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Is there a financial news risk premium in Islamic stocks?

Narayan, Paresh Kumar, Phan, Dinh Hoang Bach, Narayan, Seema and Bannigidadmath, Deepa 2017, Is there a financial news risk premium in Islamic stocks?, Pacific-Basin finance journal, vol. 42, pp. 158-170, doi: 10.1016/j.pacfin.2017.02.008.

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Title Is there a financial news risk premium in Islamic stocks?
Author(s) Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Narayan, Seema
Bannigidadmath, Deepa
Journal name Pacific-Basin finance journal
Volume number 42
Start page 158
End page 170
Total pages 13
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-04
ISSN 0927-538X
Keyword(s) Islamic stocks
portfolio
profits
momentum
Social Sciences
Business, Finance
Business & Economics
INVESTOR SENTIMENT
MARKET-EFFICIENCY
RETURNS
PERFORMANCE
BANKING
MEDIA
Summary This paper examines whether there is a financial news risk premium in Islamic stocks. We utilize a unique data set that includes over 2000 stocks listed on multiple markets. Our main findings are twofold. First, simple trading strategies that buy high news sensitive portfolios and sell low news sensitive portfolios generate annualized returns of 4.92% to 12.48%. Second, we perform a momentum trading strategy for high and low news sensitive stocks and find that while both portfolios are profitable, investing in a portfolio of high news sensitive stocks generates an additional profit of 5.60% per annum. Our results are robust to different composition of portfolios, different momentum portfolio rules, and market risk-adjusted excess returns.
Language eng
DOI 10.1016/j.pacfin.2017.02.008
Field of Research 1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 0 Not Applicable
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2017, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30094148

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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