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Multi factor equity model for shariah investment / Shahril Simon

The study is set out to discover a new multi factor model for Shariah investing in Malaysian stocks based on musharakah principle. It also wants to know the model explanatory power of stocks‟ risk decomposition and return attribution as well to forecast risk given the current volatile market. Existi...

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Main Author: Shahril , Simon
Format: Thesis
Published: 2015
Subjects:
BV1460 Religious Education
H Social Sciences (General)
HG Finance
Online Access:http://studentsrepo.um.edu.my/6861/1/SHAHRIL_SIMON.pdf
http://studentsrepo.um.edu.my/6861/
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spelling my.um.stud.68612016-12-07T03:02:27Z Multi factor equity model for shariah investment / Shahril Simon Shahril , Simon BV1460 Religious Education H Social Sciences (General) HG Finance The study is set out to discover a new multi factor model for Shariah investing in Malaysian stocks based on musharakah principle. It also wants to know the model explanatory power of stocks‟ risk decomposition and return attribution as well to forecast risk given the current volatile market. Existing single factor model such as Capital Asset Pricing Model and multi factor model like Fama French Model are formulated on the basis of risk-free rate element in which rescind out with Shariah principle of musharakah. Moreover, the models do not explained their factors well in emerging markets that include Malaysia. Thus, exploring the alternative model is pertinent. A fundamental factor model is carefully constructed from four key essential elements of musharakah: Business Sector, Management Quality, Profitability Growth and Capital Strength factors. It gives greater insight into the sources of stocks performance and leads to intuitive action items. The cross-sectional approach is used to build the model. Key results show that the model has high explanatory power for contemporaneous returns, maintains high forecasting ability in high and low volatility environments and stays unbiased with no significant under-forecasting or over-forecasting of risk for a broad variety of portfolios. Despite the existence of long established multi factor models, this study offers new empirical evidence suggesting the application of musharakah principle as a framework, although without risk-free rate element, is able to increase the explanatory power of Shariah-compliant stocks‟ risk and return. Moreover, it goes well with those who subscribe to principle based investing. 2015-11-04 Thesis NonPeerReviewed application/pdf http://studentsrepo.um.edu.my/6861/1/SHAHRIL_SIMON.pdf Shahril , Simon (2015) Multi factor equity model for shariah investment / Shahril Simon. PhD thesis, University of Malaya. http://studentsrepo.um.edu.my/6861/
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Student Repository
url_provider http://studentsrepo.um.edu.my/
topic BV1460 Religious Education
H Social Sciences (General)
HG Finance
spellingShingle BV1460 Religious Education
H Social Sciences (General)
HG Finance
Shahril , Simon
Multi factor equity model for shariah investment / Shahril Simon
description The study is set out to discover a new multi factor model for Shariah investing in Malaysian stocks based on musharakah principle. It also wants to know the model explanatory power of stocks‟ risk decomposition and return attribution as well to forecast risk given the current volatile market. Existing single factor model such as Capital Asset Pricing Model and multi factor model like Fama French Model are formulated on the basis of risk-free rate element in which rescind out with Shariah principle of musharakah. Moreover, the models do not explained their factors well in emerging markets that include Malaysia. Thus, exploring the alternative model is pertinent. A fundamental factor model is carefully constructed from four key essential elements of musharakah: Business Sector, Management Quality, Profitability Growth and Capital Strength factors. It gives greater insight into the sources of stocks performance and leads to intuitive action items. The cross-sectional approach is used to build the model. Key results show that the model has high explanatory power for contemporaneous returns, maintains high forecasting ability in high and low volatility environments and stays unbiased with no significant under-forecasting or over-forecasting of risk for a broad variety of portfolios. Despite the existence of long established multi factor models, this study offers new empirical evidence suggesting the application of musharakah principle as a framework, although without risk-free rate element, is able to increase the explanatory power of Shariah-compliant stocks‟ risk and return. Moreover, it goes well with those who subscribe to principle based investing.
format Thesis
author Shahril , Simon
author_facet Shahril , Simon
author_sort Shahril , Simon
title Multi factor equity model for shariah investment / Shahril Simon
title_short Multi factor equity model for shariah investment / Shahril Simon
title_full Multi factor equity model for shariah investment / Shahril Simon
title_fullStr Multi factor equity model for shariah investment / Shahril Simon
title_full_unstemmed Multi factor equity model for shariah investment / Shahril Simon
title_sort multi factor equity model for shariah investment / shahril simon
publishDate 2015
url http://studentsrepo.um.edu.my/6861/1/SHAHRIL_SIMON.pdf
http://studentsrepo.um.edu.my/6861/
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score 13.211869

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