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

Author

Listed:
  • Abdelbari El Khamlichi
  • Mohamed Arouri
  • Frédéric Teulon

Abstract

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 Ca

Suggested Citation

  • Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-216
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_216.pdf
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    References listed on IDEAS

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    Cited by:

    1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
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    8. repec:ipg:wpaper:2014-448 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-393 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-413 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-505 is not listed on IDEAS
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    More about this item

    Keywords

    persistence; Islamic indices; performance; four-factor model;
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