Ordinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fai More
Ordinary investors do not look to their portfolio as a whole. These investors consider their portfolio as a set of mental arithmetic. In mental accounting, the conventional issue of maximizing the expected return is faced with the constraint of maximum likelihood to fail in achieving the return threshold. The present study extracts the capital asset pricing model from Markowitz Mean-Variance Portfolio Model and risk-free asset entering the limitations of this model. Then, MA-CAPM model is extracted by creating a mathematical equivalence between the components of this model and the limitation of mental accounting. In this model, expected investment return for any purpose presented in the form of mental arithmetic is a function of the return on risk-free asset, beta and risk premium of mental arithmetic where the risk premium of mental arithmetic equals the difference between returns of each account and risk-free return on assets. Expected rate of return on assets in the MA-CAPM will be influenced by return threshold and likelihood to fail in reaching this threshold, i.e. mental arithmetic risk.
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One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is equity risk premium puz More
One of the most important branches of finance is modeling and evaluation of assets pricing. For this reason, many models have been proposed to explain the pricing of assets. Studies of last two decades refer to limits on the models. Such issue is equity risk premium puzzle. In this paper was investigated the theoretical equity risk premium puzzle with the experimental study of this phenomenon using data of years 1367 to 1391 seasonally from the Stock Exchange in Tehran .To investigate this puzzle addition to Mehra and Prescott (1985) method is used estimation of S-CCAPM model using GMM method. S-CCAPM model is adjustment of CCAPM model that was created with the import savings to utility function. Models results show that according to Mehra and Prescott method equity risk premium is obtained 5.7. This value shows that there is risk premium puzzle in the economy of Iran because with the use of empirical data equity risk premium is 0.129. But at second method, equity risk premium gained 0.4. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle. This implies that the adjustment in the base CCAPM can be helped to solve the puzzle.
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The various studies results Illustrate about the presence of time-varying risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil spot price using data for period 1986-2016. The research More
The various studies results Illustrate about the presence of time-varying risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil spot price using data for period 1986-2016. The research method in present research is in term of purpose applied, in term of method descriptive-correlation and in term of data nature quantitative. For insight to goals, the paper use from GARCH method, Co-integration test and Vector Error Correction model (VECM). The results of estimations point to risk premium fixed in period 1986-2016, but risk premium is time varying in short period (2004-2016). Also, the results of Co-integration test and vector error correction model indicate to coefficient of risk premium be negative in the period 1986-2016, whereas this coefficient is positive in the period 2004-2016. The coefficients show to oil market estate in Contango position in the period 1986-2016 and normal backwardation in the period 2004-2016
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Financial scholars have made valuable efforts to measure risk premium. Recently, Chen et al (2010) proposed a three factor model based on market factor, investment factor, and profitability factor for explaining stock return and called it q-theory model. Prior researche More
Financial scholars have made valuable efforts to measure risk premium. Recently, Chen et al (2010) proposed a three factor model based on market factor, investment factor, and profitability factor for explaining stock return and called it q-theory model. Prior researches have shown that this model reduces the magnitude of the abnormal returns of a wide range of anomalies. This research examines the performance of new model in explaining the risk premium of the individual stock and portfolio of stock, and compares it with the performance of CAPM and three factor model of Fama and French in stock exchange market. Sample under investigation consist of 72 listed companies for the period of 1386-1391. The results show that risk premium of stocks has a significant relationship with the sensitivity of its returns to investment and profitability factors. Furthermore, q-theory model significantly excel CAPM in explaining risk premium of firm size, book to market value and momentum portfolios. But it significantly excels three factor model of Fama and French just in explaining the risk premium of momentum portfolios.
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Coordination of monetary and fiscal policies is crucial for achieving economic growth in the context of price stability. Therefore, the monetary and fiscal authorities must have the necessary coordination and coordination in implementing their policies in order to achie More
Coordination of monetary and fiscal policies is crucial for achieving economic growth in the context of price stability. Therefore, the monetary and fiscal authorities must have the necessary coordination and coordination in implementing their policies in order to achieve better results. On the other hand, the game theory is one of the concepts that has many applications in different sciences and fields. Game theory is of particular importance in economics, since it analyzes the interaction of individuals and their decisions. Thus, in the present study, the coordination of monetary and fiscal policies in the long run and its effect on macroeconomic variables are investigated according to a mathematical model. Accordingly, the interaction of monetary and fiscal policies are taken into consideration in the form of differential games with respect to the risk premium. On the other hand, the method of solving the game by Stackelberg game and the mathematical method is to solve the method of optimal control of Pontryagin's principle. In this regard, the results show that the interaction of monetary and fiscal authorities in the fiscal leadership creates better consequences in the society than the monetary leadership so that the fiscal leadership will decreases the government debts further and brings the debts closer to their desired level. On the other hand, if the policy makers consider the longer-term horizons for applying their policies and lead to the reduced risk premium, reduced target budget deficit and the real interest rates by proper policy-making, they can reduce the level of government debt and thereby the society will be in a better situation.
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