فهرست مطالب مجتبی محمدیان

The objective of this study is to model the extreme dependence structure from the crude oil price to Tehran Stock Exchange (TSE) index. For this purpose, the conditional extreme value theory (C-EVT) was used to model the marginal distribution of returns on stock and oil market during the period 2008 to 2021. Then, the dependence structure of the extreme return was estimated by Copula models. The results showed that the crude oil market has contagion effects on the TSE. These effects are asymmetric and there is more dependence on the left tail. In other words, as crude oil price falls, decline of the total index is expected and these effects are greater when a positive simultaneous change occurs between variables. Due to the financial risks of the existence of contagion, considering structural extreme dependence can calculate the portfolio risk accurately and reliably. Therefore, it is suggested to pay attention to the structure of extreme dependencies between assets in order to optimize the portfolio.

Design of the rain gauge network to increase accuracy and cost decrease in precipitation prediction value needs to find optimum location of the rain gauge station. Most precipitation prediction errors is due to location of the rain gage station that optimum design of the rain gauge stations can reduce precipitation prediction error. In this study used geostatistic methods named Kriging and cokriging to optimization of the Khuzestan rain gauge station network. 49 rain gauges used for 6 daily rainfall. After determination of the best model of semivariograms and the best geostatistic method, in the first step, the rain gauge which precipitation prediction in them has appropriate accuracy determined with the help of other rain gauge network. Result showed that kriging had more accuracy and most daily rainfalls was fitted with gaussian model. In the next step, using assessment of network prediction error value which remain from first step, the points that needs new rain gage determined. Finally7 unnecessary rain gage stations determined and 5 new rain gages added to the network.

This study investigates the long-run reversal effects using the data of 178 listed companies in Tehran Stock Exchange for a period of 2009-2017. The hypothesis of long-run reversal (contrarian) effect implies that loser (winner) portfolios become winner (loser) portfolios in the long-run. The result shows the existence of reversal profits in stock returns for a period of 36 months. In addition, this reversal effects are asymmetrical and the result is not true for the winner stocks. In the following, the study examines whether this increase in the future return of loser stocks be attributed to their increased risk. In other words, winner stocks will still be losers in the long run even after risk-adjustments. For this purpose, the CAPM was used. This model cannot fully explain the long-run reversal profits even by controlling the effects of size, value, and liquidity. In the contrary, multi-factor asset pricing models were able to fully explain the long-run reversal profits, in which size has a greater significance effect than other risk factors. These findings suggest that the long-run loser portfolio consists of small stocks with a higher risk as compared to the winner portfolio. Therefore, the excess profits from loser portfolios are nothing but compensation for the risk held. Accordingly, the contrarian investment strategy cannot be considered as a strategy to earn abnormal returns in Tehran Stock Exchange.

This paper has tried to apply Bayesian Model Averaging (BMA) and Weighted Average Least Squares (WALS) approaches as methods of averaging in Bayesian econometrics in order to investigate the impact of 18 macroeconomic variables on Gini coefficient in Iran based on annual data from 1976 to 2010. The results of two approaches indicate that the growth rate of Gross domestic products is the most important determinant of the Gini coefficient, implying economic growth arising from oil booms leads to more unequal distribution of income. As regards to other variables, the results of BMA estimation indicate that second and third effective variables on Gini coefficient are respectively the ratio of government current expenditure to GDP and the ratio of oil revenue to GDP for which an increase in the ratios engenders inequality. Thus the distribution of oil rents and government expenditure is inconsistent with primary purposes of politicians to ameliorate income distribution. Also the results of WALS estimation rank openness and exchange rate as the most effective variables respectively with positive sign. Therefore economic liberalization moving along with oil revenue during the sample period, has been against the favor of lower income groups. According to aforementioned results, it is necessary to revise economic growth policies to the benefit of low-income groups of people. In addition, renovation of budgeting process and allocation of resources with aim to reduce rent-seeking opportunities and more privileges for low-income groups must be considered by policy makers.

The cement industry is one of the most important industries involved in development of countries and also of the most polluting industry work place with harmful agents’ preposition. The purpose of this study was to investigate the workers’ health status in a cement company based on their available medical records. This cross-sectional study is conducted in 2011. In the study, we examined data obtained from 331 workers’ health records (all Shahroud cement company personnel) including their pre-employment, periodical examination and case-specific medical records. Chi-square and independent t-test was used to analyze the data using SPSS version 15. The significance level in all tests was 0.05. Average (Standard Deviation) of age and work history for workers were 40 ±7.5 and12.1 ± 5.5 respectively. Hearing loss (33.5%), cardiovascular disease (18.4%) and musculoskeletal disorders (13.9%) were the most prevalent diseases. statistically significant association was found between cardiovascular diseases (p=0.03) and hearing loss (p=0.002) with job category. Work history was associated with cardiovascular disease (p=0.02), musculoskeletal disorder (p=0.03), renal disease (p=0.003), gastrointestinal disease (p=0.04) and hearing loss (p=0.002). Significant associations were found between age and cardiovascular disease (p=0.007), gastrointestinal disease (p=0.007), and hearing loss (p<0.0001). Working in cement industry may cause hearing loss, high risk of renal diseases and diabetes compared to the normal people. The unsuitable conditions and the harmful work environment are possible causes to workers’ health problems.

Advertisement as a dominant communicational factor in any organization plays a decisive role in the organization’s success. M5 pattern, which has been regarded as one of the most popular advertisement patterns, consist of five interrelated steps: 1) goal definition, 2) budget allocation, 3) massage formulation, 4) media selection, and 5) advertisement assessment. Although all of those five steps are important, thoughtful selection of a proper media is viewed as a precondition for goal attainment. The present attitude survey attempts at revealing those advertisement. related factors which contribute to positive decision making in regard to buying ticket or using services that certain travel agencies regularly offer. If proper media for presenting the massage is not selected, advertisement campaign will not lead to expected outcomes. For this reason proper media selection is regarded as a vital element of advertisement campaign. Having four dimensional pattern known as AIDA in mind the authors have carried out an attitude survey aimed at measuring the impacts of advertisement media on selecting travel agencies.