Some the following downloadable materials are written in adobe acrobat format (PDF), and a viewer can download (free) from Adobe's homepage. Most of the papers are in Farsi; an English version of the atricles will be avaiable soon.
"The position
of Iranian financial institutions at present."This paper looks at how
Iranian banks determine the total standing of financial system in a sample
developing country. Conventional independence on banks and their limited
innovation, causing a financial market with few old and ancient products and
services, gives no choice to financial instrument buyers to receive their
demanded products. This lack of choice to be in a buyer market, and to enjoy the
freedom of choice and having alternatives goes against the present state of
political reforms, and the kind of civil society seeked by Khatami, the
President. In general, we find that cultural factors are at least as important
as technological or financial infrastructural factors implying that much remains
to be done in order to upgrade the Iranian capital structures. This paper,
originally presented to the Tenth Annual Conference on Islamic Banking, and
printed in its "Collection of Papers" can be also accessed at that source,
comments welcome
"Public
economic participation and capital formation." This paper examines how
uncertainty, lack of investment security, and propaganda against market system
and profit may harm the pace and direction of capital formation in Iran. It
shows that Iranian financial structure needs a deep and real overhaul and
reshaping. It emphasizes in specific on curbing the domain of Government
involvement in economic activities, and pushing it back to the position of a
superviser, rather than a market player. As a result, the paper forsees a higher
rate of capital formation. This paper was originally presented to the Eighth
Annual Conference on Monetary and Exchange Policies, comments welcome
"Application of new capital
budgetting techniques in Iranian steel industries." This paper (with Mehrab
Yousefian) examines the superiority of using Monte Carlo simulation models to
estimate NPV's of capital investment projects across a sample of Iranian steel
producers using a data base. Current working paper, comments welcome
"Dividend policy of registered
companies at Tehran Stock Exchange." This paper (with Mohammed Abdollahpour)
first examines the relationship between dividend and paid capital of listed
companies at Tehran Stock Exchange. It then examines what does drive
shareholders' preferences for any specific dividend policy. Little stability was
found in dividend policies of sample companies. Conversely, much stability was
reported in dividend/equity ratio. The low ratios proved the paper's stand on
Iranian companies' tendency to follow fixed dividend policies, comments
welcome
"The weak form of
market efficiency at Tehran Stock Exchange." This paper (with Fardin Sadeghi
Zanjani) looks at the efficiency of Tehran Stock Exchange, and proves that this
market is inefficient even in the weakest form of the word. Price changes
independence hypothesis was tested using the traditional run test algorithm. It
includes a discussion of the estimation problems surrounding the risk-free rate,
the market risk premium and the beta coefficient. It also considers stock split
effects, stock dividend, and right issues impact on return calculation.The paper
also studies how these can be incorporated into the rate of return estimation
process. This is an old test of market efficiency in a young emerging capital
market, comments welcome
"The effects of qualified audit
opinions on stock prices in Tehran Stock Exchange." This paper (with
Mohammed Ali Khatemi) first looks at the current state of literature in the
area. It then proves that auditors' clauses have little impact on company price
performance at Tehran Stock Exchange. Therefore., there is no room to discuss
the market implications of predisclosure, information size, and exchange effects
in Iranian equity markets. TSE does not even provide a proper link between the
accounting income numbers and market prices, and can not reflect the information
content of annual earnings announcements on prices. So, expectedly the paper
shows that audit qualifications have minimal effect on share prices. Of course,
the research design to investigate the information content of audit reports,
especially in Iran, is quite difficult. The conclusion is that the impact of
current audit reports on prices can not be justified on fundamentals and that
the equity market is being driven more by short run speculative activity.
Abridged version published in Azad University Review (1999).
"Test of efficiency of TEPIX".
This paper (with Hadi Johari) analyses the results of empirical research of
Tehran capital market index performance using portfolio optimization.. Based on
annual data going back for seven years, and using one of the algorithms
developed by Elton, Gruber, and Padberg (EGP), it shows the inefficiency of
TEPIX based on optimal portfolio and efficient frontier concepts. It does not
lead to prove index mean-variance efficiency for this market, but rather finds
that the index as a market portfolio is inefficient, despite what suggested in
most finance texts for other markets. The model used is based on the
single-index model when short sales are not allowed (short sales are practically
non-existent on the Tehran market). The results confirm the possibility to do
better than the index, even with only a small and variable number of stocks.
This paper was published in the Spring 1997 ediiton of the Iranian Journal
of Financial Research.
"The Fisher test of TEPIX." This
paper (with Sajad Mohammedi) looks at the role of foreign bonds in a fixed
income portfolio and whether or not their foreign exchange risk should be
hedged. The analysis concludes that hedging to remove quarterly fluctuations in
rates of return is of questionable value to most fixed income portfolios and
that including foreign bonds should only be done to either get foreign default
risks not available in the Canadian markets, for example BB credits, or to
engage in currency speculation. The paper was published in the summer 1998 issue
of the Canadian Investment Review.
"A test of land pricing efficiency
in Iranian cities." This paper (with Gholam-Reza Afshar) uses the fact that
regulated utilities' rates of return are primarily driven by broad macroeconomic
factors that determine their allowed return. By then estimating the functional
relationship between the growth rate and these macroeconomic factors it is
possible to go back and use forecasts of these variables to generate "Quasi
expectational" growth estimates and DCF equity cost estimates. An edited version
of this paper was published in the Spring 1998 issue of the Journal of Applied
Corporate Finance).
"Relative strength of stocks at
Tehran Stock Exchange." This paper (with Reza Agha Mohammedian) looks at
applying the Gordon model to estimate the cost of equity capital for a sample of
Canadian companies. By using annual data it allows for an assessment of whether
or not the risk premium has been stable over time or whether or not it varies
with market interest rates.
"The rate of return behaviour and
price estimates at Tehran Stock Exchange." This paper (with Dr. Mahmood
Ghonabadi) analyses why the current market to book ratio is a relevant statistic
for regulators to look at in assessing whether or not allowed returns for
regulated industries are too high. The paper was published in the NRRI's
Quarterly Bulletin, Winter 1997.
"Relationship
between stock prices, dividends and accounting earnings." This paper (with
Dr. Assadollah Afshari) examines the relationship between earnings, dividend
declarations, and investor return on stocks listed at Tehran Stock Exchange.
Using linear and logarithmic linear transformations of nonlinear relationships,
the study shows accounting earnings and stock prices are related; dividends and
investor returns are also related; accounting returns and dividend declarations
are related too, i.e., dividends do anticipate future earning changes; and
finally most of the information contents of dividends are also contained in
accounting earnings. Comments are most welcommed on this working paper.
"The impact of leveraged buyouts of Government owned companies on their performance." This paper (with Dr. Ali-Reza Sharifi) investigates changes in operating performance of 18 Iranian management buyouts of Government companies completed in the year 1995. Operating returns increase significantly from the year before to the year after buyouts as measured by a few profit ratios. The increase is not the result of value transfers, but real value creation by the management team's new incentives. Operating returns before and after adjustment for industry trends increase from the year preceding to the year following the completion of buyouts. The insignificant changes in operating returns before buyouts suggest that the post-buyout gains are attributable to the MBOs. The paper is due to be published in Azad University 's Management and Accounting Journal.
"The Role of Information Technology Management in Expansion of Tehran Stock Market." In this descriptive paper, originally a lecture presented to middle east Technology Congress 98, Dubai, UAE., first the structure of the Tehran Stock Exchange is elaborated; and then the evolution of IT in Iranian capital market is explained. The paper goes on providing the details of the role of IT in mam\nagement performance of TSE, and its IT expansion program, and the way TSE is to meet the challenge of change, comments welcome.
"Private Banking in the Bank of Tomorrow" This paper (with Jalal Rasoulof) was presented to the meeting of the CICA, Central Committe, in Lyon on May 6th, 2000. The paper invetigates the business of private banking that looks after high net worth individuals who first and for most seek confidentiality. The paper first looks into the momentum of changes in future banking, then examines the basic economics of future banking. It shows how the new monetary universe and the advent of e-money impacts on future private banking. In the final section of the paper, the authors concentrate on major trends of the future banking in provision of innovative products and services to private clients.
"The Development of Tourism Industry in Iran" This speech was delivered on August 5, 2000 at Horwath’s Workshop, Laleh Hotel, Tehran.
"Private Banking in the Bank of Tomorrow" This article was presented on May 6, 2000 at an international conference on agricultural credit in France. Dr. Jalal Rasoulov is the coauthor.
"Stock Price Prediction by Artificial Neural Networks: A Study of Tehran's Stock Exchange (T.S.E)" This paper is based on Hossein Panahian's Ph.D. work. Dr. Panahian is a lecturer at Department of Accounting, Azad University of Kashan. This article presents a study of artificial neural networks for use in stock price prediction. As a case study, data from an emerging market-Tehran's Stock Exchange (T.S.E)- are applied to train the model. Based on the rescaled range (R/S) analysis, the behavior of stock price has been studied. R/S analysis is able to distinguish a random series from a non-random one. It is used to detect the long-memory effect in the TEPIX time series. It is shown that the behavior of stock price is non-random and short term prediction of the TEPIX is possible, and modeling of stock price movements can be done, and then a multilayer perceptron (M.L.P) neural network is used to determine and explore the relationship between some variables as independent factors and the level of stock price index as a dependent element in the stock market under study over time.
