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Effects Monetary Policy on Stock Market Return Disaggregated at Firm Level
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
Since stock markets play an important role in economy, reflect expectation about macroeconomic situation and affect monetary policy effects on macroeconomic variables, are special interest of monetary policymakers. Hence, this dissertation studies relationship between monetary policy and market of equities. We study the effects of monetary policy of federal reserve on New York Stock Market Exchange return at firms level during 1999-2007 in an event study. Results confirm the conventional relationship, which is monetary policy affects firms’ return negatively. However these effects are not same for all firms. We find that market capital as proxy for size of firm and the industry which firm...
Innovative performance of Iranian knowledge-based firms: Large firms or SMEs?
, Article Technological Forecasting and Social Change ; May , 2016 ; 00401625 (ISSN) ; Bagheri Nasrabadi, M ; Yazdi, N ; Babakhan, A. R ; Sharif University of Technology
Elsevier Inc
2016
Abstract
The debate over innovativeness of large firms and SMEs, which was bolded by Schumpeter, still continues under mixed empirical evidences. There are several implications for this debate including policy orientation in support of large firms or SMEs. But there is a scarce of studies in developing countries and no such study in Iran yet. The present study has explored the proportionality of increase of innovation activity versus firm size within 522 Iranian knowledge-based firms categorized in 9 industries. Innovation activity was measured by R&D expenditure while firm size stood for number of employees. Using log-log regression in the first phase, it was found that R&D expenditure confirms a...
Studying Performance of the Enhanced Momentum Strategies in Tehran Stock Exchange
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
In this study, Tehran Stock Exchange market has been studied over a period of five years, and not only return of Simple Momentum Strategy but also returns of several Enhanced Momentum Strategies are calculated and compared with each other. The results obtained in this study are so different from the results obtained previously. For instance, unlike results of the previous researches, Simple Momentum Strategy had no significant return while the Contrarian Strategy yielded considerable return. Some elements in the Enhanced Momentum Strategies improved its performance while some others have worsened it. For example, low book to market value weakened the return of Momentum Strategy and...
Innovative performance of iranian knowledge-based firms: large firms or SMEs?
, Article Technological Forecasting and Social Change ; Volume 122 , 2017 , Pages 179-185 ; 00401625 (ISSN) ; Bagheri Nasrabadi, M ; Yazdi, N ; Babakhan, A. R ; Sharif University of Technology
Abstract
The debate over innovativeness of large firms and SMEs, which was bolded by Schumpeter, still continues under mixed empirical evidences. There are several implications for this debate including policy orientation in support of large firms or SMEs. But there is a scarce of studies in developing countries and no such study in Iran yet. The present study has explored the proportionality of increase of innovation activity versus firm size within 522 Iranian knowledge-based firms categorized in 9 industries. Innovation activity was measured by R&D expenditure while firm size stood for number of employees. Using log–log regression in the first phase, it was found that R&D expenditure confirms a...