The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin)
Objective: The opacity in many banks’ financial reports has brought some difficulties for the analysts and shareholders who are to grasp them. In this research, using ARDL model, we assess the dynamic model of valuation of the shares of the banks listed in Tehran Stock Exchange. Method: For this pur...
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| Format: | Article |
| Language: | fas |
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University of Isfahan
2019-03-01
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| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_23702_3135b7de75a4c43bf833d57efb9644d4.pdf |
| _version_ | 1819147916582846464 |
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| author | Ehsan Aghasi Nader Mehregan Mehdi Asima |
| author_facet | Ehsan Aghasi Nader Mehregan Mehdi Asima |
| author_sort | Ehsan Aghasi |
| collection | DOAJ |
| description | Objective: The opacity in many banks’ financial reports has brought some difficulties for the analysts and shareholders who are to grasp them. In this research, using ARDL model, we assess the dynamic model of valuation of the shares of the banks listed in Tehran Stock Exchange. Method: For this purpose and subject to the availability of the data, the seasonal data of the four listed banks in Tehran Stock Exchange- which has been extracted by screening method in the years of 2009-2016- has been analyzed. The other contribution of this paper is to choose a competitor model as an auto-regressive ARIMA model in order to assess the accuracy of the ARDL model, and to investigate the effects of political risk of the country on the stock prices while the effects of the sanctions on the Iranian central bank entered the model in the form of a dummy variable. Results: The results show that both of the models have a high capability of prediction of price-to-book (PB) ratio of stocks but the accuracy of the ARDL model is higher In addition, the sanction on the central bank has no significant effect on PB ratio in the long-run term. Finally, depending on the long-term effects of fundamental variables, the “valuation” variable of bank stocks was defined so that its positivity (negativity) signifies overpriced (underpriced) stock. |
| first_indexed | 2024-12-22T13:37:25Z |
| format | Article |
| id | doaj.art-9754b5c479fc467fbadf139be46b173e |
| institution | Directory Open Access Journal |
| issn | 2383-1189 2383-1189 |
| language | fas |
| last_indexed | 2024-12-22T13:37:25Z |
| publishDate | 2019-03-01 |
| publisher | University of Isfahan |
| record_format | Article |
| series | Journal of Asset Management and Financing |
| spelling | doaj.art-9754b5c479fc467fbadf139be46b173e2022-12-21T18:24:01ZfasUniversity of IsfahanJournal of Asset Management and Financing2383-11892383-11892019-03-017111313410.22108/amf.2018.107983.119823702The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin)Ehsan Aghasi0Nader Mehregan1Mehdi Asima2Department of finance, faculty of management and finance, Khatam University, Tehran, Iranprofessor, Department of Economics, Faculty of Economics and Social Sciences, University of BoAliSina, Hamedan, IranPhD Student, Department of Finance, Faculty of Management University of Tehran, Tehran, IranObjective: The opacity in many banks’ financial reports has brought some difficulties for the analysts and shareholders who are to grasp them. In this research, using ARDL model, we assess the dynamic model of valuation of the shares of the banks listed in Tehran Stock Exchange. Method: For this purpose and subject to the availability of the data, the seasonal data of the four listed banks in Tehran Stock Exchange- which has been extracted by screening method in the years of 2009-2016- has been analyzed. The other contribution of this paper is to choose a competitor model as an auto-regressive ARIMA model in order to assess the accuracy of the ARDL model, and to investigate the effects of political risk of the country on the stock prices while the effects of the sanctions on the Iranian central bank entered the model in the form of a dummy variable. Results: The results show that both of the models have a high capability of prediction of price-to-book (PB) ratio of stocks but the accuracy of the ARDL model is higher In addition, the sanction on the central bank has no significant effect on PB ratio in the long-run term. Finally, depending on the long-term effects of fundamental variables, the “valuation” variable of bank stocks was defined so that its positivity (negativity) signifies overpriced (underpriced) stock.https://amf.ui.ac.ir/article_23702_3135b7de75a4c43bf833d57efb9644d4.pdfthe dynamic model of stock valuationardl modelarima modelddm valuation model |
| spellingShingle | Ehsan Aghasi Nader Mehregan Mehdi Asima The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) Journal of Asset Management and Financing the dynamic model of stock valuation ardl model arima model ddm valuation model |
| title | The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) |
| title_full | The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) |
| title_fullStr | The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) |
| title_full_unstemmed | The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) |
| title_short | The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin) |
| title_sort | dynamic model of valuation for the bank stocks case study of banks of mellat tejarat eghtesad e novin and karafarin |
| topic | the dynamic model of stock valuation ardl model arima model ddm valuation model |
| url | https://amf.ui.ac.ir/article_23702_3135b7de75a4c43bf833d57efb9644d4.pdf |
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