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Predictability of Shariah-Compliant Stock and Real Estate Investments

Author

Listed:
  • Sing Tien Foo

    (Department of Real Estate, National University of Singapore)

  • Loh Kok Weng

    (Department of Real Estate, National University of Singapore)

Abstract

The study tests the predictability of excess returns on four global asset classes that include Shariah-compliant (SC) real estate, SC stocks, conventional real estate and real estate investment trusts (REITs). Based on weekly excess returns from January 2001 to December 2010, our empirical results do not reject the hypothesis that Shariah compliance risk is significantly priced in the excess returns of a portfolio of the four global asset classes. Shariah compliance risk and real estate risk are mutually exclusive. Fund managers will only price one common Shariah compliance risk in a pure real estate portfolio that consists of SC real estate, conventional real estate and REITs.

Suggested Citation

  • Sing Tien Foo & Loh Kok Weng, 2014. "Predictability of Shariah-Compliant Stock and Real Estate Investments," International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 23-46.
    • Handle: RePEc:ire:issued:v:17:n:01:2014:p:23-46
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Shariah-Compliance (SC) risk; Common risk premia; Global asset portfolios; Predictability of excess returns; Risk diversification;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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