Econometrics
Neda Esmaeeli; Maryam Ihami
Abstract
This paper aims to assess the existence of information asymmetry on the Iranian stock market and its impact on expected portfolio returns by applying Volume-Synchronized Probability of Informed Trading (VPIN) as a measurement tool. To this end, we used the actual data of 40 companies on the Tehran Stock ...
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This paper aims to assess the existence of information asymmetry on the Iranian stock market and its impact on expected portfolio returns by applying Volume-Synchronized Probability of Informed Trading (VPIN) as a measurement tool. To this end, we used the actual data of 40 companies on the Tehran Stock Exchange (TSE) within the period from March 22, 2018 to March 19, 2020. The outcomes highlight the presence of moderate toxicity levels in the orders of these stocks. Since asymmetric information leads to a risk to investors, they may ask for a premium to trade riskier assets based on the information level, which means that market makers may incorporate the information risk into the pricing of assets. To check this, we investigated the effect of asymmetric information risk on the stock returns on the TSE by adding a factor about the level of order toxicity to the 3, 4, and 5-factor asset pricing models. According to our findings, we affirm that the Iranian stock market priced the asymmetric information risk during the time interval from March 22, 2018, to March 19, 2020. Therefore, it is essential to take into account the information risk factor besides a combination of factors such as market, size, profitability, and investment to obtain the most efficient explanation for the returns of portfolios.
Other
Mostafa Shamsoddini; Hosein Nourani
Abstract
Price is known to be a very important indicator for evaluating the performance of firms in the stock market. This study aims to investigate the role of uncertainty and asymmetric information as the main variables influencing the stock price fluctuations on the intrinsic value and market price relationship ...
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Price is known to be a very important indicator for evaluating the performance of firms in the stock market. This study aims to investigate the role of uncertainty and asymmetric information as the main variables influencing the stock price fluctuations on the intrinsic value and market price relationship of firms active in the Tehran Stock Exchange during 2013-2022.The present study attempts to investigate relationship of stock price and mentioned variables in firms active in the Tehran Stock Exchange by modelling the relationship between the stock price and mentioned variables. The results indicate that asymmetric information has a positive and significant effect on the relationship between stock intrinsic price and market price in firms active in Tehran Stock Exchange. Furthermore, the variables relevant to firm performance and economic significantly impact the firm's stock prices. Earnings per share, expected return on risk and economic growth rate have a positive effect and financial leverage, inflation and exchange rate have a negative effect on the stock prices. Overall, the study underscores that uncertainty, asymmetric information, and both firm-specific and economic factors play a pivotal role in explaining fluctuations in stock prices, providing a valuable framework for understanding market behavior in the context of an emerging economy. From a practical standpoint, these findings emphasis the necessity for policymakers and market regulators to enhance transparency and information quality, thereby reducing asymmetric information and fostering investor confidence.
Mansour Mahinizadeh; Kazem Yavari; Hassan Valibeigi; Ali Shafiei
Abstract
Nowadays, banks are considered as one of the major components of the financial system of a country and any deficits and malfunction in the banking system will negatively affect the performance of the real sector. Therefore, there is a need for more investigation on the behavior of banks and factors affecting ...
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Nowadays, banks are considered as one of the major components of the financial system of a country and any deficits and malfunction in the banking system will negatively affect the performance of the real sector. Therefore, there is a need for more investigation on the behavior of banks and factors affecting those behaviors in a country. One of the issues that affect the behavior of banks is symmetric information. Thus, the main aim of the present study was to investigate the impact of asymmetric information in the money markets on investment, production, and employment. Hence, based on the New-Keynesian framework, a Dynamic Stochastic General Equilibrium (DSGE) model was adopted in accordance with the structure of the economy of Iran. The designed model entailed nine sectors including households, firms, banks, the Central Bank, oil, the government, exports, imports, and other countries of the world. Moreover, the rigidities of the prices and wages, and the rigidities of the imported and exported goods were taken into account in the model. By using the Bayesian method and data gathered from Iran during 1974-2017, the parameters of equations were estimated and the impact of symmetric information was investigated. The results indicated that increasing the asymmetric information and reducing the honesty in the society through decreasing the resources available to the banks and increasing the cost of banks will lead to an increase in the profit of the facilities. Also, increasing the profit of banks concessional loans decreases investment, production, and employment.
Morteza Derakhshan; MirHadi Hosseini Kondelaji
Abstract
This article aims to study lease and hiring contract in the Iranian-Islamic setting and analyze the asymmetric information problem in these contracts. For doing this, we study the characteristics of lease and hiring contracts in Iran (real world experimental characteristics that recognized in other studies), ...
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This article aims to study lease and hiring contract in the Iranian-Islamic setting and analyze the asymmetric information problem in these contracts. For doing this, we study the characteristics of lease and hiring contracts in Iran (real world experimental characteristics that recognized in other studies), using library method, then we mathematically model different aspects of asymmetric information (hidden information and hidden action) using contract theory. The result of model indicates that there is a list of optimal contracts in any lease or hiring transactions that can solve asymmetric information problems (adverse selection and moral hazard) by satisfying the participation and incentive compatibility constraints. Finally in the experimental analyses we calculate the optimal contract with hypothetical parameters using lingo software and illustrate that the main models provided for every transactions is solvable and the optimal contracts are obtainable. Experimental contracts shows that the lessor has to set security deposits of tenant type θL lower than tenant type θH and set higher monthly rent for him in lease contracts, and principal has to set wage of tenant type θL lower than tenant type θH and set higher length of contract for him in hiring contracts to solve asymmetric information problems.
