Sharif Digital Repository

Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity... 

Value at risk of an asset, is the asset’s expected maximum loss for a certain period of time and at a specified confidence level. Value-at-Risk can be calculated in the bank with its inter-nal method or standardized method. when a method have more violation number then bank need to keep more daily capital requirements. under the Basel 2 agreement if the violation of method more than 10 times in year, the Bank uses the standardized method.
There are trade off Between daily capital charge and violations. Therefore, existing methods for calculating the value at risk, usually lead to much daily capital charge or many violations. Studies show with combination of different methods to calculate... 

Value at risk (VaR) is the maximum loss of the asset portfolio at the specified confidence level and certain time horizon. This tool is used to measure market risk and also used as a basis in determining financial standards for international financial instituation. Conditional Autoregressive Value at Risk models or CAViaR models introduced by Engle and Manganelli (2004). This models calculate VaR base on quantile regession approach and show some promising performance properties.
In order to propose a more accurate model for calcutating VaR , we develop CAViaR models by incorporating them with intraday information then we calculate VaR with this kind of models and CAViaR... 

Value-at-Risk (VaR) is the most commontool for risk management. This tool is used to measure market risk and also used as a basis in determining financial standards for international financial institutions. VaR is the maximum loss of the asset portfolio at the specified confidence level and certain time horizon. Many parametric, nonparametric and semi parametric methods have been invented for VaR estimation. Each one of these methods has its advantages and disadvantages and different methods may perform better in differnet situations.When estimating VaR, we can choose one of these methods or we can combine the VaRs estimated by different methods. There are few researches conducted on VaR... 

In this research, we examine the profitability of momentum investing strategy in Middle East stock markets in 2005- 2014. We find that momentum strategy is not profitable in this period, since market was negative in many months of studying period. However, we find that the momentum strategy generate positive return following up market, and negative return following down market, which is similar to its performance in other stock markets. Our results show that pastmarket return determines winner and looser portfolio. Following up markets, high beta stocks constitute looser portfolio and low beta stocks constitute winner portfolio. Conversely, following down markets, high beta stocks constitute... 

This study investigates the effect of commodity price shock, including oil and base metals prices, on Tehran exchange and industries stock returns. These industries have the largest market share in Tehran exchange and may heavily depend on global prices. Using weekly data from 1387 to 1396, Multifactor and VAR models are performed to analyze the variance decomposition and impulse response function of each industry to 1% price shock. In addition to global prices, some macroeconomic factors that are likely to affect stock returns are considered. The results show that commodities price shocks have dynamic and significant effects on stock returns  

One function of futures markets is to signal about future spot prices. This role is accommodated by creating a way for future tradings. In futures markets, different types of investors, including speculators, arbitrators, and hedgers, trade based on their expectations of the future. The better the agents are in pricing, the more significant this role of financial markets. Therefore, it is possible that futures prices contain information that helps to predict maturity spot prices. This study examines the performance of using gold coin futures prices in forecasting with the help of data from December 2008 to July 2016. Studying the cointegration relationships between futures and maturity... 

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... 

There have been numerous papers worked on the effect of U.S. monetary policy on other countries macroeconomic variables; considering U.S. important role in the world economy. However, few papers focus on foreign countries monetary policy reactions to U.S. monetary policy. The main purpose of this dissertation is to find out how foreign countries policy makers react to U.S. monetary policy. In order to answer this question, we consider the effect of exogenous monetary policy shock on other countries’ short term interest rates. The second part of the dissertation focuses on which elements can explain the differences in countries’ monetary policy reaction. At last, we consider the effect of... 

The commodity market as a noteworthy section of the capital market plays a prominent role in the economy of a nation. Base metals, which are widely utilized as industrial raw materials, account for a part of the costs imposed on a nation’s economy. Hence the price levels and volatility of such metals have been under close observation by the capital markets and in the process of monetary policy. In this research we investigate the impacts of the monetary policy of the Federal Reserve on the return of base metals based on daily data and also on the stock return of the corporates which are associated with these metals by using intraday data. This poster employs Federal Funds Futures Contracts... 

Price to earnings ratio is one of the most used ratios in financial markets for valuation of firms in the Iran and world. In present research for analysis of this ratio,investors’ sentiment alongside fundamental factors affecting price to earnings ratio has been investigated. Fundamental factors affecting this ratio are selected based on prior research and economics theory; these factors are, dividend ratio, growth,risk and inflation. For the analysis of investors’ sentiment, eight proxies related to sentimental behavior have been utilized; among them, four are introduced and used for the first time in this research. Implementing these eight sentimental proxies, a variable measuring... 

Multi-period Value-at-Risk (VaR) forecasting is important for risk management. Financial institutions especially commercial banks according to Basel Committee regulations for capital adequacy in “Internal Approach”, should forecast their VaR for multi-period horizons (longer than one day). The most conventional approach for forecasting multi-period VaR is scaling one-day forecasted VaR that is called “square root of time rule”; therefore most works in this area have been focused on forecasting one-day VaR. In this study, we review performance of a wide range of different methods in forecasting multi-period VaR. The results of our study show that historical simulation performs weakly in... 

This paper aims to test an important hypothesis in financial economics: whether equity returns are predictable over various horizons? The variables that we use are dividend yield, dividend-price ratio, price-earning ratio, dividend payout ratio and stock variance. For one month horizon,we compare forecast from predictive regression and forecast from historical mean both in-sample and out-of-sample. Evidence shows that to some extent, stock variance has predictive power and predictive regression model has a better performance than the historical mean model, but fundamental variables don’t have predictive power. The multivariate model has improved the performance, but we don’t see any... 

The land market is one of the most important markets in the economy. Land is a factor of production, store of value, and a major part of household’s portfolio. Although price of land is an essential information for institutions like municipalities whom tax the landlords, or for financial intermediaries like banks whom use the land as collateral, studies about price of land and its spatial and time variations are scrace in Iran. Furthermore, most of studies in other countries are usually based on inflexible OLS estimators. Thus, this study has two main contributions. First, to analyze the usefulness of hedonic modeling in explaining the price of land, utilizing a unique dataset for Tehran... 

In this project we tried to examine the effective variables on rent to price ratio and how the variations in R/P influence households’ decisions. Using rent to price ratio, the efficiency of Housing market has been inspected. However, the results for Tehran are in contrast to efficiency assumptions. Moreover, having access to unique database which remarkably increase the accuracy of our estimation, the relation between rent risks and House price has been examined. The results show that rent fluctuations has positive impact on house price. Rent to Price ratio has different applications and we tried to determine the variables that can explain this ratio. Literature review demonstrate that... 

The average annual turnover of Iranian mutual funds is 330 percent during the years 2011 to 2017. Such a high-volume trading imposes substantial transaction costs on the funds and their investors. Transaction costs comprise four different types of costs: In addition to taxes and commissions, there are other transaction costs originating from bid-ask spread and price impact, which need more complicated procedures to assess. By using high-frequency data and the information in the fund’s seasonal financial statements, the transaction costs of fifteen Iranian mutual funds are estimated. These funds spent 11 percent of their value on the trading costs per anum. Furthermore, the relation between... 

The aim of this paper is to investigate the effects of Iranian Chief Executive Managers and board of directors on the outcomes of their firms. First, by exploiting the information about changes in the combination of managers in 488 firms in Tehran Stock Exchange and Iran Fara Bourse, this study seeks to give an insight about managers’ labor market in Iran. Then, after combining these data with the obtained information from the firms’ financial statements, we run a set of regressions to identify whether managers have significant effect on the firms’ behaviors and performance. The results of this investigation show that a significant portion of changes in firms’ outcomes can be explained by... 

According to the impossible trinity, countries can only enjoy from two of the following choices simultaneously: fixed exchange rate, free capital flow and independent monetary policy. A part of the economics literature has tried to verify the theory empirically. Some of the researches like Klein and Shambugh(2015) has concluded that the trilemma is valid on the occasion of transferring the effect of base countries interest rate changes to other countries. On the other side, a few papers like Ray(2013) has shown that an independent monetary policy can just be obtained by a closed capital flow and a float exchange rate system can not necessarily give central banks the autonomy of monetary... 

We investigate order book events impacts on price movement, using the 31 stocks from the Tehran Stock Exchange. We show that in a low-depth market the mid-price change is explained mainly by a linear relationship with our proposed explanatory variable, modified order flow imbalance that represents the depth-adjusted differences of first level orders volumes in different sides of order book. Our results shows that the bid and ask spread has a negative effect on the power of events to move the price