Islamic investing

Review of Financial Economics

Volumn 21, Issue 2, 2012, Pages 53-62

  Walkshäusl, Christian ^a   Lobe, Sebastian ^a  

^a UNIVERSITY OF REGENSBURG   (Germany)

Author keywords

Asset pricing; International markets; Islamic finance; Performance evaluation; Sharia compliant investments

Indexed keywords

EID: 84860338595     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2012.03.002     Document Type: Article

References (39)

1. Albaity Mohamed, Ahmad Rubi Performance of Syariah and composite indices: Evidence from Bursa Malaysia. Asian Academy of Management Journal of Accounting and Finance 2008, 4:23-43.
2. Bali Turan G., Demirtas K.Ozgur, Levy Haim Nonlinear mean reversion in stock prices. Journal of Banking & Finance 2008, 32:767-782.
3. Bali Turan G., Demirtas K.Ozgur, Levy Haim Is there an intertemporal relation between downside risk and expected returns?. Journal of Financial and Quantitative Analysis 2009, 44:883-909.
4. Banz Rolf W. The relationship between return and market value of common stocks. Journal of Financial Economics 1981, 9:3-18.
5. Carhart Mark M. On persistence in mutual fund performance. Journal of Finance 1997, 52:57-82.
6. Chui Andy C.W., Titman Sheridan, Wei K.C.John Individualism and momentum around the world. Journal of Finance 2010, 65:361-392.
7. Diltz J.David The private cost of socially responsible investing. Applied Financial Economics 1995, 5:69-77.
8. Elfakhani Said, Hassan M.Kabir Performance of Islamic mutual funds, American University of Beirut, Working Paper 2005.
9. Eun Cheol S., Lee Jinsoo Mean-variance convergence around the world. Journal of Banking & Finance 2010, 34:856-870.
10. Fama Eugene F., French Kenneth R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
11. Fama Eugene F., French Kenneth R. Value versus growth: The international evidence. Journal of Finance 1998, 53:1975-1999.
12. Fama Eugene F., French Kenneth R. Size, value, and momentum in international stock returns, University of Chicago, Working Paper 2011.
13. Forte Gianfranco, Miglietta Federica Islamic mutual funds as faith-based funds in a socially responsible context, Bocconi University, Working Paper 2007.
14. Griffin John M. Are the Fama and French factors global or country specific?. Review of Financial Studies 2002, 15:783-803.
15. Grinblatt Mark, Titman Sheridan, Wermers Russ Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review 1995, 85:1088-1105.
16. Grossman Blake R., Sharpe William F. Financial implications of South Africa divestment. Financial Analyst Journal 1986, 42:15-29.
17. Harvey Campbell R. Predictable risk and returns in emerging markets. Review of Financial Studies 1995, 8:773-816.
18. Hendricks Darryll, Patel Jayendu, Zeckhauser Richard Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988. Journal of Finance 1993, 48:93-130.
19. Hoepner Andreas G.F., Rammal Hussain G., Rezec Michael Islamic mutual funds' financial performance and international investment style: evidence from 20 countries. European Journal of Finance 2011, 17:829-850.
20. Hussein Khaled, Omran Mohammed Ethical investment revisited: Evidence from Dow Jones Islamic Indexes. Journal of Investing 2005, 14:105-126.
21. Ince Ozgur S., Porter R.Burt Individual equity return data from Thomson datastream: Handle with care!. Journal of Financial Research 2006, 29:463-479.
22. Jegadeesh Narasimhan Evidence of predictable behavior of security returns. Journal of Finance 1990, 45:881-898.
23. Jegadeesh Narasimhan, Titman Sheridan Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
24. Jobson J.D., Korkie Bob M. Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance 1981, 36:889-908.
25. Ledoit Oliver, Wolf Michael Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 2008, 15:850-859.
26. Levy Haim Stochastic dominance and expected utility: Survey and analysis. Management Science 1992, 38:555-593.
27. Lintner John The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics 1965, 47:13-37.
28. Loh Wei-Yin Calibrating confidence coefficients. Journal of the American Statistical Association 1987, 82:155-162.
29. Memmel Christoph Performance hypothesis testing with the Sharpe ratio. Finance Letters 2003, 1:21-23.
30. Naughton Shahnaz, Naughton Tony Religion, ethics and stock trading: The case of an Islamic equities market. Journal of Business Ethics 2000, 23:145-159.
31. Ogryczak Wlodzimierz, Ruszczynski Andrzej From stochastic dominance to mean-risk models: Semideviations as risk measures. European Journal of Operational Research 1999, 116:33-50.
32. Politis Dimitris N., Romano Joseph P. A circular block-resampling procedure for stationary data. Exploring the limits of bootstrap 1992, John Wiley & Sons, New York. R. LePage, L. Billard (Eds.).
33. Renneboog Luc, Ter Horst Jenke, Zhang Chendi Socially responsible investments: Methodology, risk exposure and performance, Tilburg University, Working Paper 2007.
34. Rosenberg Barr, Reid Kenneth, Lanstein Ronald Persuasive evidence of market inefficiency. Journal of Portfolio Management 1985, 11:9-17.
35. Rouwenhorst K.Geert International momentum strategies. Journal of Finance 1998, 53:267-284.
36. Rudd Andrew Social responsibility and portfolio performance. California Management Review 1981, 23:55-61.
37. Sharpe William F. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 1964, 19:425-442.
38. Sharpe William F. Asset allocation: Management style and performance measurement. Journal of Portfolio Management 1992, 18:7-19.
39. White Halbert A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 1980, 48:817-838.