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.