فصلنامه دانش سرمایه گذاری
پیاپی 23 (پاییز 1396)

One of the most important tasks of the financial economy is modeling and forecasting of the price volatility of risky assets. For analysts and policymakers, price volatility is a key variable that helps to understand market fluctuations. Therefore, the analysts need to be able to predict the correctness of price volatility as an essential input for tasks such as risk management, portfolio assignment, value at risk and transaction option pricing and future contracts. Accordingly, in the present research, return on stocks of Tehran Stock Exchange has been dealt with using PLS and TVP-SV models and its comparison with OLS method in MATLAB and XLSTAT software from March 2003 till August 2013 (monthly) using true variables (industrial output, real estate investment in housing, economic growth, government spending share in GDP and Non-oil exports growth rate) and monetary variables (inflation, money supply, exchange rate, oil price and domestic price of gold). Based on PLS model, the result was that the variables of economic growth and oil price have more influence of return of Tehran Stock Exchange in comparison with other variables. Then, we entered the variables of economic growth and oil price in TVP-SV model. Based on the results, TVP-SV model has more efficiency in comparison with OLS model. Based on the results of TVP-SV model after the first interruption of stock returns, the economic growth has the highest effect on stock returns.

The information content of high frequency data has made them the main instruments for studying market microstructure. However, the noise content of this data may negatively affect the results of studies on market microstructure. Using maximum likelihood methodology, we disentangle from high frequency observations on the transaction prices of a sample of Tehran Stock Exchange stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to different financial measures of their market depth. We find that stocks with higher market depth have higher noise measured from their high frequency returns. This is in accordance with Fischer Black’s hypothesis that the existence of noise traders and the noise, which can be caused by the activities of this group of traders, to be the vital condition of a liquid market. We also find that pre-trade depth measures are the most powerful depth measure in explaining the noise in the market.

In this article utility of investors contains utility from consumption and utility from fluctuations in their investments. To prove the effect of prior performance of investors on stock price first the utility function was defined based on Prospect theory and variables relating to prior outcomes and loss aversion were factored into utility function and then price equations were defined. In the other form, variables relating to prior performance in utility function were removed and price equations were defined. Next, the P/D ratio and logarithmic growth of stock prices were simulated in both forms and compared against real market data. By utilizing ANOVA and K-Means in the 1381-1393 period, it became clear that the mean and standard deviation in the first form are closer to real market data than those of the second form, meaning that removing variables relating to investor's prior returns from the utility function resulted in weaker estimates, the effect of prior investment performance of investors was confirmed

This study examines the Impact of investment firms ownership on management opportunistic behaviors in earnings overstatement, using the theoretical foundations of strategic alignment hypothesis, in a sample of 96, listed firms in Tehran stock exchange for a period of 8 years, from 2006 to 2013 that were simple random sampling selected. Data and theoretical foundations collected through library studies and analyzed using correlation method and multiple regression. The study results suggest that there is a significant and positive relationship between earnings overstatement and investment firms ownership. In other words, investment firms as a major shareholder, want to get the benefit of their investee firms. Investee firms managers maximize earnings for responding to its major shareholder too. This is approved in line with the strategic alignment hypothesis. The results also show that earnings overstatement have a significant and positive relationship with the variables of firm size, return on asset ratio and debt ratio. But there is a significant and negative relationship about operating cash flow.

Institutional investors as a group of investors because of the huge financial resources play an important role in economic development of the capital market act and an external control mechanisms affecting corporate governance, and institutional investors. The emergence of institutional investors as owners of capital in corporate governance is increasingly important. Institutional shareholders have the potential to influence management activities through an exchange of shares indirectly and directly respectively. On the basis of this study, 42 companies between the years 1389 to 1393 were studied (data for 1388 also is intended to assess the results of 1389). The panel data model relationship between institutional investors with stock prices and the risk of concurrent fall in share prices was determined and it was found that institutional investors and significant negative correlation with share prices and the risk of concurrent fall in prices in the stock market Tehran.

One of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 1390 to 1393 to assess the risk of cross hedging exchange rate using futures contracts coin. First, the correlation between the exchange rate and price time series econometric model for future Coin vector regression (VAR) found. After the confirmation of residual autocorrelation and heteroscedasticity conditional on the VAR, the model BEEK (which is a multivariate GARCH model), conditional variance Currency and coins was estimated future prices and then by minimum variance hedge ratio was calculated for different maturities and the profit or loss resulting from currency risk hedging gain or loss resulting from exchange rate fluctuations were real. The results show that there is a high correlation with the price of the coin exchange rate (US Dollar), possibility of covering cross-currency risk using futures contracts provide for gold coins. Also, due to long-term memory between exchange rate fluctuations and price estimation of future coins hedge ratio through BEEK-GARCH model, and using this model include more than 70 percent to compensate losses from currency risk.

Optimal Investment in Today’s Competitive market, requires a Justly Distribution of Services to Capital Market Participants by Identifying and Priotizing the most important factors that affects on behaviors of investors decision-making. This paper defined investment behavior inspiering from consumer behavior, and by using AMOS software for Confirmatory Factor Analysis could fitting and Classification the affecting factors on decision-making process of capital market participants in four fields, searching behavior, validation behavior, financial Analyst behavior and behavioral biases. These results were obtained from analysis of the 140 Investors responses in Tehran Stock Exchange that gather with questionnaire included 33 affecting factor on investment behavior. By using SPSS software for Friedman test, we understand that there was significant difference between kinds of Investors decision-making behaviors. Then prioritizing behavoirs by there Importance as follows:1)Validation behavior (Friedman Rank 3.43),
2)Financial Analyst behavior (2.56),
3)Searching behavior (2.52) and 4.Behavioral biases (1.49).

Pricing of financial assets and identify important risk factors is one of the fundamental issues of finance theory. In this study, using insights of CAPM and three-factor model (Fama and French, 1993), PEG and four-factor models was developed. Using financial data of 270 companies traded in TSE during the beginning of 2006 to the end of 2014, three-stage methodology and the portfolio study methodology used to calculate the risk factor. The results show that first, there are inverse size effects, inverse value effects and PEG effects, second, PEG model cannot explain stock risk premium, But the four-factor model compared with other models, has higher power for explaining of the risk premium. Market participants can use these results to improve investment performance and academics recommended that test models of the study.

This paper evaluates simultaneously the effect of alterations in economic regime together with financial regime on equity premium puzzle seasonally in the period 1371-1393. A combinational model including Bivariate GARCH and Fuzzy dummy variable with Consumption Capital Asset Pricing model (CCAPM-F) is used in order to achieve to this goal. Results present the risk aversion coefficient is maximum when there is the recession in both market stock and economy, which means the investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation. Finally, regime of economic recession is generally associated with higher levels of risk aversion.

Intangible information, which is often obtained from the unofficial sources, causes information asymmetry in the capital market. This information will primarily create advantages for some investors; however, over time, with the release of intangible information and turning it from underhand information to revealed information, the value and power of this information advantage will be reduced.
On the other hand, in decision making model for herding behavior, unconditional compliance of other investors, because of assuming that they have an informational advantage, is the basis for decisions. These decisions lead to the influx of investors to trade the stock and fluctuation in prices that causes inefficiency, instability and fragility of the market.
In this study, the effect of intangible information on herding behavior of institutional investors has been studied in Tehran Stock Exchange during 2010 to 2014. In this regard, by comparing the results of Christie and Huang model and also Lakonishok, Shleifer and Vishny model, the effect of intangible information on herding behavior of institutional investors was analyzed.
The results indicate that, confirming the impact of intangible information on herding behavior of institutional investors, the impact is more intense on the Christie and Huang model compared to the Lakonishok, Shleifer and Vishny model.

In this study, the behavior of investors and the stock price have been paid to the environmental news and investor's reaction is studied to the favorable and unfavorable news. For this purpose, the standard methodology of events (event study) is used. The range of events includes 11 days (5 days before to five days after the announcement) has been considered. The research population, firms listed in the Tehran Stock Exchange is between the years 2010 to 2016. Abnormal returns are calculated according to market-adjusted return. The results show, that positive environmental news boosts stock prices and positive reaction of investors but negative environmental news release impact on stock prices, and investors also associated with lack of response. On the other hand, when good environmental news is released, the investor’s interest increase to buy stocks. But when bad environmental news is released, 11-day period, It does not impact on stock price and confirms the Sullivan(2016) theory which says committed investors to social responsibility show a positive reaction to good environmental news of firms.

The way monetary policy affects the real economic variables has been always important to the policy makers. In this regard many channels of monetary transmission mechanism have been introduced. The net worth and cash flow channels are the subsets of the balance-sheet channel and are newly introduced in the literature of the monetary transmission mechanism. Thus the importance of this research is the investigation of the role of the firms in the monetary transmission mechanism for the first time in Iran. Besides the aim of this article is to explore the indirect and nonlinear effects of the monetary policy through the net worth and the cash flow of the firms in the different quantiles of the received loans. The financial statements of fifty nonfinancial firms in Iran for the period of 2007-2014 and the panel quantile regression are considered. As a conclusion the results indicate that the effect of the monetary policy through the net worth is greater in the upper quantile of the loans. Also the effect of the monetary policy through the cash flow of the firms is stronger for the median quantiles of the loans.

The purpose of this research is to investigate the relationship between the dimensions of corporate governance and tax avoidance in accepted companies on Tehran stock exchange. The used data, from the accepted companies in Tehran stock exchange, have been elicited during 2005 to 2013. This study used multivariate regression model for analyzing data and testing hypothesis .the results from testing the hypothesis of the research show that there is no significant correlation between the proportion of outside board members with their tax avoidance and also there is no significant relationship among the ownership and authority of government into company and tax avoidance of companies .other hypothesis of this research suggest that there is a positive and meaningful relationship between the volatility of returns and, high commercial risk, remuneration of the board, the shares owned by board members and free float stock percentage with tax avoidance and there is a negative and meaningful relationship between low commercial risk , CEO separation from members and institutional shareholders ownership with tax avoidance , and it is approved at confirmed confidence level of 95 %.

In the present study a batch of questionnaires was handed out to a group of stock market investors in Tehran addressing the question: “Why individual investors yearn for dividends?” The data was gathered later on and the results revealed that this inclination on getting the dividends is, to a certain extent that the cost of cashing dividends turns out to be a lot lower than that of selling shares. The results are, on one hand, strongly confirming and corroborating the “Signaling Model” of Bhattacharya (Imperfect information, dividend policy and the bird in the hand) and of Miller and Rock (Dividend policy, growth and the valuation of shares), and yet on the other hand, opposing the “Agency Theory” of Jensen. Furthermore, it is drawn from the results that the “Behavioral Finance Theory” of Shefrin and Statman for cash dividends is not confirmed. In conclusion, the findings of the study are indicative of the fact that individual investors have no tendency on spending a large part of their dividends.

Trying to identify an appropriate model to enhance measurement accuracy by using value at risk measures is of particular importance. Conditional Value at Risk (CVaR) with having some of the shortcomings of VaR, is a more reliable measure. In this study, the characteristics of the Tehran Stock Exchange index data usage FIGARCH-EVT model to calculate value at risk if states have been more accurate. GARCH-EVT hybrid implementation model and its development, FIGARCH-EVT model, we found that the effect of clustering, dynamic and long-term memory has been included in the modeling. FIGARCH model for log data output index, which will be modeled in terms of the above properties. In addition, the wide trail property index return data using extreme value theory (EVT) is used for residual FIGARCH model. To compare the results, NORMAL-GARCH models and t-Student-GARCH, historical simulation and GARCH-EVT indicator is used for data output. The results of the model using retrospective tests were evaluated. The results of this study indicate that the data distribution is skewed and asymmetrical index returns do not follow a normal distribution. The tests Standardized Exceedance Residuals and The Cumulative Violation Process and Expected shortfall backtesting and loss function Lopez FIGARCH-EVT model over other models is more accurate.