s.m shariat panahi; A abjadpour
Volume 9, Issue 36 , January 2012, , Pages 93-121
Abstract
Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree with price limit application, its efficiency, ...
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Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree with price limit application, its efficiency, and its optimum range. Advocates believe that although price limit may delay price discovery, it prevents extreme price volatility and overreaction. On the other hand, critics assert that price limit causes price volatility spillover and intensify investor’s overreaction. Since there is no consensus over the price limit application and efficiency in the researches, it is recommended to study this issue using different methods. Therefore, we are trying to study price limit effects in Tehran Stock Exchange using Contrarian Investment Strategy. Our results show that price limit application in Tehran Stock Exchange delays price discovery but has nothing to do with investor’s overreaction. Consequently, it seems that regulators have prevented extreme volatility, although this constraint delays price discovery and reduces market efficiency.
Saied Sehhat; Faraz Mosaferi Rad; Majid Shariat Panahi
Volume 8, Issue 32 , January 2011, , Pages 121-140
Abstract
There are several criticisms on traditional performance appraisal criterions because of not considering "Cost of Capital" and using traditional accounting methods and roles. Alternatively, economic value added and other modem performance appraisal criterions imply cost of capital to ...
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There are several criticisms on traditional performance appraisal criterions because of not considering "Cost of Capital" and using traditional accounting methods and roles. Alternatively, economic value added and other modem performance appraisal criterions imply cost of capital to provide a better estimation of added values.
The relationship between these traditional criterions such as "Return on Investments" and "Return on Equity" with "Economic Value Added" as a modern criterion has been evaluated throughout this research. In addition, it has been discussed how traditional measurements can adapt with economic value added and how their developments can augment economic value added.
As a result of the few numbers of Iranian insurance companies we have exploited society and assessed eighteen active insurance companies of Iran during 2006-2009. Also we used "Rate of Return on Capital" instead of economic value added. Economic value added is based on the excess amount of money that a company earns on the capital employed. Therefore, comparing it with relative ratios is not reliable.
Adjustments of economic value added have been applied based on standard adjustment of economic value added and Iranian insurance companies accounting principles.
The research finds that there is a significant relationship between return on investment and economic valued added. Also there is a significant relationship between return on equity and return on economic value added. In addition the relationship between ROE-RROC is more significant than ROI-RROC.
S.M Shariat Panahi; J. Ebadi; M. Peimani
Volume 8, Issue 31 , October 2010, , Pages 101-119
Abstract
Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure ...
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Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure of risk is so important in finance.
There are many measures to quantify risk of investment. In this paper, we compare some of these measures of risk based on their ability to predict return in various time horizons. Therefore, four measure of risk (standard deviation, mean absolute deviation, semi standard deviation and value at risk) are selected from common and downside risk family and their abilities to forecasting return in one, two and three months periods are examined. Our analysis method is panel regression and results are conducted based on R-squared and nested regressions method. Our sample contains 66 Tehran Stock Exchange listed companies in time period of 1383 to 1387. Our results depict that semi standard deviation and value at risk have a better performance especially in one month prediction.
Seyed Majid Shariatpanahi
Volume 6, Issue 21 , April 2008, , Pages 61-82
Abstract
Resources allocation is considered to be one of the main activities for banks. The most important risk that threatens this activity is commitments refusal on the part of facilities receiver. One of the ways that can be used to benefit properly from investment opportunities and help to stop wasting ...
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Resources allocation is considered to be one of the main activities for banks. The most important risk that threatens this activity is commitments refusal on the part of facilities receiver. One of the ways that can be used to benefit properly from investment opportunities and help to stop wasting resources is bankruptcy prediction and default probability.
In this research, we have established Multiple Discriminant Analysis (MDA) model to predict the default of the companies which receive facilities and credit. The result of this research, which are based on the information provided by the companies receiving facilities and credit from Industry and Mine Bank, have indicated that, five ratios of the seventeen selected ratios have the most power in distinguishing the group of companies with default and without default. Another result is that there is a trade-off between ROA and default probability and the last conclusion is that the companies with a higher net profit are more successful in repaying their credits and facilities.
Seyed Majid Shariatpanahi; Ghasem Ghasemi
Volume 3, Issue 11 , October 2005, , Pages 209-225
Abstract
In this research the investigator tries to predict the companies’ EPS by comparing the most famous forecast with management foresees companies’ budget. For this goal, among different types of forecasting methods, the most famous of them (Box-Jenkins method) is chosen and based on economic ...
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In this research the investigator tries to predict the companies’ EPS by comparing the most famous forecast with management foresees companies’ budget. For this goal, among different types of forecasting methods, the most famous of them (Box-Jenkins method) is chosen and based on economic evaluation methods, appropriate model will be suited. It is clear that as per correctness test methods and evaluation tests the above mentioned model should be confirmed. In this manner a suitable forecasting model shall be obtained. Then, by Wilkinson rank sum test, the suited forecast model with management forecast will be situated along each other and by calculating their deviation from real EPS from the point of closing to the reality will be judged.
The result of this research shows that the EPS mentioned by management in the companies’ budget is closer to reality than the EPS foresee by Box Jenkins time series model. In more clear word, the declared EPS by manager is more real compare to the best time series forecast models.
S.M. Shariat Panahi; Y. Badavar Nahandi
Volume 2, Issue 7 , October 2004, , Pages 77-96
Abstract
Financial experts in the response to critics of EVA, propose the refined form of EVA that focuses on relevance of information versus its reliability. In other words' this measure that we call it "REVA", computes the opportunity cost of used resources in the base of their market values. In ...
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Financial experts in the response to critics of EVA, propose the refined form of EVA that focuses on relevance of information versus its reliability. In other words' this measure that we call it "REVA", computes the opportunity cost of used resources in the base of their market values. In this research we studied information content and explanatory power of REVA for different measures of risk-adjusted stock return. The hypothesis of this study was tested for 50 active corporations introduced in the research period. We used the available statistical society of corporations accepted in Tehran stock exchange, and tested the Correlation degree between variables of the research and the explanatory power of REVA for the changes of different measures for risk-adjusted stock return. The results of this study indicate that, there is a weak positive correlation between REV A and measures of risk-adjusted stock return, and a (differential or abnormal return)' REV A (total risk-adjusted stock return), and RVOL (systematic risk-adjusted stock return) orderly have the greatest correlation coefficient with REV A. It means: rREVA,α > rREVA,RVAR > rREVA,RVOL
Seyyed Majid Shari'at Panahi
Volume 1, Issue 1 , April 2003, , Pages 85-108
