Despite the development and growth of Islamic finance, the academic literature on the
subject, while increasing, has so far provided no information on the calendar anomalies in …

This study compares the performance of market-weighted Shariah-compliant portfolios
(SCPs) with conventional benchmark portfolios (CBPs) from the USA, Canada, Europe, the …

This paper examines whether small Islamic firms' returns stochastically dominate
(outperform) the returns of large Islamic firms using Ascending and Descending Stochastic …

We present a construction of a family of Continuous time ARMA processes based on p
iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck …

Undiversifiable market risk is a crucial factor that a risk-averse investor must consider while
making any investment decision. We focus on dynamic market risk using time-varying beta …

This study examines the time-varying nature of industry betas in India and the United States
to explore whether their observed behaviours are independent of the extent of development …

This paper tests the validity of a single-factor (market) model to price consumer lending risk.
It classifies US counties into 25 portfolios based on unemployment level and the change in …

The main goal of this article is to investigate empirically the Kalman approach to estimate the
time-varying beta parameter as a systematic investment risk market in Poland, Czech …

The aim of this thesis is to determine a valuation model for stocks in the Egyptian stock
market by comparing conventional and behavioural asset pricing models. To achieve this …

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor
models. This chapter proposes a review of different time series models used to estimate …