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Does Profit Loss Sharing (PLS) solve moral hazard problems?

YOUSFI, Ouidad - Institut de Préparation à l'Administration et à la … - 2014

Discussion of Islamic private equity (PE) financing modes rarely provides detailed analytical insights into their properties: there is no rigorous analysis of their features. The current paper analyzes how and when Profit Loss Sharing (PLS) financing methods can solve asymmetric information...

Persistent link: https://www.econbiz.de/10010929399

Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - Institut de Préparation à l'Administration et à la … - 2014

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

Persistent link: https://www.econbiz.de/10010764034

Partial Stochastic Dominance

Kamihigashi, Takashi; Stachurski, John - Institut de Préparation à l'Administration et à la … - 2014

The stochastic dominance ordering over probability distributions is one of the most familiar concepts in economic and financial analysis. One difficulty with stochastic dominance is that many distributions are not ranked at all, even when arbitrarily close to other distributions that are....

Persistent link: https://www.econbiz.de/10010860451

Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets

Arouri, Mohamed; Nguyen, Duc Khuong; Pukthuanthong, Kuntara - Institut de Préparation à l'Administration et à la … - 2014

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our … benefits of diversification, we find that adding new asset classes such as oil, precious metals, currency, and real estate into … a traditional portfolio of stocks and bonds significantly improves its risk -adjusted performance. Diversification …

Persistent link: https://www.econbiz.de/10010860496

Activism of Institutional Investors, Corporate Governance Alerts and Financial Performance

Lantz, Jean-Sebastien; Montandrau, Sophie; Sahut, … - Institut de Préparation à l'Administration et à la … - 2014

Institutional investors are predominant on the financial markets and are becoming more active in their portfolio management. This article attempts to enhance our understanding of the incidence of shareholder activism on market reaction in the wake of seve

Persistent link: https://www.econbiz.de/10010860518

Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective

Rejichi, Imen Zgueb; Aloui, Chaker; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

Market efficiency is among the foremost criteria for making investment decisions when foreign investors attempt to allocate their funds to emerging market assets. If the markets under consideration are efficient, quoted prices of the assets will serve as useful and reliable signals for capital...

Persistent link: https://www.econbiz.de/10010860539

A wavelet-based copula approach for modeling market risk in agricultural commodity markets

ALOUI, RIADH; AISSA, MOHAMED SAFOUANE BEN; NGUYEN, DUC … - Institut de Préparation à l'Administration et à la … - 2014

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...

Persistent link: https://www.econbiz.de/10010860566

Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis

Lean, Hooi Hooi; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

We analyze the performance characteristics of sustainable investments over the period 2004-2013. Our un- conditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indi- ces (DJSI) for the global and three regional markets, experience lower Sharpe...

Persistent link: https://www.econbiz.de/10010860567

Equilibrium existence in the international asset and good markets

Bosi, Stefano; Fontaine, Patrice; Le Van, Cuong - Institut de Préparation à l'Administration et à la … - 2013

The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....

Persistent link: https://www.econbiz.de/10010754711

Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2013

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

Persistent link: https://www.econbiz.de/10010754801