Test of the effect of speculative price bubble and cost of capital on the relative net profit of the group of banks and credit institutions listed on the Tehran Stock Exchan

Agricultural Marketing and Commercialization Journal

دوره 7، شماره 1، شهریور 2023، صفحه 131-146   

نوع مقاله: Original Research

نویسندگان

Mahdi Rajabi¹؛ Akbar Bagheri^{* 2}

¹Department of Economics, Islamshahr Branch, Islamic Azad university, Islamshahr, Iran

²Department of Economics Islamic Azad University, Islamshahr branch, Islamshahr, Iran

چکیده

 The main goal of this research is to test the effect of speculative price bubble and cost of capital on the relative net
profit of the group of banks and credit financial institutions admitted to the Tehran Stock Exchange (30 cases). Tehran's
securities during the time period of 2016-2019 are based on the econometric approach of panel data. For this purpose,
firstly, while stating the theoretical foundations and background of the research, in the next step, the specification and
estimation of the research model was done based on the relevant diagnostic tests, finally using the fixed effects method.
The estimation results confirm the positive and significant relationship between the independent variables (real cash
dividend in a previous period, which indicates the price bubble of rational speculation in the research model, and the
capital cost variable) on the relative net profit of the selected sample. Thus, the first hypothesis of the research, which
states that the price bubble of rational speculation has a significant effect on the relative net profit of the group of
banks and credit institutions admitted to the Tehran Stock Exchange, was confirmed. Also, the second hypothesis,
which states that the cost of capital has a significant effect on the relative net profit of the selected sample, was
confirmed. At the end, suggestions based on the research results have been presented in order to moderate the effect
of speculative price bubble and strengthen the effect of capital cost on the relative net profit of the selected sample.

کلیدواژه‌ها

Cost of Capital؛ Banks and Credit Institutions؛ Relative Net Profit؛ Speculative Price Bubb

مراجع

• Asadi, Gh. Abdoh Tabrizi, H. Soltani, A. (2006), Ph.D. Thesis, Price Bubble Test in Selected Companies of Tehran Stock Exchange, Stock Exchange Quarterly. Bahadur, number 5.
• Abdul-Malki e al., (2019), in an article entitled, Investigating the existence of a price bubble in the Tehran stock market using the LPPL approach, Stock Exchange Quarterly No. 9.
• Abbasi et al., (2017), in an article titled "Investigation of the role of price bubble in creating fluctuations in the Tehran Stock Exchange (selected companies of petrochemical and automotive industries)", Scientific Research Quarterly Journal of Investment Knowledge - Financial Engineering Association Iran, second year, number eight.
• Anderson, T., Brouk, C., (2019), A New Test for Speculative Bubbles Based on Return Variance Decompositions; Department of Finance, the Arhus School of Business Denmark Publication.
• Bidel, Ma. & Sung, S. (2019). Are there periodically collapsing bubbles in the REIT markets? New evidence from the US. Research in International Business and Financ, 33: 17-31.
• De Long, J. Bradford; Shleifer, Andrei; Summers, Lawrence H.; Waldmann, Robert J. (1990). "Noise Trader Risk in Financial Markets". Journal of Political Economy 98 (4): 703–738. doi:10.1086/261703.
• Hatfi Majid and others (2016), in a research entitled "The mystery of the asset premium with regard to the bubble risk and Apshtein-Zain return preferences function in the Iranian Stock Exchange", Journal of Securities Analysis, Volume 4, Number 3, pp. 85-99.
• Nadi Qomi Vali and others (2018), in his article titled "Bubble Analysis on Stock Returns", Journal of Accounting and Auditing Research (Accounting Research), Volume 1, Number 3, pp. 136-161.
• Nazi di E. Silva. (2020). are price limits really bad for equity markets? Journal of banking and finance 34, 2462-2471
• Rasakhi et al., (2015), in a research entitled, Determination of price bubble periods: a case study for the Tehran Stock Exchange market, Journal of Accounting and Auditing Research (Accounting Research), Volume 1, Number 3
• Shirin Bakhsh Masuleh, Shams Elah and Salavi Tabar, Shirin (2015), Econometric Research with Eviews 8 & 9, Noor Alam Publications, first edition, Tehran
• Wang Meiao., (2015); Asset Price Bubble in Japan in the 1980s: Lessons for Financial and Macroeconomic Stability, IMES Discussion Paper Series, Institue for Monetary and Economic Studies Bank of Japan.