The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia
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.
Volume (Year): 11 (2003)
Issue (Month): 1 (June)
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