Does the choice of stock selection criteria affect the performance of Shariah - compliant equity portfolios ?
المؤلف
المصدر
ISRA International Journal of Islamic Finance
العدد
المجلد 13، العدد 2 (31 أغسطس/آب 2021)، ص ص. 263-280، 18ص.
الناشر
الأكاديمية العالمية للبحوث الشرعية
تاريخ النشر
2021-08-31
دولة النشر
ماليزيا
عدد الصفحات
18
التخصصات الرئيسية
الملخص EN
Purpose – There are a number of differences in the current Sharīʿah screening guidelines formulated by Sharīʿah scholars associated with world-renowned index providers and financial institutions.
The purpose of this study is to highlight the consequences of such differences on the portfolio level outcomes for Sharīʿahcompliant investors.
This study also investigates the cost of adopting an alternative stock selection methodology.
Design/methodology/approach – Seven Sharīʿah-compliant equity portfolios (SCEPs) are created from the active constituents of the S&P 500.
Size, sector allocation and financial performance of the resulting seven portfolios are evaluated for the period 1984–2019.
Style analysis is performed to attribute the difference in financial performance caused by the choice of selection criteria to different risk factors.
The cost of switching the selection criteria is evaluated with turnover analysis and break-even transaction cost.
Findings – The choice of stock selection criteria has a significant effect on the size, sector bets and financial performance of the portfolios.
Those portfolios which are constructed with market capitalization-based screens outperform portfolios constructed with total assets-based screens.
The turnover analysis revealed that SCEPs are relatively costly in practice.
Originality/value – This study investigates the performance of Sharīʿah-compliant portfolios in the context of seven different screening guidelines.
The effects of transaction cost and performance attribution to different risk factors represent the key contributions of this study.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Muhammad, Rida Wajid. 2021. Does the choice of stock selection criteria affect the performance of Shariah - compliant equity portfolios ?. ISRA International Journal of Islamic Finance،Vol. 13, no. 2, pp.263-280.
https://search.emarefa.net/detail/BIM-1429359
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Muhammad, Rida Wajid. Does the choice of stock selection criteria affect the performance of Shariah - compliant equity portfolios ?. ISRA International Journal of Islamic Finance Vol. 13, no. 2 (2021), pp.263-280.
https://search.emarefa.net/detail/BIM-1429359
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Muhammad, Rida Wajid. Does the choice of stock selection criteria affect the performance of Shariah - compliant equity portfolios ?. ISRA International Journal of Islamic Finance. 2021. Vol. 13, no. 2, pp.263-280.
https://search.emarefa.net/detail/BIM-1429359
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references : p. 278-280
رقم السجل
BIM-1429359
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر