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Full-Text Articles in Finance and Financial Management
The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk, Abdullah Alfalah, Simon Stevenson, Eamonn D'Arcy
The Portfolio Advantages Of Sukuk: Dynamic Correlations Between Bonds And Sukuk, Abdullah Alfalah, Simon Stevenson, Eamonn D'Arcy
Finance Faculty Publications
The growth of the Islamic finance sector has been well-documented. One of the most booming sectors has been Sukuk. According to several past studies, non-Islamic investors' interest in Sukuk is due, at least in part, to the diversification benefits that Sukuk provides in the context of a fixed-income portfolio. This paper compares a pair between Sukuk and Bonds in the Malaysian market issued by the same issuer to have an unbiased comparison. Using unconditional correlation methodology provides an initial examination of the relationship between the matched pairs. In addition, this paper adopts the standard GARCH-DCC approach of Engle (2002). This …
Divergent Opinions And Value Stock Performance, John A. Doukas
Divergent Opinions And Value Stock Performance, John A. Doukas
Finance Faculty Publications
Those who believe that capital markets—that is, markets for stocks and bonds—operate efficiently and asset prices fully reflect all publicly available information are engaged in an ongoing debate about the exact interpretation of the “value premium” with those who reject this view. Value premium refers to the superior returns generated by the purchase of value stocks relative to growth, or glamour, stocks. Rationalists, the group believing in market efficiency, argue that because value stocks are fundamentally riskier than growth stocks, the value premium is compensation for bearing risk. Behavioralists, the group arguing that market asset prices don’t reflect all publicly …