Derbali, Abdelkader and El Khaldi, Abderrazek and Jouini, Fathi,(2017), Shariah-compliant Capital Asset Pricing Model: new mathematical modeling. , J Asset Manag, UNSPECIFIED
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Abstract
The main objective of our paper is to propose a
novel approach in pricing Islamic financial assets in
accordance with shariah, advocated by contemporary
investment theories of Markowitz’s Mean–Variance
Analysis and CAPM. The shariah-compliant Capital Asset
Pricing Model that we developed with a few changing’s of
the traditional Capital Asset Pricing Model is integrating
zakat, purification of return and exclusion of short sales.
Then, we utilize a sample composed of 10 shariah-compliant
public-listed companies in Bursa Malaysia. The
empirical results find that the proposed Islamic CAPM is
appropriate and applicable in investigating the linkage
among risk and return in the Islamic stock market. Our
investigation contributes to existing body of knowledge by
presenting an algorithm and mathematical modeling of the
shariah-compliant CAPM which has been lacking in the
literature of Islamic finance.
Keywords : | CAPM , Shariah , Islamic finance , Zakat , Purification, UNSPECIFIED |
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Journal or Publication Title: | J Asset Manag |
Volume: | 18 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Users 15 not found. |
Date Deposited: | 27 Dec 2019 06:55 |
Last Modified: | 27 Dec 2019 06:55 |
URI: | https://repofeb.undip.ac.id/id/eprint/1062 |