文章基本信息

标题：A Comparative Returns Performance Review of Islamic Equity Funds with Socially Responsible Equity Funds and the Broader Market Indices
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作者：Syed Kalim Hyder Bukhari ; Mohammed Azam
期刊名称：The Lahore Journal of Economics
印刷版ISSN：1811-5438
电子版ISSN：1811-5446
出版年度：2015
卷号：20
期号：2
页码：53-75
出版社：Lahore School of Economics
摘要：Islamic mutual funds and socially responsible mutual funds are two similar asset classes that incorporate negative screens in their portfolio selection process to filter out stocks that fail to meet certain ethical, social, environmental, and/or religious standards. This study uses a single-factor capital asset pricing model and an adjusted sample consisting of 224 Islamic funds and 573 socially responsible funds to examine their excess risk-adjusted returns, market volatility, and systematic risk. It also gauges the market-timing abilities of the fund managers concerned in relation to both Islamic/socially responsible and conventional market indices. While there are some differences in the risk factors of Islamic funds and socially responsible funds, both are associated with lower risks and have the same market-timing ability
关键词：Islamic mutual funds; capital asset pricing model; returns; systematic risk; market volatility