Pub Date : 2022-10-03DOI: 10.1057/s41260-022-00285-x
Julien Riposo, E. Klepfish
{"title":"Notes on the convergence of the estimated risk factor matrix in linear regression models","authors":"Julien Riposo, E. Klepfish","doi":"10.1057/s41260-022-00285-x","DOIUrl":"https://doi.org/10.1057/s41260-022-00285-x","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"97-107"},"PeriodicalIF":2.5,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46283473","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}
Pub Date : 2022-10-02DOI: 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}
Pub Date : 2022-10-01DOI: 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}
Pub Date : 2022-09-26DOI: 10.1057/s41260-022-00288-8
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, 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.
{"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}
Pub Date : 2022-09-26DOI: 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}
Pub Date : 2022-09-23DOI: 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}
Pub Date : 2022-09-20DOI: 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}
Pub Date : 2022-09-19DOI: 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}
Pub Date : 2022-09-03DOI: 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}
Pub Date : 2022-08-29DOI: 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}
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