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Notes on the convergence of the estimated risk factor matrix in linear regression models 关于线性回归模型中估计的风险因子矩阵的收敛性的说明
IF 2.5
Journal of Asset Management Pub Date : 2022-10-03 DOI: 10.1057/s41260-022-00285-x
Julien Riposo, E. Klepfish
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引用次数: 1
How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index 欧洲股票etf如何准确反映其旗舰基准?来自基金的证据复制了欧洲斯托克50指数
IF 2.5
Journal of Asset Management Pub Date : 2022-10-02 DOI: 10.1057/s41260-022-00287-9
Ewa Feder-Sempach, Tomasz Miziołek
{"title":"How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index","authors":"Ewa Feder-Sempach, Tomasz Miziołek","doi":"10.1057/s41260-022-00287-9","DOIUrl":"https://doi.org/10.1057/s41260-022-00287-9","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"121 - 135"},"PeriodicalIF":2.5,"publicationDate":"2022-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46817312","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
Explainable artificial intelligence modeling for corporate social responsibility and financial performance 企业社会责任和财务绩效的可解释人工智能建模
IF 2.5
Journal of Asset Management Pub Date : 2022-10-01 DOI: 10.1057/s41260-022-00291-z
Julien Lachuer, Sami ben Jabeur
{"title":"Explainable artificial intelligence modeling for corporate social responsibility and financial performance","authors":"Julien Lachuer, Sami ben Jabeur","doi":"10.1057/s41260-022-00291-z","DOIUrl":"https://doi.org/10.1057/s41260-022-00291-z","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"23 1","pages":"619 - 630"},"PeriodicalIF":2.5,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45420529","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: 1
Risk and return of classic car market prices: passion or financial investment? 老爷车市场价格的风险与回报:激情还是金融投资?
IF 2.5
Journal of Asset Management Pub Date : 2022-09-26 DOI: 10.1057/s41260-022-00288-8
Eric Le Fur
{"title":"Risk and return of classic car market prices: passion or financial investment?","authors":"Eric Le Fur","doi":"10.1057/s41260-022-00288-8","DOIUrl":"https://doi.org/10.1057/s41260-022-00288-8","url":null,"abstract":"<p>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, maintenance, and restoration. There are low correlations among the classic car markets. These results provide a better understanding of the risk and returns of the classic car market for many actors such as individual and professional investors, collectors, and wealth managers. Investing in a classic car is more of a passion and emotional investment than a simple desire for financial gain.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"36 10","pages":""},"PeriodicalIF":2.5,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513151","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: 2
Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market 一旦彩票效应得到控制，下行风险就很重要：解释印度股市的风险-回报关系
IF 2.5
Journal of Asset Management Pub Date : 2022-09-26 DOI: 10.1057/s41260-022-00290-0
Asgar Ali, K. Badhani
{"title":"Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market","authors":"Asgar Ali, K. Badhani","doi":"10.1057/s41260-022-00290-0","DOIUrl":"https://doi.org/10.1057/s41260-022-00290-0","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"27-43"},"PeriodicalIF":2.5,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42236269","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
Bonding, signaling theory and dividend policy: Evidence from multinational firms 结合、信号理论与股利政策:来自跨国公司的证据
IF 2.5
Journal of Asset Management Pub Date : 2022-09-23 DOI: 10.1057/s41260-022-00289-7
Imen Ghadhab
{"title":"Bonding, signaling theory and dividend policy: Evidence from multinational firms","authors":"Imen Ghadhab","doi":"10.1057/s41260-022-00289-7","DOIUrl":"https://doi.org/10.1057/s41260-022-00289-7","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"69-83"},"PeriodicalIF":2.5,"publicationDate":"2022-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47239935","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
Can experience mitigate precautionary bidding? Evidence from a quasi-experiment at an IPO auction 经验能减轻预防性投标吗?IPO拍卖的准实验证据
IF 2.5
Journal of Asset Management Pub Date : 2022-09-20 DOI: 10.1057/s41260-022-00286-w
Wenjun Wang
{"title":"Can experience mitigate precautionary bidding? Evidence from a quasi-experiment at an IPO auction","authors":"Wenjun Wang","doi":"10.1057/s41260-022-00286-w","DOIUrl":"https://doi.org/10.1057/s41260-022-00286-w","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"148-163"},"PeriodicalIF":2.5,"publicationDate":"2022-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44305150","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
Creating shareholder value through ESG engagement 通过参与ESG创造股东价值
IF 2.5
Journal of Asset Management Pub Date : 2022-09-19 DOI: 10.1057/s41260-022-00270-4
Benoît Mercereau, Lionel Melin, Maria Margarita Lugo
{"title":"Creating shareholder value through ESG engagement","authors":"Benoît Mercereau, Lionel Melin, Maria Margarita Lugo","doi":"10.1057/s41260-022-00270-4","DOIUrl":"https://doi.org/10.1057/s41260-022-00270-4","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"23 1","pages":"550 - 566"},"PeriodicalIF":2.5,"publicationDate":"2022-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42875040","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: 1
Tail risk management and the skewness premium 尾部风险管理与偏度溢价
IF 2.5
Journal of Asset Management Pub Date : 2022-09-03 DOI: 10.1057/s41260-022-00281-1
Martin Kipp, C. Koziol
{"title":"Tail risk management and the skewness premium","authors":"Martin Kipp, C. Koziol","doi":"10.1057/s41260-022-00281-1","DOIUrl":"https://doi.org/10.1057/s41260-022-00281-1","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"23 1","pages":"534 - 546"},"PeriodicalIF":2.5,"publicationDate":"2022-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42093071","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
The impact of volatility scaling on factor portfolio performance and factor timing 波动率缩放对因子组合绩效和因子时机的影响
IF 2.5
Journal of Asset Management Pub Date : 2022-08-29 DOI: 10.1057/s41260-022-00279-9
Federico Nucera, Björn Uhl
{"title":"The impact of volatility scaling on factor portfolio performance and factor timing","authors":"Federico Nucera, Björn Uhl","doi":"10.1057/s41260-022-00279-9","DOIUrl":"https://doi.org/10.1057/s41260-022-00279-9","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"23 1","pages":"522 - 533"},"PeriodicalIF":2.5,"publicationDate":"2022-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49566128","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: 1
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