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Leverage versus volatility: evidence from the capital structure of European firms

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dc.contributor.authorAbdelKader Ouatik El Alaoui
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorMehmet Asutay
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2017-10-20T07:32:01Z
dc.date.available2017-10-20T07:32:01Z
dc.date.issued2017
dc.description.abstractThe impact of leverage on financial market stability and the relationship with the real economy is a key concern among researchers. This paper makes an initial attempt to investigate the relationship between a firm's leverage, return and share price volatility from an Islamic finance perspective and capital structure theory. A multicountry dynamic panel framework and the mean-variance efficient frontier are applied to 320 sample firms from eight European countries, divided into portfolios of low and high debt using the shari'ah screening threshold of 33%. We find that the firm's return and volatility change with changes in the capital structure. Islamic compliant stocks show, in most cases, less volatility than non-compliant stocks but are no different in terms of return. Finally, our results tend to imply a case for limiting debt beyond certain levels.en_US
dc.identifier.citationEl Alaoui, A. O., Bacha, O. I., Mohammed Masih, A. M., & Asutay, M. (2017). Leverage versus volatility: evidence from the capital structure of European firms. Economic Modelling, 62, 145-160. https://doi.org/10.1016/j.econmod.2016.11.023en_US
dc.identifier.doihttps://doi.org/10.1016/j.econmod.2016.11.023
dc.identifier.issn0264-9993
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2708
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2017. Elsevier
dc.sourceSEDONA
dc.subjectVolatilityen_US
dc.subjectLeverageen_US
dc.subjectIslamic stocksen_US
dc.subjectMean-variance efficient frontieren_US
dc.subjectDynamic GMMen_US
dc.subjectWavelet time-frequency coherence analysisen_US
dc.titleLeverage versus volatility: evidence from the capital structure of European firmsen_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
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