Forthcoming and Online First Articles

International Journal of Portfolio Analysis and Management

International Journal of Portfolio Analysis and Management (IJPAM)

Forthcoming articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Portfolio Analysis and Management (2 papers in press)

Regular Issues

  • The rise of sustainable, responsible and impact investing: ETFs and ESG   Order a copy of this article
    by Jesus Carmona, Natalya Delcoure, Francisco Haces-Fernandez 
    Abstract: Sustainable, responsible and impact (SRI) investing has grown in recent years. This research investigates the impact of diverse events on SRI exchange traded-funds (ETFs). The applied event study methodology identified significant abnormal returns around event dates. Some events had impact across all financial instruments while others were specific to particular sectors. Results indicated that financial markets evaluate sustainable investment and renewable energy as resilient options in the face of uncertainty, such as Covid-19 financial impacts. These results are further validated by sentiment analysis, indicating that the social media evaluates SRI as safer options in times of uncertainty.
    Keywords: Sustainable; responsible and impact (SRI) investing; environmental; social and corporate governance (ESG) criteria; exchange-traded funds; ETFs; sentiment analysis; event study methodology.

  • Asset Allocation with Forward-Looking Distribution   Order a copy of this article
    by Takuya Kiriu, Norio Hibiki 
    Abstract: In asset allocation, selecting an approach to estimate return distribution has a significant impact on investment performance. Previous studies show the effectiveness of the forward-looking approach for timing the stock market. In practice, it is common to consider asset allocations that include bonds and stocks. However, a forward-looking approach for bonds has not been developed or investigated. In this study, we develop a forward-looking method to estimate bond return distribution from current market prices. Then, we construct a forward-looking asset allocation model for a Japanese investor under a practical setting that includes both bonds and stocks. From the out-of-sample performance comparison with non-forward-looking approaches, we obtain the following results. First, the forward-looking approach performs better than the non-forward-looking approaches. Second, the timing ability contributes to the better performance of the forward-looking approach. Third, the forward-looking approach is beneficial for bonds and stocks.
    Keywords: finance; portfolio management; asset allocation; return distribution; implied distribution; forward-looking; risk-adjustment; recovery theorem; bonds; stocks.

 

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