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Credit quality implied momentum profits for Islamic stocks

Version 2 2024-06-04, 01:14
Version 1 2016-07-26, 10:22
journal contribution
posted on 2017-04-01, 00:00 authored by Paresh Narayan, S Narayan, D H B Phan, Kannan ThuraisamyKannan Thuraisamy, Vuong Thao Tran
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.

History

Journal

Pacific Basin finance journal

Volume

42

Pagination

11 - 23

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0927-538X

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2015, Elsevier

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