Sirous Soleyman, Ali Falahati, Alireza Rostami,
Volume 7, Issue 25 (10-2016)
Abstract
In this study by using Markov Regime Switching Heteroscedasticity Models (MRSH) in the form of state-space model the behavior of stock returns is examined. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory component of stock returns. The period of the study is the fourth month of 2000 to the seventh month of 2013. The durations of the high-variance regimes for permanent components short-lived and revert to normal levels quickly and low variance regime for this components is more lasting, but durations of high-variance regime for transitory component is reverse. Also, in during periods of study low variance regime is dominant by a permanent component of stock returns but for the transitory component the high variance state is true captured.
Alireza Moradi, Mehdi Mohammadi,
Volume 14, Issue 52 (9-2023)
Abstract
The main goal of this research is the impact of the wage gap between managers and workers on stock returns: the mediating role of investors' supervision. In terms of categorizing the research according to the method of data collection, the current research is of the causal and post-event type. The research method is correlation. In this research, library methods were used to collect information. Library methods have been used to collect information on the theoretical foundations and literature of the topic, library resources, articles and required books have been used, and Kodal website and Rahavard Novin software have also been used to obtain statistical information. In this chapter, using data collected from a statistical sample of 76 companies admitted to the Tehran Stock Exchange in the period of 2015-2022. Hypotheses were tested using Pearson's correlation test and Limer's F test in the Eviews13 software environment. The results of the regression test showed that the wage gap between managers and workers with the mediating role of investors' supervision has a significant effect on stock returns.
