The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle 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)
Asset pricing; Cross-sectional models; Islamic unit trusts;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gairuzazmi Mat Ghani).
If references are entirely missing, you can add them using this form.