Journal of Asset Management

2000 - 2024

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

From Palgrave Macmillan
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Volume 25, issue 7, 2024

Youth, the quiescent stakeholder of sustainable enterprise pp. 627-629

Marielle Jong and Ilyup Ian Sug

Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation pp. 630-652

Benjamin Cisagara

ESG index performance: European evidence pp. 653-665

Hager Kossentini, Olfa Belhassine and Amel Zenaidi

Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital pp. 666-699

Monia Magnani, Massimo Guidolin and Ian Berk

The performance of anti-ESG ETFs in the United States pp. 700-713

Gerasimos G. Rompotis

Wealth and familiarity bias: sin stocks investment in Europe pp. 714-725

Mohammed Hamdan, Pedro Fernandez Calavia and Nasir Aminu

The impact of climate risk on bank profitability through liquidity creation channel: empirical evidence from G7 countries pp. 726-739

Seungho Lee and Md Zahangir Alam

Volume 25, issue 6, 2024

Introduction to the special issue on derivative applications in asset management pp. 529-530

Marielle Jong

Derivative applications to asset allocation and multi-asset management pp. 531-551

William Cazalet, Dimitri Curtil, Frank J. Fabozzi, Scott Hixon, Alexander Rudin, Rahul Sathyajit, James Stavena and Shubham Upadhyay

Applications of derivatives for portfolio risk management pp. 552-578

Vineer Bhansali, Frank J. Fabozzi, Robert Harlow, Adam Kobor, Joseph Niehaus, Christopher Small and Andrew Weisman

Applications of stock index options for income enhancement pp. 579-588

John Burrello, Frank J. Fabozzi, Han Liang, Anil Sood and Kari Vatanen

Applications of equity derivatives to portfolio management pp. 589-599

Eddie C. Cheng, Frank J. Fabozzi, Robert Harlow, Wai Lee and Shaojun Zhang

Applications of FX derivatives to portfolio management pp. 600-616

Redouane Elkamhi, Frank J. Fabozzi, Jacky S. H. Lee, Marco Salerno, Kari Vatanen and Suprita Vohra

Applications of CDS to bond portfolio management pp. 617-625

Johan Duyvesteyn, Marielle Jong, Frank J. Fabozzi, Patrick Houweling and Lodewijk Linden

Volume 25, issue 5, 2024

Properties of risk aversion estimated from portfolio weights pp. 427-444

Andrew Grant, Oh Kang Kwon and Steve Satchell

A guide to 130/30 loss harvesting pp. 445-459

Lisa R. Goldberg, Taotao Cai and Ben Schneider

Market volatility, momentum, and reversal: a switching strategy pp. 460-478

Hilal Anwar Butt, James W. Kolari and Mohsin Sadaqat

In the shadow of country risk: asset pricing model of emerging market corporate bonds pp. 479-492

Desislava Vladimirova

Downside risk reduction using regime-switching signals: a statistical jump model approach pp. 493-507

Yizhan Shu, Chenyu Yu and John M. Mulvey

The market timing ability of bond mutual funds pp. 508-527

Zhengnan Yin, Niall O’Sullivan and Meadhbh Sherman

Volume 25, issue 4, 2024

Optimal trend-following rules in two-state regime-switching models pp. 327-348

Valeriy Zakamulin and Javier Giner

Endowment asset allocations: insights and strategies pp. 349-368

Tom Arnold, John H. Earl, Joseph Farizo and David North

Performance dispersion among target date funds pp. 369-382

Ivelina Pavlova and Ann Marie Hibbert

A century of asset allocation crash risk pp. 383-406

Mikhail Samonov and Nonna Sorokina

Modelling capacity for systematic equity strategies pp. 407-416

Carmine Franco and Luc Dumontier

Crypto-asset regulatory landscape: a comparative analysis of the crypto-asset regulation in the UK and Germany pp. 417-426

Christoph Wronka

Volume 25, issue 3, 2024

ESG risk and returns implied by demand-based asset pricing models pp. 203-221

Chi Zhang, Xinyang Li, Andrea Tamoni, Misha Beek and Andrew Ang

Deconstructing ESG scores: investing at the category score level pp. 222-244

Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau

Do ESG fund managers pump and dump the stocks in their portfolios? European evidence pp. 245-260

Spyros Papathanasiou, Dimitris Kenourgios and Drosos Koutsokostas

Core-satellite investing with commodity futures momentum pp. 261-287

Immo Stadtmüller, Benjamin R. Auer and Frank Schuhmacher

Sharpe-optimal volatility futures carry pp. 288-302

Björn Uhl

Cost mitigation of factor investing in emerging equity markets pp. 303-325

Kay Stankov, Dirk Schiereck and Volker Flögel

Volume 25, issue 2, 2024

Optimal design of investment committees pp. 129-135

Bernd Scherer

Network Risk Parity: graph theory-based portfolio construction pp. 136-146

Vito Ciciretti and Alberto Pallotta

Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds pp. 147-161

Jonas Zink

Do weather patterns effect investment decisions in the stock market? A South Asian perspective pp. 162-171

Emon Kalyan Chowdhury

Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options pp. 172-189

Vipul Kumar Singh and Pawan Kumar

Income illusions: challenging the high yield stock narrative pp. 190-202

Yin Chen and Roni Israelov

Volume 25, issue 1, 2024

Quantifying the non-Gaussian gain pp. 1-18

David Allen, Stephen Satchell and Colin Lizieri

CO2 investment risk analysis pp. 19-30

Thomas M. Treptow

The cash-secured put-write strategy and the variance risk premium pp. 31-50

Pratish Patel, Andrew Raquel and Savannah Chadwick

Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises pp. 51-69

Edib Smolo, Ruslan Nagayev, Rashed Jahangir and Christo S. C. Tarazi

The performance of compliant stocks during the Covid-19 crisis pp. 70-95

Amel Farhat and Amal Hili

Decomposition of risk for small size and low book-to-market stocks pp. 96-112

Arati Kale, Devendra Kale and Sriram Villupuram

Corporate bonds: fixed versus stochastic coupons—an empirical study pp. 113-128

Belal Ehsan Baaquie and Muhammad Mahmudul Karim

Volume 24, issue 7, 2023

Green commodities: the making of a new asset class pp. 531-533

Caroline Bavasso and Marielle Jong

Ownership of ESG characteristics pp. 534-540

Mark E. Bateman and Lisa R. Goldberg

Greenlabelling: How valuable is the SFDR Art 9 label? pp. 541-546

Bernd Scherer and Milot Hasaj

Greenium, credit rating, and the COVID-19 pandemic pp. 547-557

Emre Arat, Britta Hachenberg, Florian Kiesel and Dirk Schiereck

Portfolio benefits of taxonomy orientated and renewable European electric utilities pp. 558-571

Thomas Cauthorn, Christian Klein, Leonard Remme and Bernhard Zwergel

ESG criteria and the credit risk of corporate bond portfolios pp. 572-580

Andre Höck, Tobias Bauckloh, Maurice Dumrose and Christian Klein

Portfolio diversification and sustainable assets from new perspectives pp. 581-600

Takashi Kanamura

The futility of measuring relative performance of ESG portfolios if ESG investing improves the market performance pp. 601-607

David Buckle

Volume 24, issue 6, 2023

Risk budgeting using a generalized diversity index pp. 443-458

Gilles Boevi Koumou

Alternative risk premium: specification noise pp. 459-473

Stephen A. Gorman and Frank J. Fabozzi

Effects of size on the exchange-traded funds performance pp. 474-484

Kiran Paudel and Atsuyuki Naka

Large portfolio optimisation approaches pp. 485-497

Esra Ulasan and A. Özlem Önder

Exploring the nexus between price and volume changes in the cryptocurrency market pp. 498-512

Adeyinka Adediran, Bola Babajide and Nataliia Osina

The cross-section of January effect pp. 513-530

Arbab Khalid Cheema, Wenjie Ding and Qingwei Wang

Volume 24, issue 5, 2023

Pension fund investments in infrastructure pp. 329-345

Alexander Carlo, Piet Eichholtz, Nils Kok and Ruud Wijnands

Determinants of bid-ask spread in emerging sovereign bond markets pp. 346-352

Emre Su and Kaya Tokmakçıoğlu

The informational content of sovereign credit rating: another look pp. 353-373

Fathi Nakai and Tarek Chebbi

Common risk factors and risk–return trade-off for REITs and treasuries pp. 374-395

Faten Ben Bouheni and Manish Tewari

Are return predictors of industrial equity indexes common across regions? pp. 396-418

Pelin Bengitöz and Mehmet Umutlu

Stock market anomalies and machine learning across the globe pp. 419-441

Vitor Azevedo, Georg Sebastian Kaiser and Sebastian Mueller

Volume 24, issue 4, 2023

Investment in non-fungible tokens (NFTs): the return of Ethereum secondary market NFT sales pp. 241-254

Niklas Konstantin Klein, Fritz Lattermann and Dirk Schiereck

Investigating risk assessment in post-pandemic household cryptocurrency investments: an explainable machine learning approach pp. 255-267

Lin Li

Fund family versus mutual fund performance: evidence from the Indian investors’ perspective pp. 268-283

Yogesh Chauhan, Ajay Kumar Mishra and Bhavik Parikh

UK mutual funds: performance persistence and portfolio size pp. 284-298

Keith Cuthbertson, Dirk Nitzsche and Niall O’Sullivan

Multifactor funds: an early (bearish) assessment pp. 299-311

Javier Estrada

Does governance matter for bank stability? “MENA region case” pp. 312-328

Djebali Nesrine

Volume 24, issue 3, 2023

The risk-return tradeoff: are sustainable investors compensated adequately? pp. 165-172

Christina Bannier, Yannik Bofinger and Björn Rock

Price contingent and price-volume contingent portfolio strategies pp. 173-183

Alain Guéniche, Philippe Dupuy and Wan Ni Lai

When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach pp. 184-197

Damir Tokic and Dave Jackson

Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 pp. 198-211

Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas and Georgios Pergeris

How does retirement affect optimal life cycle portfolio allocation between stocks and bonds? pp. 212-224

Valentinas Rudys

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency? pp. 225-240

Ailie Charteris and Conrad Alexander Steyn

Volume 24, issue 2, 2023

Trust me, I am a Robo-advisor pp. 85-96

Bernd Scherer and Sebastian Lehner

Notes on the convergence of the estimated risk factor matrix in linear regression models pp. 97-107

Julien Riposo and E G Klepfish

Analyst target price and dividend forecasts and expected stock returns pp. 108-120

Jinji Hao and Jonathon Skinner

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index pp. 121-135

Ewa Feder-Sempach and Tomasz Miziołek

Dynamic asset allocation strategy: an economic regime approach pp. 136-147

Min Jeong Kim and Dohyoung Kwon

Can experience mitigate precautionary bidding? Evidence from a quasi-experiment at an IPO auction pp. 148-163

Wenjun Wang

Volume 24, issue 1, 2023

The statistics of time varying cross-sectional information coefficients pp. 1-15

Zhuanxin Ding and Yixiao Sun

The relationship of financial performance and stock returns in countries under economic sanctions pp. 16-26

Ali Akbar Gholizadeh, Davood Jafari Seresht, Zahra Bayat and Leyla Jabari

Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market pp. 27-43

Asgar Ali and K. N. Badhani

Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price pp. 44-58

Mouna Youssef and Khaled Mokni

Risk and return of classic car market prices: passion or financial investment? pp. 59-68

Eric Fur

Bonding, signaling theory and dividend policy: Evidence from multinational firms pp. 69-83

Imen Ghadhab