Capital Assets

Open Access Article

1 - A scheme of CAPM models considering momentum premium
Mehrdad Salehi Rezvan Hejazi Ghodrat allah Talebnia Ali Amiri

the growth and development of financial markets and instruments, the complexity of financial markets and the specialization of investment, investors and financial market professionals need tools, methods and models that help them choose the best investment and the most More

the growth and development of financial markets and instruments, the complexity of financial markets and the specialization of investment, investors and financial market professionals need tools, methods and models that help them choose the best investment and the most appropriate portfolios. This has led to a variety of theories, models, and methods for pricing asset holdings and the calculation of stock market outlook predictions, which are developing and changing every day. The aim of this research a scheme of CAPM models considering momentum premium. For this purpose, the researcher uses factor analysis method and structural equation method in order to more accurately analyze the data and measure the variables of the model. The results of 90 companies during the period from 2006 to 2016 in the Tehran Stock Exchange show that adding a factor to the momentum increases the explanatory power of the new model of capital asset valuation. Also, the return on a portfolio consisting of a losing company is less than the return on a portfolio of winning shares Manuscript profile

Open Access Article

2 - Provide a Modifier Pattern of Capital Assets Pricing Models Using Distress Risk Model and Momentum Premium
Mehrdad Salehi rezvan hejazi qodratallah talebnia

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Open Access Article

3 - Pathology achieving construction budget in Tehran during the first four years of the fourth development plan
کرم اله دانش فرد حاجیه رجبی فرجاد

Policies and programs, infrastructure construction and government, through theconstruction budget as an important and comprehensive Sindhi been applied and isimplemented. Civil Affairs in the development of infrastructure funding and economicinfrastructure, social, play More

Policies and programs, infrastructure construction and government, through theconstruction budget as an important and comprehensive Sindhi been applied and isimplemented. Civil Affairs in the development of infrastructure funding and economicinfrastructure, social, plays an important role and its importance is such that in theBudget and Planning Act 1351 specifically Section 5 and 7 of this is expressed. Sostudy the factors affecting the quality and execution of budget construction andimplementation of Pathology, greatly contributed to the realization of programs andgovernment policies will be. In this study, the researcher realized Pathologyconstruction budget in Tehran during the first four years of the fourth developmentplan has paid. The main goal of this study, the lack of recognition of existingproblems in the way of achieving development executive budget development is inTehran province. Research on a four-year period 1384 to 1387 using the Spearmancorrelation coefficient test was performed. Descriptive research methods - Aquestionnaire survey and data collection has used. The study of all staff, financial,housing Vshhrsazy Tehran province, Mines Industries Organization, Tehran Province,Tehran Province Road and Transportation Department is renovating schools in Tehranand sampling all the organizational conditions is considered.Review research findings on the relationship between independent variable (delay incredit allocation, bureaucracy, time prediction programs, structural problems withinthe organization, process cost, estimated improper construction budget) and thedependent variable (civil or non-realization of the budget delay in the implementationconstruction budget) showed, respectively, operating expense and delay in theallocation process credit most effective in achieving non- construction budget anddevelopment budget is the delay in implementation Manuscript profile

Open Access Article

4 - Risk-Return Tradeoff: Evidence of Capital Assets Pricing Model
Roohollah Farhadi Ali Saghafi Mohammad Taghi Taghavifard

In this research, return and risk tradeoff examined using standard form of Capital Assets Pricing Model (CAPM) in Tehran Securities Exchange (TSE). Using a methodology related to the field of Ex post facto studies in financial researches, OLS and Quantile regression mod More

In this research, return and risk tradeoff examined using standard form of Capital Assets Pricing Model (CAPM) in Tehran Securities Exchange (TSE). Using a methodology related to the field of Ex post facto studies in financial researches, OLS and Quantile regression model was used for test of CAPM. Results of running (linear and Quantile) two stage regression show that beta as systematic risk proxy cannot explain excess returns difference. Results show also unique risk can explain excess returns, although relation of unique risk and excess return is variant in different quartile of returns. As a conclusion, it can be stated that at least using of TSE Index as proxy of market portfolio, CAPM model does not explain stock prices. Manuscript profile

Open Access Article

5 - Tests pricing Capital assets with the approach of some value with the use of derivatives
Mohammad Nasr S. Ali Nabavi Chashmi

The purpose of this study was to test the capital asset pricing approach to some extent with the the use of derivatives is value. For the collect data for research using documentary techniques, the financial statements of a sample of 50 companies listed in the Tehran St More

The purpose of this study was to test the capital asset pricing approach to some extent with the the use of derivatives is value. For the collect data for research using documentary techniques, the financial statements of a sample of 50 companies listed in the Tehran Stock Exchange during the years 2011-2016 were used. For the analyze the data, panel data techniques were used. The results show that, there is relationship between futures and option pricing of capital assets in companies listed in Tehran Stock Exchange. But a significant relationship between the option and value pricing some extent with the of capital assets in companies listed in Tehran Stock Exchange does not exist.     Manuscript profile

Open Access Article

6 - Separation and Computation of Relative Risk Aversion and Elasticity of Inter Temporal Substitution: Recursive Preferences and Dynamic Programming Approach
reza roshan

Abstract The aim of this paper is separation and calculation of the relative risk aversion and elasticity of inter temporal substitution (EIS) by combining the recursive preferences and budget constraint of the consumer. For this mean,at the first, asset portfolio was More

Abstract The aim of this paper is separation and calculation of the relative risk aversion and elasticity of inter temporal substitution (EIS) by combining the recursive preferences and budget constraint of the consumer. For this mean,at the first, asset portfolio was constituted for Iranian households and by using of the GMM approach and utility function, Euler equations investigated for during the 1357-1393. The results of different models indicate that there is no reciprocal relation between of two parameters and Iranian households tend to stabilize and smooth consumption at different states and times. Based on the results, development of financial markets will be on the agenda of planners, so that small-scale households’ capital can be led through such markets to rebuild the country's infrastructure. Manuscript profile

Open Access Article

7 - Reviewing the Reasons for not Achieving the Construction Budget within Four Years in Tehran Fourth Development Plan (Case Study: Civil Road Transportation- Office of Reconstruction and Development Schools-
K. Danesh Fard H. Rajabi Farjad

This study examines the reasons for non-realization of developmental budgets of Tehran Province within the first four years of the Fourth Development Plan (87-84) via a case study on: Tehran Province Housing and Urbanizing, Mines Industries Organization, Road and Tra More

This study examines the reasons for non-realization of developmental budgets of Tehran Province within the first four years of the Fourth Development Plan (87-84) via a case study on: Tehran Province Housing and Urbanizing, Mines Industries Organization, Road and Transportation, Renovating Schools Office. The purpose of this research is to identify the problems on the way of non-realization of developmental budgets atTehran Province and identification of obstacles in this regard. Reviewing issues regarding the implementation of the budget funding, identifying the barriers to the realization of developmental budget, identifying obstacles at the operating cost process and attracting the officials' attention to the organizational and administrative capacities to support the implementation of the budget are the other concerns. Research methods used here is the survey method and data collection instrument is a questionnaire that its content validity is confirmed by the experts and its reliability is calculated through Cronbach alpha as 0.9657 in this study. Statistical community includes the Financial Department, Housing and Urbanizing, Mines Industries Organization, Road and Transportation, Renovating Schools Office staff at Tehran Province. The sampling technique is based on the organizational conditions and depends on credit, budget, inventory departments staff and the headquarter managers totals to 53; One-way ANOVA and Spearman Correlation Coefficient Formule were applied. The findings of this research show that there is a significant correlation among the independent variables (delay in budget allocation, bureaucracy, predetermined schedules, inner-organizational structural problems, inappropriate evaluation of developmental budget) and non-realization of developmental budget or the delay in implementation of this budget. This research shows the operating cost process variable is the most influential factor in non-realization of developmental budget and/or delays in implementing this budget in the organizations under the study. Manuscript profile

Open Access Article

8 - The Evaluation of Return and Risk on Investment in Stocks based on the Integration of Asset Pricing Multi-Factor Model and Penalty Function
Aliakbar Farzinfar hossein Jahangirnia Reza Gholami Jamkarani Hasan Ghodrati Ghazaani

Evaluation of stocks based on return and risk related to capital assets is one of the important issues of this field. The majority of multifactor models are defined based on the assessment of one of the return and risk criteria. Nevertheless, the model presented in this More

Evaluation of stocks based on return and risk related to capital assets is one of the important issues of this field. The majority of multifactor models are defined based on the assessment of one of the return and risk criteria. Nevertheless, the model presented in this study evaluated return and risk simultaneously. The multifactor patterns are static and do not express dynamic changes during time intervals affected by latent factors. In this research, unpredicted fluctuations in stock return were defined as latent factors in the penalty function. A more accurate estimate was provided by using the simulation of Fama–MacBeth regression in the estimation of effective parameters and separation of the effects of latent and manifest factors affecting stock return and risk. According to the analysis of the field of knowledge and content analysis, factors affecting the stock return were recognized, and the most effective factors including market measures were refined as manifest factors based on the tolerances. Finally, the model proposed(P-PCA) was exploited in risk prediction (at risk value). According to the results of the study, the mentioned model more efficiently showed the effects of latent and manifest factors on stock return over a long period. In addition, it was able to predict the risk of investment with proper accuracy and similar to patterns of conditional variance, such as ARCH and GARCH. Manuscript profile

Open Access Article

9 - The Mediator role of Information Asymmetry in Imperfect Competition Market on the relation between Earnings Forecast Bias & Idiosyncratic Risk derived from Capital Assets Pricing Model
Mohammad Hassani Sanaz Moradi

10.30495/afi.2021.1925455.1016

Theoretically, firms should reduce information risks to provide a transparent environment for different groups in capital market to make decisions. Therefore, identifying potential risk factors is important. This paper investigated the impact of earnings forecast bias a More

Theoretically, firms should reduce information risks to provide a transparent environment for different groups in capital market to make decisions. Therefore, identifying potential risk factors is important. This paper investigated the impact of earnings forecast bias and information asymmetry in imperfect competition market on the idiosyncratic risk. It is used the standard deviation of residuals extracted from capital asset pricing model to measure the idiosyncratic risk. Earnings forecast bias is measured based on the absolute value of difference between actual value and forecasted value of earnings per share scaled by the beginning stock price. In addition, information asymmetry is assessed based on the stock price bid-ask spread. Using filtering method, 147 firms listed in Tehran Securities & Exchange during 2013 to 2018 selected as research population. Research hypotheses analyzed through multivariate regression models. Research results showed that more earnings forecast bias lead to increase the idiosyncratic risk. In addition, high level of information asymmetry caused to increase the idiosyncratic risk. Also information asymmetry lead to strengthen the positive relation between earnings forecast bias and idiosyncratic risk. As a whole, firms with high level of earnings forecast bias & information asymmetry as inverse proxies of information quality which have worse information environment have more idiosyncratic risk. Manuscript profile

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