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Keywords: Asset pricing
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Journal Articles
Journal of Islamic Accounting and Business Research (2020) 11 (1): 90–109.
Published: 20 January 2020
...Mohamad Hafiz Hazny; Haslifah Mohamad Hasim; Aida Yuzy Yusof Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads...
Journal Articles
Journal of Islamic Accounting and Business Research (2019) 10 (5): 621–643.
Published: 14 October 2019
... by including additional risk factors (PER, CF and momentum) over a 10-year period (2001-2010). Findings Our results support superiority of FF three-factor model over single-factor capital asset pricing model. However, addition of further risk factors – including PER, CF and momentum – improves explanatory...
