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Credit quality implied momentum profits for Islamic stocks
journal contribution
posted on 2017-04-01, 00:00 authored by Paresh Narayan, S Narayan, D H B Phan, Kannan ThuraisamyKannan Thuraisamy, Vuong Thao TranUsing 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.
History
Journal
Pacific Basin finance journalVolume
42Pagination
11 - 23Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
0927-538XLanguage
engPublication classification
C Journal article; C1 Refereed article in a scholarly journalCopyright notice
2015, ElsevierUsage metrics
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