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In: Journal of Financial Stability, Band 66, Heft 101121
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In: Journal of Corporate Finance, Band 72, Heft 102142
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In: Review of financial economics: RFE, Band 31, Heft 1, S. 56-63
ISSN: 1873-5924
AbstractThis research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four‐year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry‐driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.
In: Nottingham Univ. Business School Malaysia Campus Research Paper No. 2008-11
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Working paper
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In: British Accounting Review, Forthcoming
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In: ESWA-D-23-01416
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In: The World Economy, Band 43, Heft 1, S. 212-238
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In: China economic review, Band 56, S. 101312
ISSN: 1043-951X
In: International journal of human resource management, Band 27, Heft 5, S. 501-526
ISSN: 1466-4399
In: Review of International Economics, Band 27, Heft 4, S. 1021-1039
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