Financial Economics
parisa mohajeri; reza taleblou; Mina Yaghchi
Abstract
The strategic decision of determining the optimal capital structure is paramount for corporate managers, given its profound impact on company valuation and shareholder wealth. This study aims to discern the factors influencing capital structure, specifically financial leverage, with a concentrated focus ...
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The strategic decision of determining the optimal capital structure is paramount for corporate managers, given its profound impact on company valuation and shareholder wealth. This study aims to discern the factors influencing capital structure, specifically financial leverage, with a concentrated focus on uncertainties at both the industry and company levels, employing a multilevel panel model. Data spanning a 15-year period from 1387 to 1401 for 151 companies across 26 industries listed on the Tehran Stock Exchange were collected. R software facilitated the estimation of stock price volatility and stock market industry indices, followed by the application of Stata software to estimate the multilevel panel model. The results reveal several key insights: first, industry-level uncertainties exert a significant negative impact on leverage, while company-level uncertainties lack statistical significance. Second, Q-Tobin demonstrates a positive and substantial effect, whereas cash flow, profitability, tangible assets, and the market value-to-book value ratio exhibit negative and significant effects on leverage. Third, accounting for different levels and incorporating a random component in coefficient estimations enhance the model's explanatory power. Therefore, the multilevel panel model proves preferable over the fixed-effects panel model.
Reza Talebloo; Mojtaba Bagheri Todeshki; Mohammad Mehdi Bagheri Todeshki
Abstract
The purpose of this article is to investigate the effect of behavioral deviations on the pricing of financial assets with the assumption that sentiment is an important and relevant risk factor in the Iranian capital market. This paper also examines the effect of sentiment, momentum, size, value, ...
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The purpose of this article is to investigate the effect of behavioral deviations on the pricing of financial assets with the assumption that sentiment is an important and relevant risk factor in the Iranian capital market. This paper also examines the effect of sentiment, momentum, size, value, and market risk premium by estimating the Multi-Factor Asset Pricing Model (APT). In order to perform empirical analysis, the quarterly returns of companies listed on the Tehran Stock Exchange in the period 2010-2019 in the form of 18 stock exchange groups including 63 listed companies are used. Using two indicators of market turnover sentiment. and sentiment effect. we estimate the sentiment index and by extending the Carhart model and considering two sentiment variables in the form of SAPM model, coefficients estimate by using Hausman-Taylor panel data method. The results of the model show that in the SAPM model, the sentiment variable is very important and significant and have a positive relationship with the average seasonal rate of return of different stock exchange groups.
Reza Taleblou; Teymour Mohammadi; Hadi Pirdayeh
Abstract
Researches in housing sector show that the effect of various economic factors on housing prices might be different in separate areas of a country and housing prices in different regions of the country have internal connections with each other. Modelling of these effects is done in the form of spatial ...
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Researches in housing sector show that the effect of various economic factors on housing prices might be different in separate areas of a country and housing prices in different regions of the country have internal connections with each other. Modelling of these effects is done in the form of spatial Econometrics. In this study, data related to 28 provinces of Iran during the period 2000 -2013 is used to estimate and compare the dynamic spatial SDM panel models with spatial SDM panel models and also to estimate the direct and indirect effects (space overflows) related to the explanatory variables in both the short and long term by using population spatial weight matrix in Matlab software. In order to choose the best spatial pattern consistent with the theoretical model of housing price determination, we have used Elhorst methodology and at every step, Likelihood ratio test (LR) and Lagrange multipliers tests (LM) are used to compare the spatial patterns. We found out that dynamic spatial model shows the best specification. By comparing the results of the dynamic spatial panel models, lagged housing price variable and spatial effects of this variable have a significant role in determining house prices. The results also show that only the spatial effects of household spending variable have a significant effect on housing prices and other variables such as land price, construction costs, rental housing prices, have significant effect on housing prices in the provinces of Iran both directly and in the form of space overflow effects.
Javid Bahrami; Ahmad Mohammadi; Reza Taleblu
Volume 12, Issue 44 , April 2012, , Pages 25-45
Abstract
We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights ...
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We study the volatility of business cycle of Iranian economy base on the wavelet approach. we found some synchronic business cycles with different power and frequencies (two to four years cycles, and trend that indicates the low frequency) which is contradictory to the traditional approach that highlights classic definition of cycle (with three to eight years cycles).On the other hand, exception to 1971-1981, oil and non-oil cycles are approximately the same which means that the non-oil sector has been affected by the oil sector volatilities and neutralization of this affection by economic policies has been failed. The other point is that oil cycle has completely different asymmetry than the non-oil cycle. We also found that the energy of trend is sharply more than other elements of wavelet which indicates that the concealed long run volatilities is major part of the energy of economic time series. This finding is compatible with other related studies.
Reza Talebloo
Volume 11, Issue 43 , January 2012, , Pages 75-98
Abstract
Deposit insurance is a type of shelter for banks depositors. The main
purpose of this system is stabilization of financial market and
providing a situation that small and fragile bank and deposit
institutions can survive in credit market. Appropriate pricing of
deposit insurance rate is necessary ...
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Deposit insurance is a type of shelter for banks depositors. The main
purpose of this system is stabilization of financial market and
providing a situation that small and fragile bank and deposit
institutions can survive in credit market. Appropriate pricing of
deposit insurance rate is necessary for realization of this goal. In this
paper we use Merton option pricing model for estimating deposit
insurance rate of some Iranian private banks. For this purpose, first,
banks asset value and its variance that are unobserved, were estimated
with specification of maximum likelihood function. Then deposit
insurance price of each bank based on their risks were calculated. We
found banking deposit insurance premium and risk are growing. In
some years, estimated deposit insurance premium unusually was very
high. This fact can be due to two events: first ratio in this year was
high, which means debt to equity ratio was high. Secend, banks value
variance were high. Other finding of this study is that deposit
insurance premium of Iranian banks are different. This fact shows that
these banks have different risk levels so, with respect to differences in
deposit insurance premium of each bank, this paper recommends that
deposit insurance system in Iran should be based on their risk levels.
