کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5104387 1480884 2016 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Is momentum trading profitable from Shari'ah compliant stocks?
ترجمه فارسی عنوان
آیا حرکت حرکتی سودآور از سهام سازگار با شریعت است؟
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 31, November 2016, Pages 56-63
نویسندگان
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