Firm Specific Risk and Return: Quantile Regression Application
Maryam
Davallou
Department of Finace, Fcaulty of Management and Accounting
Shahid Beheshti University, Tehran
author
text
article
2014
eng
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was investigated. The results revealed that the relationship between firm specific risk and stock return is significantly affected by the quantile so that the direction of changes in low quantiles is negative, and in high quantiles, is positive. Moreover, using the specific risk measure based on return’s standard deviation, the interactive effects of industry and the fourth moment lead to removal of this relationship. One can attribute this relation to the mutual effect of industry and kurtosis. However, using measures based factor models, industry and kurtosis cannot eliminate the explanatory power of specific risk.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
1
18
https://ijes.shirazu.ac.ir/article_3667_e25d42277b315e024843e88705b16f1d.pdf
dx.doi.org/10.22099/ijes.2014.3667
Estimating Efficiency of Thermal and Hydroelectric Power Plants in Iranian Provinces
Ahmad
Sadraei Javaheri
Department of Economics and management, Shiraz University, Shiraz
author
Ali Hussein
Ostadzad
Department of Economics and management, Shiraz University, Shiraz
author
text
article
2014
eng
This paper aims at estimating the efficiency of hydroelectric power plants (renewable energy resources) and thermal power plant (non-renewable energy resources) in Iranian provinces. Data Envelopment Analysis (DEA) approaches is applied to estimate the efficiency. The network is modeled as a linear system with multiple inputs and one output. Fuel cost, labor force, operation cost are used as inputs. Electrical energy delivered per year is used in the model as output. The study offers some detailed policies to improve the efficiency of the plants. Mean technical efficiency of hydroelectric power plant in 2011 and 2010 are 62% and 53%, respectively. Mean technical efficiency of thermal power plant in 2011 and 2010 is 82% and 77%, respectively. The results of the study indicate that mean technical efficiency of thermal power plant in 2010 and 2011 is higher than efficiency of hydroelectric power plants.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
19
42
https://ijes.shirazu.ac.ir/article_3668_4b2f7d790befccb158b905ef7ea27abc.pdf
dx.doi.org/10.22099/ijes.2014.3668
The Asymmetric Effects of Tax Revenues on Government Expenditures in Iran
Majid
Maddah
Department of Economics,
SemnanUniversity,Semnan-Iran
author
Mahboobeh
Farahati
Department of Economics,
SemnanUniversity,Semnan-Iran
author
text
article
2014
eng
The tax-expenditure hypothesis posed by Milton Friedman emphasizes a positive causal relationship between government tax revenues and government expenditures. If citizens do not have a correct perception of the real tax burden and under-estimate the price of public goods and services, there is a negative causal relationship between tax revenues and government expenditures, which indicates existence of fiscal illusion. Using quarterly data. for the period 2001-2012, this paper investigates fiscal illusion in Iran. In order to achieve this goal, two symmetric and asymmetric error correction models, are estimated. According to results from Wald test in symmetric model, there is a negative causal relationship between real tax revenues, and real government expenditures. This result hence, confirms the presence of fiscal illusion in Iranian economy. Moreover, the results obtained from the asymmetric model show that there is merely fiscal illusion in the case of tax revenues reduction and there is no Granger causal relationship for the positive changes of tax revenues. Therefore, by a decline in tax revenues, government expenditures increase after a year due to fiscal illusion. Thus, it seems that in the state of government's budget deficit, raising the taxes is an efficient instrument.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
43
62
https://ijes.shirazu.ac.ir/article_3669_56d44e38914d08972054ba950fbab5b4.pdf
dx.doi.org/10.22099/ijes.2014.3669
An Investigation of the Impact of Government Size on Economic Growth: New Evidence from Selected MENA Countries
Rana
Asghari
Economics, Faculty of Economic and Management, Urmia University,
Urmia, Iran
author
Hassan
Heidari
Economics, Faculty of Economic and Management, Urmia University,
Urmia, Iran
author
S. Jamaledin
Mohseni Zonouzi
Economics, Faculty of Economic and Management,
Urmia University, Urmia, Iran
author
text
article
2014
eng
This paper investigates the impact of government size on economic growth in selected economies of the MENA countries by using a non-linear panel data approach over the period 1990-2011. The estimation results of Panel Smooth Threshold Regression model show that when the level of government consumption is very large, the positive impact of labor force on growth is intensified. On the other hand, export revenues in the countries under investigation have no positive effect on economic growth when the level of government consumption is high. The main result of this study confirms the negative impact of consumption expenditures on economic growth in this block of countries.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
63
80
https://ijes.shirazu.ac.ir/article_3670_ba5bdd68e809f9aa457653df175ff66a.pdf
dx.doi.org/10.22099/ijes.2014.3670
The Impact of Social Capital on Innovation in Selected Countries
Farhad
Khodadad Kashi
Department of Economics,
Payame Noor University,
Tehran-Iran
author
Ali
Afsari
Department of Economics,
Allameh Tabatabayi University,
Tehran-Iran
author
text
article
2014
eng
Using panel data method, this study examines the effects of different dimensions of social capital on innovation at the societal level across 21 countries (19 Asian countries plus Russia and Egypt) for the period 1995-2011. Dimensions of social capital that have been considered in this study include generalized trust, trust toward friends, institutional trust, civic participation, and norms of civic behavior. We use Fully Modified OLS (FMOLS) method to estimate the model. Our empirical findings suggest that in Asian countries some aspects of social capital such as trust toward friends, generalized trust and norms of civic behavior have a positive and significant effect on innovation. But civic participation and institutional trust have no significant impact on innovation. Moreover, we find that human capital and R & D expenditure have a positive effect on innovation in these countries.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
81
98
https://ijes.shirazu.ac.ir/article_3671_1395150a3e391129e88f1f847802181f.pdf
dx.doi.org/10.22099/ijes.2014.3671
Effects of R&D and Technology Imports on Employment: The Case of Iran
Masoud
Sadeghi
Department of Economics
University of Isfahan, Isfahan, Iran
author
Iman
Keyfarokhi
Department of Economics
University of Isfahan, Isfahan, Iran
author
text
article
2014
eng
Domestic innovations and technology imports play important roles in boosting relative demand for skilled labor force. These factors are in turn influenced by domestic R&D investments and international trade. Using a translog cost function, this paper studies the effect of technology imports and other factors including output level and physical capital stock on the shares of skilled labor force employment. The data for technology imports are gathered based on ISIC (International Standard Industry Classification) 2-digit codes for the period 1971-2013. Our translog cost function is estimated by seemingly unrelated regressions (SUR) method. The estimation results show that an increase in technology imports raises the share of skilled labor force and decreases the production cost. Moreover, our result indicates that domestic R&D has no effect on employment level of skilled labor force in Iran.
Iranian Journal of Economic Studies
Shiraz University
2322-1402
3
v.
2
no.
2014
99
123
https://ijes.shirazu.ac.ir/article_3672_1df44cfe6d05f35065c302a32e9f6208.pdf
dx.doi.org/10.22099/ijes.2014.3672