The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin)

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AGHASI EHSAN; MEHREGAN NADER; Asima Mehdi

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Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2019 | Volume:7 | Issue:1 (24) Page(s): 113-134

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Title

The Dynamic Model of Valuation for the Bank Stocks (Case Study of Banks of Mellat, Tejarat, Eghtesad-e-Novin, and Karafarin)

Author(s)

AGHASI EHSAN | MEHREGAN NADER | Asima Mehdi | Issue Writer Certificate

Keywords

The Dynamic Model of Stock Valuation

ARDL Model

ARIMA Model

DDM Valuation Model

Abstract

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.

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APA: Copy

AGHASI, EHSAN, MEHREGAN, NADER, & Asima, Mehdi. (2019). 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, 7(1 (24) ), 113-134. SID. https://sid.ir/paper/726363/en

Vancouver: Copy

AGHASI EHSAN, MEHREGAN NADER, Asima Mehdi. 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[Internet]. 2019;7(1 (24) ):113-134. Available from: https://sid.ir/paper/726363/en

IEEE: Copy

EHSAN AGHASI, NADER MEHREGAN, and 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, vol. 7, no. 1 (24) , pp. 113–134, 2019, [Online]. Available: https://sid.ir/paper/726363/en

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