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May 2023, Volume 24, Issue 3
- 165-172 The risk-return tradeoff: are sustainable investors compensated adequately?
by Christina E. Bannier & Yannik Bofinger & Björn Rock - 173-183 Price contingent and price-volume contingent portfolio strategies
by Alain Guéniche & Philippe Dupuy & Wan Ni Lai - 184-197 When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach
by Damir Tokic & Dave Jackson - 198-211 Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19
by Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris - 212-224 How does retirement affect optimal life cycle portfolio allocation between stocks and bonds?
by Valentinas Rudys - 225-240 The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?
by Ailie Charteris & Conrad Alexander Steyn
March 2023, Volume 24, Issue 2
- 85-96 Trust me, I am a Robo-advisor
by Bernd Scherer & Sebastian Lehner - 97-107 Notes on the convergence of the estimated risk factor matrix in linear regression models
by Julien Riposo & E G Klepfish - 108-120 Analyst target price and dividend forecasts and expected stock returns
by Jinji Hao & Jonathon Skinner - 121-135 How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index
by Ewa Feder-Sempach & Tomasz Miziołek - 136-147 Dynamic asset allocation strategy: an economic regime approach
by Min Jeong Kim & Dohyoung Kwon - 148-163 Can experience mitigate precautionary bidding? Evidence from a quasi-experiment at an IPO auction
by Wenjun Wang
February 2023, Volume 24, Issue 1
- 1-15 The statistics of time varying cross-sectional information coefficients
by Zhuanxin Ding & Yixiao Sun - 16-26 The relationship of financial performance and stock returns in countries under economic sanctions
by Ali Akbar Gholizadeh & Davood Jafari Seresht & Zahra Bayat & Leyla Jabari - 27-43 Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market
by Asgar Ali & K. N. Badhani - 44-58 Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price
by Mouna Youssef & Khaled Mokni - 59-68 Risk and return of classic car market prices: passion or financial investment?
by Eric Fur - 69-83 Bonding, signaling theory and dividend policy: Evidence from multinational firms
by Imen Ghadhab
December 2022, Volume 23, Issue 7
- 547-549 ESG and impact investing
by Marielle Jong & Steve Rocco - 550-566 Creating shareholder value through ESG engagement
by Benoît Mercereau & Lionel Melin & Maria Margarita Lugo - 567-580 Smart beta ESG disclosure
by Besbes Yasmine & Maher Kooli - 581-595 Comparing SRI funds to conventional funds using a PCA methodology
by Christine Helliar & Barbara Petracci & Nongnuch Tantisantiwong - 596-618 Pricing climate change risk in corporate bonds
by Elsa Allman - 619-630 Explainable artificial intelligence modeling for corporate social responsibility and financial performance
by Julien Lachuer & Sami Ben Jabeur - 631-643 Cross-dispersion bias-adjusted ESG rankings
by Philippe Dupuy & Jean-Charles Garibal
October 2022, Volume 23, Issue 6
- 445-465 Portfolio optimization with sparse multivariate modeling
by Pier Francesco Procacci & Tomaso Aste - 466-476 Global mutual fund market: the turn of the month effect and investment strategy
by Tirthank Shah & Narayan Baser - 477-503 Gambling with lottery stocks?
by Andreas Oehler & Julian Schneider - 504-521 Company visits and mutual fund performance: new evidence on managerial skills
by Yanan Li & Wenjun Wang - 522-533 The impact of volatility scaling on factor portfolio performance and factor timing
by Federico Nucera & Björn Uhl - 534-546 Tail risk management and the skewness premium
by Martin Kipp & Christian Koziol
September 2022, Volume 23, Issue 5
- 365-375 A lifetime allocation with human capital: implications for target date fund
by Seokkeun Ha & Frank J. Fabozzi - 376-389 The asset allocation of defined benefit pension plans: the role of sponsor contributions
by Artem Dyachenko & Patrick Ley & Marc Oliver Rieger & Alexander F. Wagner - 390-399 American hedge funds industry, market timing and COVID-19 crisis
by Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem - 400-418 The impact of analyst forecast errors on fundamental indexation: the Australian evidence
by Lorenzo Casavecchia & Gerhard Hambusch & Justin Hitchen - 419-428 Asymmetric volume volatility causality in dual listing H-shares
by Malay K. Dey & Chaoyan Wang - 429-444 Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets
by Daouda Lawa tan Toe & Salifou Ouedraogo
July 2022, Volume 23, Issue 4
- 277-296 Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach
by Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder - 297-309 Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach
by Adlane Haffar & Éric Le Fur - 310-321 Bitcoin: like a satellite or always hardcore? A core–satellite identification in the cryptocurrency market
by Christoph J. Börner & Ingo Hoffmann & Jonas Krettek & Tim Schmitz - 322-336 Herding in different states and terms: evidence from the cryptocurrency market
by Syed Riaz Mahmood Ali - 337-349 Harvesting the seasons of the size anomaly
by Boris Fays & Georges Hübner & Marie Lambert - 350-363 Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume
by Shaista Wasiuzzaman
May 2022, Volume 23, Issue 3
- 173-200 Evolution of infrastructure as an asset class: a systematic literature review and thematic analysis
by Surbhi Gupta & Anil Kumar Sharma - 201-214 Sovereign wealth funds and economic growth
by Ermanno Affuso & Khandokar M. Istiak & Alex Sharland - 215-234 Efficient bias robust regression for time series factor models
by R. Douglas Martin & Daniel Z. Xia - 235-245 Foreign institutional investors and dividend policy in Indonesia
by Sangapta Damarjati Purba & Tastaftiyan Risfandy & Muizzuddin Muizzuddin & Muh. Rudi Nugroho - 246-255 Managements’ tone strategies by earnings call transcripts in the global markets
by Rei Yamamoto & Naoya Kawadai & Masataka Kurita & Satoshi Baba - 256-275 Puzzle solved? A comprehensive analysis of hedge fund-like mutual funds according to the value-added paradigm
by Nathaniel Light & Ivan Stetsyuk
March 2022, Volume 23, Issue 2
- 83-99 Dividend predictability and higher moment risk premia
by Aşty Al-Jaaf - 100-113 Equity factors for multi-asset class portfolios: a strategic asset allocation perspective
by Stefano Cavaglia & Louis Scott & Kenneth Blay & Tarun Gupta - 114-129 The ESG ETFs in the UK
by Gerasimos G. Rompotis - 130-137 When does slower order execution occur? Evidence from U.S. equity investors
by Ryan Garvey & Yaohua Qin - 138-155 Factor momentum, option-implied volatility scaling, and investor sentiment
by Klaus Grobys & James W. Kolari & Jere Rutanen - 156-171 The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets
by Seungho Lee - 172-172 Correction to: Are religious investors financially smart? Evidence from equity funds
by Murat Yaş & Ahmet Faruk Aysan & Mohamed Eskandar Shah Mohd Rasid
February 2022, Volume 23, Issue 1
- 1-18 European sin stocks
by Siri Tronslien Sagbakken & Dan Zhang - 19-32 Is there a boutique asset management premium? Evidence from the European fund management industry
by Andrew Clare - 33-45 Are religious investors financially smart? evidence from equity funds
by Murat Yaş & Ahmet Faruk Aysan & Mohamed Eskandar Shah Mohd Rasid - 46-61 Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds
by Mayank Patel & Vinodh Madhavan & Supratim Gupta - 62-72 Performance attribution, time-weighted rate of return, and clean finite change sensitivity index
by Carlo Alberto Magni & Andrea Marchioni - 73-82 Industry momentum with correlation consolidation: evidence from China
by Sabri Boubaker & Lechuan Du & Zhenya Liu
December 2021, Volume 22, Issue 7
- 507-538 Empirical asset pricing via machine learning: evidence from the European stock market
by Wolfgang Drobetz & Tizian Otto - 539-558 Cross-listing and crisis
by Imen Ghadhab - 559-572 Differential impact of earnings management on the accrual anomaly
by Manish Bansal & Asgar Ali - 573-580 Quantitative model for impact of behavioral biases on asset allocation decisions: a case study of investors in UAE
by Ashutosh Pradhan - 581-599 Decoding insider silence: evidence from China securities market
by Han-Ching Huang & Ren-Cyuan Chan - 600-621 Investor sentiment and the time-varying sustainability premium
by Vitor Azevedo & Christoph Kaserer & Lucila M. S. Campos - 622-622 Correction to: Factor-based investing in government bond markets: a survey of the current state of research
by Demir Bektić & Britta Hachenberg & Dirk Schiereck
October 2021, Volume 22, Issue 6
- 389-390 Multiple alpha sources and portfolio design
by Marielle Jong & Dan diBartolomeo - 391-404 The ABC’s of the ARP: understanding alternative risk premium
by Stephen A. Gorman & Frank J. Fabozzi - 405-436 The ABC’s of the alternative risk premium: academic roots
by Stephen A. Gorman & Frank J. Fabozzi - 437-442 Adding alternative assets: return enhancement, diversification or hedging?
by Bernd Scherer - 443-463 Portfolio selection with active strategies: how long only constraints shape convictions
by Charles-Albert Lehalle & Guillaume Simon - 464-487 Factor investing: alpha concentration versus diversification
by Lars Heinrich & Antoniya Shivarova & Martin Zurek - 488-506 Factor investing and asset allocation strategies: a comparison of factor versus sector optimization
by Wolfgang Bessler & Georgi Taushanov & Dominik Wolff
September 2021, Volume 22, Issue 5
- 311-325 Who owns tobacco stocks?
by David Blitz & Laurens Swinkels - 326-337 Collectors’ motives in the context of wealth management
by Eric Le Fur - 338-349 The Volatility Effect in China
by David Blitz & Matthias X. Hanauer & Pim Vliet - 350-359 The performance of South African exchange traded funds under changing market conditions
by Damien Kunjal & Faeezah Peerbhai & Paul-Francois Muzindutsi - 360-375 Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak
by Jamila Abaidi Hasnaoui & Syed Kumail Abbas Rizvi & Krishna Reddy & Nawazish Mirza & Bushra Naqvi - 376-388 The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan
by Farrukh Naveed & Muhammad Ishfaq & Zahid Maqbool
July 2021, Volume 22, Issue 4
- 241-252 Macroeconomics and the value premium
by Brian Jacobsen & Wai Lee - 253-266 Exploiting the dividend month premium: evidence from Germany
by Felix Kreidl & Hendrik Scholz - 267-276 Information content of the risk-free rate for the pricing kernel bound
by Milad Nozari - 277-290 Can an equity structure dominate the risk-return profile of corporate bonds?
by Edouard Nouvellon & Hugues Pirotte - 291-300 Forecasting sector stock market returns
by David G. McMillan - 301-310 Volume decomposition and volatility in dual-listing H-shares
by Malay K. Dey & Chaoyan Wang
May 2021, Volume 22, Issue 3
- 153-162 The effect of corporate governance on bank performance: evidence from Turkish and some MENA countries banks
by Berna Doğan Başar & Ahmed Bouteska & Burak Büyükoğlu & İbrahim Halil Ekşi - 163-178 Prospect theory and risk-taking behavior: an empirical investigation of Islamic and conventional banks
by Yousra Trichilli & Hana Kharrat & Mouna Boujelbène Abbes - 179-199 Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness
by Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui - 200-208 Expected returns with leverage constraints and target returns
by Leon (Liang) Xin & Shanshan Ding - 209-223 Dynamic copula-based expectile portfolios
by Maziar Sahamkhadam - 224-239 Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula
by Ahmed Jeribi & Mohamed Fakhfekh - 240-240 Correction to: Do board characteristics affect bank performance? Evidence from the Eurozone
by Ahmed Bouteska
March 2021, Volume 22, Issue 2
- 77-78 Introductory editorial
by Marielle Jong & Cécile Diana & Julie Malbois - 79-95 The impact of corporate social responsibility on corporate financial performance and credit ratings in Japan
by Frank J. Fabozzi & Peck Wah Ng & Diana E. Tunaru - 96-109 Green bonds: shades of green and brown
by Moritz Immel & Britta Hachenberg & Florian Kiesel & Dirk Schiereck - 110-119 Air pollution, investor sentiment and excessive returns
by Matthew Muntifering - 120-132 Sustainability efforts, index recognition, and stock performance
by Moonsoo Kang & K. G. Viswanathan & Nancy A. White & Edward J. Zychowicz - 133-150 Expected and realized returns on stocks with high- and low-ESG exposure
by Olaf Stotz - 151-151 Correction to: Sustainability efforts, index recognition, and stock performance
by Moonsoo Kang & K. G. Viswanathan & Nancy A. White & Edward J. Zychowicz
February 2021, Volume 22, Issue 1
- 1-10 Stock picking in the US market and the effect of passive investments
by Carmine De Franco - 11-29 Bottom-up versus top-down factor investing: an alpha forecasting perspective
by Martin Zurek & Lars Heinrich - 30-42 Modern portfolio theory with sharia: a comparative analysis
by John A. Sandwick & Pablo Collazzo - 43-50 Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market
by Imed Medhioub & Mustapha Chaffai - 51-61 The Investors Exchange’s (IEX) impact on investors
by Alan Chow & Kyre Dane Lahtinen & Chris Lawrey - 62-75 Managerial behavior in fund tournaments—the impact of TrueSkill
by Alexander Swade & Gerrit Köchling & Peter N. Posch
December 2020, Volume 21, Issue 7
- 567-568 Word from the editors and the CQA Board
by Marielle de Jong & Dan DiBartolomeo & Dan Cardell - 569-580 Better portfolios with higher moments
by Jarrod Wilcox - 581-590 How the pandemic taught us to turn smart beta into real alpha
by Christopher Kantos & Dan diBartolomeo - 591-608 Regularizing Bayesian predictive regressions
by Guanhao Feng & Nicholas Polson - 609-622 Portfolio turnover when IC is time-varying
by Zhuanxin Ding & R. Douglas Martin & Chaojun Yang - 623-625 Diversification: does it really fail, when you need it most?
by Bernd Scherer - 626-635 Strategy design and the fallacies of breadth
by Leigh Sneddon - 636-646 Market implied GDP
by Harris Ntantanis & Lawrence Pohlman - 647-651 The Tesla stock split experiment
by Bradford Cornell
October 2020, Volume 21, Issue 6
- 489-505 Automated portfolio rebalancing: Automatic erosion of investment performance?
by Matthias Horn & Andreas Oehler - 506-512 The Shapley value of regression portfolios
by Haim Shalit - 513-523 Paying dividends: Cash or credit?
by Chris M. Lawrey & Kathleen P. Fuller & Brandon C. L. Morris - 524-534 Can fund sentiment beta predict future performance?
by Qiang Bu & Odd J. Stalebrink - 535-548 Do Board Characteristics Affect Bank Performance? Evidence from the Eurozone
by Ahmed Bouteska - 549-566 Predictive power of ARIMA models in forecasting equity returns: a sliding window method
by Huijian Dong & Xiaomin Guo & Han Reichgelt & Ruizhi Hu
September 2020, Volume 21, Issue 5
- 375-392 Broken bucks: money funds that took taxpayer guarantees in 2008
by Linus Wilson - 393-412 ESG controversies and controversial ESG: about silent saints and small sinners
by Gregor Dorfleitner & Christian Kreuzer & Christian Sparrer - 413-427 Do smart beta ETFs deliver persistent performance?
by Cesario Mateus & Irina B. Mateus & Marco Soggiu - 428-446 Improving CAT bond pricing models via machine learning
by Tobias Götze & Marc Gürtler & Eileen Witowski - 447-466 A robust framework for risk parity portfolios
by Giorgio Costa & Roy Kwon - 467-488 Noise-driven abnormal institutional investor attention
by Feng Dong
July 2020, Volume 21, Issue 4
- 281-291 Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles
by Syed Kumail Abbas Rizvi & Nawazish Mirza & Bushra Naqvi & Birjees Rahat - 292-325 Dynamic jump intensities and news arrival in oil futures markets
by Katherine B. Ensor & Yu Han & Barbara Ostdiek & Stuart M. Turnbull - 326-332 Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes
by Haotian Cai & Anatoly B. Schmidt - 333-341 International linkages of Indian equity market: evidence from panel co-integration approach
by Sangita Choudhary & Shelly Singhal - 342-354 Mutual fund managers’ market timing abilities: Indian evidence
by Mahfooz Alam & Valeed Ahmad Ansari - 355-373 Liquidity commonality beyond best prices: Indian evidence
by Abhinava Tripathi & Vipul & Alok Dixit
May 2020, Volume 21, Issue 3
- 167-177 Cashing in on innovation: a taxonomy of FinTech
by Michael B. Imerman & Frank J. Fabozzi - 178-191 Alternative risk premia: contagion and portfolio choice
by Bernd Scherer - 192-218 Should investors join the index revolution? Evidence from around the world
by Matthias M. M. Buehlmaier & Kit Pong Wong - 219-238 Monetary policy after the crisis: A threat to hedge funds' alphas?
by Alexander Berglund & Massimo Guidolin & Manuela Pedio - 239-260 Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe
by Constantinos Alexiou & Anshul Tyagi - 261-279 The thermal optimal path model: Does Google search queries help to predict dynamic relationship between investor’s sentiment and indexes returns?
by Yousra Trichilli & Mouna Abdelhédi & Mouna Boujelbène Abbes
March 2020, Volume 21, Issue 2
- 85-93 The effect of environmental sustainability on credit risk
by André Höck & Christian Klein & Alexander Landau & Bernhard Zwergel - 94-105 Factor-based investing in government bond markets: a survey of the current state of research
by Demir Bektić & Britta Hachenberg & Dirk Schiereck - 106-118 Piotroski’s FSCORE: international evidence
by Christian Walkshäusl - 119-134 A common risk factor and the correlation between equity and corporate bond returns
by Amer Demirovic & Ali Kabiri & David Tuckett & Rickard Nyman - 135-153 Forecasting index changes in the German DAX family
by Friedrich-Carl Franz - 154-165 Excess volatility and market efficiency in government bond markets: the ASEAN-5 context
by Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao
February 2020, Volume 21, Issue 1
- 1-3 Central banks and supervisors can contribute to an improvement of the pricing mechanisms for climate-related risks
by Morgan Després & Clément Bourgey - 4-12 Styles through a convergent/divergent lens: the curious case of ESG
by Yang Gao & Stephen Satchell & Nandini Srivastava - 13-31 Herds on green meadows: the decarbonization of institutional portfolios
by Lukas Benz & Andrea Jacob & Stefan Paulus & Marco Wilkens - 32-51 ESG integration: value, growth and momentum
by Lars Kaiser - 52-69 Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings
by Benjamin Hübel & Hendrik Scholz - 70-83 Fighting climate change as a global equity investor
by Benoît Mercereau & Guillaume Neveux & João Paulo C. C. Sertã & Benoît Marechal & Gianluca Tonolo
December 2019, Volume 20, Issue 7
- 493-507 Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge
by Vipul Kumar Singh - 508-533 Predictability and the cross section of expected returns: evidence from the European stock market
by Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto - 534-551 Shedding light on the exposure of mutual funds: Which investments drive mutual fund characteristics?
by Lukas Benz & Martin Rohleder & Janik Syryca & Marco Wilkens - 552-567 Non-stationary dividend-price ratios
by Vassilis Polimenis & Ioannis Neokosmidis - 568-580 Naïve diversification in thematic investing: heuristics for the core satellite investor
by Florian Methling & Rüdiger Nitzsch - 581-608 On the informational market efficiency of the worldwide sovereign credit default swaps
by Saker Sabkha & Christian Peretti & Dorra Hmaied
October 2019, Volume 20, Issue 6
- 413-420 Invited Editorial “The challenges imposed by low interest rates”
by Jean-Michel Beacco & Catherine Lubochinsky & Marie Brière & Alain Monfort & Caroline Hillairet & Sylvain Benoît - 421-432 Revisiting private equity performance computation for multi-asset investors
by Edouard Nouvellon & Hugues Pirotte - 433-441 The analytics of momentum
by Oh Kang Kwon & Stephen Satchell - 442-468 Trends everywhere? The case of hedge fund styles
by Charles Chevalier & Serge Darolles - 469-475 A convergence-speed-dependent data quantity definition and its effect on risk estimation
by Jakob Krause - 476-492 Government guarantees and the risk-taking of financial institutions: evidence from a regulatory experiment
by Christina Atanasova & Mingxin Li & Yevgeny Mugerman & Mehrdad Rastan
September 2019, Volume 20, Issue 5
- 331-340 Stock market reaction to green bond issuance
by Vishaal Baulkaran - 341-350 Extracting global factors from local yield curves
by Lauren Stagnol - 351-364 Hedge and safe haven investing with investment styles
by Ai Jun Hou & Ian Khrashchevskyi & Jarkko Peltomäki - 365-383 Order dynamics during the flash crash
by James S. Ang & Kenneth J. Hunsader & Shaojun Zhang - 384-394 Pricing options of security portfolio in cyclical economic environment
by Hong Mao & Zhongkai Wen - 395-402 Sensitivity of optimal portfolio problems to time-varying parameters: simulation analysis
by Zhanar Bimurat & Darkhan U. Abdibekov & Dulat N. Shukayev & Yekaterina R. Kim & Malik D. Shukayev - 403-411 Refinement of the hedging ratio using copula-GARCH models
by Waël Louhichi & Hassen Rais
July 2019, Volume 20, Issue 4
- 251-262 Trading behavior of stock investors: Black Monday revisited
by Jeong-Ryeol Kurz-Kim - 263-272 Measuring the relative return contribution of risk factors
by Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynnönen - 273-288 Tree-based machine learning approaches for equity market predictions
by Dominik Wolff & Ulrich Neugebauer - 289-300 Emerging market equity benchmarks for Japanese investors: countries, sectors or styles?
by Harsh Parikh - 301-316 China–Africa stock market linkages and the global financial crisis
by Beini Guo & Oyakhilome Ibhagui - 317-329 Sentiment versus liquidity pricing effects in the cross-section of UK stock returns
by Niall O’Sullivan & Sheng Zhu & Jason Foran
May 2019, Volume 20, Issue 3
- 157-174 Taking the right course navigating the ERC universe
by Roberto Savona & Cesare Orsini - 175-195 An examination of ex ante fund performance: identifying indicators of future performance
by Andrew Clare & Mariana Clare - 196-214 Fine wine returns: a review of the literature
by Eric Le Fur & Jean-François Outreville - 215-228 Asset allocation with multiple analysts’ views: a robust approach
by I-Chen Lu & Kai-Hong Tee & Baibing Li - 229-249 State-dependent size and value premium: evidence from a regime-switching asset pricing model
by Bingxin Li & Natalia Piqueira - 250-250 Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks
by Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic
March 2019, Volume 20, Issue 2
- 91-102 Performance expectations of basic options strategies may be different than you think
by Steven P. Clark & Mike Dickson - 103-110 Panic-aware portfolio optimization
by Josef Zorn - 111-123 Separating momentum from reversal in international stock markets
by Christian Walkshäusl & Florian Weißofner & Ulrich Wessels - 124-133 Does the number of holdings in a risk parity portfolio matter?
by Tirthank Shah & Abhishek Parikh - 134-145 Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index
by Ernest N. Biktimirov & Yuanbin Xu - 146-156 An alternative fundamental weighting scheme based on enterprise value multiple
by Wenguang Lin & Gary C. Sanger
February 2019, Volume 20, Issue 1
- 1-14 Has the VIX index been manipulated?
by Atanu Saha & Burton G. Malkiel & Alex Rinaudo - 15-30 Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks
by Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic - 31-37 Corporate diversification and abnormal returns
by Chris M. Lawrey & Brandon C. L. Morris - 38-53 Portfolio optimization with covered calls
by Mauricio Diaz & Roy H. Kwon - 54-71 Conflicts of interest in multi-fund management
by Gerald Abdesaken - 72-90 Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks
by Noureddine Benlagha & Slim Mseddi
December 2018, Volume 19, Issue 7
- 445-446 Editorial
by Marielle de Jong & Dan diBartolomeo - 447-459 Strategic asset allocation for insurers under Solvency II
by Roy Kouwenberg - 460-471 Is high active share always good?
by Giuliano De Rossi & Gurvinder Brar