Heads we win, tails you lose: Is there equity in Islamic equity funds?

Pacific Basin Finance Journal

Volumn 28, Issue , 2014, Pages 7-28

  Kamil, Nazrol K M ^a   Alhabshi, Syed O ^a   Bacha, Obiyathulla I ^a   Masih, Mansur ^a  

^a Lorong Universiti A   (Malaysia)

Author keywords

Islamic equity funds; Luck versus skill; Performance measurement

Indexed keywords

EID: 84901851491     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2013.09.004     Document Type: Article

References (35)

1. Abdullah F., Hassan T., Mohamad S. Investigation of performance of Malaysian Islamic unit trust funds: comparison with conventional unit trust funds. Manag. Financ. 2007, 33(2):142-153.
2. Afza T., Rauf A. Performance evaluation of Pakistani mutual funds. Pakistan Econ. Soc. Rev. 2009, 47(2):199-214.
3. Alam N., Rajjaque M.S. Shariah-compliant equities: empirical evaluation of performance in the European market during credit crunch. J. Financ. Serv. Mark. 2010, 15(3):228-240.
4. Annuar M.N., Shamsher M., Ngu M.H. Selectivity and timing: evidence from the performance of Malaysian unit trusts. Pertanika J. Soc. Sci. Humanit. 1997, 5:45-57.
5. Ayub M. Understanding Islamic finance 2007, Wiley, England.
6. Barras L., Scaillet O., Wermers R. False discoveries in mutual fund performance: measuring luck in estimated alphas. J. Financ. 2010, 65:179-216.
7. Bauer R., Koedijk K., Otten R. International evidence on ethical mutual fund performance and investment style. J. Bank. Financ. 2005, 29(7):1751-1767.
8. Blanchett D.M. Exploring the cost of investing in socially responsible mutual funds: an empirical study. J. Invest. 2010, 19(3):93-103.
9. Campbell J.Y., Vuolteenaho T. Bad beta good beta. NBER Working Paper 2003, (Retrieved 12 October 2012 from http://www.nber.org/papers/w9509).
10. Carhart M.M. On persistence in mutual fund performance. J. Financ. 1997, 52:57-82.
11. Elfakhani S., Hassan M.K., Sidani Y. Comparative performance of Islamic versus secular mutual funds. 12th Economic Research Forum Conference, University of New Orleans, USA, November 2005 2005.
12. Fama E.F., French K.R. The cross-section of expected stock returns. J. Financ. 1992, 47:427-465.
13. Fama E.F., French K.R. Common risk factors in the returns on bonds and stocks. J. Financ. Econ. 1993, 33:3-53.
14. Fama E.F., French K.R. Luck versus skill in the cross-section of mutual fund returns. J. Financ. 2010, 65:1915-1947.
15. Forte G., Miglietta F. Islamic mutual funds as faith-based funds in a socially responsible context. Working Paper 2007, (Retrieved 12 October 2012 from http://ssrn.com/abstract=1012813).
16. Girard E., Hassan M.K. Is there a cost to faith-based investing: evidence from FTSE Islamic Indices. J. Invest. 2008, 17(4):112-121.
17. Hakim S., Rashidian M. How costly is investor's compliance to Sharia?. Paper Presented at the 11th Economic Research Forum Annual Conference, Beirut, Lebanon, December 14-16, 2004 2004.
18. Hayat R., Kraeussl R. Risk and return characteristics of Islamic equity funds. Working Paper 2011, (Retrieved 12 October 2012 from http://ssrn.com/abstract=1320712).
19. Hoepner A.G.F., Rammal H.G., Rezec M. Islamic mutual funds' financial performance and international investment style: evidence from 20 countries. Eur. J. Financ. 2011, 17(9-10):829-850.
20. Hussein K.A. Ethical investment: empirical evidence from FTSE Islamic index. Islam. Econ. Stud. 2004, 12(1):21-40.
21. Ismail A.G., Shakrani M.S. The conditional CAPM and cross-sectional evidence of return and beta for Islamic unit trusts in Malaysia. IIUM J. Econ. Manag. 2003, 11(1):1-31.
22. Jegadeesh N., Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. J. Financ. 1993, 48:65-91.
23. Kosowski R., Timmermann A., Wermers R., White H. Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis. J. Financ. 2006, 61:2551-2595.
24. Lintner J. The valuation of risk assets and the selection of risk investments in stock portfolios and capital budgets. Rev. Econ. Stat. 1965, 47:13-37.
25. Lyn E.O., Zychowicz E.J. The impact of faith-based screens on investment performance. J. Invest. 2010, 19(3):136-143.
26. Mansor F., Bhatti M.I. Risk and return analysis on performance of the Islamic mutual funds: evidence from Malaysia. Glob. Econ. Financ. J. 2011, 4(1):19-31.
27. Merdad H., Hassan M.K., Alhenawi Y. Islamic versus conventional mutual funds performance in Saudi Arabia: a case study. J. King Abdulaziz Univ. Islam. Econ. 2010, 23(2):157-193.
28. Obiyathulla I.B. Adapting mudarabah financing to contemporary realities: a proposed financing structure. J. Account. Commer. Financ. Islam. Perspect. 1997, 1(1):26-54.
29. Ramasamy B., Yeung M.C.H. Evaluating mutual funds in an emerging market: factors that matter to financial advisors. Int. J. Bank Mark. 2003, 21(3):122-136.
30. Renneboog L., Horst J.T., Zhang C. Socially responsible investments: institutional aspects, performance, and investor behavior. J. Bank. Financ. 2008, 32:1723-1742.
31. Renneboog L., Horst J.T., Zhang C. The price of ethics and stakeholder governance: the performance of socially responsible mutual funds. J. Corp. Financ. 2008, 14:302-322.
32. Saad N.M., Majid M.S.A., Kassim S., Hamid Z., Yusof R.M. A comparative analysis of the performance of conventional and Islamic unit trust companies in Malaysia. Int. J. Manag. Financ. 2010, 6(1):24-47.
33. Shamsher M., Annuar M.N., Taufiq H. Investment in unit trusts: performance of active and passive funds. Proceedings of FEP Seminar 2000: Issues in Accounting and Finance 2 2000, 129-141. Universiti Putra Malaysia Press, Malaysia.
34. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. J. Financ. 1964, 19:425-442.
35. Storey J.D. A direct approach to false discovery rates. J. R. Stat. Soc. 2002, 64:479-498.