Mohammad Esmaeel Fadaie Nejad; Ali Akbar Arbabian
Volume 4, Issue 13 , April 2006, Pages 113-138
Abstract
This study examines whether capital expenditures provide value relevant information which is incremental to that of current earnings. Models in accounting or capital expenditures yield information about a firm's future earnings that is not captured by current earnings, as managers respond to private ...
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This study examines whether capital expenditures provide value relevant information which is incremental to that of current earnings. Models in accounting or capital expenditures yield information about a firm's future earnings that is not captured by current earnings, as managers respond to private information about future demand and costs through their investment decisions. Empirical research, however, has not provided consistent and strong evidence of this effect.
Research on the earning response coefficient (ERC) has shown that factors such as size, risk, and growth are important to the valuation of firm's earnings. Since earnings are reflection of the firm's investments, it seems natural to expect that valuation of the underlying investments is also sensitive to these and other relevant factors.
After controlling for size-related pre-disclosure information differences, we provide strong evidence that unexpected capital expenditures, in conjunction with mediating variables for growth, risk and earning levels, provide incremental value relevant information beyond unexpected current earnings and its mediating variables. So we find that capital expenditures changes are strongly and positively associated with excess returns.
Majid Shariatpanahi; Mostafa Bayati
Volume 4, Issue 13 , April 2006, Pages 139-154
Abstract
Different explanations have been suggested for the puzzling negative relationship observed between stock returns and inflation. The most popular ones have been the Tax - Effects Hypothesis (Feldstein (1980)), the Proxy Hypothesis (Fama, 198l), and the Reverse Causality Hypothesis (Geske and Roll, l 983). ...
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Different explanations have been suggested for the puzzling negative relationship observed between stock returns and inflation. The most popular ones have been the Tax - Effects Hypothesis (Feldstein (1980)), the Proxy Hypothesis (Fama, 198l), and the Reverse Causality Hypothesis (Geske and Roll, l 983). This paper employs regression approach to investigate the relationship between inflation and TEPIX and TEDPIX. We use monthly data from 198l to 2005. Findings indicate that relationship between inflation and TEPIX and TEDPIX is poor and investment in Tehran security exchange can't be hedge against inflation.
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.
