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Showing 3 results for Roshan

Azam Mohammadzadeh, Mohammad Nabi Shahyaki Tash, Reza Roshan,
Volume 7, Issue 25 (10-2016)
Abstract

One of the capital asset pricing models is CCAPM model that first time were presented by Breeden (1979). In the standard and the basic CCAPM establishes a linear relationship between consumption’s beta and excess return on assets but unfortunately, linear CCAPM made The Equity Premium Puzzle. After presenting puzzles like equity premium puzzle, adjustments were made in the CCAPM. For this purpose in this paper, adjustments have been made in the preferences as explores the implications of a novel class of preferences for the behavior of asset prices. This class of preferences was suggested first time by Marshall (1920), that according to it, people derive utility not only from consumption, but also from the very act of saving.
In this paper, we derive the Euler equations after modeling preferences based on the savings and consumption estimate them with GMM. In order to estimate the models, is examined quarterly data of 1977 to 2010. The models are significant in the other words it can be concluded that consumption and saving are successful in explaining stocks returns. Based on the estimated parameters in the models we can conclude that β is greater than 0.8 and savings is significant in preferences function but don’t have high value. In addition, these results indicate that economic agents are risk averse.


Reza Roshan,
Volume 10, Issue 36 (6-2019)
Abstract

In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are considered as inputs in the utility function. After estimating the systems of Euler equations using generalized moments method, MSE, MAE, and HJ criteria were used to select the most suitable model for estimating the share of variable of real money balance. The above criteria show that the model with the input of liquidity (M2) and preferences with constant relative risk aversion is the most appropriate model. The results indicate that the share of real money balance in the utility function of Iranian households is statistically significant and is about 34%. Therefore, considering the contribution of the monetary variable to the utility function which is relatively significant, it is emphasized on its entry into the utility functions used in asset pricing models.

Yasin Ghasemi, Abbas Khandan, Narges Akbarpour-Roshan,
Volume 13, Issue 47 (5-2022)
Abstract

The pension coverage of the Iranian Social Security Organization for self-employed workers is offered at three contribution rates of 12, 14 and 18 percent, but looking at the statistics shows that the demand for these types of insurances is low. This research investigates the characteristics of these insured groups by using data mining and applying two machine learning algorithms, decision tree and random forest, and predicts their behavior by providing a classification model. This will help the Social Security Organization to improve customer relationship management. For this purpose, the information of 1286174 insured persons of self-employed in 2020 was used, which includes the characteristics of age, gender, average monthly income, the years of service, and the type of self-employed pension scheme. The obtained results show that women mainly apply for the scheme with 12 percent contribution, while men tend to be covered by schemes with contribution rates of 14 and 18 percent due to the burden of supporting the family. Also, for men, the demand for schemes of 14 and 18 percent increases with the increase of age, income and years of service, but there are no such trends for women. According to the obtained results, years of service and then gender are decisive in choosing the type of pension scheme in such a way that according to the prediction of the model, people with less than 4.5 years of service are known as definite applicants for 12 percent self-employed pension scheme.


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