Monetary & Financial Economics

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 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.

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 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.

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. 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.

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? 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.

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 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.

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 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.

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 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

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 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.

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 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.