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.
Parviz Davoodi; Zahra Zarepour
Volume 8, Issue 29 , February 2007, , Pages 47-74
Abstract
Demand for money and its stability are important in an economy especially in the design of monetary policy. Money consists of different components and its definition would depend on types of components included. It has been argued that the simple sum indices as the definition of money are inconsistent ...
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Demand for money and its stability are important in an economy especially in the design of monetary policy. Money consists of different components and its definition would depend on types of components included. It has been argued that the simple sum indices as the definition of money are inconsistent with microeconomic theory. By using the simple sum method for aggregation, it is implicitly assumed that there is a perfect substitution among the various money components. An alternative definition of money uses the index number theory to construct indices which allow different substitution rates among the components of money. In this paper, we estimate the Iranian demand for money for the period 1367:1 to 1383:1 (1988-2004) using Divisia index for definition of money.
The results show that the estimated demand for money in Iran is stable. However, the adjustment rate in the models using Divisia index is higher than that when the simple sum index is used. Our results are consistent with the other studies that indicate a rapid adjustment in the Iranian money market.