فصلنامه دانش مالی تحلیل اوراق بهادار
سال دوازدهم شماره 42 (تابستان 1398)

The purpose of this research is to investigate the role of liquid-claim, free cash flow and capital structure in optimizing financial leverage in active banks in the Iranian capital market. The statistical sample of 10 banks accepted in the capital market, whose information was available for the period from 2006 to 2016, were selected by systematic elimination method. The research carried out in terms of the target type is a part of applied research and the research method is correlated in terms of content and content. The research has been carried out within the framework of deductive-inductive arguments. For analyzing the hypotheses, a panel analysis has been used. The results show that there is a significant relationship between liquid-claim and financial leverage optimization, between capital structure and optimizing financial leverage, between free cash flow and optimizing financial leverage, and between credit risk of the bank and optimizing financial leverage, but There is no meaningful relationship between type of ownership and financial leverage optimization.

Several studies have examined the investor sentiment in the behavioral finance. But, most prior studies solely document the phenomenon that investor sentiment could affect stock price combined with accounting information and indicate the heterogeneity of the sentiment effect. However, the existing literature rarely provides a theoretical basis for the mechanism behind the effect of sentiment and the accounting information. Therefore, this paper the through theoretical basis effect of investor sentiment on the expected earnings growth rate analyzes the mechanism behind the effects of investor sentiment and accounting information on stock price based on the residual income valuation model. In order to reach this goal, the study has been carried out on a sample of 560 companies, during the 2009-2016 reporting period based on the Multivariate regression. The results show that higher sentiment leads to more optimistic expectations regarding future earnings growth and these optimistic expectations leads that investor sentiment changed the expected earnings growth rate, thus affecting the accounting information and stock price.

Estimating informative efficiency in financial market is crucial for investors. They can gain unusual profit when the market is inefficient. As informative efficiency is evolving and undergoing changes in emerging markets such as Iran, classic methods for efficiency estimation in these kind of financial markets are not suitable. Therefore, in such markets a hybrid method needs to be applied in such a way that the existing status of efficiency (static approach) and the efficiency during time (dynamic approach- in the absence of static efficiency) can be studied. The present study aims to determine the efficiency of Tehran Stock Exchange market by both static and dynamic approach. In order to obtain this goal, a combination of TVPGARCH and Kalman filter methods were applied on weekly total price index data during 2008 to 2017. Results indicate that the performance in Tehran Stock Exchange market in the static form does not have week efficiency. On the other hand, there is no evidence of efficiency dynamicity in Tehran Stock Exchange market performance during the studied period.

The study of the probability of the occurrence of the extreme events (the events which occur with low probability of occurrence) is an important issue in the risk management. Extreme value theory calculates risk measures using extreme events for a financial basket, regardless of the distribution function of the return of the financial assets. In this theory, the method of peaks over threshold is practically the most appropriate and applied method by the use of which separate modeling of the tail part of the dataset is possible by using the generalized Pareto distribution and the start of the appropriate threshold. For this reason, in this paper, the methods of maximum likelihood estimator, likelihood moment estimator, Zhang and the weighted nonlinear least squares under the POT framework have studied and compared to estimate the parameters of the generalized Pareto distribution in order to estimate the value at risk and the expected shortfall of indices of food other than sugar, banks, car, chemicals, pharmaceuticals, cement, agriculture, petroleum products, textiles, coal, financial , industrial, the price of 50 companies, free float and the second market of Tehran stock exchange from March 25, 2013 to May 18, 2016. The overall results show that the expected shortfall is a more coherent measure for risk calculation, and the nonlinear weighted least squares estimator under the POT framework provides better estimation for generalized Pareto distribution.

The relationship between real sector performance and the financial sector has attracted many studies. While there is a relative consensus among economists on the effect of the export earnings of natural resources and financial development in the banking sector. But the stock market has not been seen as the main backbone of capital market activities in pursuit of sustained and sustained economic growth, especially in countries rich in natural resources. In this paper, the relationship between the multi-dimensional index of financial development in the stock market (which is extracted using principal component decomposition method) and the abundance of natural resources in selected OPEC members selected from oil and gas in the years 2000 to 2016 It checks the panel data method.The research findings indicate that there is a positive and significant relationship between financial development in the stock market and the income from resource exports. Also, the model estimation indicates the negative impact of inflation and the positive effect of government size and the degree of openness of the economy on the development of the stock market.

The global financial crisis has affected the advanced and developed economies. Iran's economy has been affected, like many other developing countries. In this paper, the effects of financial stress index on economic growth using linear and nonlinear models (Markov Switching) has been investigated. In this regard, after the construction of the index, at the beginning defined a production function and the impact of financial stress on economic growth in the rest of the production function variables measured in Linear method. According to the results of financial stress index in the model of the long - term and short – term negative and significant effect on economic growth. The coefficient of this index is 0.02%, which means that with an increase of 1% in the amount of this indicator, the economic growth per capita decreases by 0.20%.So financial stress an obstacle to economic growth and the variables government spending, taxes, and the rate of exchange, which as indications of how to manage the government policies in fiscal, monetary and exchange Optimally utilized. Finally, to test the hypothesis on the nonlinear method of switching Markov model has been used.The results show that, when financial stress is increasing, the effect of uncertainty on financial stress on economic growth is negative

In this research, personality traits, heuristic biases and their effect on the investment performance will be assessed . The research is such an applied survey research and has been carried out over 2016 fall and 2017 winter.In order to reach this goal, the matter was investigated between 154 individual investors in financial institution in Tehran capital market by using questionnaire tool, random sampling and PLS method .After data processing in the research analytical model framework, the result showed that there is a positive relationship between personality traits and investment. There is also a significant and positive relationship between heuristic biases variables and investment performance. There is positive relationship between personality traits and heuristic. about indirect effect of independent variables on dependent variables it can be concluded that personality traits by mediating rule of the heuristic biases affect positively investment performance with low coefficient path and significant.

The study of business cycles is important because economic planning does not make sense without understanding how GDP fluctuates and the root of these fluctuations. Therefore, making attempts to recognize the structure of business cycles fluctuations created in the economy can help us improve the decision making process. The greater the economic fluctuations or business cycles, the more instability in the economy, and investors can't predict a clear image of the future. The purpose of the current study was to investigate the effects of Iran crude oil business cycles on the 266 companies in Iran stock exchange during the period from 2005 to 2015. Thus, the crude oil business cycle was calculated using Hedrick Prescott filter and then the effects of crude oil business cycle was on the investors' sentiments was estimated using Generalized Method of Moments (GMM) approach. The results of the study indicated that when the crude oil business cycle shows a boom, investors' sentiments is greater than the time when the crude oil business cycle shows a period of recession; meaning that the crude oil boom leads to an increase in investor sentiments.

Investors in the capital market are looking for a way to predict stock prices for more profit. One of these methods is a technical analysis. The aim of this research is to compare the efficiency of technical analysis indicators in the period of boom and depression in more active manufacturing companies. In this reserch, the capital market period of boom and depression was estimated by Non-linear Markov regime-change approach. Time (rang) has been identified in the capital market 2013/4/1 to 2014/10/1 the boom period and 2014/10/1 to 2015/10/1 Period of depression. By using filters, a sample of 11 active firms was selected and identification the buying and selling signals of shares by using indicators in the software environment, an independent t-test was used to compare the indicators. The results of the research show The average returns from the relative strength index during the period of recession with other indicators in the capital market boom period is not significantly different But there is a significant difference between the average returns of moving average, average and moving average of convergence-divergence of period the period of boom and depression.

Corporate Philanthropy is a corporate marks with philanthropy strategy that refers to highest level of corporate social responsibility. This view has an orientation to present a concept of philanthropy activities that provides background of profitable activities, reduces conflicts of interest between interested groups, and help to achieve the stability of economic through creating the sustainable society, healthy environment and transparent political climate. . Hence, this study examines the relationship between corporate philanthropy and stock price crash risk with an emphasis on information asymmetry at companies listed in Tehran Stock Exchange. In this regard 65 companies for period of2009- 2014, were selected. For measuring corporate philanthropy use cash and noncash contributions, as well as to measure stock price crash risk, index of negative coefficient of skewness and down to-up volatility has been used. The results showed that there is a significant negative relationship between corporate philanthropy and stock price crash risk. Also, by considering growth opportunities observation of firm years were divided into with up and down information asymmetry. The results showed that the negative relationship between corporate philanthropy and stock price crash risk is more severe for companies with high information asymmetry. The results suggest that corporate philanthropy economic consequences such as reduced stock price volatility which increases responsibility and makes managers less willing to hoarding bad news.

The aim of this study is the examination of put option transactions volume increasing in Tehran Stock Exchange as result of increasing in stock returns and volatility of stock index. A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying security at a specified price within a specified time. 32 companies which issued put option during the 1391 to 1394 have been selected as the study population were studied. Based on the findings and results of statistical analysis in case of desired and positive stock returns due to high investment risk, investors are more willing to trade put option. Therefore, despite the expected positive returns, Shareholders insure their equity investment against the risk. But if the volatility index was high, it means the risk would be high. In such a case, despite the high risk Shareholders do not tend to enter the market of put option.

The present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price setting in stock market. These models must have the ability to predict the behavior of the prices and also can estimate the outcome and efficiency of the so-called investment. The models investigated in this research, include the traditional investment financial pricing, 3-factor model and FAMA and French 5-factor and consumption investment models. In order to analyze the data and to test the hypothesis, we used OLS model for time series models. In this study, models are investigated according to the models of significance lateral distance from the source (Jensen's Alpha). A model, of which efficiency is high, should have a zero intercept. Generally, FAMA and French 5-factor models that were developed in 2014, work more efficiently. Then comes the Capital Asset Pricing Model

Inferring and inducing among the relations for many of the phenomenas is common in most of sciences. Accordingly, econophysics experts are trying to fill the gap between microeconomics and macroeconomics to explain complex financial systems, using the statistical physics tools. Using a dynamic econometric model, the impact of exchange and gold markets shocks on the stock market is studied. The results show the more significant contribution of the foreign exchange market shocks than the gold market shocks on the fluctuations of stock market. Furthermore, this study forms an assumptive portfolio consisting of three assets including stock, exchange and gold and use random portfolio theory to analyze the risks and uncertainty. The level of uncertainty and risk is studied by using the characteristics of the Castaing, Gagne & Hopfinger distribution functions. The results indicate a high level of uncertainty and risk in the macroeconomic assets portfolio. In other words, the occurrence of financial crises in these markets is expected.

The main aim of this study was to investigate the impact of stock market pressure on tax benefits based on the Ming - Chin Chen model (2015). Using screening method, 113 companies were selected as sample. This retrospective research investigated the impact of the independent variable of “ stock market pressure ” on tax benefits of studied companies . This was a semi - experimental applied descriptive - correctional study . It analyzed the financial statements of companies during 2010 - 2015 . A panel data analysis with random effects was used to analyze the data .A multivariate regression analysis was used to analyze the data . The results at a 95% confidence interval showed that there was a significant positive (direct) relationship between stock market pressures and tax benefits of companies listed in Tehran Stock Exchange.