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How Costly is Investors’ Compliance With Sharia?
9 references·13 citing·39 second hopsampled
How Costly is Investors’ Compliance With Sharia? (2004)How Costly is Investors’ Compliance With …Asset pricing implications of benchmarking: a two-factor CAPM (2003)Asset pricing implications of…Beta and returns revisited (2002)Beta and returns revisitedReligion, Ethics and Stock Trading: The Case of an Islamic Equities Market (2000)Religion, Ethics and Stock Tr…On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt? (1998)On Stable Factor Structures i…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The Conditional Relation between Beta and Returns (1995)The Conditional Relation betw…Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? (1995)Do Arbitrage Pricing Models E…Risk and return (1984)Risk and returnRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Performance comparison between Islamic and conventional stocks: evidence from Pakistan's equity market (2021)Performance comparison betwee…COVID-19 and GCC Islamic market Indices (2021)COVID-19 and GCC Islamic mark…The performance of Shariah -compliant companies during and after the recession period – evidence from companies listed on the FTSE All World Index (2020)The performance of Shariah -c…The Investment Performance of U.S. Islamic Mutual Funds (2020)The Investment Performance of…Modern portfolio theory with sharia: a comparative analysis (2020)Modern portfolio theory with …Religion based investing and illusion of Islamic Alpha and Beta (2018)Religion based investing and …Finance as Worship: A Survey of Islamic Finance Research (2017)Finance as Worship: A Survey …Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory (2016)Volatility spillover and hedg…Ethical Dow Jones indexes and investment performance: international evidence (2016)Ethical Dow Jones indexes and…The market timing ability and return performance of Islamic equities: An empirical study (2015)The market timing ability and…Heads we win, tails you lose: Is there equity in Islamic equity funds? (2013)Heads we win, tails you lose:…Seasonal Anomalies between S&P CNX Nifty Shariah Index and S&P CNX Nifty Index in India (2011)Seasonal Anomalies between S&…Faith‐based and sin portfolios (2010)Faith‐based and sin portfoliosAn Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Offsetting the implicit incentives: Benefits of benchmarking in money management (2008)Investment Performance Evaluation (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Loan loss provisions, bank valuations and discretion: A comparative study between conventional and Islamic banks (2013)Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)The bibliometric analysis of Islamic banking and finance (2020)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)The relationship between return and market value of common stocks (1981)The seasonal behavior of the liquidity premium in asset pricing (1993)Institutions and Individuals at the Turn-of-the-Year (1997)Seasonality in the cross-section of stock returns☆ (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market (2007)Combined MCDM techniques for exploring stock selection based on Gordon model (2008)Determinants of Expected Stock Returns: Large Sample Evidence from the German Market (2012)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Chapter 15 Volatility and Correlation Forecasting (2006)An Alternative Three-Factor Model (2011)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does investor sentiment impact the returns and volatility of Islamic equities? (2014)Does hajj pilgrimage affect the Islamic investor sentiment? (2015)PROFIL KINERJA RETURN DAN RESIKO PADA SAHAM TIDAK BERETIKA: STUDI KASUS PERUSAHAAN ROKOK DI INDONESIA (2019)Portfolio Performance Measurement: Theory and Applications (1996)Conditioning Variables and the Cross-Section of Stock Returns (1999)Liquidity biases in asset pricing tests☆ (2010)Oil sensitivity and systematic risk in oil-sensitive stock indices (2004)Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2010)Is size dead? A review of the size effect in equity returns (2011)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1995The Conditional Relation between Beta and Returns528 cited
  • 1998On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?426 cited
  • 1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?343 cited
  • 1984Risk and return317 cited
  • 2000Religion, Ethics and Stock Trading: The Case of an Islamic Equities Market146 cited
  • 2002Beta and returns revisited87 cited
  • 2003Asset pricing implications of benchmarking: a two-factor CAPM85 cited

Cited by

  • 2010Faith‐based and sin portfolios47 cited
  • 2013Heads we win, tails you lose: Is there equity in Islamic equity funds?44 cited
  • 2015The market timing ability and return performance of Islamic equities: An empirical study43 cited
  • 2018Religion based investing and illusion of Islamic Alpha and Beta41 cited
  • 2016Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory37 cited
  • 2011Seasonal Anomalies between S&P CNX Nifty Shariah Index and S&P CNX Nifty Index in India

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31 cited
  • 2020The Investment Performance of U.S. Islamic Mutual Funds27 cited
  • 2020Modern portfolio theory with sharia: a comparative analysis25 cited
  • 2021Performance comparison between Islamic and conventional stocks: evidence from Pakistan's equity market21 cited
  • 2020The performance of Shariah -compliant companies during and after the recession period – evidence from companies listed on the FTSE All World Index20 cited
  • 2021COVID-19 and GCC Islamic market Indices19 cited
  • 2017Finance as Worship: A Survey of Islamic Finance Research19 cited
  • 2016Ethical Dow Jones indexes and investment performance: international evidence18 cited