Momentum Strategies in Shari’ah-Compliant Stocks: The Role of Debt

Autor:	Daniel Huerta-Sanchez, Javeria Farooqi, Haiwei Chen, Thanh Ngo
Rok vydání:	2015
Předmět:	Transparency (market) Financial economics Supervisory board Management of Technology and Innovation Strategy and Management Debt media_common.quotation_subject Shari ah Economics Momentum profits Finance media_common
Zdroj:	The Journal of Investing. 24:90-111
ISSN:	2168-8613 1068-0896
DOI:	10.3905/joi.2015.24.2.090
Popis:	This article examines whether investors can execute profitable momentum strategies using Shari’ah-compliant stocks to enhance returns. We find no significant profits from either the traditional return-based momentum strategy or the turnover-based momentum strategy for Shari’ah-compliant stocks from 1996 to 2009. Such nonexistence of momentum profits for Islamic equities can be attributed to their low level of debt, higher level of transparency, and the endorsement effect from the Shari’ah independent supervisory board. Our results are consistent with the credit-rating hypothesis in Avramov et al. [2007] that low-credit firms drive momentum profits.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e716e6526a72769bd3478dba663786ea https://doi.org/10.3905/joi.2015.24.2.090 Zobrazit plný text záznamu