Credit quality implied momentum profits for Islamic stocks
Data(s) |
04/09/2015
|
---|---|
Resumo |
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. |
Identificador | |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30085085/narayan-creditquality-inpress-2015.pdf http://www.dx.doi.org/10.1016/j.pacfin.2015.11.004 |
Tipo |
Journal Article |
Idioma(s) |
eng |
Direitos |
2015, Elsevier |
Palavras-Chave | #Islamic stocks #profitability #risk factors #portfolio #mispricing #abnormal returns |