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.
Mohammad Taghi Taghavifard; Reza Habibi; Abbas Ali Yari
Abstract
The purpose of this research is to measure the efficiency of selected Iranian banks from 2010 to 2016. We estimate efficiency, productivity and efficiency changes under the Bayesian setting. In this research, we consider the Non-Performing Loans (NPLs) of banks as bad outputs, while good outputs are ...
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The purpose of this research is to measure the efficiency of selected Iranian banks from 2010 to 2016. We estimate efficiency, productivity and efficiency changes under the Bayesian setting. In this research, we consider the Non-Performing Loans (NPLs) of banks as bad outputs, while good outputs are loans, off balance sheet assets and securities. Also, variables such as number of employees, bank capital, fixed assets and deposits play inputs role. Results show that the productivity changes of selected Iranian banks are positive over the period of the study, which is mainly due to the improvement in technology like e-banking services, while efficiency changes continued to be negative over the same period. It is observed that the average efficiency for banks is 85 percent. The Karafarin bank has the largest efficiency among selected banks while Refah Kargaran bank efficiency has the smallest one. Results also show that, during the specified period, private banks have a few better efficiency estimate in comparison with the efficiency of state owned banks.
Azam Ashourzadeh; Mohammad Taher Ahmadi Shadmehri; Masoud Homayounifar
Abstract
This study, by using data envelopment window analysis method examines the efficiency of 9 Iran’s oil refinery over the period of 2008-2013. Results of the study has shown that, during the period of study, only Kermanshah refinery was efficient in four windows and the rest of the refineries have ...
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This study, by using data envelopment window analysis method examines the efficiency of 9 Iran’s oil refinery over the period of 2008-2013. Results of the study has shown that, during the period of study, only Kermanshah refinery was efficient in four windows and the rest of the refineries have experienced a stable trend of inefficiency. The inefficiency of oil refining companies has been mostly due to inefficiency in resource management. Inefficient companies in the field of scale efficiency have had a decreasing return to scale, that can be achieved by reducing the size of the company to the optimal scale. The highest amount of resources wasted in the refineries was related to the refinery's fuel and feed consumption. Isfahan refinery had the highest loss of capacity, fuel and feed consumption, and Abadan refinery had the most labor force wastage.
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.
Esmail Ahmadi; Mohsen Zayanderoodi; Ali Raeispour; Alireza Shakibaee
Abstract
The purpose of this research is to investigate the efficiency of provincial tax affairs offices and their effect on tax revenues. To do this, depending on the type of variables used, DEA and BCC model, and the non-Controllable variables model (NCN) output-axis-return to variable scale (VRS) were used ...
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The purpose of this research is to investigate the efficiency of provincial tax affairs offices and their effect on tax revenues. To do this, depending on the type of variables used, DEA and BCC model, and the non-Controllable variables model (NCN) output-axis-return to variable scale (VRS) were used in the years 2010 and 2013. The research results show that only 7 tax administrations include tax offices in provinces Tehran, Boosher, Hormozgan, Sistan va Baloochestan, Markazi, Kerman and Khoozestan were efficient in these two years. This has made about 20% of tax revenue is not received due to inefficiency. The results also indicate that, although in the first three years of the fifth development plan, the value added of various sectors of the economy has increased nicely, but tax revenue growth has failed to move with these sectors. Therefore, if an appropriate mechanism for modeling the offices identified in this study as a reference can be created, it can also increase the efficiency of these departments at the level of the reference agencies, achievement of tax revenues and lower budget expenditures. Moreover, it is necessary to apply policies to increase the value added of various economic sectors as policies outside the control of the tax organization.
Ahmad Sadraei Javaheri
Volume 18, Issue 57 , February 2014, , Pages 85-95
Abstract
The paper studies the changes of total factor productivity forall Iranian Insurance companies for the period 2003-2009. In order to measure the changes in productivity, data envelopment analysis (DEA) method is applied. DEA method is used to estimate output oriented Malmquist productivity index. To determine ...
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The paper studies the changes of total factor productivity forall Iranian Insurance companies for the period 2003-2009. In order to measure the changes in productivity, data envelopment analysis (DEA) method is applied. DEA method is used to estimate output oriented Malmquist productivity index. To determine effective factors on the total factor productivity growth of insurance companies tobit regression is used. The results of the study confirm the positive effect of liberalization policy adopted by government on productivity growth. The results also indicate that dimension and the field of activity have significant positive effect on productivity growth.
Fatemeh Kalantar Mahjerdi; Shahnaz Nayebzadeh; Mahmood Moeinoddin
Volume 18, Issue 54 , April 2013, , Pages 153-180
Abstract
The aim of this study was to evaluate productivity and efficiency of intellectual capital of companies listed in Tehran Stock Exchange through Data Envelopment Analysis approach and Malm-quist productivity index. In this study, the automotive industry and component manufacturers listed in Tehran Stock ...
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The aim of this study was to evaluate productivity and efficiency of intellectual capital of companies listed in Tehran Stock Exchange through Data Envelopment Analysis approach and Malm-quist productivity index. In this study, the automotive industry and component manufacturers listed in Tehran Stock Exchange were chosen as pilot, and intellectual capital (human, physical, and structural capital) index was used as input index; stock return, return on assets, and return on equity were utilized as output variables for fifteen companies of this industry between 2006 and 2010. Results from the efficiency of intellectual capital indicated that throughout the years of assessment in this study, it was only a -brake- pad company that had the best performance among the selected companies; this was due to the fact that this company had been able to gain the maximum performance of intellectual capital in the assessed years. Results from the productivity of intellectual capital indicated that in the years between 2006 and 2010, except Saipa, Bahman Group, Zamyad which had a value smaller than 1 for the average productivity rate of their intellectual capital in the investigated growth range, this value was positive for the rest of the selected companies.
Farhad Khodadad Kashi; Mohammadnabi Shahekitash
Volume 17, Issue 51 , July 2012, , Pages 21-42
Abstract
This paper aims to examine the relationship between the structural and performance variables in 140 Iranian industries, besides investigating structure of industrial markets according to the Four-firm concentration ratio plus cost advantage ratio (CDR). Then the study estimates efficiency level of the ...
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This paper aims to examine the relationship between the structural and performance variables in 140 Iranian industries, besides investigating structure of industrial markets according to the Four-firm concentration ratio plus cost advantage ratio (CDR). Then the study estimates efficiency level of the industries under the stochastic frontier technique in 4 digits ISIC code so that finally the relationship between the structure and performance based on the SCP pattern has been examined through the estimated efficiency level. Additionally, we applied the bootstrap approach in order to have more precise judgment on the gained results. The findings indicate that firstly the industries with high concentration intensity are more inefficient, in other words there is an adverse relationship between the monopoly power and efficiency in Iranian industries which obviously imply that Unlike the Chicago notion, here the monopoly power does not originate from the efficiency, and we shall look for other possible reasons pertaining to this phenomena. Secondly, the industries with more intensity of entry barrier are more inefficient, it means that the role of entry barrier due to lack of competition is of significance in creating the inefficiency in the industrial sector. Thirdly, those industries which have more shares of governmental activities compared to private sector indicate lower efficiency. Which mean that there is a negative relationship between the government presence and efficiency of industrial activities.
Seyed Komail Tayebi; Mohammad Omidinezhad; Abbas Motahari Nejad
Volume 13, Issue 41 , February 2010, , Pages 1-28
Abstract
The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following ...
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The purpose of this research is to measure cost and profit efficiency for the Iran's commercial and public banks. We also determine time variant efficiency factors for period 1381-1384 (2001-2004). To measure the efficiency, we use stochastic frontier analysis (SFA) and error component model following Battese and Coelli (1992) using the Maximum Likelihood method and a panel data. Labor, physical capital, and financial capital are considered as inputs, and loans, bonds and other earning assets as outputs. The results show that most of the private banks are more efficient in profit efficiency than public banks, while most of the public banks are more efficient than private banks in cost efficiency. The cost efficiency has decreased but the profit efficiency has increased for the period under consideration. Profit efficiency is not positively correlated with cost efficiency, suggesting the possibility that cost and revenue inefficiencies may be negatively correlated. Cost efficiency ranges from 46.88 percent (Bank Saderat) to 91.58 percent (Bank Tejarat) with an average of 68.8 percent, and profit efficiency from 61.16 percent (Bank Melli) to 94.85 percent (Bank Sepah) with an average of 85.3 percent. Average and variance of profit efficiency is more than those of cost efficiency, implying profit efficiency is influenced by more variables.
Abdolrasool Ghasemi
Volume 13, Issue 41 , February 2010, , Pages 29-51
Abstract
DEA models that calculate the efficiency index with respect to inputs and outputs are commonly used in recent years. Although flexibility is one of the key characteristics of DEA models, specially where data is abundant, they overestimate the efficiency in small samples. Furthermore, they do not take ...
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DEA models that calculate the efficiency index with respect to inputs and outputs are commonly used in recent years. Although flexibility is one of the key characteristics of DEA models, specially where data is abundant, they overestimate the efficiency in small samples. Furthermore, they do not take into account managers' relative preferences about inputs or outputs. In this study, the managers' preferences are derived from a survey completed by bank experts. Then analytical Hierarchy process (AHP) is used to the weight the outputs and inconsistency of expert views. Finally, the expert matrix is derived from consistent expert views by the weighted geometrical average. Results show that 85 percent of branches have the efficiency lower than 50 percent with 41 percent of branches having the efficiency lower than 25 percent.
Fatemeh Ziba
Volume 10, Issue 34 , April 2008, , Pages 179-200
Abstract
It is argued that economic regulation of prices and conditions of public utilities improves efficiency and the quality of services. A Regulatory reform requires a regulatory body in place to set the rule of the game and to monitor the behavior of the firms engaged in the reform. The regulator's main ...
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It is argued that economic regulation of prices and conditions of public utilities improves efficiency and the quality of services. A Regulatory reform requires a regulatory body in place to set the rule of the game and to monitor the behavior of the firms engaged in the reform. The regulator's main task is to calculate the optimal prices and the level of cost-reducing effort for the firm and to instruct the firms to implement this solution. It is assumed that the result would furnish an environment in which competition will be flourished and accordingly efficiency and the quality of services will be improved. This study investigates regulatory reform in Iranian Electricity Distribution Industry (IEDI) and its impact on efficiency. To this end, efficiency in IEDI is estimated using DEA method and Malemquist index. Finally, price caps in EDI are calculated.
Saeed Moshiri; Mahdi Rezvan
Volume 8, Issue 26 , April 2006, , Pages 1-24
Abstract
Operating in international market, the Iranian airline industry is one of the first organizations which have used IT in Iran, and therefore, a good case for analyzing the impact of IT on productivity at the firm level. In this study, we first estimate the productivity of the airline industry using ...
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Operating in international market, the Iranian airline industry is one of the first organizations which have used IT in Iran, and therefore, a good case for analyzing the impact of IT on productivity at the firm level. In this study, we first estimate the productivity of the airline industry using the Iranian National Airline data from 1962 to 2000 by the Data Envelop Analysis (DEA) and the Stochastic Frontier Analysis (SFA) methods. We then evaluate the impacts of IT on the Iranian major Airline corporation.Many different cases have been considered in estimating the productivity. In the DEA method, both constant and variable returns to scale have been applied. In the SFA method, different measures for output have been used from which the passenger- kilometer variable produced the most reasonable outcome. The results indicate that the productivity in the Iranian airline industry has been fluctuating within a fixed range before and after the period 1976-83 in which the productivity decreased dramatically, mostly due to the revolution and the Iraqi imposed war on Iran. Furthermore, IT has had a positive effect on the productivity since 1990.
Mohammad Hossein Poorkazemi; Seyyed Hassan Ghazanfari
Volume 7, Issue 22 , April 2005, , Pages 69-90
Abstract
In this paper, we use data envelopment analysis (DEA), a specific non-parametric method, to obtain the efficiency of sugar produces. The main advantage of these non-parametric method, comparing parametric one, is that there is no necessity to specify a production function, and also, they provide some ...
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In this paper, we use data envelopment analysis (DEA), a specific non-parametric method, to obtain the efficiency of sugar produces. The main advantage of these non-parametric method, comparing parametric one, is that there is no necessity to specify a production function, and also, they provide some ways to calculate the efficiency of multi-product firms.
In this study, we measure the efficiency of 33 sugar factories of Iran in 1999. For this purpose, technical and scale efficiency of the sugar factories are calculated. The result shows the average technical efficiency is 69 percent. In addition, the technical efficiency of 7 factories including Neishabour, Piranshahr, Joveen, Isfahan, Eghlid, Miyandoab and Ghazvin is 100% relatively.
Also, the results of the scale efficiency show that 14 factories satisfy the efficient boundary condition and the average scale efficiency of the factories is about 75 percent. In addition, the rank of the efficient factories is determined, using different ranking methods.
