کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102339 1479849 2017 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is there a financial news risk premium in Islamic stocks?
ترجمه فارسی عنوان
آیا حق بیمه اخبار مالی در سهام اسلامی وجود دارد؟
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- Is a financial news risk premium in Islamic stocks?
- We compile a unique data set that includes over 2000 Islamic stocks.
- Trading strategies generate annualized returns of between 4.92% and 12.48%.
- Financial news influences profits.
- Our results are robust to different composition of portfolios and portfolio rules.

This paper examines whether there is a financial news risk premium in Islamic stocks. We utilize a unique data set that includes over 2000 stocks listed on multiple markets. Our main findings are twofold. First, simple trading strategies that buy high news sensitive portfolios and sell low news sensitive portfolios generate annualized returns of 4.92% to 12.48%. Second, we perform a momentum trading strategy for high and low news sensitive stocks and find that while both portfolios are profitable, investing in a portfolio of high news sensitive stocks generates an additional profit of 5.60% per annum. Our results are robust to different composition of portfolios, different momentum portfolio rules, and market risk-adjusted excess returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 42, April 2017, Pages 158-170
نویسندگان
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