We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily...

According to the financial press, firms with low leverage have lower distress risk due to their reduced exposure to the credit market, especially during credit crises. Compared to their conventional and socially responsible (SRI) counterparts, sharia compliant (SC) stocks are low-leverage...

In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...

This paper investigates the long-term financial integration and bivariate extreme dependency between Bovespa and Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a structural break to the model shows that Bovespa and ISE...

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Foreign Institutional Investors is one of the very important source of portfolio capital. Earlier, the capital flow was only among the industrialized economy and the flows towards the developing economies was limited. Foreign Institutional Investors have been playing a key role in the Indian...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

The goal of this paper is to present an original and simple analysis aimed to understand why investing in capital markets can be very dangerous for "naive investors". Stock markets display often exploding volatility. They are characterized by instability and subject to external shocks. If...