This paper investigates whether faith has impact on investment returns. Specifically, we choose the Shariah compliance and REITs investment for the purpose of investigation. Synthetic Shariah compliant portfolios are constructed with various interpretation of compliance. We compare the performance of Shariah compliant portfolios with US Equity REIT portfolio during 1993–2017 by examining the abnormal returns using CAPM and Carhart four-factor model. We find no evidence of underperformance or outperformance of the Shariah compliant investments. This is also true during the financial crisis periods which is confirmed by the sub-sample analysis. Our findings suggest that Shariah compliant REIT investor faces no cost or gain in his investments as a result of his faith.

中文翻译：

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信仰是否影响投资回报：来自房地产投资信托的证据

本文研究信仰是否对投资回报产生影响。具体来说，我们出于调查目的选择伊斯兰教法合规性和REITs投资。符合伊斯兰教义的合规投资组合构建有合规性的各种解释。通过使用CAPM和Carhart四因素模型检查异常收益，我们比较了符合回教教义的投资组合与1993年至2017年的美国股票REIT投资组合的表现。我们发现没有任何符合伊斯兰教法的投资表现不佳或表现不佳的证据。在子样本分析中也证实了金融危机期间的情况。我们的调查结果表明，符合伊斯兰教法的房地产投资信托基金投资者因其信念而没有成本或收益的损失。