پژوهشی
Asaddolah Farzinvash; Shapur Mohammadi; Hojjatollah Bagherzadeh
Abstract
Merton (1973) derives an intertemporal capital asset pricing model (ICAPM) and that has formed the basis for much empirical research. The model predicts that an asset’s expected return depends on its dynamic conditional covariance with the market portfolio and with state variables that proxy for investment ...
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Merton (1973) derives an intertemporal capital asset pricing model (ICAPM) and that has formed the basis for much empirical research. The model predicts that an asset’s expected return depends on its dynamic conditional covariance with the market portfolio and with state variables that proxy for investment opportunities. This paper explores the intertemporal capital asset pricing model with Seemingly Unrelated Regressions (SUR) estimate and conditional covariances in Iran’s Economy. We use monthly data in 1994-2011 time periods.
In order to estimate portfolios conditional covariances, we applied different order of GARCH and then show how these covariances forecast expected returns. We also show the effect of unexpected news (change in conditional volatility) on risk- return trade off in system equations.
The result reveals that risk premium induced by change in conditional volatility. It has positive effect on risk premium induce. The result also show financial factors priced very well in Intertemporal Capital Asset Pricing Model, and Risk premium induced by conditional covariances between these factors. The change of price return in gold market also don’t affect on risk- return trade off.
پژوهشی
Mahdii Salehi; Mohammad Donyaei
Abstract
The stakeholders' culture developing is one of the key factors influencing in the
development of capital markets and is one of the economic developments symbols.
Current survey, is measured the institutional investors and OTC brokers attitudes
about the variables affecting stakeholders culture developing.
This ...
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The stakeholders' culture developing is one of the key factors influencing in the
development of capital markets and is one of the economic developments symbols.
Current survey, is measured the institutional investors and OTC brokers attitudes
about the variables affecting stakeholders culture developing.
This research is a descriptive survey that a census by making use of a researcher
made questionnaire that its validity was confirmed and its reliability with Cronbach's
alpha coefficient was obtained 0.87, analyzed institutional investors and OTC
brokers attitudes by Minitab and SPSS softwares, using the Kolmogorov-Smirnov
test (KS), One-sample Wilcoxon test, Mann-Whitney test (U) and the Kruskal-
Wallis test (H).
Results reveal that the OTC market's trading transparency, costs and supportive and
training mechanisms for investors and companies is appropriate. Furthermore, Iran's
OTC market providing innovation and diversification trading opportunities for
investors and decrease their risk to invest and participate in the capital market. Also,
there is no significant difference between institutional investors and brokers visions
on the examined variables. But, in aspects of educational levels, in all variables andaspects of the activity field, except the transactions transparency, is confirmed this
different perspectives.
پژوهشی
Mohsen Ebrahimi; Ezatollah Abbasian; Mohammad Mazraati; Azim Nazari
Abstract
During recent years, energy market has become the largest commodity
market. On the other hand with the definition of commodity derivatives, it
has become advanced financial markets in the world. Therefore, we must
utilize the techniques used in financial markets, especially the valuationtechniques. ...
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During recent years, energy market has become the largest commodity
market. On the other hand with the definition of commodity derivatives, it
has become advanced financial markets in the world. Therefore, we must
utilize the techniques used in financial markets, especially the valuationtechniques. One of valuation techniques in financial markets is options
pricing method that can be used for real asset as real option. Options theory
use stochastic differential equations of price for valuation of financial asset.
Because the nature of the goods and assets is different so this equation
should be changed.
Based on stochastic crude oil spot price, it is possible that there are three
options such as opening, temporary closure and abandonment in oil field.
The purpose of this paper is investigation effects of constant and stochastic
convenience yield on value of options in the oil field based on the estimated
parameters, physical and economic data of sandy oil field and the extraction
of switching price for switch from one option to another.
Research findings show when the convenience yield is stochastic, value of
oil field decrease and also value of options is zero in higher spot price than
constant convenience yield. In other words, the value of oil field by present
value and options are equal in higher spot price. Also the interval of
switching price changes whit moving of constant to stochastic convenience
yield. Finally with increasing of correlation coefficient of spot price and
convenience yield, value of oil field reduced.
پژوهشی
Hassan Ghalibafasl; Mohsen Izad
Abstract
In this study the aim is to test whether financial market anomalies such as market
risk premium, firm size, the book-to-market ratio, the turnover rate, and momentum
both with and without the inclusion of the market liquidity risk factor in the case of
the Tehran stock exchange can explain stock returns? ...
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In this study the aim is to test whether financial market anomalies such as market
risk premium, firm size, the book-to-market ratio, the turnover rate, and momentum
both with and without the inclusion of the market liquidity risk factor in the case of
the Tehran stock exchange can explain stock returns? To this end, a number of 67
listed companies of Tehran Stock Exchange, based on Criteria filtering method,
have been chosen as a sample. Data are collected on a monthly basis for the period
2008-2011 and by using EViews and panel data. finding indicate that during the
study period, factors such as market risk premium, the book-to-market ratio and
liquidity risk have meaningful correlation with excess return in Tehran Stock
Exchange.
پژوهشی
Mohammah Hossein Mahdavi Adeli; reza Khaje Naeini
Abstract
Energy resources can be classified into three major categories naming fossil fuels,
nuclear energy, and renewable energy (wind, solar, and so on). However, fossil fuels
depletion in future makes use of the two other categories necessary. Compared to
fossil fuels and nuclear energy, the renewable energy ...
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Energy resources can be classified into three major categories naming fossil fuels,
nuclear energy, and renewable energy (wind, solar, and so on). However, fossil fuels
depletion in future makes use of the two other categories necessary. Compared to
fossil fuels and nuclear energy, the renewable energy does not only bring no
pollution and cause no harm to environment, but also consist of infinite resources.
Using COMFAR software and the method of cost-benefit, this article aims to
analyze construction of a 25 MW solar photovoltaic power station. Then, it studies
the impact of incentives in construction of such a plant in different countries.
Results of this study indicate that feed-in tariff incentiveshave the greatest impact on
improving financial indexes of the project. The paid tax of an enterprise isalso
considered in ranking. It finally shows that financial aids have no effect but on
decreasing theinvestor's share of equity.
پژوهشی
Mozhgan Moallemi; Mohammad Reza Ghasemi; Hedayat Karimzadeh
Abstract
Government size and its effects on an economy is one of the important issues in
economic researches. Recently, many attempts have been made to determine the
optimal size of government and its effects on economic growth in most countries,
spatially in the developing countries. Since, economic growth ...
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Government size and its effects on an economy is one of the important issues in
economic researches. Recently, many attempts have been made to determine the
optimal size of government and its effects on economic growth in most countries,
spatially in the developing countries. Since, economic growth is just one of the
dimensions of development, it is not sufficient the investigation of economic growth
index in order to determine the optimal size of government. So the index of
economic well-being (IEWB) is needed to express the state of social welfare.
In this paper, consistent to Osberg and Sharp (1998), the index of economic well being (CIEWB1) will be calculated for period of 1978-2007. Then we investigate the
relationship between the size of government and economic well- being based on
Armey nonlinear model in order to determine the optimal size of government.
Moreover, the paper, analyzes the long- term relationship between them by using an
auto-regressive distributed lag model (ARDL) as well as long- term Dynamics by
vector auto-regressive process.
The Estimation results reveal a nonlinear relationship between government size and
economic welfare for Iran. The results imply that the optimal size of government is
20.8% and 5.9% based on the ratio of consumption and investment expenditure,
respectively. Also, there is no a long- term relationship between government size
(based on two indexes) and index of economic well-being. Moreover, the results
show that the effects of fluctuations of government size on economic welfare are not
permanent.
پژوهشی
Mahdi Khodaparast Mashhadi; Abdolhamid Rezaei-Roknabadi; Jalal Bakhtazma; Haniehi Fanood
Abstract
Pricing and rationing policies for controlling energy consumption are important
factors in resisting economies. For this end we have compared Willingness to Pay
and rationing policies enacted for different gasoline and dual consumption
automobiles, to see statistically,(1)Whether there is any difference ...
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Pricing and rationing policies for controlling energy consumption are important
factors in resisting economies. For this end we have compared Willingness to Pay
and rationing policies enacted for different gasoline and dual consumption
automobiles, to see statistically,(1)Whether there is any difference between their
energy usage and WTP? (2)Whether there is any difference between energy volume
rationed between different kinds of automobiles, and their WTP? Discovering endusers’
willingness to pay a questionnaire is designed, and based on sampling 200
questionares are distributed among gasoline and dual consumption consumers of different automobiles in Mashhad city randomly. In this study, Contingent Valuation
Method (CVM) is used to investigate willingness to pay for gasoline consumption
that is based on energy policies experienced in Mashhad in 2008. Descriptive
Method is used to describe the energy space situation in the public; and nonparametric
statistical tests have been used to provide some explanations for research
questions. Results indicate that, (1)there is statistically significance between energy
consumption (gasoline and gaz), and WTP; so different pricing policies is
desireable; (2) there is not any statistially significance between WTP rationing
volumes provided for different automobiles; and WTP; so pricing policies should be
the same for all kinds of automobiles
پژوهشی
Zeinolabedin Sadeghi; Hamid Reza Amir mahani
Abstract
Today, a good investment in the electricity industry is one of the important
concerns of policy makers and power market authorities; Nowadays power
industry suffers from the long-term fluctuations in the investment sector and
consequently in the power generation capacity. But one of the necessary
measures ...
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Today, a good investment in the electricity industry is one of the important
concerns of policy makers and power market authorities; Nowadays power
industry suffers from the long-term fluctuations in the investment sector and
consequently in the power generation capacity. But one of the necessary
measures for preventing instability and volatility of investing in the field of
power capacity is to commission a capacity market.
This study evaluates feasibility of commissioning a capacity market in Iran's
power market, while introducing capacity market and evaluating the
feasibility of investment in the construction of power plant using different
technologies.
Based on the results of this study, combined cycle technology has the lowest
price and the highest price belongs to the solar power plants. Approximately
the cost incurred per kilowatt hour of solar power plant is more than twice
the cost of combined cycle power plant. The increase in the exchange rate
has caused the capacity costs to be almost doubled in both scenarios and this
suggests the importance of the exchange rate in the field of capacity costs
and also in financing the power generation projects. However, such an
increase is different among various technologies.
پژوهشی
Abdorreza Asadi; Mohammadreza Abbaszadeh
Abstract
This paper investigates the effect of firms’ characteristics on leverage ratios
of affiliated and unaffiliated firms in Tehran Stock Exchange (TSE). In this
regard, financial data have been collected from 200 non-financial listed
companies over the five-year period. A regression model with dummy
variable ...
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This paper investigates the effect of firms’ characteristics on leverage ratios
of affiliated and unaffiliated firms in Tehran Stock Exchange (TSE). In this
regard, financial data have been collected from 200 non-financial listed
companies over the five-year period. A regression model with dummy
variable and t-statistic has been used to test the six hypotheses.
The results show a significant negative effect of profitability on leverage
ratios. The effect of growth opportunity on leverage ratios is significantly
positive and tangibility has a significant negative effect on short-term debt
and total debt ratios but for long-term the effect of debt ratio is positive. The
effect of firm size on leverage ratios is insignificant. Out findings also
indicate that the government ownership has a significant effect on the
relationship between firms’ characteristics and capital structure and the
pecking order theory is strongly supported as a pertinent theory to the capital
structure of Iranian companies.
