Money and Monetary Economics
sahar zare joneghani; Bahram sahabi; hassan heydari; Mehdi Zolfaghari
Abstract
The equity premium is obtained from the difference between the return on the risky stock asset and the return on the risk-free asset; the failure of financial theory to explain high equity premium is known as the equity premium puzzle. This puzzle was introduced for the first time by Mehra and Prescott ...
Read More
The equity premium is obtained from the difference between the return on the risky stock asset and the return on the risk-free asset; the failure of financial theory to explain high equity premium is known as the equity premium puzzle. This puzzle was introduced for the first time by Mehra and Prescott in the framework of the C-CAPM model and states that stock returns are so high that it cannot be explained by the fluctuation of real consumption growth. Therefore, the examination of the puzzle is important because it provides the basis for the correction of models that lead to failure when faced with financial data. The purpose of the present study is to investigate the equity premium puzzle in Iran. Focusing on the relationship between the real and financial sectors, this study has specified a DSGE model in accordance with the conditions of Iran's economy. The specified model can investigate the equity premium puzzle in Iran by applying technology shocks, government spending, oil revenue, stock price index shock and money supply and the effect of these shocks on asset returns and consumption. The results show that the productivity shock, oil income shock and stock price shock in the high risk aversion parameter while smoothing the consumption and creating high equity premium can explain the equity premium puzzle in Iran.
Sahar Rahimi Rad; Hassan Heydari; Reza Najarzadeh
Abstract
Research and development expenditure is a key indicator of resources allocated to science and technological activities, so knowledge about its features and factors underlying firm decision about R&D expenditures have great importance. According to international comparisons, R&D intensity in Iranian ...
Read More
Research and development expenditure is a key indicator of resources allocated to science and technological activities, so knowledge about its features and factors underlying firm decision about R&D expenditures have great importance. According to international comparisons, R&D intensity in Iranian manufacturing firms is low compared to developing countries and emerging-market economies. Therefore, the aim of the paper is to analyze factors determining R&D intensity in Iranian manufacturing firms. Using data covering 1995-2014 based on two-digit ISIC data of Iranian manufacturing firms, we have developed a panel-data model to analyze R&D intensity. Our results show that high-tech companies with higher ratio of human resources with tertiary education are more open to foreign trade, have greater size and also have higher ratio of investment to value-added. The results show that profitability of high-tech companies and their value-added growth have no significant effect on their decision to make R&D activities. In mid- and low-technology companies, none of explanatory variables has significant effect on R&D intensity. This shows that these industries in Iran are not developed enough to be sensitive about R&D in their strategies. Based on these results and considering very different variables that affect decisions of companies about R&D, it is necessary to implement different policies for industries with different level of technology.
