جمال برزگری خانقاه

Pair formation is an important step in pair trading that has only been examined manually or through numerical instructions. These methods fail in the multivariate mode and do not consider conflicting goals in the problem structure. In this research, a method is presented to create multivariate pair combinations by considering contradictory multiple goals in stock pair trading.

In this study, the statistical sample is limited to the top 30 companies listed on the Tehran Stock Exchange due to the need for high-frequency transactions. The problem is developed in the form of a Mixed Integer Programming (MIP) model, and due to non-convex constraints and exponential solution space, a multi-objective genetic algorithm is used to obtain multivariate pair combinations. To achieve multiple goals, the developed type of genetic algorithm, namely, The Chaotic Non-dominated Sorting Genetic Algorithm (CNSGA-II), was used. In this method, chaos theory is used to create the initial population of the genetic algorithm in order to obtain appropriate and high-precision solutions.

The results showed that the use of chaos theory could increase the degree of convergence in evolutionary algorithms. In addition, these results indicate the superiority of the multi-objective pair trading strategy based on the distance approach over the traditional single-objective model.

Originality/Value: 

In order to optimize pair trading, the Non-dominated Sorting Genetic Algorithm was used. Also, the initial population of individuals was created in a multi-objective genetic algorithm based on chaos theory.

Pair trading strategy is one of the oldest and most common statistical arbitrage strategies. Pair formation is an important step in pair trading that examined manually and this method fails in the multivariate mode and does not consider conflicting goals in the problem structure. The main problem in this study is to present a method that creates multivariate pair combinations with multiple contradictory goals and focusing on the integration approach. Therefore, a combination of stocks optimized for two opposite objectives risk (mean-reversion) and return (spread variance) to form a set of profitable multivariate pair trading opportunities. The statistical population is companies listed on the Tehran Stock Exchange. The statistical sample limited by the need for high-frequency transactions from the top 50 companies. The problem developed in the form of a mixed integer-programming model (MIP), and due to non-convex constraints and exponential space, a multi-objective genetic algorithm used to obtain pair combinations. To achieve multiple goals, an advanced type of genetic algorithm; The Chaotic Non-dominated Sorting Genetic Algorithm (CNSGA-II) was used. The Chaos theory used to create the initial population of the genetic algorithm in order to obtain appropriate and high-precision solutions. Research has shown that the use of chaos theory can increase the degree of convergence in evolutionary algorithms. The results of the experiments of this study show that multi-objective pair trading strategies focusing on the integration approach have a significant advantage over the traditional single-objective model.

The occurrence of harmful events for human beings is inevitable. Therefore, human beings have always sought to establish rules to impose responsibility on the person who has played the most important role in the harmful incident. Hence the whole mission of civil liability is to identify such rules. The portfolio management company in the stock exchange, in relation to customers and the stock exchange organization, has responsibilities that may cause damage to another by performing an activity in this regard, so it is responsible in this regard and is required to compensate. Execution of contractual obligations is one of the important issues in contract law. In Iranian law, if one of the parties to the contract refuses to fulfill its contractual obligations, the guarantee of its implementation is stated in the form of several legal cases in various contracts. In this article, the civil Liability of the portfolio company, with the subject of "fulfilling the obligations related to the portfolio management contract" has used the votes of the board of directors of the stock exchange.

What is introduced in Iran as a portfolio management company is known in other countries with different titles such as asset management companies, portfolio management, capital management and wealth management, which is equivalent to asset management from other terms, with the content of portfolio management that is popular in our capital market. The customers of portfolio management companies are divided into two categories: real customers and institutional customers. Real customers or ordinary people, which means households or rich people, but institutional customers also include insurance companies, pension funds, banks, etc. The tools used by portfolio managers in the world are mainly dedicated accounts, investment funds with variable capital, investment funds with fixed capital, money market funds, exchange-traded funds, combined ETF funds, private equity funds, and finally hedge funds. Dedicated accounts are similar to these brokerage contracts in Iran, during which the broker buys and sells with the customer's money in a code specific to the customer. Little information is available about this sector because the contracts are private and there can be significant differences between customers. Portfolio companies generally do not invest their own money, but invest for clients. Therefore, the main income of portfolio management companies is not from investment income, but from portfolio management fees. In fact, the portfolio manager is a legal entity that forms a stock portfolio and buys or sells or holds securities for the investor, taking into account the investor's goal and level of risk-taking in order to make a profit for him. The legal basis for its establishment and management is after paragraph (33) of Article One of the Securities Market Law, the "Establishment and Activity of the Portfolio Management" instruction and the sample contract of the portfolio management company with the investor, which enumerates the terms, conditions and regulations for issuing licenses and activities of this financial institution. From the birth of portfolio management in the country until today, this financial institution has faced challenges with various elements such as the stock exchange organization, investors, brokers, Central Securities Depository, banks, information processing companies and etc. The purpose of this article is to examine the mentioned challenges, which was compiled in a descriptive-analytical way, using library resources and obtaining the opinions of managers and market participants. One of the problems that exist in the way of the activity of indirect investors is the time-consuming and difficult process of indirect investment through portfolio management companies compared to direct investment in this market. The competitive environment created by the brokerages has caused certain privileges to be considered for direct investors and mainly people prefer direct investment in this market to indirect investment. The dominance of the brokerage institution as well as the bank and the conflict of interest that exists between the activities of brokerages and the indirect investment of people in the capital market are among the most important problems and obstacles to the development of indirect investment. Another problem that stands in the way of the development of direct investment in the capital market is the governance perspective. Although indirect investment in the capital market is always supported in the talks, in practice, the tools and regulations governing the capital market, including the range of volatility and volume, have been based on a kind of short-term and unprofessional view of the capital market. Portfolio management companies do not have the possibility to receive credit directly from the bank for leveraged funds, and to receive credit, they are forced to receive credit through brokers. Also, investment funds are considered the most important tools of portfolio management companies. However, after receiving the license of the portfolio management companies to establish a fund, a long and difficult process must be completed. Meanwhile, in the big capital markets of the world, some asset management companies manage more than 2,000 funds. In addition, portfolio management companies do not have the possibility to announce the minimum possible profit forecast for their portfolios and funds. All these problems have caused weakness, exploitation and short-termism in the method of indirect investment, especially portfolio management. Solutions to solve problems are: amending the guidelines and rules related to the minimum capital and manpower of portfolio management companies, changing the attitude of investors from short-term to long-term by granting long-term licenses to portfolio managers, tax exemptions for the variable commission of portfolio managers, solving infrastructure problems related to core transactions and software in order to speed up the buying and selling process and transparency of transactions for investors, the need to accelerate the issuance of necessary licenses for the establishment of funds by portfolio managers, revision of the guidelines for the establishment and activity of portfolio managers, and considering things such as the possibility of freezing the investor's code, drafting and approving a comprehensive law on the prevention and management of conflict of interest in order to reduce the field of corruption and conflict of interest in this financial institution.

Bank deposit is one of the effective factors in capital formation and achieving economic development. The purpose of the study is to investigate the effect of intra-organizational and extra-organizational variables in predicting the absorption of long-term bank deposits in Melli bank branches in Yazd. The Research method in terms of applied purpose and in terms of the data collection method, is a descriptive analysis of correlation type. By examining the research background and experts' views, five intra-organizational variables (Interest rate as the main policy tool, number of branches, staff skills, variety of services, and advertising) and three extra-organizational variables (per capita income، Parallel market returns and population) were identified as assumed variables affecting long-term bank deposit, and a researcher-made questionnaire was developed. The statistical population included customers with time deposit accounts in 33 branches of Melli bank in Yazd and the sample group consisted of 140 people who were selected using a stratified random sampling method. To analyze the hypotheses, multiple regression analysis methods were used to examine the effect of each of the variables inside and outside the organization in predicting the absorption of term bank deposits.

This study is primarily aimed at designing a tax risk assessment model for companies listed on the Tehran Stock Exchange. This research is also aimed at investigating the impact of corporate tax risk on capital asset pricing models and comparing the explanatory power of multifactor capital asset pricing models in relation to corporate tax and a firm’s value.

This research is an applied and analytical-explanatory. The statistical population of this study have all been selected from companies listed on the Tehran Stock Exchange between 2011 and 2017 and the statistical sample has been selected using systematic elimination method of 103 companies.

In the study, a model for the assessment of tax risk has been presented. In this model, the quantitative and qualitative variables that had the greatest impact on tax gap were identified and the tax risk was ultimately obtained from the remainder of this model. The results of the study showed that tax risk, in all four models of capital asset pricing, has a significant and negative impact on the value of the company. Another result of the study found that the five-factor pricing model is better able to explain the relationship between tax risk and a company’s value.

Understanding the impact of tax risk on a company’s value helps shareholders to make the right decisions when national tax laws are revised. This is mainly because each of these decisions will have different effects on the company's value and its stock price and ultimately the shareholders' wealth and their satisfaction with the company.

The aim of this study was to provide a model for tax risk measurment in the first step, and to examine the impact of tax risk and social responsibility as well as their interactive effect on the value of companies accepted in the Iranian capital market in single-, three-, four- and five-factor pricing models, in the next step. Another aim was to compare the explanatory power of the models of capital asset pricing.

In this study, the data of 103 companies listed in the Tehran Stock Exchange, TSE, during the years 2011-2017 were collected, and then, analyzed using panel data estimation model. This research is an applied and analytical-explanatory one.

The research findings showed that tax risk and social responsibility have significant effects on the value of the company in all four capital asset pricing models in the companies in the TSE.

The effect of tax risk on company value is an opposite effect, the impact of social responsibility on company value is a direct effect, but the interactive effect of tax risk and social responsibility on company value is not significant. Comparing the models, it is shown that the five-factor model explains the relationship between these variables in the Iranian capital market better than other models.

Capital markets play an important role in the economy, because the cash flow of people who can not use their funds leads to those who are capable of it. Naturally, the good performance of these markets will be a key factor in ensuring economic growth, so if capital markets are efficient, economic development will be realized. On the other hand, because of the irrational decision making of investors in the capital market, systematic errors have occurred and this leads to market failure. The present study seeks to examine the impact of the financial marketing mix(7p) on the relationship between behavioral bourgeois and investor decision making. The method of this research is applied to the purpose of the research and the method of collecting and collecting data is descriptive survey. The statistical population is real investors in Tehran Stock Exchange. 422 questionnaires were distributed. By eliminating incomplete questionnaires, 391 questionnaires were used for statistical analysis. The data was analyzed using SmartPLS and LISREL software. The results indicate that the financial marketing mix (7 p) affects the relationship between emotional and decision-making factors of investors more than cognitive biases. The two sides of the trained and promoted people have the most impact.

Today, the use of accounting information estimation is the same as other disciplines because of the lack of access to all information. For this reason, in this research, we tried to study the accuracy of accounting estimation models using different clustering methods to determine how different clustering methods increase the accuracy of the desired models and the preferred method Among the different clustering methods, which method can be used to increase the accuracy of the models. The research sample consisted of 99 companies listed in the Tehran Stock Exchange. In order to collect the required data, the financial statements and notes of the 9-year period (2008-2017) were used by the companies. The results of the research showed that the use of different clustering methods increases the accuracy of accounting estimates models in most cases. However, among the clustering methods used in the research, the classic clustering method is a more appropriate method than the method The traditional approach is to increase the accuracy of accounting estimates models.

Severe economic fluctuations and adverse consequences for investors. The need for predictive models has made corporate finance necessary. In this regard, This research is intended by examining the relationship between financial ratios and the content of the board's reports open a new way to predict company status. For this purpose, were extracted frequency of words and phrases with positive and negative semantic load using the word extraction algorithm, From the text of the board's reports 219 non helpless companies and 81 helpless companies. Results of regression estimation positive and negative words ratio on financial performance indicators, shows in companies with financial health, negative words have a significant relationship with functional criteria. Evidence showed in these companies, managers are not trying to hide their financial crisis. The results for the helpless companies were different In general, there was no meaningful relationship between the words with the performance indicators of these companies. It looks like this group of companies by confusing the, they try to prevent to selling from their shares by stakeholders.

The purpose of this study is to investigate the effect of corporate governance (CG), corporate social responsibility (CSR) and their interactive effect on the value of companies listed on the Tehran Stock Exchange. For this purpose, the data of 194 companies listed on this stock exchange, which was selected using a systematic elimination method, from 2011-2017 were collected and analyzed using the pool data technique. This research is applied and is an analytical-explanatory study. The research findings showed that corporate governance, social responsibility, and the interactive effect of corporate governance and social responsibility have a direct effect on the company's value in all four models of capital asset pricing in the companies listed in the Tehran Stock Exchange. It was also shown in the comparison of models that the market-based, single-factor model explains the relationship between these variables better than other models discussed in this study.

The main purpose of this study is to empirically examine the relationship between financial information reliability and agency costs for listed companies in the Tehran Stock Exchange (TSE). Therefore in this study a sample of 106 listed companies in the TSE between 2010 to 2017 were investigated. Efficiency ratios (operating expenses to sales ratio and assets turnover ratio) are selected as agency costs proxies. Also, financial restatement occurrence and magnitude of financial restatement are employed as adverse measures of financial information reliability. For attaining the purpose of the study, two main hypotheses were proposed. To test these hypotheses multiple linear regression analysis in panel data mode were conducted. The main findings indicate that there isn’t relationship between financial restatement incidence and agency costs proxies. Also magnitude of financial restatement don’t related to agency costs measures. Therefore, it’s concluded that financial information reliability has no impact on agency costs of examined Iranian firms.

Abstract: Competition, the main motivation for growth and development of the company's Competition. Research and Development activities by creating new opportunities can change organization. Board structure, every organization, play a major role in advancing the goals and making optimum decision for increasing company's value and thus entering to the arena competition; Because of the importance of this subject in this study, we test the effect of reward and structure of the Board on R&D. The data from 27 firms listed in the Tehran Stock Exchange for the period of 1390 to 1395 were collected. Hypothesis test results show that Board of Directors compensation and its size, have a positive and meaningful impact on R&D of selected companies; but the Significant & negative relationship are between outside directors and CEO duality whit Investment in Research and Development.

The main purpose of this study is to empirically examine the relationship between financial information reliability and agency costs for listed companies in the Tehran Stock Exchange (TSE). Therefore in this study a sample of 106 listed companies in the TSE between 2010 to 2017 were investigated. Efficiency ratios (operating expenses to sales ratio and assets turnover ratio) are selected as agency costs proxies. Also, financial restatement occurrence and magnitude of financial restatement are employed as adverse measures of financial information reliability. For attaining the purpose of the study, two main hypotheses were proposed. To test these hypotheses multiple linear regression analysis in panel data mode were conducted. The main findings indicate that there isn’t relationship between financial restatement incidence and agency costs proxies. Also magnitude of financial restatement don’t related to agency costs measures. Therefore, it’s concluded that financial information reliability has no impact on agency costs of examined Iranian firms.

The main objective of this empirical study is to investigate the perception of professionals in the relevant field and those users of forensic accounting services about the essential traits, basic and relevant enhanced skills and ethical values of forensic accountants. A survey research was carried out and was distributed to the target population who are the users of forensic services such as auditors and academicians. A survey research was carried out and was distributed to the target population who are accounting profession and academicians and user of forensic accounting (lawyer) in the yazd in 2017. a statistical sample of 297 cochran formula people was selectd. they were given a standard questionnaire which is referable in aicpa & international and experts appored the accounting profession and collected by statistical Topsis Technique. The top information on the essential traits that forensic accountants is responsiveness. The top information on the basic/core skills of the forensic accountants is auditing skills,The top information of relevant enhanced skills for the forensic accountants is analyze and interpret financial statements and information, the top information of ethical values to enhance the effectiveness of forensic services is Justice.

The main players in each country's economy are businesses that play an important role in economic growth. Thus to achieve the desired goals, managers should organize their source of finance. Companies, for being in global competitiveness, have to invest in substruction, technology and R&D so that they can develop and promote theirs products and improve their performance. In this study, the cost of R&D on corporate performance is evaluated, using the indicators of operating profit, operating cash flow and economic added value to evaluate the performance of companies. The data of 63 listed companies in Tehran Stock Exchange were selected for the period from 1386 to 1392 to test the hypotheses, and methods of generalized least squares and combined data were used. Results indicated that the cost of research and development and the company's performance using the measure of operating profit does not show a significant relationship. But research and development costs and economic add value indicated a positive impact on the standards of operational cash flow.

The increasing of non-performing loans, (NPLs) and consequently, instabilities that may happen in the future. Therefore, research in this issue causes some findings that rots of the problems in order to prevent the growth of non-performing loans in awarded facilities. The potential and actual collection of non-performing loans creates desirable condition for both banking system and Recipients of bank facilities. The present study stimulates and checks the relationship between financial distress Recipients of bank facilities and amount of bank non-performing loans of period by using system dynamics approaches. The model is designed using VENSIM Software. The result of Sceneries imitation at the end of the period of study shows that reduction in expected inflation, reduction in unemployment and reduction in interest rates will have significant effect in reducing the amount of bank non-performing loans.

The main objective of this study is investigation into the relationship between the company characteristics and the level of social and environmental disclosure of listed companies in Tehran Stock Exchange. Target sample consists of 68 of the listed companies in Tehran Stock Exchange during 1388 to 1393. Collected data were analysed using multivariate regression model through panel data method. The results show a significant positive relationship between firm size, firm performance and the presence of independent directors with company's social and environmental disclosure. Moreover, there is a significant negative relationship between institutional ownership and the level of social and environmental disclosure. The results also show there is no significant relationship between financial leverage, ownership structure, the auditor size and the board size with the level of social and environmental disclosure. Finally, the results show there are significant differences between the level of social and environmental disclosure in different industries.

What is important for the users of financial information is the output of the financial system, not the accounting principles and practices, because it helps them achieve their goals. The main objective of investors is maximizing their wealth. Wealth depends on two factors included risk and return. That's why the prediction of these factors is crucial to the shareholders. Therefore, they use any tool that can help them reach these goals. One of these tools with the increasing usage in recent years is financial ratio. Financial ratios are one of the most common methods to analyze financial information. These ratios are summary of financial statements and their application and interpretation is easier. Hence the aim of this article is to review the studies on the role of financial ratios to predict stock returns as one of the main objectives of the shareholders. In this study that refers to the domestic research, the results indicate that profitability ratios have higher share to predict stock returns compared with other groups of financial ratios. Findings show that ROA and ROE have the most ability to explain stock returns changes

Financial reporting system is always faced with a crisis to accessing public confidence. Increase fraud and restatement of financial statements, together with firm's bankruptcy, raised Inefficiency of financial statements. Therefore, prevent or detect important fraud in financial statements has always been focus for investors, managers and auditors. So in the last decade, the issue of fraud, particularly fraud in the financial statements have been attention Various researchers, even in disciplines such as psychology and sociology, conducted in this area of research is on the rise. This article attempts to provide an overview of important topics in this area, as well as studies, to present more about topic and assistance to researchers and students and also contribute to future research.

The main objective of this study is to evaluate the significance of fraud risk factors and determine the prevalence of these factors in the industries of the province of Yazd. The population of this research is the users of financial statements in Yazd province. Data were gathered by a questionnaire containing demographic questions and 41 cases of fraud risk factors listed in the American Statement of Auditing Standard No. 99 that was used to design and verify its validity and reliability. Results of ranking fraud risk factors using fuzzy TOPSIS technique show option «lack of adequate monitor on the importance of internal controls» rank shows in the industry in Yazd first. In addition, the test results showed that there were no significant differences between the importance and prevalence of fraud risk factors; but, personal characteristics (such as age, sex, education, occupation, etc.) had a significant impact on people's view of the importance of fraud risk factors.

Main goal of this research is to check the effect of audit quality on stock valuation in initial public offering. In this research valuation below cost is considered as dependent variable and the size of accounting firm considered as independent variable. This study addresses this issue that we can say if in firms with higher audit qualityºprices in below in initial public offering is less? The statistical results of data related to 102 companies which share initial offering in Tehran stock exchange between years 1380 to 1390, shows that at 0.95 confidence level there is significant negative relationship between valuation below price and audit quality criterions (size of company, audit tenure) in companies under review. Results of this analyze proves that in companies with higher audit quality rate of valuation below price is significantly less than other companies.