Journal of Asset Management

2000 - 2026

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

From Palgrave Macmillan
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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

Volume 9, issue 6, 2009

Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory pp. 359-365

Philippe J S De Brouwer

Low-cost momentum strategies pp. 366-379

Xiafei Li, Chris Brooks and Joëlle Miffre

Implementing risk appetite in the management of currency portfolios pp. 380-397

Jinhui Luo, Philip Saks and Steve Satchell

Do mutual funds with few holdings outperform the market? pp. 398-408

Abhay Kaushik and Scott W Barnhart

Volume 9, issue 5, 2008

Editorial pp. 309-309

Stephen E Satchell

Alpha insurance: A computational framework to measure hedging demands for active investors pp. 310-320

Ashraf El-Ansary

Portfolio performance ambiguity and benchmark inefficiency revisited pp. 321-332

Lawrence Kryzanowski and Abdul Rahman

The United States Oil Fund as a hedging instrument pp. 333-346

Marina Murdock and Nivine Richie

Value versus growth stocks and earnings growth in style investing strategies in Euro-markets pp. 347-358

Salim Chahine

Volume 9, issue 4, 2008

Do the common risk factors always capture strong variation in stock returns? pp. 255-263

Pradosh Simlai

Fundamental indexation: An active value strategy in disguise pp. 264-269

David Blitz and Laurens Swinkels

A cross-sectional analysis of Malaysian unit trust fund expense ratios pp. 270-277

Soo-Wah Low

How many independent bets are there? pp. 278-288

Daniel Polakow and Tim Gebbie

Abnormal returns with momentum/contrarian strategies using exchange-traded funds pp. 289-299

Jack C De Jong and S Ghon Rhee

Who profits from trading around earnings announcements? Evidence from TORQ data pp. 300-308

Malay K Dey and B Radhakrishna (Radha)

Volume 9, issue 3, 2008

Are long-term trends changing? pp. 171-177

Damir Tokic

Optimal portfolio allocation under asset and surplus VaR constraints pp. 178-192

Alain Monfort

Firm-specific characteristics and the cross-section of Australian stock exchange returns pp. 193-214

Paul van Rensburg and Emile Janari

Optimal asset allocation for sovereign wealth funds pp. 215-238

Andreas Gintschel and Bernd Scherer

Inverse portfolio optimisation under constraints pp. 239-253

Rudi Zagst and Michaela Pöschik

Erratum: Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets pp. 254-254

Wolfgang Bessler, Wolfgang Drobetz and Jorg Seidel

Volume 9, issue 2, 2008

Special edition of Journal of Asset Management ACIIA® chairman's message pp. 73-76

Kiyoto Hagiwara

An overview of the papers included in this special edition of the Journal of Asset Management pp. 77-79

Michael Theobald

Asia as a financial centre — Opportunities and obstacles pp. 80-89

Shinichi Yoshikuni

Ownership, governance mechanisms, and agency costs in China’s listed firms pp. 90-101

Michael Firth, Peter M Y Fung and Oliver M Rui

Ship funds as a new asset class: An empirical analysis of the relationship between spot and forward prices in freight markets pp. 102-120

Wolfgang Bessler, Wolfgang Drobetz and Jörg Seidel

Portfolio selection in an expected shortfall framework during the recent ‘credit crunch’ period pp. 121-137

Lan-chih Ho, John Cadle and Michael Theobald

Portfolio optimisation: A fuzzy multi-objective approach pp. 138-148

Francesc J Ortí and José B Sáez

Structural positions and risk budgeting: Quantifying the impact of structural positions and deriving implications for active portfolio management pp. 149-157

Ulf Herold and Raimond Maurer

Private equity in developing nations pp. 158-170

Arindam Banerjee

Volume 9, issue 1, 2008

Editorial pp. 1-1

Stephen E Satchell

Best-practice pension fund governance pp. 2-21

Gordon L Clark and Roger Urwin

Investing in movies pp. 22-40

Mark J Ferrari and Andrew Rudd

Investing in emerging market local currency debt pp. 41-48

Benoît Mercereau and Alexandra Lubomira Sowa

Global term structure modelling using principal component analysis pp. 49-60

Arcady Novosyolov and Daniel Satchkov

How well can multi-manager funds diversify? pp. 61-66

Jürg Tobler-Oswald

Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe pp. 67-72

Walter Hlawitschka and Michael Tucker