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论文作者:留学生论文网论文属性:硕士毕业论文 dissertation登出时间:2012-02-01编辑:anterran点击率:3430
论文字数:12606论文编号:org201202011705074011语种:英语 English地区:英国价格:$ 44
关键词:fund manager learning; home biasIslamic financeIslamic mutual fundsresponsible investmentthree level Carhart model
摘要:提供英国财务投资硕士论文范文,关于伊斯兰共同基金的财务业绩与国际投资风格-Islamic Mutual Funds’ Financial Performance and InternationalInvestment Style:Evidence from 20 countries
Islamic Mutual Funds’ Financial Performance and International Investment Style:Evidence from 20 countries
Andreas G. F. Hoepnerab*, Hussain G. Rammalc & Michael Rezeca
a School of Management, University of St. Andrews, The Gateway, North Haugh, St.
Andrews, KY16 9SS, UK
b Academic Fellow, Principles for Responsible Investment, PRI Secretariat, c/o UN
Global Compact, DC2-612, United Nations, New York, NY 10017, US
c International Graduate School of Business, University of South Australia, GPO Box
2471, Adelaide, SA 5001, Australia
(First version (1.0): August, 2009; this version (3.1): May, 2010)
We pursue the first large scale investigation of a strongly growing mutual fund type:
Islamic funds. Based on an unexplored, survivorship bias adjusted dataset, we analysethe financial performance and investment style of 265 Islamic equity funds from twentycountries. As Islamic funds often have diverse investment regions, we develop a
(conditional) three level Carhart model to simultaneously control for exposure todifferent national, regional and global equity markets and investment styles. Consistentwith recent evidence for conventional funds, we find Islamic funds to display superiorlearning in more developed Islamic financial markets. While Islamic funds from thesemarkets are competitive to international equity benchmarks, funds from especiallyWestern nations with less Islamic assets tend to significantly underperform. Islamic
funds’ investment style is somewhat tilted towards growth stocks. Funds frompredominantly Muslim economies also show a clear small cap preference. These results
are consistent over time and robust to time varying market exposures and capital marketrestrictions.
Keywords: fund manager learning; home bias; Islamic Finance; Islamic mutual funds;
responsible investment; three level Carhart model
*Contact Author: School of Management, University of St. Andrews, The Gateway, North Haugh, St.
462812
Acknowledgements: Our paper substantially benefited from suggestions by Iqbal Asaria, Shahid
Ebrahim, John Wilson and two anonymous referees. We would also like to thank Mohsen Derregia,
Dewi Fitriasari, Phil Molyneux and seminar participants at Nottingham, St. Andrews and the Emerging
Scholars in Banking and Finance conference at Cass Business School for their comments. Finally, we
are very grateful to Andrew Gibson Miller of Eurekahedge and Robert Schwob of Style Research
Limited for provision of data. All remaining errors are our sole responsibility. The views expressed in
this paper are not necessarily shared by the Principles for Responsible Investment.
Electronic copy available
1. Introduction
An important contemporary issue for financial institutions and financial markets are
Islamic financial services, which are rapidly growing worldwide. In 2007, Islamic law
(Shari’ah) compliant assets are estimated to have grown by 37% to $729bn.1 They are
expected to reach the $1 trillion mark in 2010. While many assets are based in
countries like Saudi Arabia, Malaysia or Kuwait, western financial institutions and
governments have also developed a strong interest in Islamic finance (Cihák and
Hesse 2008; McKenzie 2009). The British government praises the UK as ‘the leading
centre for Islamic finance outside of the Gulf Cooperative Council [GCC] and
Malaysia’ and has defined clear policy objectives for its development (HM Treasury本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。