发布求助
文献互助 智能选刊 最新文献

Journal of Asset Management最新文献

筛选
英文 中文
ESG risk and returns implied by demand-based asset pricing models 基于需求的资产定价模型所隐含的环境、社会和治理风险与回报
IF 2.5
Journal of Asset Management Pub Date : 2024-05-25 DOI: 10.1057/s41260-024-00354-3
Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, Andrew Ang
{"title":"ESG risk and returns implied by demand-based asset pricing models","authors":"Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, Andrew Ang","doi":"10.1057/s41260-024-00354-3","DOIUrl":"https://doi.org/10.1057/s41260-024-00354-3","url":null,"abstract":"<p>We investigate how changes in demand for Environment, Social and Governance (ESG) characteristics affect stock prices. We consider three scenarios: increased demand for ESG characteristics by investors, shifts in assets under management from institutions with low demand for ESG characteristics to those with high demand, and changes in the ESG characteristics of the stocks themselves. To compute the effects of the scenarios, we use a demand-based asset pricing model which is calibrated to individual stock-level holdings of institutional investors. We find that these scenarios lead to significantly different returns of stocks with different ESG characteristics.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"160 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141148324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cost mitigation of factor investing in emerging equity markets 降低新兴股票市场要素投资的成本
IF 2.5
Journal of Asset Management Pub Date : 2024-05-25 DOI: 10.1057/s41260-024-00353-4
Kay Stankov, Dirk Schiereck, Volker Flögel
{"title":"Cost mitigation of factor investing in emerging equity markets","authors":"Kay Stankov, Dirk Schiereck, Volker Flögel","doi":"10.1057/s41260-024-00353-4","DOIUrl":"https://doi.org/10.1057/s41260-024-00353-4","url":null,"abstract":"<p>At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"10 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Core-satellite investing with commodity futures momentum 利用商品期货势头进行核心卫星投资
IF 2.5
Journal of Asset Management Pub Date : 2024-05-03 DOI: 10.1057/s41260-024-00352-5
Immo Stadtmüller, Benjamin R. Auer, Frank Schuhmacher
{"title":"Core-satellite investing with commodity futures momentum","authors":"Immo Stadtmüller, Benjamin R. Auer, Frank Schuhmacher","doi":"10.1057/s41260-024-00352-5","DOIUrl":"https://doi.org/10.1057/s41260-024-00352-5","url":null,"abstract":"<p>Core-satellite strategies are often implemented to combine the benefits of passive and active investing. Our study analyzes a particularly attractive and quasi-frictionless core-satellite approach: Adding active commodity futures momentum satellites to passive cores diversified across traditional asset classes. We show that momentum portfolios, enhanced by long-term reversal and skewness information, are highly valuable satellites. Considering them with low fixed weights, as suggested by popular strategic allocations, leads to significant improvements in investment performance and reduces portfolio sensitivities to shocks in investor fear. In contrast, using time-varying optimized weights based on satellite alphas or tail risk minimization turns out to be less advantageous. Interestingly and regardless of the considered weighting scheme, momentum satellites shine primarily by lowering portfolio risk (instead of increasing portfolio return) which supports modern interpretations of the role of active management.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deconstructing ESG scores: investing at the category score level 解构环境、社会和公司治理得分：在类别得分层面进行投资
IF 2.5
Journal of Asset Management Pub Date : 2024-04-20 DOI: 10.1057/s41260-024-00356-1
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau
{"title":"Deconstructing ESG scores: investing at the category score level","authors":"Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau","doi":"10.1057/s41260-024-00356-1","DOIUrl":"https://doi.org/10.1057/s41260-024-00356-1","url":null,"abstract":"<p>Environmental, social, and governance (ESG) scores are a key tool for asset managers in designing and implementing ESG investment strategies. They, however, amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the underlying drivers of higher or lower ESG scores. We explore the feasibility and performance of more targeted investment strategies based on specific ESG categories by deconstructing ESG scores into their granular components. We implement “best-in-class” strategies by excluding firms with the lowest category scores and reinvesting the proceeds in firms with the highest scores, maintaining the same regional and sectoral composition. These approaches reduce the portfolio’s tracking error and slightly improve its risk-adjusted performance, while still yielding large gains in targeted ESG scores.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"4 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140626560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A century of asset allocation crash risk 一个世纪的资产配置碰撞风险
IF 2.5
Journal of Asset Management Pub Date : 2024-04-02 DOI: 10.1057/s41260-024-00355-2
Mikhail Samonov, Nonna Sorokina
{"title":"A century of asset allocation crash risk","authors":"Mikhail Samonov, Nonna Sorokina","doi":"10.1057/s41260-024-00355-2","DOIUrl":"https://doi.org/10.1057/s41260-024-00355-2","url":null,"abstract":"<p>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 portfolios from 1926 to the present, the entire period for which comprehensive asset pricing data are available. We contribute to the existing literature by developing a laboratory for testing the performance of popular asset allocation strategies in a wide range of scenarios. We also aim to test the importance of the behavioral aspect of investment decisions for portfolio outcomes. In our framework, Factor-Based portfolios exhibit the best traditionally measured risk-adjusted returns over the long run. However, Dynamic asset allocation is most likely to reduce the risk of abandonment of the strategy by an investor and selling the portfolio in panic when they experience losses over their tolerance threshold, because the dynamic strategy exhibits lower expected drawdowns, even during severe market downturns. Across all strategies, risk-tolerant investors who rely on a longer history to set their expectations, whether based upon actual or extrapolated data, experience significantly better outcomes, particularly if their investment horizon includes times of crisis. This study informs portfolio managers, investment analysts, and advisors, as well as investors themselves, of the impact of information, persistence, and properties of various portfolio allocation methods on investment returns.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"72 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140599592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds 哪些投资者支持向低碳经济转型？共同基金的退出和发言权
IF 2.5
Journal of Asset Management Pub Date : 2024-03-20 DOI: 10.1057/s41260-023-00345-w
Jonas Zink
{"title":"Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds","authors":"Jonas Zink","doi":"10.1057/s41260-023-00345-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00345-w","url":null,"abstract":"<p>Reducing portfolio carbon footprints (Exit) and voting in favor of climate-related shareholder proposals (Voice) are among the main actions that investors can take to promote an accelerated transition toward a low-carbon economy. This paper studies three important investor groups that can be instrumental in driving the transition and evaluates their Exit and Voice behavior. I find that the five largest asset managers perform poorly on Exit and Voice over the full sample period but improved on both in more recent years. Only a small fraction of signatories to sustainable investor initiatives are supportive of the transition. Counterintuitively, investors who perform poorly on Exit, perform well on Voice. Finally, I examine the financial consequences of employing Exit and Voice and find that Exit is positively related to risk-adjusted fund returns; however, this is not necessarily attributable to superior skill of fund managers.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"28 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140167931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do ESG fund managers pump and dump the stocks in their portfolios? European evidence ESG基金经理是否会在其投资组合中抽空抛售股票？欧洲证据
IF 2.5
Journal of Asset Management Pub Date : 2024-03-20 DOI: 10.1057/s41260-024-00351-6
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas
{"title":"Do ESG fund managers pump and dump the stocks in their portfolios? European evidence","authors":"Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas","doi":"10.1057/s41260-024-00351-6","DOIUrl":"https://doi.org/10.1057/s41260-024-00351-6","url":null,"abstract":"<p>We investigate portfolio pumping around quarter-ends by ESG equity mutual funds domiciled in the largest European markets in sustainable investments, i.e., the UK, France and Germany, for the period from January 2010 to December 2022. We find strong evidence that the UK funds inflate quarter-end returns, with price spikes being stronger at year-ends; nevertheless, the magnitude of price inflation is less than that of their conventional counterparts. On the contrary, results indicate that German and French funds do not engage in portfolio pumping. The COVID-19 pandemic strengthened the propensity of fund managers to cause a profound artificial enhancement to the performance of the investment portfolio. Further analysis shows that portfolio pumping is more prominent among the worst-performing funds, funds that charge investors with lower fees and achieve a poor ESG rating. However, managers that pump fund returns do not attract significantly more flows. Our results have produced valuable insights for regulators and investors participating in ESG markets, highlighting the necessity for a rigorous surveillance of the UK ESG equity market.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"159 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140167941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling capacity for systematic equity strategies 系统性股票策略的建模能力
IF 2.5
Journal of Asset Management Pub Date : 2024-02-29 DOI: 10.1057/s41260-024-00350-7
Carmine de Franco, Luc Dumontier
{"title":"Modelling capacity for systematic equity strategies","authors":"Carmine de Franco, Luc Dumontier","doi":"10.1057/s41260-024-00350-7","DOIUrl":"https://doi.org/10.1057/s41260-024-00350-7","url":null,"abstract":"<p>This paper generalizes the concept of capacity from the portfolio level to the investment process for systematic equity strategies. Capacity is often understood as the maximum asset under management, above which additional inflows would have too great a negative impact on performance. The concept of capacity is often limited to the study of a given portfolio. However, setting up a capacity management framework must consider what the portfolio might look like in the future. This is obviously complicated for discretionary portfolios but theoretically conceivable for portfolios implementing systematic strategies, if we can simulate all possible scenarios. In our framework, we extend the traditional definition of capacity from a number to a random variable, allowing portfolio managers to integrate it into their risk considerations. We provide examples of how portfolio managers can approach this problem, with full-search or modelling methods. Our framework includes several capacity metrics that can be used jointly or selected to align better with the features of each strategy.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"17 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140018798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CO2 investment risk analysis 二氧化碳投资风险分析
IF 2.5
Journal of Asset Management Pub Date : 2024-02-24 DOI: 10.1057/s41260-023-00342-z
Thomas M. Treptow
{"title":"CO2 investment risk analysis","authors":"Thomas M. Treptow","doi":"10.1057/s41260-023-00342-z","DOIUrl":"https://doi.org/10.1057/s41260-023-00342-z","url":null,"abstract":"<p>Utilities with hard coal and lignite power plants, manufacturers, and aviation companies in the EU that emit greenhouse gases must invest in emission allowances to run their operations. The buy side of the capital market (e.g. hedge funds, insurers, and pension plans) can invest in these allowances to realise an investment asset which is uncorrelated to traditional market-risk investments. Given the high volatility of the price of emission allowances, all investors in emission allowances face a challenging risk-return situation that requires a thorough risk analysis. We show that this analysis can be undertaken using extreme value theory. For the analysed extreme emission allowance price returns, we identified saliently good fits between the empirical and theoretical Pareto distributions. We further show that emission allowances present an interesting investment case.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"188 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139947743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Performance dispersion among target date funds 目标日期基金的业绩分散性
IF 2.5
Journal of Asset Management Pub Date : 2024-02-24 DOI: 10.1057/s41260-024-00349-0
Ivelina Pavlova, Ann Marie Hibbert
{"title":"Performance dispersion among target date funds","authors":"Ivelina Pavlova, Ann Marie Hibbert","doi":"10.1057/s41260-024-00349-0","DOIUrl":"https://doi.org/10.1057/s41260-024-00349-0","url":null,"abstract":"<p>There are significant differences in the performance of Target Date Funds (TDFs) with the same target year. Using a unique dataset from Morningstar, we show that within the same target year, funds with lower than the average expense ratio, or higher than average allocation to equities, outperform similar funds. This outperformance exists across all target year groups and is economically meaningful. Furthermore, deviations in the equity allocation have a greater impact on performance than does expense ratio. Using bootstrap simulations to investigate the impact over a longer horizon, we show that deviations from the average allocations or expense ratios have a meaningful impact on the retirement savings of an average investor.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"43 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139956905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信