoffer Kittilsen Johansson

Volume 15, issue 1, 2014

The importance of sector constraints pp. 1-6

Jeanie Wyatt and James R Kee

The cross-market index for volatility surprise pp. 7-23

Sofiane Aboura and Julien Chevallier

An integrated risk-budgeting approach for multi-strategy equity portfolios pp. 24-47

Raul Leote de Carvalho, Xiao Lu and Pierre Moulin

Value premium and default risk pp. 48-61

Mohammed Elgammal and David G McMillan

No-arbitrage conditions and expected returns when assets have different β’s in up and down markets pp. 62-71

Peter Xu and Rich Pettit

Are they any good at all? A financial and ethical analysis of socially responsible mutual funds pp. 72-82

Sabastian Utz and Maximillian Wimmer