Capital Asset Pricing Model And Pricing Of Islamic Financial Instruments
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Capital Asset Pricing Model And Pricing Of Islamic Financial Instruments
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Author : Shabir A. Hakim
language : en
Publisher:
Release Date : 2018
Capital Asset Pricing Model And Pricing Of Islamic Financial Instruments written by Shabir A. Hakim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The prohibitions of ribā (interest) and trading in non-ḥalāl businesses in Islam redefines investment universe assumed by Capital Asset Pricing Model (CAPM). In Islamic investment world, risk-free asset and market portfolio with non-ḥalāl constituents are irrelevant. We propose two-versions of Sharīʻah-compliant CAPM that use Sharīʻah-complaint market portfolio and are free of risk-free asset. We test the proposed models together with conventional CAPM in Bursa Malaysia using three- and ten-year data. The test results of the models with three-year data reveal remarkable similarity between versions of Sharīʻah-compliant models. Besides, Sharīʻah-compliant CAPM is as capable of explaining returns on Sharīʻah-complaint stocks as conventional CAPM is of explaining returns on all stocks.
Shariah Compliant Capital Asset Pricing Model
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Author : Abdelkader Derbali
language : en
Publisher:
Release Date : 2017
Shariah Compliant Capital Asset Pricing Model written by Abdelkader Derbali and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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.
Islamic Capital Markets
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Author : Noureddine Krichene
language : en
Publisher: John Wiley & Sons
Release Date : 2012-11-28
Islamic Capital Markets written by Noureddine Krichene and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-28 with Business & Economics categories.
A comprehensive look at the essentials of Islamic capital markets Bringing together theoretical and practical aspects of capital markets, Islamic Capital Markets offers readers a comprehensive insight into the institutions, instruments, and regulatory framework that comprise Islamic capital markets. Also exploring ideas about money, central banking, and economic growth theory and their role in Islamic capital markets, the book provides students and practitioners with essential information about the analytical tools of Islamic capital markets, serves as a guide to investing in Islamic assets, and examines risk management and the structure of Islamic financial products. Author and Islamic finance expert Noureddine Krichene examines the development of leading Islamic capital markets, including Malaysia, looking at sukuks and stocks in detail and emphasizing valuation, duration, convexity, immunization, yield curves, forward rates, swaps, and risks. Analyzing stock markets, stock valuation, price-earnings ratio, market efficiency hypothesis, and equity premiums, the book addresses uncertainty in capital markets, portfolio diversification theory, risk-return trade-off, pricing of assets, cost of capital, derivatives and their role in hedging and speculation, the principle of arbitrage and replication, Islamic structured products, the financing of large projects, and more. Emphasizes both theoretical and practical aspects of capital markets, covering analytical concepts such as the theory of arbitrage, pricing of assets, capital market pricing model, Arrow-Debreu state prices, risk-neutral pricing, derivatives markets, hedging and risk management, and structured products Provides students and practitioners of finance with must-have information about the analytical tools employed in Islamic capital markets Examines all the most recent developments in major Islamic capital markets, including Malaysia Discussing the advantages of Islamic capital markets and the prospects for their development, Islamic Capital Markets gives readers a fundamental grounding in the subject, with an emphasis on financial theory and real world practice.
An Islamic Capital Asset Pricing Model
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Author : Tarek H. Selim
language : en
Publisher:
Release Date : 2020
An Islamic Capital Asset Pricing Model written by Tarek H. Selim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Purpose: In this paper, the Islamic financing method based on direct musharakah is applied to the conventional Capital Asset Pricing Model (CAPM) yielding several interesting hypotheses.Methodology: Theoretical methodology, with maximin criteria, and rational economic optimization.Findings: There are four major findings. First, an Islamic financing partnership based on complementary capital is proven to necessarily yield a lower beta-risk of investments than that compared to the market. Second, in order for the above conclusion to hold, capital lenders (such as banks) must abide by a maximum partnership share inversely proportional to project risk and increasing with opportunity cost of capital. Third, the sum of lender's share and relative risk level balances to unity at equilibrium. Hence, tradeoffs exist in risk-shares and not in risk-returns. Fourth, without accounting for inflation, and in contrast to predetermined fixed interest, a maximin strategy of financing partnerships (maximum return with minimum risk) imply an existence of an optimum zero risk-free rate. Limitations: The paper's findings are limited to a Direct Musharakah Partnership.Value: Theoretical conditions and a comparison between Islamic risks and returns to conventional risk management are derived. Several implications on the conduct of Islamic financing are discussed.
A New Model Of Capital Asset Prices
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2021-03-01
A New Model Of Capital Asset Prices written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-01 with Business & Economics categories.
This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Intermediate Islamic Finance
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Author : Nabil Maghrebi
language : en
Publisher: John Wiley & Sons
Release Date : 2016-01-08
Intermediate Islamic Finance written by Nabil Maghrebi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Business & Economics categories.
Explore Islamic finance at a deeper level Intermediate Islamic Finance: Theory and Practice fills the gap for students and professionals who are already familiar with the fundamentals of Islamic finance, but would like to gain an enhanced understanding of Islamic finance theories and practices. This comprehensive text provides you with coverage of global developments and describes the role of Islamic finance within the global finance community to guide you in your understanding of this important aspect of the international financial landscape. The book references advance concepts and specific problems in the practice of Islamic finance, provides suggested further readings for each chapter, offers details of advanced analysis, and presents key data in visual form via graphs, figures, and tables. Profound changes have taken place in the financial landscape over the past few decades, including major innovations in financial instruments and substantial changes in regulation. With global financial markets becoming increasingly important players in the industry, it is critical that today's financial professionals understand the essence and implications of key Islamic finance theories and practices. Build upon your fundamental understanding of Islamic finance Explore some areas of convergence and conflict between Islamic finance and conventional finance Strengthen the harmony between Islamic and conventional finance theories and their applications Prepare for a well-rounded career in finance by better understanding how Islamic finance principles apply Intermediate Islamic Finance: Theory and Practice is an essential text for graduate and post-graduate finance students, economists, researchers, bankers, financial regulators, policymakers, and members of the business community who want to develop a deeper understanding of Islamic finance theories and practices.
An Overview Of Asset Pricing Models
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Author : Mohamed Ismail Mohamed Riyath
language : en
Publisher:
Release Date : 2015-12-09
An Overview Of Asset Pricing Models written by Mohamed Ismail Mohamed Riyath and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-09 with categories.
Research Paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, course: Higher National Diploma in Accountancy (HNDA), language: English, comment: The author of this text is a non-native speaker of English. Please excuse any linguistic mistakes., abstract: The term financial market describes any marketplace where lenders, i.e. those who have excess fund, and borrowers, i.e. those who need funds, meet together for an exchange of instruments such as equities, bonds, currencies and derivatives. The lenders in the financial market are called investors who buy financial instruments. The investors invest their fund to maximize their wealth. In reality investors are unable to achieve their objectives at all due to poor performance of respective stock and the market conditions when they are investing in equities. The reason could be the assets may underpriced or overpriced when making investment decisions. If the investors are priced correctly for the asset by considering all relevant factors which are affecting the value, they can enjoy normal profit by appropriately pricing the asset in an efficient market. It has always been the challenge of explaining the decision process of the investors in the stock market. In this context, the behavior of investor has a close relationship with the investment decisions and the way of enriching. The rate of return and its determinations are the major issues in Finance. The rate of return is one of fundamental criteria for allocation of resources and analysis of risk and return. Their importance can be observed in the field of corporate and personal finance when define the viability of an investment and making investment decisions. Stock returns is always be considered as the principal point when investors going to put their money in financial market. More profit have been involved in higher risk, and vice versa. Investors should take into account their decision to invest t
Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm
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Author : Abubakar Javaid Dar
language : en
Publisher:
Release Date : 2018
Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm written by Abubakar Javaid Dar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
CAPM is most widely used economic model for pricing of securities, although criticized on different basis and alternative CAPM's were developed in the hope of better explanatory power. Islamic finance has shown remarkable performance and growth in first decade of 21st century. In order to increase liquidity Islamic finance practitioners have entered in stock market and Islamic indexes operate worldwide. Risk free return is not accepted in Islamic financial literature hence traditional CAPM is not suitable for security valuation for Sharia compliant investments. Hanif (2011) presented a Sharia compliant asset pricing model (SCAPM) for valuation of Sharia compliant securities. The purpose of this study is to test the CAPM and SCAPM comparatively on KSE-100 to document the results and present findings as which of the model explain more variation in stock returns. Study period covers nine years (Jul 2001- Jun 2010). For calculation of returns historical prices of securities and market index is used. Portfolio technique (based on market capitalization) was used for analysis and results obtained through OLS. Findings of the study are very interesting to researchers as well. No significant results found in higher and lower capitalization portfolios under any of the model, however results were statistically significant for middle capitalization portfolio and explanatory power of SCAPM was better than CAPM.
Decision Making In Social Sciences
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Author : Daniel Flaut
language : en
Publisher:
Release Date : 2020
Decision Making In Social Sciences written by Daniel Flaut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Decision making categories.
This book explores several branches of the social sciences and their perspectives regarding their relations with decision-making processes: computer science, education, linguistics, sociology, and management. The decision-making process in social contexts is based on the analysis of sound alternatives using evaluative criteria. Therefore, this process is one that can be rational or irrational, and can be based on knowledge and/or beliefs. A decision-making process always produces a final decision, which may or may not imply prompt action, and increases the chances of choosing the best possible alternative. The book is divided into four main parts. The concepts covered in the first part, on computer science, explore how the rise of algorithms and the growth in computing power over the years can influence decision-making processes. In the second part, some traditional and innovative ideas and methods used in education are presented: compulsory schooling, inclusive schools, higher education, etc. In turn, the third part focuses on linguistics aspects, and examines how progress is manifested in language. The fourth part, on sociology, explores how society can be influenced by social norms, human interactions, culture, and religion. Management, regarded as a science of the decision-making process, is explored in the last part of this book. Selected organizations strategies, objectives and resources are presented, e.g., human resources, financial resources, and technological resources. The book gathers and presents, in a concise format, a broad range of aspects regarding the decision-making process in social contexts, making it a valuable and unique resource for the scientific community.
The Arbitrage Pricing Theory As An Approach To Capital Asset Valuation
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Author : Christian Koch
language : en
Publisher: GRIN Verlag
Release Date : 2009-03
The Arbitrage Pricing Theory As An Approach To Capital Asset Valuation written by Christian Koch and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03 with Business & Economics categories.
Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
