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Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:34:y:2015:i:c:p:205-232.

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Cited: 18

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    In: Quality & Quantity: International Journal of Methodology.
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  2. Synergy frontier of multi-factor stock selection model. (2023). Yeh, I-Cheng.
    In: OPSEARCH.
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  3. .

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  4. A survey of Islamic finance research – Influences and influencers. (2021). Ali, Mohsin ; Aun, Syed ; Khan, Abdullah ; Haroon, Omair.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x20303334.

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  5. Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?. (2020). Czapkiewicz, Anna ; Maydybura, Alina ; Karathanasopoulos, Andreas ; Zaremba, Adam ; Bagheri, Noushin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x17305899.

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  6. A survey of Islamic banking and finance literature: Issues, challenges and future directions. (2019). Bach, Dinh Hoang ; Narayan, Paresh Kumar.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:53:y:2019:i:c:p:484-496.

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  7. A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed .
    In: Emerging Markets Review.
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  8. Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand. (2018). Laksomya, Nattapong ; Treepongkaruna, Sirimon ; Tanthanongsakkun, Suparatana ; Powell, John G.
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  9. New Islamic equity style indices: Constructing and testing the efficacy of information transmission. (2017). Shaharuddin, Shahrin Saaid ; McMillan, David ; Ahmad, Rubi ; Lau, Wee-Yeap.
    In: Cogent Economics & Finance.
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  10. Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory. (2017). Mghaieth, Asma ; el Mehdi, Imen Khanchel .
    In: Research in International Business and Finance.
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  11. International evidence on Islamic equity fund characteristics and performance persistence. (2016). Delhoumi, Ezzedine ; ben Ouda, Olfa ; Benouda, Olfa ; Makni, Rania.
    In: Review of Financial Economics.
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  12. Is momentum trading profitable from Shariah compliant stocks?. (2016). Rashid, Mamunur ; Ee, Mong Shan ; Li, Bob.
    In: Review of Financial Economics.
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  13. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. (2016). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista.
    In: Review of Financial Economics.
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  14. International evidence on Islamic equity fund characteristics and performance persistence. (2016). Makni, Rania ; Delhoumi, Ezzedine ; Benouda, Olfa ; ben Ouda, Olfa .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:31:y:2016:i:c:p:75-82.

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  15. Is momentum trading profitable from Shariah compliant stocks?. (2016). Rashid, Mamunur ; Ee, Mong Shan ; Li, Bob.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:31:y:2016:i:c:p:56-63.

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  16. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. (2016). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed .
    In: Review of Financial Economics.
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  17. Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar.
    In: Physica A: Statistical Mechanics and its Applications.
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  18. Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk. (2015). Ibrahim, Mansor.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:185-191.

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  30. The predictability of aggregate returns on commodity futures. (2014). Lutzenberger, Fabian T..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:3:p:120-130.

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  31. Physical approach to price momentum and its application to momentum strategy. (2014). Choi, Jaehyung .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:415:y:2014:i:c:p:61-72.

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  32. A neoclassical interpretation of momentum. (2014). Liu, Laura Xiaolei ; Zhang, LU.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:67:y:2014:i:c:p:109-128.

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  33. Is there momentum or reversal in weekly currency returns?. (2014). Visaltanachoti, Nuttawat ; Marshall, Ben ; Raza, Ahmad .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:45:y:2014:i:c:p:38-60.

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  34. Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures. (2014). Cakici, Nusret ; Tan, Sinan .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:179-209.

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  35. Conditional risk premia in currency markets and other asset classes. (2014). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:2:p:197-225.

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  36. Countercyclical currency risk premia. (2014). Roussanov, Nikolai ; Verdelhan, Adrien ; Lustig, Hanno.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:111:y:2014:i:3:p:527-553.

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  37. Exploiting commodity momentum along the futures curves. (2014). Karstanje, Dennis ; de Groot, Wilma ; Zhou, Weili .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:48:y:2014:i:c:p:79-93.

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  38. Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?. (2014). Breloer, Bernhard ; Wilkens, Marco ; Scholz, Hendrik.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:58-77.

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  39. Are there common factors in individual commodity futures returns?. (2014). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Daskalaki, Charoula.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363.

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  40. Does revenue momentum drive or ride earnings or price momentum?. (2014). Lee, Cheng-Few ; Chen, Sheng-Syan ; Hsin, Chin-Wen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:166-185.

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  41. The value premium, aggregate risk innovations, and average stock returns. (2014). Lindaas, Knut F. ; Simlai, Prodosh .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:3:p:303-317.

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  42. What impact does a change of fund manager have on mutual fund performance?. (2014). Clare, Andrew ; Sapuric, Svetlana ; Motson, Nick ; Todorovic, Natasa.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:35:y:2014:i:c:p:167-177.

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  43. Trend following, risk parity and momentum in commodity futures. (2014). Smith, Peter ; Clare, Andrew ; Thomas, Stephen ; Seaton, James .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:31:y:2014:i:c:p:1-12.

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  44. Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914). (2014). Annaert, Jan ; Mensah, Lord.
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:52:y:2014:i:c:p:22-43.

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  45. Price and earnings momentum: An explanation using return decomposition. (2014). Mao, Mike Qinghao ; Wei, K. C. John, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:332-351.

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  46. The Evolving Beta-Liquidity Relationship of Hedge Funds. (2014). Stefanova, Denitsa ; Siegmann, Arjen.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-12.

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  47. Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10234.

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  48. Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World. (2014). Edmans, Alex ; Li, Lucius ; Zhang, Chendi .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10066.

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  49. Two centuries of trend following. (2014). Deremble, C. ; Y. Lemp'eri`ere, ; Seager, P. ; Potters, M. ; Bouchaud, J. P..
    In: Papers.
    RePEc:arx:papers:1404.3274.

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  50. Information ratio analysis of momentum strategies. (2014). Silva, Christian A. ; Yen, Ju-Yi ; Ferreira, Fernando F..
    In: Papers.
    RePEc:arx:papers:1402.3030.

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  51. Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai .
    In: CREATES Research Papers.
    RePEc:aah:create:2014-49.

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  52. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

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  53. Asset Pricing in the Dark: The Cross Section of OTC Stocks. (2013). Ang, Andrew ; Tetlock, Paul C. ; Shtauber, Assaf A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19309.

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  54. Discount rates, market frictions and the mystery of the size premium. (2013). de Oliveira Souza, Thiago ; Thiago de Oliveira Souza, ; Thiago de Oliveira Souza, .
    In: 2013 Papers.
    RePEc:jmp:jm2013:pde868.

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  55. Style investing and momentum investing: A case study. (2011). Giot, Pierre ; de Moerloose, Sandrine.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:12:y:2011:i:6:d:10.1057_jam.2011.28.

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  56. Growth Value Two-Factor Model. (2011). Hsu, Tzu-Kuang ; Yeh, I-Cheng ; I-Cheng Yeh, .
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:11:y:2011:i:6:d:10.1057_jam.2010.24.

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  57. Tactical Size Rotation in Switzerland. (2010). Hock, Thorsten .
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2010-iii-2.

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  58. Quantitative or momentum-based multi-style rotation? UK experience. (2010). Todorovic, Natasa ; Sapuric, Svetlana ; Clare, Andrew.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:10:y:2010:i:6:d:10.1057_jam.2009.19.

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  59. The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada. (2010). Switzer, Lorne.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:21:y:2010:i:3:p:332-346.

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  60. Predicting premiums for the market, size, value, and momentum factors. (2009). Steiner, Michael.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:2:p:137-155.

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  61. Tactical size rotation in Switzerland. (2008). Hock, Thorsten .
    In: W.E.P. - Würzburg Economic Papers.
    RePEc:zbw:wuewep:77.

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  62. Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience. (2008). Casavecchia, Lorenzo ; Bird, Ron.
    In: Working Paper Series.
    RePEc:uts:pwcwps:2.

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