Zero interest rates and cross-section of stock returns

Moustafa Abuelfadl

International Journal of Bonds and Derivatives, 2017, vol. 3, issue 3, 183-203

Abstract: The paper presents a theoretical market system based on the tenets of Islamic finance where the underlying assumption is zero interest rate. The paper used β < 1 as a criterion for zero interest rate assumption for the theoretical market system. The paper finds using multivariate analysis on portfolios sorted on β < 1, that cross section of stock returns can be explained using a parsimnious model that incorporates both behavioural finance and fundamental finance factors.

Keywords: Islamic finance; zero interest; behavioural finance; fundamental finance; beta. (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbder:v:3:y:2017:i:3:p:183-203

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