Table 5. Information coefficients (ICs)... | Emerald Publishing

Table 5.

Information coefficients (ICs) of factors with denoised equity prices

Factors		ICs in conventional equities	ICs in Islamic equities
Momentum factors	Momentum 1-month	0.332	0.340
	Momentum 3-month	0.338	0.349
	Momentum 6-month	0.194	0.203
	Momentum 9-month	0.155	0.161
	Momentum 12-month	0.124	0.125
Value factors	Earnings/Price	0.009	0.012
	Book/Market	0.009	0.027
	EBIT/EV	0.018	0.035
	EBITDA/EV	0.020	0.037
	FCF/EV	0.012	0.024
	Gross profits/EV	0.020	0.025
Quality factors	ROE	0.001	0.009
	ROA	0.011	0.020
	ROC	0.007	0.016
	Gross profits/TA	0.007	0.008
	Earnings quality	0.001	0.002

Factors		ICs in conventional equities	ICs in Islamic equities
Momentum factors	Momentum 1-month	0.332	0.340
	Momentum 3-month	0.338	0.349
	Momentum 6-month	0.194	0.203
	Momentum 9-month	0.155	0.161
	Momentum 12-month	0.124	0.125
Value factors	Earnings/Price	0.009	0.012
	Book/Market	0.009	0.027
	EBIT/EV	0.018	0.035
	EBITDA/EV	0.020	0.037
	FCF/EV	0.012	0.024
	Gross profits/EV	0.020	0.025
Quality factors	ROE	0.001	0.009
	ROA	0.011	0.020
	ROC	0.007	0.016
	Gross profits/TA	0.007	0.008
	Earnings quality	0.001	0.002