علی نجفی مقدم

Conservatism is an important feature of high quality reporting and most companies use it to achieve the quality of their reports. The quality of accounting information usually indicates that the information was produced in accordance with generally accepted principles of international accounting or auditing standards. Accounting conservatism enhances impartiality between contract parties and is essential as an efficient mechanism in mutual contracts. Conservative financial statements increase the reliability of accounting information. In this study, the effect of financing (financial leverage) on conservatism (as a measure of information quality) was examined using data from 138 companies listed on the Tehran Stock Exchange in the period 1390 to 1397. The independent variable in this study is short-term and long-term financing as well as the total amount of company financing and the dependent variable of conditional and unconditional conservatism. The results showed that there is a significant relationship between financial leverage and accounting conservatism.

The present study investigates the effects of various dimensions of social responsibility on improving the non-financial performance of companies based on the MLP model of the neural network of genetic algorithms. For this purpose, the information of 107 companies listed on the Tehran Stock Exchange for a period of ten years in the period from 2009 to the end of 1397, was extracted and the research variables were calculated and the necessary statistical tests were performed. The method of the present study is descriptive-correlational and its design is experimental and the post-event approach is used. Using statistical and econometric methods, the hypotheses were examined and tested. Findings indicate that based on non-financial performance indicators, social dimension of social responsibility on structural capital changes, positive and significant effect, legal dimension of social responsibility on human capital change, positive and significant effect, social dimension of social responsibility on human capital change, It has had a positive and significant effect. By analyzing the data with the help of artificial neural network model and calculations of perceptron and hyperbolic tangent equal to 1 from MATLAB software, which out of the six existing hypotheses, three hypotheses are significant and confirmed that the social dimension of social responsibility on structural capital changes with the highest tangent Hyperbolic 1 The maximum effect factor is set as the optimal output.

Accruals are one of the most important and effective parts of profit, examining these items along with free cash flow in estimating financial stability and performance review is of great importance and reduces the uncertainty of users and beneficiaries of financial information. The aim of the upcoming research is to determine the effect of adjusting the Jones model discretionary and nondiscretionary accruals and also free cash flow on financial stability. The statistical population of the research included all insurance companies and its time period was between 2015 and 2021. The research method is applied in terms of purpose and descriptive in terms of nature and content. Hypotheses testing has been done using correlation between variables and two regression approaches and genetic meta-heuristic algorithm. The results obtained from the test of research hypotheses showed that the variables of discretionary and non discretionary accrual items and free cash flow have a significant effect on financial stability. Also, the results showed that the estimation of financial stability using genetic algorithm is accurate from multivariate regression.

It is very important to distinguish how the volatility in the return of assets occur. For this reason, in recent years, realized volatility and frequencies of daily volatility recognition studies have been developed. This study uses stock prices of 30 big companies of Tehran Stock Exchange during the years 1390 (2011) to 1394 (2016) and calculates the realized stock volatility during trading days using the HAR-CJ model to examine the effect of size and intensity of price jumps in predicting index volatility. The results showed that the development of HAR-CJ and HAR-RV-CJ models using the size and intensity of jump did not have a significant effect on improving the index volatility prediction but, to a small extent, the model prediction performance Adjusts for index volatility. Also, using intraday jumps instead of daily jumps, does not improve the performance of the prediction model.

Investment efficiency is achieved when the company invests only in all of its current positive net worth projects. Of course, this scenario works if the market is complete and there are no imperfect market issues such as incorrect selection and agency costs.Regardless of the investment opportunities that have a positive net present value, underinvestment, as well as the selection of projects with a negative net present value, indicates inefficiency of investment, because managers must optimally invest in projects that create value for the company; That is, they accept positive net worth plans and reject negative net worth plans. The purpose of this research is to apply the neural network and genetic artificial intelligence algorithm in explaining the effect of performance criteria to predict investment efficiency. For this purpose, the financial information of 139 companies between 1389 and 1398 was used using genetic artificial intelligence and neural network methods. The results indicate the effect of performance criteria on investment efficiency and also the results showed that the neural network artificial intelligence method has higher power than the genetic artificial intelligence method to predict the investment efficiency of companies listed on the Tehran Stock Exchange.

From an economic point of view, deviation, and uncertainty of economic policies are related to stability and financial stability. Considering that the Jones model does not measure the inflation in fixed assets, it does not have the necessary efficiency to determine accruals correctly, especially in countries with high inflation. By adjusting the Jones model, the results of the research were analyzed more precisely, and accordingly, the financial stability was calculated more accurately. The purpose of the research is to update the fixed asset modify the Jones model and determine the relationship between the entropy of accrual items and financial stability. Hypotheses testing has been done using correlation between variables and two regression approaches and meta-heuristic algorithms of whale and genetics. The statistical population of the research of all insurance companies included 231 companies and the period was between 2015 and 2021. The results obtained from the test of research hypotheses indicate that between the entropy of the accrual items of the modified Jones model and financial stability, there is a significant relationship. Also, estimation of financial stability and entropy of accruals Rennie and Shannon modified the Jones model, using the whale meta-heuristic algorithm is more accurate than multivariate regression and genetics. This timeliness in accrual items reduces abnormality in these items and increases transparency in financial reporting. Also, discretionary accruals have a more effective role in determining financial stability for decision-makers and stakeholders than non-discretionary accruals.

The present study mainly aims to model the individual investors' behavior in the capital market following the neural financial approach. The present study is categorized as mixed method research. The grounded theory and the technique of the structural equations were used in the qualitative and quantitative parts. Data were collected through semi-structured interviews and a researcher-made questionnaire. The sampling continued until theoretical saturation, which was achieved after 17 interviews. Then, the behavioral model of individual investors with antecedents and consequences was developed based on the systematic approach of Strauss and Corbin's theory in three main steps, including open, axial, and selective coding. The results indicated that the causal conditions affecting investors' behavior in the same contextual conditions are generally in two main groups of neuropsychological and demographic factors. In a quantitative part, it was found that neuropsychological factors are effective with an intensity of 79%. Among the components of this variable, emotional behavior and location had the most and the least impacts, respectively, and the demographic factors were effective with an intensity of 12%. Financial support and gender also had the most and the least impact among the components of this variable, respectively.

The general goal of this research is to provide a model to explain the behavior of real investors in the Iranian capital market with an emphasis on local indicators.

The research is done using applied and qualitative method based on grounded data theory technique. Data were collected through semi-structured interviews and theoretical sampling continued until the categories were saturated. Then, based on the theoretical systematic approach of Strauss and Corbin in the three main steps of open, central and selective coding, the paradigm model of investors' behavior was presented with emphasis on local indicators.

The findings showed that the central category of the paradigm model and the causal conditions affecting the behavior of investors, in terms of background and involved factors, are placed in two main groups: behavioral-psychological and demographic factors, which are 19 categories of behavioral and psychological factors and demographic factors. 5 categories have the most importance on the behavior of investors.

Originality / Value: 

In many studies, only the semi-conscious aspect of the mind and with medical equipment has been addressed. While in this study, the conscious and alert aspects of investors' minds have been analyzed.

Fluctuation Forecasting has always been one of the most important issues in financial markets and has attracted the attention of many academic researchers and activists and investors in financial and Capital markets in the past few decades. In the present study, the fluctuation of Total index and Dividend and Price index of the Tehran Stock Exchange were predicted using a harmonic quantum oscillator model. Monthly data of logarithmic return of total index and Dividend and Price index were collected and calculated in the period of April 2012 to March 2021 as a time series. In terms of purpose, this research is applied and in terms of its nature, it is part of descriptive-analytical studies. In order to implement the harmonic quantum oscillator model, the probability density function and the Fokker -Plank function were used and the prediction results were also compared with the random geometric Brownian motion model. In total, six hypotheses were examined based on the ratio of the Mean Absolute Percentage Error. The results of the hypotheses showed that in the total index of the stock exchange, the Harmonic Quantum Oscillator model for short-term (24 months), medium-term (48 to 72 months) and long-term (96 to 120 months) time periods compared to the geometric Brownian motion model. It has higher accuracy in predicting fluctuations. However, in the Dividend and Price index, this efficiency was observed only during short-term periods of 24 months and medium-term periods of 48 to 72 months, and for the long-term period of 96 to 120 months, the Harmonic Quantum Oscillator model cannot be considered a suitable approach for predicting fluctuations.

This study evaluates the effect of financial policies on stock market investment in financial friction conditions. For this purpose, two models were designed based on financial policies (taxes and government expenditures) and in the period from 1991 to 2017, the short-term dynamic relationship, long-term state and error correction of the models were estimated with the Auto Regressive Distributed Lag (ARDL). The financial friction index is used in this study based on the definition of the interest rate gap (the difference between on the lending interest rate and the deposit interest rate). The results show that in terms of financial friction, fiscal policy had a significant and negative impact on the first model (tax based) and in the second model (based on government spending) a positive and significant effect on the total stock price index. This result is in line with Keynesian view. The financial friction index also had a negative effect on the total stock price index in both models. However, since taxation directly affects corporate liquidity, therefore, in fiscal policy based on tax revenues, the effect of fiscal friction on the dependent variable was more dependent on government spending than fiscal policy. The results of estimating the other variables in the models were that GDP based on Keynesian theory, oil revenues based on support theory and exchange rate in flow-oriented models had a significant and positive effect on the total stock price index.

Investors Sentiment about the future of capital markets can play an effective role on the market price trend and stock return and refer to the views of investors about the future of the capital market. This paper investigates the threshold effects of Investors Sentiment on stock return of firms listed in Tehran Stock Exchange for the period of 15 Years (2005-2019), with construct Investors’ Sentimen index, using Panel Smooth Transition Regression (PSTR) model. The linearity test results indicate strongly nonlinear relationship among variables under consideration. Moreover, considering one transition function and one threshold parameter, as a two regime model, is sufficient to specification of nonlinear and threshold relationship among variables.The results indicate that threshold value for this firms is 71.34 and the estimated slope parameter is 0.32. The findings of this study indicate that in the first regime, investor sentiment effect is positively activated, increasing stock returns; however when their overconfidence sentiment exceeds some threshold, this effect becomes inverse in the secend regime for a high threshold level of market confidence and investor over-optimism.

Considering the importance of disclosing key items in the audit report, the purpose of this study was to investigate the effect of the audit report disclosing key items model on companies' business failure to examine the extent to which disclosing key items in the audit report will be able to reduce The failure of corporate business and investors relying on the disclosure of such information to make decisions in capital market companies.

in this research, the combined research method (qualitative-quantitative) based on Gillers approach is used in data analysis of the foundation (contextual theorizing). For this purpose, a survey of 13 experts and specialists in the auditing profession examined the impact of disclosure of key items in the audit report. The work of companies listed on the Tehran Stock Exchange was presented.

The results led to the formation and presentation of a model that in this model in the qualitative part indicates the existence of 3 categories, 6 components and 31 concept codes. But the target population in a small part was 202 managers and brokers of Tehran Stock Exchange companies. The results in the quantitative part showed that the disclosure of the key items of the audit report has a negative and significant effect on the business failure of the Tehran Stock Exchange companies.

Disclosure of key audit items can not necessarily be considered to increase the decision-making power of external stakeholders, because by auditing and evaluating the company's performance, the auditor can mention various points to the board and directors of companies, their level of knowledge to better align their functions with accounting standards and Strengthen the audit. Therefore, based on this result, it was found that disclosing key items in the audit report according to existing standards can reduce the level of failure of capital market companies' businesses.

Contribution:

 The Knowledge In addition to developing the literature on disclosure of key items in the audit report, this study leads to the right decision of stakeholders and investors to rely on the disclosure of such information to make decisions in capital market companies.

Investors are looking to choose the optimal combination of assets and allocate their wealth among them in such a way that they can achieve the goal of investing (increasing the revenue that can be seized in future periods). The main issue in this study, considering the conditions of high liquidity or low liquidity of companies' stocks and portfolio selection models, is the use of a new tool to select investment portfolio. The statistical sample for 27 companies active in the time domain from the beginning of April 2014 to March 2017 has been considered. The use of asset liquidity index to optimize portfolios using and benchmarking process has made a significant difference in portfolio weights, yields and risk compared to the Markowitz model. Also, the results of calculating the trainer criterion showed that the optimization model obtained from the benchmarking process of the value function has a higher performance than the portfolios obtained from the Markowitz model. .

The purpose of this study was to investigate the effect of exchange rate as an indicator of economic stability on the stability of assets value in Tehran Stock Exchange during the years 1385 to 1397. For this purpose, the current research is included in descriptive research in terms of research method and applied research in terms of purpose. Also, the design of this research is using the post-event approach. Also, in the current research, the panel data model was used to investigate the relationship between the variables. The results of the research showed that the fluctuation of the exchange rate has a significant effect on the first indicator of the stability of asset value, i.e. the book value of assets, at the level of 95%, and this effect is reversed. The effect of exchange rate fluctuation on the second index of asset value stability, which is the market value of assets, is significant at the 95% level. Also, the effect of exchange rate fluctuation on the third index of asset value stability, i.e. the current value of assets, was also negative and significant at the 95% level. Considering the influence of the exchange rate on the indicators of the stability of the value of assets, it is suggested that relying on domestic production and using raw materials available inside the country is one of the solutions to reduce losses caused by exchange rate fluctuations.

The main purpose of this study is to study one of the most important investment funds, the Hedge fund, which has attracted the attention of investors (especially real investors) and scientific circles over the last few decades. This study tries to conduct a comprehensive study on these funds and to obtain a comprehensive knowledge about them, functions, interests and disadvantages of investment. The aim of this research is to study the feasibility of establishing this fund in Iran with a view to the main needs of investors, tools required and legal requirements and to test the feasibility of launching the fund in Iran with the data obtained from feasibility and feasibility study using opinion survey of experts.The results of data analysis show that based on the opinion of experts and the establishment of new financial instruments in the Iranian capital market, including private investment funds (Private equity fund and short sale), it is possible to establish a hedging fund in the country.Keywords: Hedge Fund, Hedging Strategies, Fixed Income Arbitrage, Currency Risk, Interest Rate Risk

The purpose of this study was to provide a model of asset value stability based on political and economic stability; Research method in terms of purpose, basic-applied in terms of data type, mixed exploratory type. The statistical population of the qualitative part of the research included experts and senior managers of leading companies listed on the Tehran Stock Exchange, economic managers and professors of economics. To determine the samples of this study and to determine this group of experts, purposive non-random sampling method was used for 30 people. The second group of the statistical population of this study included all companies listed on the Tehran Stock Exchange that using the systematic removal sampling method, 63 companies were selected as the sample of the study. To collect the data, semi-structured interview tools and modern software and scheduling software were used, as well as financial statements and information of the board of directors of the companies. The data analysis method in the qualitative part was fuzzy Delphi technique. In the inferential and quantitative sections, we used the data panel regression model to answer the research questions. The results showed that the indicators of stability of asset value are book value, market value, present value of assets and positive growth of assets. Finally, four models with different indicators of asset value stability for asset value stability based on political and economic stability were presented.

Investment efficiency is achieved when the company invests only in all projects with a positive net present value. Of course, this scenario works if the market is complete and there are no incomplete market issues such as incorrect selection and agency costs. Do not haveThe purpose of this research is to apply artificial intelligence algorithm in predicting investment efficiency by emphasizing the role of risk management criteria. For this purpose, the financial information of 139 companies between 2010 and 2019 was used using genetic artificial intelligence and neural network methods. The results indicate the effect of risk management criteria on investment efficiency and also the results showed that the neural network artificial intelligence method has higher power than the genetic artificial intelligence method to predict the investment efficiency of companies listed on the Tehran Stock Exchange.

Risks and hazards in the economic context of a country can affect the country's economic indicators and have a reason for the growth or decline of the index .Risk can be explained as a factor that upsets the balance and changes the situation In emerging economies, one of the concerns of economists is to control existing risks to reduce costs and increase the growth of economi indicatorsIn this study, the effect of financial, economic, international and political risks on the total index of the stock exchange is examined, which, while examining the presence or absence of impact, examines the direction of impact. For this purpose, the modelARDL Quarterly data for the years 1388 to 1398 were used The results in the short and long term are that financial risk has a negative impact on the index and economic and international risk have a positive effect in the short term and in the long term financial risk and economic risk are also negative but international risk. It has a positive effect

One of the most important sources of income for governments in most countries of the world is taxation. The purpose of this study is to review and compare the two strategies of tax collection and exemption from interest on bank deposits. SWOT analysis questionnaire was prepared for both tax collection and exemption modes and was given to ten groups and expert of stakeholders (1041 questionnaire). Scoring was based on the Likert scale and SWOT analysis was ranked based on SPACE Matrix. The results showed that the most important weaknesses and threats for taxation of interest on bank deposits are reducing people's willingness to deposit in banks and increasing investment in unproductive units such as investing in currency, commodities and coins, respectively. The most important weaknesses and threats for tax exemption were the reduction in the cost of money to banks, the reduction in the supply of labor, and the increase in the ultimate desire to consume, respectively. The results showed that in general, the management strategy of taxing the interest on bank deposits in the whole statistical community is aggressive and defensive for tax exemption.

Selecting the most accurate method of risk measurement is the main challenge in risk estimation. This study aims to measure value at risk (VaR) and conditional value at risk (CoVar) in Tehran Stock Exchange (TSE) using the Frechet distribution (FD) and the generalized Pareto distribution (GPD). It used the data from 21 and 63-day time series of TEPIX, free-float, and the indices of the top 50 TSE companies between 2012-3-20 and 2020-3-19. It used COPIC post-test and Christoffersen’s conditional coverage test for models statistical confirmation. It applied Lopez and Blanco-Ihle’s second loss functions for model comparison. The CoVaR models were ranked by two loss functions, including Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Results indicated according to the statistics measured in Lopez’s second loss function, GPD performed better than FD in measuring VaR of TEPIX and the return index of the selected 50 companies, however, FD performed better for the free-float index. Blanco-Ihle’s loss function results contradicted the ones derived from Lopez’s second loss function. MAE and RMSE results indicated FD is better in estimating CoVaR.

Relationship Analysis of Risk and Performance Criteria Conservative with an emphasis on the role of intellectual capital: Structural Equation ApproachAbstractConservatism is one of the characteristics of financial reporting that in the form of a limiting principle in the framework of accounting principles and concepts, plays an important role in limiting the optimistic behavior of managers in the position of information producers on the one hand and estimating the minimum income of investors and credit. Providers, on the other hand, are the most important users. The main purpose of this research is to approach structural equations in analyzing the relationship between risk and performance criteria and conservatism with emphasis on the role of intellectual capital. According to the research goal of 138 companies' financial information during the years 1390 to 1397 using structural and software analysis LISREL has tested research hypotheses. Research has shown that there is a significant relationship between risk and conservatism criteria and performance, but the company's intellectual capital cannot play a role in adjusting to the impact of conservatism and performance.

This research aims to study the effects of various dimensions of social responsibility on improving the financial and non-financial performances of companies. For this purpose, the information of 107 companies listed in the Tehran Stock Exchange in the time period of 2010-2019 was extracted, and the hypotheses were evaluated and examined using statistical and econometric methods. The research findings indicate that the legal and moral dimension of social responsibility has no significant effect on changes in Tobin's Q ratio, while the social dimension of social responsibility has a positive and significant effect on changes in Tobin's Q ratio. On the other hand, the social dimension of social responsibility has a positive and significant effect on changes in structural capital, and the moral and legal dimension of social responsibility does not have a significant effect on changes in structural capital.

The aim of this study was to identify the components of auditor behavior based on social capital. This research is a qualitative research that has been done using a foundation-based data theory approach. The statistical population of this study included specialized auditing experts, including partners of trusted auditing firms of Tehran Stock Exchange and Securities Organization, managers of the audit organization, who were selected as participants in the study using a simple sampling approach. In this study, to identify the components, after studying the relevant research literature and interviewing the audit experts, the fuzzy Delphi screening method and then the interpretive structural modeling (ISM) have been used. Based on the results of the research, organizational management factors, professional principles and criteria, human capital, cognitive factors, strategic considerations, organizational environment, and social capital were identified as components of auditor behavior. Based on the results of the tests, it can be concluded that the components agreed upon by the audit experts, based on the components of social capital, have the ability to provide a model of auditor behavior.

Risk estimation cannot deliver appropriate reliable predictions by focusing on one or two models and considering the irrelevant factors. This study aims to estimate the value at risk (VAR) and the conditional value at risk (CoVaR) in the Tehran Stock Exchange using Fréchet distribution (FD). In doing so, generalized extreme value (GEV) is used with the help of Friche distribution approach. In this study, the return of 21-day and 63-day data of the time series of the total index, free-float-stock index, and index of 50 active companies of Tehran Stock Exchange during 01/01/2012 to 12/29/1398 have been used. The obtained results through the estimation of three parameters of GEV, including location, scale, and shape, have shown that the parameter of distribution shape within all 21 and 63-day periods of each indicator is positive, and the distribution for indexes studied follows FD as the second type of generalized distribution of GEV. By using the same pattern, the measurement of CoVaR and VaR has presented that it is possible to estimate CoVar and VaR through the use of FD and CoVaR is higher than VaR within the whole range of alpha.