You are not logged in.

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.

Attached Files
Name Description MIMEType Size Downloads

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
profitability
risk factors
portfolio
mispricing
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
Persistent URL http://hdl.handle.net/10536/DRO/DU:30085085

Document type: Journal Article
Collection: Faculty of Business and Law
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 28 Abstract Views, 4 File Downloads  -  Detailed Statistics
Created: Tue, 26 Jul 2016, 10:22:19 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.