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Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index

  • Abdelbari El Khamlichi
  • Mohamed Arouri
  • Frédéric Teulon

Despite the increasing attention to ethical investments, the empirical studies on Islamic indices are scarce. The main goal of this article is to investigate whether Dow Jones Islamic index 100 titans (DJI100) delivers persistent performance. Using the Carhart (1997) four-factor model, we consider all historical data available from the launching of the index by Dow Jones on September 1999 to March 2011. We study all the firms included in the index and we construct the risk factors (Market premium, size, Book-to-Market, momentum). Our findings show positive performance for momentum strategy and support the idea that ethical investments could under-perform and thus investors accept to pay for their ethics.

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-216.

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Length: 12 pages
Date of creation: 10 Apr 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-216
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  17. Abd. Ghafar Ismail and Mohd. Saharudin Shakrani, 2003. "The Conditional Capm And Cross-Sectional Evidence Of Return And Beta For Islamic Unit Trusts In Malaysia," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, vol. 11(1), pages 1-20, June.
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