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The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia

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  • Abd. Ghafar Ismail and Mohd. Saharudin Shakrani

    ()

Abstract

The aim of this paper is to investigate the relationship between return and beta for Islamic unit trusts using the cross-sectional regression analysis. The estimation of return and beta without differentiating between positive and negative excess market returns produces a flat unconditional relationship between return and beta. Using the conditional CAPM and cross-sectional regression analysis, the evidence in this paper tends to support a significant positive relationship in an up-market and a significant negative relationship in a down-market. This paper suggests that beta could be used as a tool in explaining cross-sectional differences in Islamic unit trusts’ returns and as a measure of market risk. Based on the adjusted-R2 and standard error of the conditional relationship between returns we find that beta is higher in a down-market than in an up-market. Therefore, both statistics are appropriate measurements of conditional relationships.

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File URL: http://www.iium.edu.my/enmjournal/111art1.pdf
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Bibliographic Info

Article provided by IIUM Journal of Economis and Management in its journal IIUM Journal of Economics and Management.

Volume (Year): 11 (2003)
Issue (Month): 1 (June)
Pages: 1-20

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Handle: RePEc:ije:journl:v:1:y:2003:i:2:p:1-20

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Related research

Keywords: Asset pricing; Cross-sectional models; Islamic unit trusts;

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Cited by:
  1. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.

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