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 13, issue 6, 2012

Greed can be dangerous to your Sharpe pp. 369-372

Bernd Scherer

Factor attribution that adds up pp. 373-383

Sanne de Boer

Theory of social returns in portfolio choice with application to microfinance pp. 384-400

Gregor Dorfleitner, Michaela Leidl and Johannes Reeder

Does the law of one price apply to dually listed ETFs belonging to the same family? Evidence from iShares pp. 401-420

Gerasimos G Rompotis

Faith matters? A closer look at the performance of belief-based equity investments pp. 421-436

Lai Wan-Ni

The benefits of tree-based models for stock selection pp. 437-448

Min Zhu, David Philpotts and Maxwell J Stevenson

Volume 13, issue 5, 2012

New methods of estimating volatility and returns: Revisited pp. 307-309

Moawia Alghalith

The term structure of loss preferences and rationality in analyst earnings forecasts pp. 310-326

George Christodoulakis, Konstantinos Stathopoulos and Nikolaos Tessaromatis

The impact of flow of funds and management style on abnormal performance pp. 327-338

Abhay Kaushik

Innovative value indicators: Firm specific versus macroeconomic pp. 339-347

Seung Woog (Austin) Kwag and Sang Whi Lee

Man versus math: Behaviorist exploration of post-crisis non-banking asset management pp. 348-367

Kenneth David Strang

Volume 13, issue 4, 2012

The Sharpe ratio's market climate bias: Theoretical and empirical evidence from US equity mutual funds pp. 227-242

Sebastian Krimm, Hendrik Scholz and Marco Wilkens

How much value should you expect to gain or lose by replacing your investment manager? pp. 243-252

Robin Penfold

The search for an exploitable value premium in market indexes pp. 253-270

Kenneth E Scislaw and David G McMillan

An anatomy of calendar effects pp. 271-286

Laurens Swinkels and Pim van Vliet

Earnings response elasticity and post-earnings-announcement drift pp. 287-305

Zhipeng Yan, Yan Zhao, Wei Xu and Lee-Young Cheng

Volume 13, issue 3, 2012

Risk parity in US futures markets pp. 155-161

Bernd Scherer

The relevance of emerging markets in portfolio diversification: Analysis in a downside risk framework pp. 162-169

S S S Kumar

Style analysis for diversified US equity funds pp. 170-185

Andrew Mason, Frank McGroarty and Steve Thomas

Minimum-variance versus tangent portfolios – A note pp. 186-195

Manuel Tarrazo and Ricardo Úbeda

An analytical performance comparison of exchange-traded funds with index funds: 2002–2010 pp. 196-209

Mohammad Sharifzadeh and Simin Hojat

RAFI® replication: Easier done than said? pp. 210-225

Paskalis Glabadanidis, Ivan Obaydin and Ralf Zurbruegg

Volume 13, issue 2, 2012

Investing in commodities: Popular beliefs and misconceptions pp. 77-83

George Skiadopoulos

Investment choice and performance potential in the mutual fund industry pp. 84-101

Zeno Adams, Roland Füss and Volker Wohlschieß

Target-oriented investment advice pp. 102-114

Philippe J S De Brouwer

Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach pp. 115-127

Sagarika Mishra and Harminder Singh

Explicit coupling of informative prior and likelihood functions in a Bayesian multivariate framework and application to a new non-orthogonal formulation of the Black–Litterman model pp. 128-140

François Ogliaro, Robert K Rice, Stewart Becker and Raul Leote de Carvalho

The passive investor puzzle pp. 141-154

Damir Tokic

Volume 13, issue 1, 2012

New methods of estimating volatility and returns pp. 1-4

Moawia Alghalith

Active risk sensitivity to views using the Black–Litterman model pp. 5-21

Maria Debora Braga and Francesco Paolo Natale

Industry effects and volatility transmission in portfolio diversification pp. 22-33

Vivek Bhargava, Akash Dania and Davinder Kumar Malhotra

Approximating the numéraire portfolio by naive diversification pp. 34-50

Eckhard Platen and Renata Rendek

Portfolio optimization under transfer coefficient constraint pp. 51-57

Rei Yamamoto, Takuya Ishibashi and Hiroshi Konno

Review of the performance and robustness of several investment strategies applied to an international equity portfolio pp. 58-75

Tristan Nguyen and Gerhard Wörtche

Volume 12, issue 6, 2011

Style rotation and dynamic asset allocation pp. 377-377

Stephen Satchell

Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios pp. 378-394

Mazin A M Al Janabi

Information spillovers between size and value premium in average stock returns pp. 395-406

Tobias E Anheluk and Pradosh Simlai

Style investing and momentum investing: A case study pp. 407-417

Sandrine de Moerloose and Pierre Giot

A new asset allocation technique to reduce financial portfolio risk pp. 418-425

Gino Gandolfi, Antonella Sabatini and Monica Rossolini

Momentum change, industry group rotation and portfolio returns pp. 426-437

Muhammad M Islam and Lawrence Gomes

Impact of investment horizon on the performance of value versus growth styles and style allocation pp. 438-446

Jia Wang

Volume 12, issue 5, 2011

Regime-switching in financial markets pp. 309-309

Stephen Satchell

Markov-switching asset allocation: Do profitable strategies exist? pp. 310-321

Jan Bulla, Sascha Mergner, Ingo Bulla, André Sesboüé and Christophe Chesneau

Regime shifts in mean-variance efficient frontiers: Some international evidence pp. 322-349

Massimo Guidolin and Federica Ria

The interaction of switching and lead-lag effects in equity markets pp. 350-359

Tariq Haque

Dynamic strategic asset allocation: Risk and return across the business cycle pp. 360-375

Pim van Vliet and David Blitz

Volume 12, issue 4, 2011

Buy side risk management – Managing fees at risk pp. 225-234

Bernd Scherer

Forecasting medium-term returns and testing their value in constructing a simple portfolio pp. 235-247

Alastair Baker

Estimation risk in covariance pp. 248-259

David D Cho

Investigating the effectiveness of robust portfolio optimization techniques pp. 260-280

Gianfranco Guastaroba, Gautam Mitra and M Grazia Speranza

Skill or luck? The role of strategies and scenario analysis as a competitive differentiator for fund management firms pp. 281-291

Jem Tugwell

Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility pp. 292-307

Ioannis D Vrontos, Loukia Meligkotsidou and Spyridon D Vrontos

Volume 12, issue 3, 2011

Does market timing or issue type affect the long-run performance of UK American Depository Receipts listed on the New York Stock Exchange? pp. 157-162

Mark Schaub

Does size affect mutual fund performance? A general approach pp. 163-171

Laurent Bodson, Laurent Cavenaile and Danielle Sougné

Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region pp. 172-184

Gagari Chakrabarti

Profitable mean reversion after large price drops: A story of day and night in the S&P 500, 400 MidCap and 600 SmallCap Indices pp. 185-202

Christian L Dunis, Jason Laws and Jozef Rudy

Corporate name change and shareholder wealth effect: Empirical evidence in the French Stock Market pp. 203-213

Bicha Karim

Simple and optimal alpha strategy selection and risk budgeting or Goodbye to 91.5 per cent and all that pp. 214-223

Robert Scott

Volume 12, issue 2, 2011

An adequate measure for exchange rate returns pp. 85-93

Marielle de Jong

Constructing 130/30-portfolios with the Omega ratio pp. 94-108

Manfred Gilli, Enrico Schumann, Giacomo di Tollo and Gerda Cabej

Pricing liquidity risk and cost in the stock market: How different was the financial crisis? pp. 109-122

Xue Han and Zheng Jian

Generalized marginal risk pp. 123-131

Simon Keel and David Ardia

Returns in trading versus non-trading hours: The difference is day and night pp. 132-145

Michael Kelly and Steven P Clark

Does the BEYR help predict UK sector returns? pp. 146-156

David G McMillan

Volume 12, issue 1, 2011

The long and active existentialist pp. 1-10

Daniel Polakow

Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities pp. 11-29

Andrew Clare, Owain ap Gwilym, James Seaton and Stephen Thomas

GICS or ICB, how different is similar? pp. 30-44

Maximilian A M Vermorken

Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem pp. 45-66

Long Kang

Robust portfolio allocation under discrete asset choice constraints pp. 67-83

Nalan Gülpınar, Kabir Katata and Dessislava A Pachamanova