کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6481243 | 1377361 | 2016 | 14 صفحه PDF | دانلود رایگان |
- We compile a new data set (January 1981 to December 2014) containing 2577 Islamic stocks.
- We find that financial and macroeconomic variables predict stock returns.
- Robust evidence of predictability exists only when U.S. stock returns are used as a predictor.
- Regional (industry) portfolios offer average profits of 6.16% (6.03%) per annum.
Using the sharia-compliant measures, we compile a data set that spans January 1981 to December 2014 and contains 2577 Islamic stocks. Using as many as 12 financial and macroeconomic predictors, we discover strong evidence of both in-sample and out-of-sample return predictability. There is robust evidence of predictability only when U.S. stock returns are used as a predictor. We find that investing in regional (industry) portfolios offers on average, across the 12 predictors, meaningful profits of 6.16% (6.03%) per annum. Investing in a portfolio of Islamic stocks belonging to emerging markets (9.89% per annum) and a portfolio of Islamic stocks belonging to the consumer goods sector (6.37% per annum) offers the most returns amongst regions and industries, respectively.
Journal: Pacific-Basin Finance Journal - Volume 40, Part A, December 2016, Pages 210-223