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Zero interest rates and cross-section of stock returns

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  • Moustafa Abuelfadl

Abstract

The paper presents a theoretical market system based on the tenets of Islamic finance where the underlying assumption is zero interest rate. The paper used β < 1 as a criterion for zero interest rate assumption for the theoretical market system. The paper finds using multivariate analysis on portfolios sorted on β < 1, that cross section of stock returns can be explained using a parsimnious model that incorporates both behavioural finance and fundamental finance factors.

Suggested Citation

  • Moustafa Abuelfadl, 2017. "Zero interest rates and cross-section of stock returns," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(3), pages 183-203.
    • Handle: RePEc:ids:ijbder:v:3:y:2017:i:3:p:183-203
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