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Credit quality implied momentum profits for Islamic stocks

Narayan, Paresh, Narayan, Seema, Phan, Dinh Hoang Bach, Thuraisamy, Kannan Sivananthan and Tran, Vuong Thao 2015, Credit quality implied momentum profits for Islamic stocks, Pacific Basin Finance Journal, no. In Press, pp. 1-13, doi: 10.1016/j.pacfin.2015.11.004.

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Title Credit quality implied momentum profits for Islamic stocks
Author(s) Narayan, Paresh
Narayan, Seema
Phan, Dinh Hoang Bach
Thuraisamy, Kannan Sivananthan
Tran, Vuong Thao
Journal name Pacific Basin Finance Journal
Issue number In Press
Start page 1
End page 13
Total pages 13
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-09-04
ISSN 0927-538X
Keyword(s) Islamic stocks
risk factors
abnormal returns
Summary Using a sample of Asia-Pacific Islamic stocks we show that momentum profits exist regardless of the credit quality of stocks. A portfolio of low credit quality stocks earns 4.68% per annum more than a portfolio of high credit quality stocks. Market risk factors explain all momentum profits, suggesting that profits are compensation for risks. Post-holding period analysis suggests strong evidence of return reversal, consistent with the behavioral hypothesis. Our main results are also robust to sub-samples of data characterized by the recent global financial crisis and to Islamic and non-Islamic based market risk factors.
Language eng
DOI 10.1016/j.pacfin.2015.11.004
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
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Document type: Journal Article
Collection: Faculty of Business and Law
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