Mohammad hosein Ghaemi; Mohammad Rahimpour
Abstract
In the long-run event studies, the measurement of abnormal performance due to specific events in the long run is done according to different methods. The calendar - time portfolio approach is one of those methods used to calculate the abnormal returns resulting from the effect of the event being investigated ...
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In the long-run event studies, the measurement of abnormal performance due to specific events in the long run is done according to different methods. The calendar - time portfolio approach is one of those methods used to calculate the abnormal returns resulting from the effect of the event being investigated on the stock price of the firms. In this study, based on the data of 321 firms in the period of 1396-1380, the power of those methods in the Iranian capital market were assessed through simulation. The results show that following a performance appraisal of stock prices of firms in the long run, the three-year period should be taken into account. In addition, the four-factor model based on stock liquidity in the ordinary least square, and the Fama and French’s three-factor model, a four-factor model based on stock liquidity, a four-factor model based on stock beta and a four-factor model based on accruals in weight-average least squares , were identified as good models in the three-year period.
Mohamad hossein Ghaemi; Taher Eskandarli
Volume 10, Issue 40 , January 2014, , Pages 53-75
Abstract
This paper studies the behavior of managers in annual Earnings Forecasts. According to SEC regulations, annual earnings forecasts for companies listed in Tehran the Stock Exchange are mandated but manager have considerable latitude over the numbers they release. In this study has been investigated the ...
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This paper studies the behavior of managers in annual Earnings Forecasts. According to SEC regulations, annual earnings forecasts for companies listed in Tehran the Stock Exchange are mandated but manager have considerable latitude over the numbers they release. In this study has been investigated the management bias in annual earnings forecast and effect of the three-variable: past performance, management approach in last year's forecast earnings, and type of ownership of listed companies in Tehran Stock Exchange. In this study Management bias is measured by using two criteria, forecast innovation and forecast errors. The sample includes the 1135announcements of annual earnings forecasts during the period 1386-1390 (Iranian Calendar). The analysis performed shows, managers initial forecast optimism is inversely related to firm performance, and is more pronounced for firms with higher levels ownership, and with a history of forecast optimism.
M Ghaemi; M Moradipour; M Karim
Volume 9, Issue 35 , October 2012, , Pages 93-106
Abstract
Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French ...
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Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French three-factor model in this paper. To estimate the model, we use monthly data from 2006-2010. Also, sample concludes 90 listed companies in TSE. Income smoothing is measured by volatility ratio of operational income to cash flow from operation. Our findings show that income smoothing is another relevant factor in Fama-French three-factor model. In other words, income smoothing is relevant to stock return and the less volatility ratio, the less the expected return of shareholders.
Mohammad Hosein Ghaemi; Masoomeh Nematolahi
Volume 4, Issue 16 , January 2007, , Pages 71-89
Abstract
A fundamental assumption in cost accounting is that the relation between costs and volume is symmetric for volume increases and decreases. In this ...
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A fundamental assumption in cost accounting is that the relation between costs and volume is symmetric for volume increases and decreases. In this study, we investigate whether costs are "sticky" that is, whether costs increase more when activity rises than they decrease when activity falls by an equivalent amount. We find, for 77firms over 9 years, that selling, general, and administrative (SG&A) costs increase on average 0.41 % per 1% increase in sales but decrease only 0.16 % per I % decrease in sales. We find, for 77firms over 9 years, that cost of goods sold increase on average 0.97 % per I % increase in sales but decrease only 0.77 % per I % decrease in sales according to our investigation SG&A costs and cost of goods sold are sticky.
Mohammad Reza Sarebanha; Mohammad Hossein Ghaemi; Farshad Salim
Volume 4, Issue 13 , April 2006, , Pages 156-184
Abstract
This paper is aimed to respond to a general question about the capacity and potency of Tehran Stock Exchange Price Index (TEPIX) - an all-share Index- indicating future movement of the market and economy as a leading indicator. In one sense, whether the index (TEPIX) is efficient to serve as a benchmark ...
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This paper is aimed to respond to a general question about the capacity and potency of Tehran Stock Exchange Price Index (TEPIX) - an all-share Index- indicating future movement of the market and economy as a leading indicator. In one sense, whether the index (TEPIX) is efficient to serve as a benchmark for decision-making. For this reason, we apply Fischer Tests (Time Reversal Test & Factor Reversal Test) and statistical significance by t-state.
For this research, two hypotheses in four different scenarios are designed. For first hypothesis, we used both time & factor reversal tests in tri scenarios and also statistical significance by t-state. For second hypothesis (forth scenario) we made a comparative comparison between indices such as Laspeyres, Paasche, Edgeworth-Marshal, Drobisch, Geary-Khamis , Fisher investor's decision making; of course, with assuming that investors use index as a benchmark for making decision.
With respect to the results, we can derive that TEPIX is not a favorable measure. Thus it is not an efficient index.
