-
Deconstructing ESG scores: investing at the category score level Journal of Asset Management Pub Date : 2024-04-20 Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau
-
A century of asset allocation crash risk Journal of Asset Management Pub Date : 2024-04-02 Mikhail Samonov, Nonna Sorokina
We extend proxies of several popular asset allocation approaches—U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity, Endowment, Factor-Based, and Dynamic asset allocation—using long-run return data for a variety of sub-asset classes and factors to test their long-term performance. We use equity and debt assets, commodities, alternatives, and indices to reconstruct the returns on allocation
-
Do ESG fund managers pump and dump the stocks in their portfolios? European evidence Journal of Asset Management Pub Date : 2024-03-20 Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas
-
Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds Journal of Asset Management Pub Date : 2024-03-20 Jonas Zink
-
Modelling capacity for systematic equity strategies Journal of Asset Management Pub Date : 2024-02-29 Carmine de Franco, Luc Dumontier
-
-
Performance dispersion among target date funds Journal of Asset Management Pub Date : 2024-02-24 Ivelina Pavlova, Ann Marie Hibbert
-
Corporate bonds: fixed versus stochastic coupons—an empirical study Journal of Asset Management Pub Date : 2024-02-22 Belal Ehsan Baaquie, Muhammad Mahmudul Karim
-
Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options Journal of Asset Management Pub Date : 2024-02-20
Abstract This research delves into the empirical performance of deterministic option pricing models in the dynamic financial landscape of India. The primary focus is on uncovering pricing discrepancies and discerning whether these disparities arise from inherent limitations in the theoretical foundations of the models or are influenced by the trading behaviors of market participants. The investigation
-
Network Risk Parity: graph theory-based portfolio construction Journal of Asset Management Pub Date : 2024-02-20 Vito Ciciretti, Alberto Pallotta
-
Income illusions: challenging the high yield stock narrative Journal of Asset Management Pub Date : 2023-12-13 Yin Chen, Roni Israelov
-
Quantifying the non-Gaussian gain Journal of Asset Management Pub Date : 2023-11-28 David Allen, Stephen Satchell, Colin Lizieri
-
Optimal design of investment committees Journal of Asset Management Pub Date : 2023-11-20 Bernd Scherer
Investment committees are widespread across asset management firms, private and public institutional investors or family offices. Poorly designed boards can potentially destroy substantial value in the investment management industry, yet little research has been undertaken on their optimal design. From my 30-year experience as an investor, CIO for various firms and academic researcher, I believe that
-
The cash-secured put-write strategy and the variance risk premium Journal of Asset Management Pub Date : 2023-11-17 Pratish Patel, Andrew Raquel, Savannah Chadwick
-
The futility of measuring relative performance of ESG portfolios if ESG investing improves the market performance Journal of Asset Management Pub Date : 2023-11-11 David Buckle
-
Portfolio diversification and sustainable assets from new perspectives Journal of Asset Management Pub Date : 2023-11-07 Takashi Kanamura
-
ESG criteria and the credit risk of corporate bond portfolios Journal of Asset Management Pub Date : 2023-10-25 Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein
Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different
-
The performance of compliant stocks during the Covid-19 crisis Journal of Asset Management Pub Date : 2023-10-13 Amel Farhat, Amal Hili
-
Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises Journal of Asset Management Pub Date : 2023-10-11 Edib Smolo, Ruslan Nagayev, Rashed Jahangir, Christo S. C. Tarazi
-
Do weather patterns effect investment decisions in the stock market? A South Asian perspective Journal of Asset Management Pub Date : 2023-09-29 Emon Kalyan Chowdhury
-
Decomposition of risk for small size and low book-to-market stocks Journal of Asset Management Pub Date : 2023-09-27 Arati Kale, Devendra Kale, Sriram Villupuram
We investigate whether the size and book-to-market ratio fully capture the financial distress risk of firms within the small/low group of stocks. Size and BE/ME ratio struggle to explain the distress risk of small/low firms because they are usually analyzed together with small declining firms in factor analysis models. Using the Fama–French 3 factor model, we identify small (size) and low (BE/ME ratio)
-
Alternative risk premium: specification noise Journal of Asset Management Pub Date : 2023-09-12 Stephen A. Gorman, Frank J. Fabozzi
-
Portfolio benefits of taxonomy orientated and renewable European electric utilities Journal of Asset Management Pub Date : 2023-08-19 Thomas Cauthorn, Christian Klein, Leonard Remme, Bernhard Zwergel
This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of portfolios of EU-Taxonomy orientated and renewable European electric utilities. We use a unique dataset to extend
-
Exploring the nexus between price and volume changes in the cryptocurrency market Journal of Asset Management Pub Date : 2023-08-12 Adeyinka Adediran, Bola Babajide, Nataliia Osina
-
The cross-section of January effect Journal of Asset Management Pub Date : 2023-08-12 Arbab Khalid Cheema, Wenjie Ding, Qingwei Wang
-
Greenlabelling: How valuable is the SFDR Art 9 label? Journal of Asset Management Pub Date : 2023-08-07 Bernd Scherer, Milot Hasaj
-
Large portfolio optimisation approaches Journal of Asset Management Pub Date : 2023-08-03 Esra Ulasan, A. Özlem Önder
This paper makes an empirical comparison of prominent methods in portfolio optimisation, such as nodewise regression, the sample covariance matrix, observable factor model-based covariance matrices, linear and nonlinear shrinkage methods, and principal orthogonal complement thresholding (POET) estimators. Empirically, we find that the nodewise regression approach that uses a direct estimator of the
-
Effects of size on the exchange-traded funds performance Journal of Asset Management Pub Date : 2023-07-31 Kiran Paudel, Atsuyuki Naka
-
Stock market anomalies and machine learning across the globe Journal of Asset Management Pub Date : 2023-07-20 Vitor Azevedo, Georg Sebastian Kaiser, Sebastian Mueller
-
Greenium, credit rating, and the COVID-19 pandemic Journal of Asset Management Pub Date : 2023-07-17 Emre Arat, Britta Hachenberg, Florian Kiesel, Dirk Schiereck
We analyze green and conventional bonds during regular market periods and within times of extreme volatility, the COVID-19 pandemic. We find a negative premium (greenium) of 1.6 bp before the outbreak of COVID-19, but during the times of extreme market stress, this greenium widens to 3.5 bp as our results show a significant outperformance of green bonds. The results indicate that green bonds are more
-
Pension fund investments in infrastructure Journal of Asset Management Pub Date : 2023-06-04 Alexander Carlo, Piet Eichholtz, Nils Kok, Ruud Wijnands
-
Multifactor funds: an early (bearish) assessment Journal of Asset Management Pub Date : 2023-05-29 Javier Estrada
Multifactor funds, which offer risk factor diversification, have several appealing characteristics. They enable investing in factors, which has become a typical way to enhance a portfolio’s long-term risk-adjusted return; they provide exposure to more than one factor, which enables diversification; and they offer these benefits neatly packaged in one product. What’s not to like? Their performance.
-
Investment in non-fungible tokens (NFTs): the return of Ethereum secondary market NFT sales Journal of Asset Management Pub Date : 2023-05-26 Niklas Konstantin Klein, Fritz Lattermann, Dirk Schiereck
-
Are return predictors of industrial equity indexes common across regions? Journal of Asset Management Pub Date : 2023-05-09 Pelin Bengitöz, Mehmet Umutlu
We investigate the potential cross-sectional relationship between several equity index attributes and future returns on country-industry indexes in the regions of North America, Europe, Asia-Pacific, South America, MENA, and Japan. Index attributes include the recently documented predictors in the cross-section of stock or index returns such as return range, maximum and minimum returns in a month,
-
UK mutual funds: performance persistence and portfolio size Journal of Asset Management Pub Date : 2023-05-04 Keith Cuthbertson, Dirk Nitzsche, Niall O’Sullivan
-
The informational content of sovereign credit rating: another look Journal of Asset Management Pub Date : 2023-04-29 Fathi Nakai, Tarek Chebbi
-
The risk-return tradeoff: are sustainable investors compensated adequately? Journal of Asset Management Pub Date : 2023-04-27 Christina E. Bannier, Yannik Bofinger, Björn Rock
We investigate the returns from investing according to corporate social responsibility (CSR) criteria using factor model estimations for a large sample of U.S. firms over the period 2003–2017. To identify the CSR intensity that allows investors to optimize their portfolio returns for a given amount of risk, we relate factor-adjusted portfolio returns to a variety of risk measures. This consideration
-
Does governance matter for bank stability? “MENA region case” Journal of Asset Management Pub Date : 2023-03-30 Djebali Nesrine
This study aims to contribute to settling the lack of consensus regarding the determinants of bank stability, not only by considering the board of directors and the ownership structure but also by including factors such as CEO compensation, risk, and the audit committee. The objective of this paper is to examine the impact of internal governance on the bank stability index. To achieve this goal, we
-
Common risk factors and risk–return trade-off for REITs and treasuries Journal of Asset Management Pub Date : 2023-03-28 Faten Ben Bouheni, Manish Tewari
-
The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency? Journal of Asset Management Pub Date : 2023-03-21 Ailie Charteris, Conrad Alexander Steyn
-
When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach Journal of Asset Management Pub Date : 2023-03-07 Damir Tokic, Dave Jackson
In this article, we aim to explain what causes the depth of a stock market drawdown using the discretionary global macro approach. Our key finding is that the increase in credit risk to high/very high level after the beginning of a drawdown significantly explains the depth of the drawdown. An expected aggressive monetary policy tightening can trigger a correction, especially if accompanied with a high
-
Determinants of bid-ask spread in emerging sovereign bond markets Journal of Asset Management Pub Date : 2023-02-18 Emre Su, Kaya Tokmakçıoğlu
Major emerging market countries issue significant amounts of local currency bonds in order to finance their budget deficits. As liquidity is a substantial feature of the financial markets, understanding bond liquidity dynamics is essential. The bid-ask spread is an important measure of bond liquidity and reflects explicit transaction costs. We apply a panel regression model in order to analyze bond-level
-
Price contingent and price-volume contingent portfolio strategies Journal of Asset Management Pub Date : 2023-02-11 Alain Guéniche, Philippe Dupuy, Wan Ni Lai
-
-
The relationship of financial performance and stock returns in countries under economic sanctions Journal of Asset Management Pub Date : 2023-01-07 Ali Akbar Gholizadeh, Davood Jafari Seresht, Zahra Bayat, Leyla Jabari
Accounting and economic evaluation criteria play an important role in assessing the performance of the firms. Choosing proper criteria for such evaluation has been reported in reviews of literature on financial management. The present study aims to find the relationship between economic value added (EVA) as the criterion for evaluating economic performance, and return on assets and stock returns as
-
The statistics of time varying cross-sectional information coefficients Journal of Asset Management Pub Date : 2022-12-29 Zhuanxin Ding, Yixiao Sun
-
How does retirement affect optimal life cycle portfolio allocation between stocks and bonds? Journal of Asset Management Pub Date : 2022-12-03 Valentinas Rudys
-
Pricing climate change risk in corporate bonds Journal of Asset Management Pub Date : 2022-11-17 Elsa Allman
-
Dynamic asset allocation strategy: an economic regime approach Journal of Asset Management Pub Date : 2022-11-14 Min Jeong Kim, Dohyoung Kwon
-
Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 Journal of Asset Management Pub Date : 2022-11-01 Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas, Georgios Pergeris
-
Cross-dispersion bias-adjusted ESG rankings Journal of Asset Management Pub Date : 2022-10-31 Philippe Dupuy, Jean-Charles Garibal
-
Trust me, I am a Robo-advisor Journal of Asset Management Pub Date : 2022-10-29 Bernd Scherer, Sebastian Lehner
-
Notes on the convergence of the estimated risk factor matrix in linear regression models Journal of Asset Management Pub Date : 2022-10-03 Julien Riposo, E G Klepfish
-
How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index Journal of Asset Management Pub Date : 2022-10-02 Ewa Feder-Sempach, Tomasz Miziołek
-
Explainable artificial intelligence modeling for corporate social responsibility and financial performance Journal of Asset Management Pub Date : 2022-10-01 Julien Lachuer, Sami Ben Jabeur
-
Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market Journal of Asset Management Pub Date : 2022-09-26 Asgar Ali, K. N. Badhani
This study examines whether downside risk matters in the Indian equity market. We observe a strong negative relationship between standard variance-based risk measures (variance, beta, and idiosyncratic variance) and the expected stock returns. After controlling for traditional risk measures, analytically and statistically orthogonalized forms of downside risk measures present a positive risk–return
-
Risk and return of classic car market prices: passion or financial investment? Journal of Asset Management Pub Date : 2022-09-26 Eric Le Fur
This paper examines the risk and returns of classic car price indices over the 1994–2021 period. We calculate the central tendency, dispersion, shape of risk and returns, the unit root tests, and correlations. The results indicate a moderated volatility, a low range of returns, and a weak expectation of financial gain given the ancillary costs related to the auction, transport, insurance, guarding
-
Bonding, signaling theory and dividend policy: Evidence from multinational firms Journal of Asset Management Pub Date : 2022-09-23 Imen Ghadhab
This paper investigates the dynamics of cross-listing and dividend policy. Using a sample of 19,200 firm-year observations for the period 1990–2019, we find that cross-listed firms are less likely to distribute dividends, adopt more stable policy and pay more cash compared to their non-cross-listed peers. We also show that firms originated from poor legal environment have a stable policy and pay more
-
Creating shareholder value through ESG engagement Journal of Asset Management Pub Date : 2022-09-19 Benoît Mercereau, Lionel Melin, Maria Margarita Lugo
-
Tail risk management and the skewness premium Journal of Asset Management Pub Date : 2022-09-03 Martin Kipp, Christian Koziol