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Momentum strategies for Islamic stocks

Paresh Kumar Narayan and Dinh Hoang Bach Phan

Pacific-Basin Finance Journal, 2017, vol. 42, issue C, 96-112

Abstract: We estimate momentum profits for a large portfolio of Islamic stocks, control for stock characteristics and the state-of-the-market, explore seasonal patterns, and examine the determinants of profits. We discover ample evidence that momentum strategies work for Islamic stocks, but are stock characteristic-dependent, that up and down phases of the market offer different profits, and that there is a January effect on profits. We also find that the market risk factors – namely, excess market returns, value, size, and betting-against-beta factors – and macroeconomic risk factors do explain profits. We conclude that the profitability of Islamic stocks is merely compensation for risks and is not due to mispricing.

Keywords: Islamic Stocks; Profitability; Risk Factors; Portfolio; Mispricing; Abnormal Returns (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:42:y:2017:i:c:p:96-112

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