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Macro-financial regimes and performance of Shariah-compliant equity portfolios
16 references·5 citing·45 second hop
Macro-financial regimes and performance of Shariah-compliant equity portfolios (2019)Macro-financial regimes and performance o…Does the Shariah screening process matter? Evidence from Shariah compliant portfolios (2016)Does the Shariah screening pr…Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices (2014)Does Shari’ah Screening Cause…A Study of Low-Volatility PortfolioConstruction Methods (2014)A Study of Low-Volatility Por…Matching perception with the reality—Performance of Islamic equity investments (2013)Matching perception with the …Regime Shifts: Implications for Dynamic Strategies (2012)Regime Shifts: Implications f…Regime Shifts: Implications for Dynamic Strategies (corrected) (2012)Regime Shifts: Implications f…Regime switching models (2010)Regime switching modelsMacroeconometrics and Time Series Analysis (2010)Macroeconometrics and Time Se…Asset allocation under multivariate regime switching (2007)Asset allocation under multiv…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…How Regimes Affect Asset Allocation (2004)How Regimes Affect Asset Allo…How do Regimes Affect Asset Allocation? (2003)How do Regimes Affect Asset A…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Irrational Exuberance (2001)Irrational ExuberanceMarket Timing: Style and Size Rotation Using the VIX (1999)Market Timing: Style and Size…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks (2022)Covid-19 and informational ef…The trade-off between knowledge accumulation and independence: The case of the Shariah supervisory board within the Shariah governance and firm performance nexus (2021)The trade-off between knowled…Shariah-compliant equities and Shariah screening: need for convergence of ethical screening of stocks with Shariah screening (2021)Shariah-compliant equities an…Does the choice of stock selection criteria affect the performance of Sharīʿah-compliant equity portfolios? (2021)Does the choice of stock sele…Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets (2019)Sector Portfolio Performance …Capital Market Equilibrium with Restricted Borrowing (1972)Asset returns and inflation (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Systemic Risk and Hedge Funds (2007)Is Regime Switching in Stock Returns Important in Portfolio Decisions? (2010)Does the Stock Market Overreact? (1985)A Capital Asset Pricing Model with Time-Varying Covariances (1988)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Crises and contagion in Asia Pacific — Islamic v/s conventional markets (2015)Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks (2015)On the dynamic links between commodities and Islamic equity (2016)Expected stock returns and volatility (1987)The Cross-Section of Expected Stock Returns (1992)Contrarian Investment, Extrapolation, and Risk (1994)Fear and the Fama-French Factors (2007)The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets (2008)Large data sets and machine learning: Applications to statistical arbitrage (2019)Autoregressive conditional heteroskedasticity and changes in regime (1994)International Asset Allocation With Regime Shifts (2002)A model of carbon price interactions with macroeconomic and energy dynamics (2011)Corporate bond default risk: A 150-year perspective (2011)Technical Guide for Latent GOLD 5.1: Basic, Advanced, and Syntax 1 (2016)The capital asset pricing model: Some empirical tests (1972)Portfolio optimization when asset returns have the Gaussian mixture distribution (2006)The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions (2013)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Rational-expectations econometric analysis of changes in regime (1988)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stock Return Predictability: Is it There? (2006)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Learning in Financial Markets (2009)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Chapter 13 Consumption-based asset pricing (2003)Bubbles, Financial Crises, and Systemic Risk (2013)Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 2007Asset allocation under multivariate regime switching427 cited
  • 2001Irrational Exuberance378 cited
  • 2010Regime switching models349 cited
  • 2004How Regimes Affect Asset Allocation204 cited
  • 2013Matching perception with the reality—Performance of Islamic equity investments145 cited
  • 1999Market Timing: Style and Size Rotation Using the VIX145 cited
  • 2003How do Regimes Affect Asset Allocation?143 cited
  • 2012Regime Shifts: Implications for Dynamic Strategies (corrected)124 cited
  • 2010Macroeconometrics and Time Series Analysis109 cited
  • 2014Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices101 cited
  • 2016Does the Shariah screening process matter? Evidence from Shariah compliant portfolios80 cited
  • 2012Regime Shifts: Implications for Dynamic Strategies66 cited
  • 2014A Study of Low-Volatility PortfolioConstruction Methods

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Cited by

  • 2021Shariah-compliant equities and Shariah screening: need for convergence of ethical screening of stocks with Shariah screening24 cited
  • 2022Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks23 cited
  • 2019Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets17 cited
  • 2021Does the choice of stock selection criteria affect the performance of Sharīʿah-compliant equity portfolios?14 cited
  • 2021The trade-off between knowledge accumulation and independence: The case of the Shariah supervisory board within the Shariah governance and firm performance nexus14 cited