Constructing Fama-French Factors from Style Indices: Evidence from the Islamic Equity Market

摘要

This study has contributed to the analysis of the Fama-French three-factor model by proving the validity of model using the newly constructed Fama-French factors from Malaysian Islamic stock market. With generalized method of moments and robustness tests, our results compliment earlier studies by comparing the results over two sub-periods, before and after the financial crises and the fall of Lehman Bros. The results of the analysis suggest that the reversal of size effects exists after periods of financial crisis. This is the first attempt to create FF factors and test the model from Islamic equity style indices.