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Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model

Listed author(s):
  • Dewandaru, Ginanjar
  • Masih, Rumi
  • Bacha, Obiyathulla Ismath
  • Masih, A. Mansur. M.

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts.

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File URL: http://www.sciencedirect.com/science/article/pii/S0927538X14001085
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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 34 (2015)
Issue (Month): C ()
Pages: 205-232

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Handle: RePEc:eee:pacfin:v:34:y:2015:i:c:p:205-232
DOI: 10.1016/j.pacfin.2014.12.006
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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