 THE CONDITIONAL CAPM AND CROSS-SECTIONAL EVIDENCE OF RETURN AND BETA FOR ISLAMIC UNIT TRUSTS IN MALAYSIAAbd. Ghafar Ismail and Mohd. Saharudin Shakrani ()
IIUM Journal of Economics and Management, 2003, vol. 11, issue 1, 1-20 Abstract: The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts’ returns and as a measure of market risk. Based on the adjusted-R2 and standard error of the conditional relationship between returns we find that beta is higher in a down-market than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships. Keywords: Asset pricing; Cross-sectional models; Islamic unit trusts (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ije:journl:v:1:y:2003:i:2:p:1-20 Access Statistics for this article More articles in IIUM Journal of Economics and Management from IIUM Journal of Economis and Management Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.