Financial Economics
Teimur Mohammadi; Mohammad Reza Feghhi Kashani; Mahdi Samei
Abstract
The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility ...
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The negative correlation between an asset’s volatility and its return is known as the “leverage effect”. This relation is explained by the effect of the return of a firm’s equity on the degree of leverage in its capital structure. If this relation holds, the increased volatility resulting from a fall in stock price should be comparable with the decreased volatility resulting from a price rise with the same magnitude and also, this effect should be persistent. Most of the researches in the “leverage effect” examine the relation between volatility and stock return. To examine the effects of both returns and financial leverage on volatility data from the 22 biggest companies from March 2009 to March 2019 in Tehran Stock Exchange are collected. To find the leverage the value of debt in the capital structure of selected companies is calculated using Geske compound option pricing model. The data show the leverage effect only in negative returns and may have a negligible direct connection to the firm leverage.
Behavioral economics
Morteza Khorsandi; Mahnoush abdollahmilani; Teymur Mohamadi; pardis hejazi
Abstract
The effect of income on subjective-wellbeing (as one of the criteria for measuring mental well-being) has been considered in many studies but various dimensions of this effect have not yet been studied. The study aims to investigate the nonlinear effect of income on the subjective-wellbeing of 58 selected ...
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The effect of income on subjective-wellbeing (as one of the criteria for measuring mental well-being) has been considered in many studies but various dimensions of this effect have not yet been studied. The study aims to investigate the nonlinear effect of income on the subjective-wellbeing of 58 selected countries during 2005 to 2020, which has been studied in two scenarios. For this purpose, a PSTR model developed from regime change models has been used. In the present study, the effects of income, unemployment, inflation, life expectancy, and income inequality on subjective-wellbeing have also been investigated. According to the obtained results, in a nonlinear relationship, the effect of GDP on subjective well-being at a certain threshold value of income inequality is decreasing. Therefore, if increasing national income and reducing income inequality as a factor affecting welfare is considered by politicians, it is also important to note that reducing inequality from a certain threshold onwards reduces the impact of income on welfare. This means that from a certain threshold on income inequality, the focus of governments on reducing income inequality should be reduced so that resources are spent on essentials.
Financial Economics
Mohammad Feghhi Kashani; Teymor Mohammadi; hadi pirdaye
Abstract
Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary ...
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Corporates adjust their information voluntary disclosure according to the volatilities they experience in their cash flows. The purpose of this study is to investigate the effects of news concerning risk, ambiguity level, and investors' ambiguity aversion on the policy adopted by firms as to the voluntary disclosure (conservative or non-conservative) of soft and hard information in the digital industry subset of Tehran Stock Exchange within the period of 2012-2022. Further, we have used the corporate voluntary disclosure lag to capture the disclosure dynamics along with the control variables including the cost of capital, financial leverage and stock liquidity by dynamic panel models to explain the voluntary disclosure behavior of soft and hard information of the corporates. The results indicate that managers of companies active in the digital industry, depending on the type of information available to them for voluntary disclosure conservatively or non-conservatively, respond differently to the news related to risk, ambiguity and ambiguity aversion of investors. That could be due to the nature of the disclosed information (credibility of information for investors). Likewise, the findings confirm the increasing effects of voluntary disclosure of previous periods on the disclosure of subsequent periods, which somehow confirms the existence of inertia in voluntary disclosure policies in the studied industry.
Information and communication technology economy
Esfandiar Jahangard; Teymour Mohammadi; Ali Asghar Salem; Forough Esmaeily Sadrabadi
Abstract
The question that is considered by researchers in the field of knowledge-based economy is that among the factors affecting intangible investment, does information and communication technology have a heavier weight than the rest of the factors? In this study, using the Corrado,Hulten and Sichel (CHS) ...
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The question that is considered by researchers in the field of knowledge-based economy is that among the factors affecting intangible investment, does information and communication technology have a heavier weight than the rest of the factors? In this study, using the Corrado,Hulten and Sichel (CHS) approach, the measurement of intangible investment is calculated. In their research, intangible investment has been divided into three major parts: computer information, innovative assets, and economic competencies. Then these three components are divided into nine parts. In this article, we select the component of information and communication technology, which is the first component of intangible transitory capital, and its effect on Total Factor Productivity(TFP) has been investigated. The field of study is manufacturing industries with a four-digit economic activity classification code for employees of ten and above during the years 1996 to 2018. Using panel data and GMM, the productivity function was estimated for manufacturing industries. The results of this research show that ICT has a significant role on the productivity of all production factors, and its coefficient is higher than other intangible investment components.
Financial Economics
Hossein Talakesh Naeini; Reza Taleblou; Teymor Mohammadi; Parisa Mohajeri
Abstract
Extensive applications of asset pricing in the fields of finance and economics lead to an increasing importance of this issue, which has attracted more attentions of researchers in theoretical and empirical aspects. Due to this issue, the main purpose of this paper is to compare two asset pricing methods ...
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Extensive applications of asset pricing in the fields of finance and economics lead to an increasing importance of this issue, which has attracted more attentions of researchers in theoretical and empirical aspects. Due to this issue, the main purpose of this paper is to compare two asset pricing methods i.e. “Beta” and “stochastic discount factor” in Iran Stock Exchange market. Using the monthly data of Tehran Stock Exchange index return and return of shares of the companies listed in the stock exchange market of Iran during 1379(1) to 1398(6), we have formed 5*5 baskets-called 25 portfolios of Fama and French- to evaluate the efficiency and stability of one factor model (capital asset pricing model) and multi-factors model (Fama and French’s 3 factors model) using Generalized Method of Moments (GMM) estimation method. The results show that the aforementioned methods are not completely superior to each other. In fact, for CAPM model, stochastic discount factor method is more efficient and less stable than Beta method and vice versa for Fama and French’s 3 factors model.
Econometrics
Abbas Shakeri; Teymor Mohammadi; Zinat Zakeri
Abstract
The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets ...
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The expansion of the globalization process has increased the relationships among financial markets in different countries, which itself has motivated investors to move among them to make more profit. Given the situation in Iran after sanctions, the possibility of investing in well-known financial markets is facing with the risk of sanctions. The present study aims to evaluate the existence of volatility spillover among the financial markets of Iran and Islamic oil exporters countries. To this aim, a multivariate factor stochastic volatility (SV) model and stock price index data were used with daily frequency for the period 12/05/2008-02/19/2020. Based on the results, the main hypothesis that the volatility spillover among the financial markets of OPEC oil-exporting Islamic countries follows a common and uniform random trend is accepted for the United Arab Emirates, Saudi Arabia, and Qatar, but not for Iran and Nigeria. Therefore, diversifying the portfolio for Iranian investors in the financial markets of OPEC Islamic oil exporters can reduce the investment risk in the long run which make such economies an appropriate investment destination for Iranians due to the conditions of sanctions.
Ali Arabmazar Yazdi; Teimour Mohammadi; Atefeh Taklif; Reza Jalalpanahi
Abstract
In the Balance of Payments Constrained Growth (BPCG) model, demand variables such as export and import determine the limit of economic growth in the long run. In this study, we compare the results of both basic and extensive forms of the Thirlwall model for developing oil producing countries considering ...
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In the Balance of Payments Constrained Growth (BPCG) model, demand variables such as export and import determine the limit of economic growth in the long run. In this study, we compare the results of both basic and extensive forms of the Thirlwall model for developing oil producing countries considering the key role of oil exports and foreign-exchange reserves. To do so, two groups of oil developing countries are categorized based on the average daily oil production. The first category includes Iran, Saudi Arabia, Venezuela, and Mexico, and the second one is Egypt, Algeria, Nigeria, and Indonesia. Additionally, the price and income elasticities of demand for imports and exports as well as the co-integration are investigated by using an ARDL (Autoregressive Distributed Lag) model and Pesaran and Shin’s bound test. The price and income elasticities are also calculated with Kalman filter method. Then, we calculate the constrained growth in various forms for ten-year overlapping periods from 1960 to 2016 and finally test the validity of the Thirlwall law. The results indicate that Thirlwall law is not confirmed for several developing oil producing countries. The lower rate of real growth compared to constrained growth of payments in some economies including Iran can be attributed to factors such as the lower rate of capital inflow growth than the growth rate of export volumes as well as the positive effect of foreign income on the constrained growth of payments. The results show that the balance of payments is not a limiting factor for Iran's economic growth which confirms the fact that improving economic growth, in the long run, depends on the improving of the supply side.
Teimour Mohamadi; fatemeh azizkhani; hasan taee; Javid Bahrami
Abstract
The results of many studies show that rigid regulations on product and labor markets are considered as a key factor in weakening the employment conditions and have led to high unemployment rates. Given the complicated regulations in the countries of the Middle East and North Africa (MENA), studying the ...
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The results of many studies show that rigid regulations on product and labor markets are considered as a key factor in weakening the employment conditions and have led to high unemployment rates. Given the complicated regulations in the countries of the Middle East and North Africa (MENA), studying the great dynamics of deregulation can give useful guidelines for lawmakers and policy makers. The aim of this paper is to study the effect of deregulations of commodity and labor markets on the growth and the unemployment rate in 20 MENA countries using GMM method and Panel VAR approach during the period 2005 – 2017. The results of this study show that deregulation in product and labor markets in the short run will reduce economic growth, increase unemployment and lead to recession. But in the long run, it will increase economic growth and reduce unemployment. The labor market reforms, as opposed to product market reforms, do not lead to major dynamics in economic growth. For policy-making in MENA countries, deregulation in the product market has priority over the labor market, since it has a stronger impact on the wavelength and durability of the effects.
freidoon salimi; Teimour Mohammadi; JAMSHID PZHOYAN; farhad ghaffari
Abstract
The aim of this paper is to study the technical, scale and technological efficiencies and also the changes in Partial and total factor productivities of provincial centers of Islamic Azad University. The methods used are DEA, Malmquist Index and a new approached known as truncated bootstrapped regression. ...
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The aim of this paper is to study the technical, scale and technological efficiencies and also the changes in Partial and total factor productivities of provincial centers of Islamic Azad University. The methods used are DEA, Malmquist Index and a new approached known as truncated bootstrapped regression. The results indicate that out of 30 units of centers in the study, only 3 units are Fully efficient: Kermanshah, central Tehran and Yazd. For the periods under study (2010 and 2016), the productivity growths for all units have been positive and 18 units had TFP changes greater than one. The study revealed that environmental factors have effects on efficiency and productivity. Specifically, one percent increase in the ratio of the number ofthe professors and associate professors to total members will increase the efficiency by a factor of 0.89 percent. An increase in the age of unit and being in the metropolitan area increase the efficiency by the amount of 0.04 and 0.01 percent respectively.
zahra sadat raeisi gavgani; Teimour Mohammadi; farhad qhaffari; Abas Memar Nejhad
Abstract
The purpose of this paper is to investigate the existence of nonlinear effects of the fiscal policy. Specifically, the asymmetric effects of equal fiscal shocks (of government spending) on macroeconomic production variables are studied. In this regard, a Dynamic Stochastic General Equilibrium (DSGE) ...
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The purpose of this paper is to investigate the existence of nonlinear effects of the fiscal policy. Specifically, the asymmetric effects of equal fiscal shocks (of government spending) on macroeconomic production variables are studied. In this regard, a Dynamic Stochastic General Equilibrium (DSGE) model consistent with the conditions of the Iranian economy during the period 1369 – 1393 is used. We present theoretical foundations of the asymmetric effects of fiscal shocks on macroeconomic variables, then we refer to two strands of studies; the first one emphasizes nonlinearity in the effect of fiscal policy, and argues that nonlinear effects are associated with large and persistent fiscal impetus for industrial and developing countries. The second strand of studies emphasizes expectations about fiscal adjustment for debt sustainability during large fiscal adjustments rather than in normal times. The results show that the positive and negative impacts of government expenditures have asymmetric effects on macroeconomic variables. The effect of negative shock of government spending on consumption, investment and production of the private sector as well as total production is stronger, more stable, and larger. On the other hand the effect of positive government spending shock on these variables is smaller having more temporary impact.
Ali Raoofi; Teimour Mohammadi
Abstract
In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random ...
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In this paper, a framework for time series prediction is presented which makes it possible to predict the future values of a time series more accurately using soft computing approach. In this method, input data of adaptive neural fuzzy inference systems are reduced using wavelet decomposition of random noises; therefore, it reduces errors and improves the desired chaotic time series prediction. The above method was evaluated using Tehran Stock Exchange return series for the period of 23/10/2009 to 23/3/2013, and the results indicate the superiority of the proposed method compared to other ones.
Teimour Mohammadi; Ali Asghar Salem; Fatemeh Mir Mohammad Ali Tajrishi
Abstract
Equivalence scale is an important concept in household welfare debates wich plays an important role in the measurement of poverty and inequality. Equivalence scale is an index that converts household's expenditures into comparable values. In this research, equivalence scale in terms of the relative cost ...
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Equivalence scale is an important concept in household welfare debates wich plays an important role in the measurement of poverty and inequality. Equivalence scale is an index that converts household's expenditures into comparable values. In this research, equivalence scale in terms of the relative cost of a child was estimated using Price scaling with a Quadratic Almost Ideal Demand System. The estimation method is nonlinear seemingly unrelated regressions and the estimation period is 2008-2012. Results indicate that one child costs about 15 percent of an adult in rural households and the quadratic expenditure effects is highly significant. It is concluded that the general equivalence scale, varies with price. Household's equivalence scales with different demographic characteristics is used to calculate equivalent income in this period in order to compare welfare, poverty and income inequality across rural households.
Teimour Mohammadi; Atefeh Taklif; Sahel Zamani
Abstract
In this article, we introduce a model for forecasting the daily gas prices by the use of wavelet transform and neural networks. In this hybrid model, the discrete Daubechies wavelet transform is applied to decompose the gas prices series into approximation series and details series (DS). The new series ...
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In this article, we introduce a model for forecasting the daily gas prices by the use of wavelet transform and neural networks. In this hybrid model, the discrete Daubechies wavelet transform is applied to decompose the gas prices series into approximation series and details series (DS). The new series are used as inputs to the ANN model to forecast Henry Hub natural gas prices. The relative performance of the hybrid model and neural network model shows that WANN model provides more accurate naturel gas price forecast compared to the individual ANN model. Diebold-Mariano test confirms this result.
Teimour Mohammadi; Mohammad Hossein Pourkazemi; Abbass Shakeri; Ali Safdari; Behnam Aminrostamkolaee
Abstract
The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve ...
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The present paper provides option pricing by using Merton-Black-Scholes approach in order to calculate the market value of banks’ assets, assets volatility, and distance to default for a selected sample of Iranian private banks in the period of 2010-1013. Therefore, the approach is able to solve some problems of banks valuation. At first for the period of 4 years, market value of assets, assets volatility and the distance to default were calculated and compared. Then, weighted average of market value, volatility, and Z-score for the banks in the period were also computed and compared. The results showed that Mellat bank had the highest, and Sina bank had the lowest value during the period. The results of assets risk and distance to default (Z score) have been different for each year. Also, weighted average of market value and assets risk (volatility) of these banks showed a rising trend during these 4 years. Considering the increased average capital adequacy ratio during these 4 years for 8 banks, the average Z (distance to default) has been decreased. This means that during the period of 4 years, by increasing the rate of capital adequacy, banks have been closer to default. Probably, the negative effects of economic and non-economic factors exceed positive impact of capital adequacy rate.
Teymur Mohamadi
Volume 17, Issue 50 , April 2012, , Pages 83-98
Abstract
This paper presents an assessment of the small-sample performance of the three well-known estimators of components variance in random effects model for panel data. The estimators considered are Swamy-Arora, Wansbeek-Kaptayn and Wallace-Hussain. To this end, by simulating a one-way error component model ...
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This paper presents an assessment of the small-sample performance of the three well-known estimators of components variance in random effects model for panel data. The estimators considered are Swamy-Arora, Wansbeek-Kaptayn and Wallace-Hussain. To this end, by simulating a one-way error component model in the form of random effects, small sample performance of three variance estimators is studied. The implications of these results for indentifying the model and its estimation are specified. In these simulations, conditions under which Swamy-Arora estimator is inferior to alternatives are expressed. It is shown that in small samples the estimator thus obtained can give highly wrong guidance. In one-way error component model this small sample size refers to the number of cross-sections.
