Frais, performance et risque des fonds d'investissement islamiques et conventionnels: une approche théorique et empirique

Meryem Mehri

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: Islamic and conventional investment funds have the same purpose. However, unlike conventional funds, Islamic funds offer different investment contracts and have to invest in accordance with a set of selection rules. This dissertation focuses on developing theoretical and empirical analysis framework to explain the fixed and performance fees, the performance and the risk of investment funds. Thus, we begin by developing a theoretical analysis about profit and loss-Sharing contracts (venture capital) that face agency problems. Based on this theoretical framework, a theoretical model, in the presence of adverse selection problem between the fund manager and the investor, shows that the risk aversions of the fund manager and the investor have respectively an impact on the periodic performance fees (carried interest) during the bargaining stage. The conclusions of this model lead us to empirically explain the terms of compensation and profit-Sharing, the performance and the risk of funds. To achieve our objective, we create a unique database that has an international sample of Islamic and conventional funds grouped by management company. By distinguishing between Islamic and conventional funds, the legal, political and economic conditions explain their fees, performance and risk.

Keywords: Fonds Islamiques; Problèmes d’agence; Aversion au risque; Simulation; Frais de gestion; Performance; Volatilité; Risque systématique; Islamic funds; Agency problems; Risk aversion; Management fees; Volatility; Systematic risk (search for similar items in EconPapers)
JEL-codes: D82 F51 G17 G2 G21 G23 G24 G28 K40 L25 P17 (search for similar items in EconPapers)
Date: 2014 Written 2014
Note: dissertation
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