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Momentum strategies for Islamic stocks

Narayan, Paresh and Phan, Dinh 2016, Momentum strategies for Islamic stocks, Pacific Basin Finance Journal, vol. 42, pp. 1-17, doi: 10.1016/j.pacfin.2016.05.015.

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Title Momentum strategies for Islamic stocks
Author(s) Narayan, Paresh
Phan, Dinh
Journal name Pacific Basin Finance Journal
Volume number 42
Start page 1
End page 17
Total pages 17
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016
ISSN 0927-538X
Keyword(s) Islamic Stocks
Risk Factors
Abnormal Returns
Social Sciences
Business, Finance
Business & Economics
Summary We estimate momentum profits for a large portfolio of Islamic stocks, control for stock characteristics and the state-of-the-market, explore seasonal patterns, and examine the determinants of profits. We discover ample evidence that momentum strategies work for Islamic stocks, but are stock characteristic-dependent, that up and down phases of the market offer different profits, and that there is a January effect on profits. We also find that the market risk factors - namely, excess market returns, value, size, and betting-against-beta factors - and macroeconomic risk factors do explain profits. We conclude that the profitability of Islamic stocks is merely compensation for risks and is not due to mispricing.
Language eng
DOI 10.1016/j.pacfin.2016.05.015
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
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Document type: Journal Article
Collection: Faculty of Business and Law
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Created: Wed, 20 Jul 2016, 13:50:58 EST

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