Skip to main content

Research Repository

Advanced Search

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

Abdelsalam, Omneya; Duygun, Meryem; Matall�n-S�ez, Juan Carlos; Tortosa-Ausina, Emili

Authors

Omneya Abdelsalam

MERYEM DUYGUN Meryem.Duygun@nottingham.ac.uk
Aviva Chair in Risk and Insurance

Juan Carlos Matall�n-S�ez

Emili Tortosa-Ausina



Abstract

In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and value systems, influence performance and its persistence. A procedure commonly used in prior literature to assess persistence is the measuring of the performance of investment strategies based on past performance. In this context, we propose a refined version of this methodology that controls the cross-sectional significance of the performance of these strategies. This procedure correctly identifies whether abnormal performance is due to a dynamic investment strategy based on past performance, or whether it is obtained by investing in a particular set of mutual funds. The We thank an anonymous referee, the co-editor, Sanjiv Das, and the editor, Haluk¨UnalHaluk¨ Haluk¨Unal, whose comments helped greatly in the overall improvement of the article, as well as those by Mohamed Shaban on a preliminary version.

Citation

Abdelsalam, O., Duygun, M., Matallín-Sáez, J. C., & Tortosa-Ausina, E. (2017). Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds. Journal of Financial Services Research, 51(3), 363-384. https://doi.org/10.1007/s10693-015-0234-x

Journal Article Type Article
Acceptance Date Nov 1, 2015
Online Publication Date Dec 1, 2015
Publication Date 2017-06
Deposit Date Mar 11, 2019
Journal Journal of Financial Services Research
Print ISSN 0920-8550
Electronic ISSN 1573-0735
Publisher Humana Press
Peer Reviewed Peer Reviewed
Volume 51
Issue 3
Pages 363-384
DOI https://doi.org/10.1007/s10693-015-0234-x
Public URL https://nottingham-repository.worktribe.com/output/1624560
Publisher URL https://link.springer.com/content/pdf/10.1007%2Fs10693-015-0234-x.pdf