Journal of Asset Management

2000 - 2025

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

From Palgrave Macmillan
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Volume 11, issue 6, 2011

Editorial pp. 361-361

Stephen Satchell

Feasible momentum strategies in the US stock market pp. 362-374

Manuel Ammann, Marcel Moellenbeck and Markus Schmid

Conditional style rotation model on enhanced value and growth portfolios: The European experience pp. 375-390

Ron Bird and Lorenzo Casavecchia

Momentum and industry-dependence: An analysis of the Swiss stock market pp. 391-400

Tim Herberger, Daniel Kohlert and Andreas Oehler

Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence pp. 401-416

Timo H Leivo and Eero Pätäri

Style-neutral funds of funds: Diversification or deadweight? pp. 417-434

Michael Stein and Svetlozar T Rachev

Growth Value Two-Factor Model pp. 435-451

I-Cheng Yeh and Tzu-Kuang Hsu

Volume 11, issue 5, 2010

Asset-based economy and management in emerging capital markets pp. 309-313

Soumitra K Mallick

Foreign currency exchange rates and mutual fund cash flows pp. 314-320

John C Adams and F Reid Hartsfield

Carry and trend strategies in FX markets pp. 321-331

Ueli Mettler, Markus Thöny and Hansjörg Schmidt

Price reversals in global equity markets pp. 332-345

Bernd Scherer, Diogo Judice and Stephan Kessler

Glide path and dynamic asset allocation of target date funds pp. 346-360

Youngjun Yoon

Volume 11, issue 4, 2010

On the risk-return profile of leveraged and inverse ETFs pp. 219-228

Guido Giese

The Black–Litterman model explained pp. 229-243

Wing Cheung

Global capital flows to the emerging-market economies: Qualitative and quantitative differences pp. 244-260

Dilip K Das

The predictive power of value-at-risk models in commodity futures markets pp. 261-285

Roland Füss, Zeno Adams and Dieter G Kaiser

Using the Black and Litterman framework for stress test analysis in asset management pp. 286-297

Rosella Giacometti and Domenico Mignacca

Does premium impact Exchange-Traded Funds’ returns? Evidence from iShares pp. 298-308

Gerasimos Georgiou Rompotis

Volume 11, issue 2, 2010

Asset and liability management/liability-driven investment for pension funds pp. 71-72

Gautam Mitra and Elena Medova

Asset liability management modelling with risk control by stochastic dominance pp. 73-93

Xi Yang, Jacek Gondzio and Andreas Grothey

Backtesting short-term treasury management strategies based on multi-stage stochastic programming pp. 94-112

Robert Ferstl and Alex Weissensteiner

Long-term interest rates and consol bond valuation pp. 113-135

Michael A H Dempster, Elena A Medova and Michael Villaverde

Duration-enhancing overlay strategies for defined benefit pension plans pp. 136-162

John M Mulvey, Woo Chang Kim and Yi Ma

A robust optimization approach to pension fund management pp. 163-177

Garud Iyengar and Alfred Ka Chun Ma

Alternative decision models for liability-driven investment pp. 178-193

Katharina Schwaiger, Cormac Lucas and Gautam Mitra

A liability-relative drawdown approach to pension asset liability management pp. 194-217

Arjan Berkelaar and Roy Kouwenberg

Volume 11, issue 1, 2010

Investing overseas from home: The case of Asian iShares pp. 1-18

Gerasimos G Rompotis

Unbundling common style exposures, time variance and style timing of hedge fund beta pp. 19-30

Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris and Nima Noorizadeh

Factor tilting for expected utility maximization pp. 31-42

Sanne de Boer

Determinants of returns and decisions of fund managers: Survey evidence from four Turkish banks pp. 43-54

Omar Masood and Hosein Piranfar

A mark-to-model approach to the valuation of Residential Mortgage Backed Securities pp. 55-61

Marco Folpmers and Peter de Rijke

Dynamics of emerging India's banking sector assets: A simple model pp. 62-70

Soumitra K Mallick, Amitava Sarkar, Kalyan K Roy, Tamal Duttachaudhuri and Anjan Chakrabarti

Volume 10, issue 6, 2010

Editorial pp. 357-357

Stephen Satchell

Can switching between risk measures lead to better portfolio optimization? pp. 358-369

Brianna Cain and Ralf Zurbruegg

Quantitative or momentum-based multi-style rotation? UK experience pp. 370-381

Andrew Clare, Svetlana Sapuric and Natasa Todorovic

Which trades move stock prices on Euronext Paris? pp. 382-391

Waël Louhichi

Smart money meets smart size pp. 392-405

Qiang Bu and Nelson Lacey

Expected utility and the non-normal returns of common portfolio rebalancing strategies pp. 406-419

Samuel Kyle Jones and Joe Bert Stine

Volume 10, issue 5, 2009

Editorial pp. 279-279

Stephen Satchell

Investment performance and holding periods: An investigation of the major UK asset classes pp. 280-292

Lakshman Alles and Louis Murray

European investment fund flows and financial stability pp. 293-304

Elias Bengtsson

The value premium and economic activity: Long-run evidence from the United States pp. 305-317

Angela Black, Bin Mao and David G McMillan

Implications of futures trading volume: Hedgers versus speculators pp. 318-337

Kenneth Yung and Yen-Chih Liu

The link between macro-economic factors and style returns pp. 338-355

Qi J Zhang, Peter Hopkins, Stephen Satchell and Robert Schwob

Volume 10, issue 4, 2009

A perspective on US regime change and the global financial crisis pp. 205-209

James L Grant

Price volatility and tracking ability of ETFs pp. 210-221

Jack W Aber, Dan Li and Luc Can

Do implied volatilities predict stock returns? pp. 222-234

Manuel Ammann, Michael Verhofen and Stephan Süss

Does tactical asset allocation work? Another look at the fundamental law of active management pp. 235-252

Hubert Dichtl and Wolfgang Drobetz

Tracking errors of exchange traded funds pp. 253-262

William F Johnson

Interfamily competition on index tracking: The case of the vanguard ETFs and index funds pp. 263-278

Gerasimos G Rompotis

Volume 10, issue 3, 2009

Editorial pp. 137-137

Stephen Satchell

Rankings for Australian managed funds: Contrariness and performance index failure pp. 138-157

Mike Dempsey

Predicting returns of equity mutual funds pp. 158-169

Olaf Stotz

Market timing with aggregate accruals pp. 170-180

Qiang Kang, Qiao Liu and Rong Qi

EVA: The bubble years, meltdown and beyond pp. 181-191

James Chong, Drew Fountaine, Monica Her and Michael Phillips

Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches pp. 192-204

Susana Yu and Sang-Hoon Kim

Volume 10, issue 2, 2009

Alternative theory of asset pricing pp. 73-74

Moawia Alghalith

Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints pp. 75-88

Philippe Bertrand

Enhancing the Black–Litterman and related approaches: Views and stress-test on risk factors pp. 89-96

Attilio Meucci

Profiting from a contrarian application of technical trading rules in the US stock market pp. 97-123

Nauzer Balsara, Jason Chen and Lin Zheng

A Mixed Historical Formula to forecast volatility pp. 124-136

Roberto Ferulano

Volume 10, issue 1, 2009

Making money in a downturn economy: Using the overshooting mechanism of stock prices for an investment strategy pp. 1-8

Marco Folpmers

ADR characteristics and performance in international and global indexes pp. 9-21

Arindam Bandopadhyaya, Lal C Chugh and James L Grant

Optimal currency hedging in- and out-of-sample pp. 22-36

Will Kinlaw and Mark Kritzman

Integrating volatility factors in the analysis of the hedge fund alpha puzzle pp. 37-62

François-Éric Racicot and Raymond Théoret

Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors pp. 63-71

Amitava Sarkar, Gagari Chakrabarti and Chitrakalpa Sen