Data for Five Factor Asset Pricing Model of Shariah compliant firms in the US

This data was utilised in answering the following research hypothesis: The Debt ratio within the contemporary Shariah Stock Screening procedure significantly impact the corporate financial behaviour of Shariah compliant firms, so much so that their asset pricing behaviour will be different compared to conventional firms.

The data (and subsequent regressions) will show that samples of Shariah compliant firms will share similar asset pricing behaviour vis-a-vis the conventional sample, however, some clear differences will also manifest. The most striking is that the Shariah compliant samples will tend to have significant intercepts, which imply that the five-factor model fails to completely explain the variation of average excess returns within Shariah compliant samples. In short, there exists more room to add additional variables, alongside the five-factor model, when explaining the asset pricing behaviour of Shariah compliant samples in the US.

The data comprises of monthly risk factor premiums of four samples (defined in the Steps-to-reproduce section). All data are sourced from Thompson Reuters Datastream. Please note that the data are in STATA .dta format, therefore, use the STATA program to open them. The data is ready to use as-is for regression purposes.

本数据集被用于验证以下研究假设：在当代伊斯兰教法股票筛选程序中，债务比率对符合伊斯兰教法规定的企业的财务行为具有显著影响，以至于其资产定价行为与传统企业存在显著差异。数据（及其后续回归分析）将表明，符合伊斯兰教法规定的企业的样本在资产定价行为上与常规样本相似，但也会显现出一些明显的差异。其中最显著的是，符合伊斯兰教法规定的样本往往具有显著截距，这意味着五因子模型无法完全解释符合伊斯兰教法规定的样本中平均超额收益的变异。简而言之，在解释美国符合伊斯兰教法规定的样本的资产定价行为时，除了五因子模型之外，还存在更多空间以添加额外的变量。数据集包括四个样本（在“重现步骤”部分定义）的月度风险因子溢价。所有数据均来源于汤森路透数据流（Thomson Reuters Datastream）。请注意，数据以STATA .dta格式提供，因此请使用STATA程序打开它们。数据已准备好，可直接用于回归分析。