Predictability of Shariah-Compliant Stock and Real Estate Investments
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.
Volume (Year): 17 (2014)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA|
Web page: http://www.asres.org/
|Order Information:|| Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA|
Web: http://www.asres.org/ Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Campbell, John, 1987.
"Stock Returns and the Term Structure,"
3207699, Harvard University Department of Economics.
- Derigs, Ulrich & Marzban, Shehab, 2009. "New strategies and a new paradigm for Shariah-compliant portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1166-1176, June.
- Abdelaziz Chazi, 2010. "Risk exposure during the global financial crisis: the case of Islamic banks," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 3(4), pages 321-333, November.
- Ferson, Wayne E, 1990. " Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?," Journal of Finance, American Finance Association, vol. 45(2), pages 397-429, June.
- Seng Kok & Gianluigi Giorgioni & Jason Laws, 2009. "Performance of Shariah-Compliant Indices in London and NY Stock Markets and their potential for diversification," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(3/4), pages 398-408.
- Aggarwal, Rajesh K & Yousef, Tarik, 2000. "Islamic Banks and Investment Financing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(1), pages 93-120, February.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:17:n:01:2014:p:23-46. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IRER Secretary Office/Webmaster)
If references are entirely missing, you can add them using this form.