Mahmood Yahyazadehfar; Shahabeddin shams; Saeideh Lorestani
Volume 1, Issue 4 , Autumn 2011, Pages 171-184
Abstract
In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, ...
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In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The sample including 108 listed companies of Tehran Stock Exchange that were traded over 2005-2010. The data was collected annually, monthly and daily using Tadbir Pardaz and Rahavard Nouvin softwares. The hypotheses were tested using mean comparisons test, ANOVA and Ordinary Least Squares. The results show that by increasing trading volume, the momentum or contrarian return will be increased. There would be a possibility of explaining instances of no significant momentum or contrarian return with cross-sectional risk and lead-lag effect in medium trading volume. Moreover, the momentum return can be described with independent variables on middle and high trading volume.
Hadis Zeydabadi Nejad; Reza Samizadeh; Alireza Hajji
Volume 1, Issue 4 , Autumn 2011, Pages 185-198
Abstract
The main challenge for any insurer/reinsurer has proved to be underwriting major refinery/Petrochemical risk. Insurers have already considered process risk management measures while accepting and evaluating the risks all over the world. Erstwhile petrochemical tariff was adopting experiencing methodology ...
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The main challenge for any insurer/reinsurer has proved to be underwriting major refinery/Petrochemical risk. Insurers have already considered process risk management measures while accepting and evaluating the risks all over the world. Erstwhile petrochemical tariff was adopting experiencing methodology as basis for premium calculation in Iran. In the present de-tariff scenario decisions will be crucial for underwriters on accepting the risk and deciding the terms and conditions. On the other hand the insured will be looking for merit based rating instead of general market driven premium calculations. Generalizing the risks based on the type of occupancy or the past experience also won’t do well either to the insured or to the insurer. Chemical process quantitative risk analysis (CPQRA) is a methodology designed to provide management with a tool to help evaluate overall process safety in the chemical process industry (CPI). Management systems such as engineering codes, checklists and process safety management (PSM) provide layers of protection against accidents. However, the potential for serious incidents cannot be totally eliminated. CPQRA provides a quantitative method to evaluate risk and to identify areas of cost-effective risk reduction. This method can be used as an effective tool in the entire gamut of underwriting of petrochemical risks in case of property insurance. One of the most important issues in insurance companies, is the making the wise decision on insurance risk. Insurers to cover risks in the process of motivation and a desire to identify and eliminate conditions that risk. Premiums payable by the insurer that the insurance will be commensurate with risk. Insurers attempt to identify and reduce risk plays an important role in increasing safety in the community. One major concern to insurers or reinsurers is whether to accept the risk of petrochemical refineries, and the tariffs and conditions commensurate with the identified risks . Insurers always seek ways to reduce risk insured. The present paper introduces the effective process of risk analysis that can be applied by the Insurance companies in order to identify and predict this kind risks.
Mahdi Bashiri; Amir Moslemi
Volume 1, Issue 4 , Autumn 2011, Pages 199-210
Abstract
The paper discusses the location-allocation model for logistic networks and distribution centers through considering uncertain parameters. In real-world cases, demands and transshipment costs change over the period of the time. This may lead to large cost deviation in total cost. Scenario based robust ...
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The paper discusses the location-allocation model for logistic networks and distribution centers through considering uncertain parameters. In real-world cases, demands and transshipment costs change over the period of the time. This may lead to large cost deviation in total cost. Scenario based robust optimization approaches are proposed where occurrence probability of each scenario is not known. It is supposed that in this case there would be budget constraints and also holding the products in the distribution centers until sending them to the retailers’ destinations results additive cost that can be defined as inventory control cost in the model. In this paper, uncertainty is defined by different scenarios. Some robust approaches are presented that can be applied in location-allocation problem. The robust scenario based approaches like absolute robust and robust deviation are applied in location-allocation problem. Also a new robust approach is proposed that outperforms the existing classical approaches. The mean expected model has been discussed and compared to the robust proposed approaches. A numerical example illustrates the proposed model and the results have been reported. Finally the comparison of results shows the efficiency of proposed robust approach in comparison of classical approaches and also mean expected model.
Teimour Mohammadi; Mehdi Taghavi; Abolghasem Bandidarian
Volume 1, Issue 4 , Autumn 2011, Pages 211-220
Abstract
This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry of the exchange rate shows significant ...
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This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry of the exchange rate shows significant TARCH effect on Iran’s exchange rates. The findings of the study indicate negative shocks (bad news) had greater impact on volatility during the period. In the next stage imports demand function is estimated. There was a long run relationship among, real import demand, real national income, real exchange rate and uncertainty of real exchange rate. Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income. Furthermore significant and negative impact of real exchange rate on Iran’s real imports is found.
Ismaila Adeleke; Ade Ibiwoye; Folake Olowokudejo
Volume 1, Issue 4 , Autumn 2011, Pages 221-230
Abstract
This study draws attention to the ubiquitous and borderless nature of cybercrime. It examines the prospect of introducing customized cyber insurance policy in the Nigerian market. As secondary data was not available, the study conducted a survey by administering three sets of questionnaire to purposively ...
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This study draws attention to the ubiquitous and borderless nature of cybercrime. It examines the prospect of introducing customized cyber insurance policy in the Nigerian market. As secondary data was not available, the study conducted a survey by administering three sets of questionnaire to purposively selected top executives in four Trade Groups that rely heavily on Internet transactions for their operations. The study found that the rate of usage of the Internet and the attendant exposures to cyber-attacks among the various Trade Groups are quite high. Findings also show that the traditional policies have limitations with respect to protection against cyber risks and that there is a prospect for marketing a specifically designed cyber insurance policy in Nigeria.
Nazanin Pilevari; Abbas Toloie Eshlaghy; Maryam Sanaei
Volume 1, Issue 4 , Autumn 2011, Pages 231-240
Abstract
Cloud computing is a new discussion in enterprise IT. It has already become popular in terms of distributed technology in some companies. It enables managers to setup and run the intended businesses by avoiding excessive spending on computers, software and hiring expert staff, which proves to be cost ...
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Cloud computing is a new discussion in enterprise IT. It has already become popular in terms of distributed technology in some companies. It enables managers to setup and run the intended businesses by avoiding excessive spending on computers, software and hiring expert staff, which proves to be cost effective. Cloud computing also helps users pay for the IT services without spending massive amounts for integration, maintenance or management of the IT infrastructure. In this paper, we have tried to present a model for evaluating user’s satisfaction in cloud computing. Therefore, a conceptual model has been constructed considering attributes such as (security, efficiency and performance, adaptability, and cost) to evaluate cloud computing users satisfaction in an Internet Service Provider (ISP) companies in Iran. To avoid any ambiguities which are caused by linguistic methods, in this evaluation model we have used Fuzzy Inference System (FIS).
Shallu Sehgal; Suparn Kumar Sharma
Volume 1, Issue 4 , Autumn 2011, Pages 241-256
Abstract
The present study used different categories of organized sector manufacturing industries pooled data for the periods of 1981-82 and 2007-08 in Haryana state (India). The present undertaking seeks to analyze the inter-temporal and inter-industry comparison of total factor productivity (TFP) measured by ...
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The present study used different categories of organized sector manufacturing industries pooled data for the periods of 1981-82 and 2007-08 in Haryana state (India). The present undertaking seeks to analyze the inter-temporal and inter-industry comparison of total factor productivity (TFP) measured by Malmquist productivity index - an application of DEA which calculates the indices of TFP and its components including technology and efficiency changes. The general development pattern observed by the Haryana is definitely not a healthy sign of structural change in the economy. The analysis of the discussion reflects that while the tertiary sectors have maintained its lion’s share inGDPof India and Haryana as well, the declining trend in the share of primary sector and more or less stable contribution of the secondary sector is noticeable. The study reveals that technical efficiency change is the key driver of TFPG in the manufacturing sector of Haryana during pre reforms period, however, the picture has turned around during the post reforms period. A positive impact of liberalization policy on technological advancement of the manufacturing sector of the state has been experienced. The post reforms period the state has shown the inefficiency in the utilization of resources in hand as an alarming sign indicating the incapability of manufacturing sector of the state in question in dealing with the level of technological advancements.