فهرست مطالب ناهید مالکی نیا

Accurately predicting of earning management to detect and identify manipulation of financial statements has always been one of the most fundamental Challenges ahead of financial reports users. Applying the Beneish model can be one of the most appropriate models for modeling in the field of earning management prediction. Beneish model 1999 has been developed for this purpose by emphasis on the variables of corporate governance system including audit committee structure, legal inspector and independent auditor, board of director's structure and corporate ownership structure requirements. The data of 81 companies listed on TSE during 2012-2018 has been analyzed by the hybrid method of multi-layer perceptron MLP neural network and metahuristic algorithms of biogeography based optimization BBO, Imperialist Competitive Algorithm ICA and water cycle algorithm WCA. The accuracy of the model by hybirid mothodes of MLP-BBO, MLP-ICA and MLP-WCA has been increased from 59.08 ، 59.96 and 59.79 percentages to 92.06 ، 89.24 and 79.72 percentage respectively. The results indicate the accuracy improvment of the proposed model in detecting earning-manipulator companies and also the higher efficiency of the hybrid method of MLP-WCA compared to the other methods in optimization of multilayer perceptron neural network.

The fraud in financial reporting has been raised in recent years and resulted in investor distrust of capital markets.Therefore accurate predicting of earnings manipulation is essential for decision makers of financial statements.In this study Beneish model has been developed using corporate governance variables i.e., audit committee structure، legal inspector and independent auditor، board of director's structure and ownership structure requirements in order to enhance the prediction accuracy of earning manipulation model. The data used in this study are drawn from the annual reports of a sample of 81 non-financial listed companies on TSE over the period 2012-2018 and analyzed by the hybrid multi-layer perceptron (MLP) neural network and cosmology based algorithms i.e., black-hole based optimization (BHBO)، big bang-big crunch (BBBC) and galactic swarm optimization (GSO). The predictive accuracy of the model has been increased from 59.08،63.49 and 57.5 to 87.3،79.72 and 74.25 percentages by MLP-GSO، MLP-BBBC and MLP-BHBO ، respectively. This evidence shows that the predictive power of the model has improved in detecting of earning manipulation. The area under the curve of the BHBO and BB-BC algorithms is covered by the GSO algorithm in the proposed model and resulted in decreased prediction error up to 12.7 percentages by MLP-GSO.

Estimation the risk market prices and the functions of the stochastic processes of the model are necessary in commodity derivatives pricing. When a closed-form solution is unclear, estimating of the risk market price is a main question in the jump–diffusion models. This paper along with Gomez's, Habibilashgari's and Rodriguez's review (2016) is suggested to estimate the functions of the risk-neutral processes directly from market data of Iran. In this approach, there is no need to estimate the physical drift and the risk market prices of coin future contracts pricing. This research estimates the risk-neutral drifts, volatilities and parameters of the jump range distributions with Iran Mercantile Exchange data of the coin future contract , from 2010 to 2017. The findings show that JDM and DM under price the futures prices and the prices obtained with the JDM are closer to the observed prices than those obtained with the DM. For the longest maturities the JDM provides smaller errors than the DM. The higher the maturity, the higher the differences between the two models.

In this study, the changes of the stock price of Iran Khodro Company listed in Tehran Stock Exchange (TSE) has been studied on the issue of prediction modeling during of 9/13/1387 to 13/12/1396 based on Geometric Brownian Motion (GBM) model generalized by the Markov switching regime (MSR). The research model was designed by system dynamics (SD) approach and Vensim DSS software in the causal- loop diagrams (CLD) firstly and then after specifying the flow-state variables, mono-loop and two-loop stock–flow diagrams (SFDs) was designed and daily final stock price was simulated. Two-parameter of noise seed and time step were identified and applied as sensitivity analysis parameters. The simulation error was estimated for the random variations of the noise seed and the time step configured by default user parameters up to 22/74 and 30/35 percent, respectively. Both parameters were calibirated due to higher simulation error than acceptable error of 15 percent. Trial - error and field observation methods was performed in order to appropriate estimation of the calibration parameters range.The post-calibration accuracy of simulation per noise seed parameter increased from 77/26 to 91/5 percent and per time step from 69/65 to 96/37 percent. Findings indicate that the error roots have reached to the ideal mode by optimizing of the calibration parameters as covariance inequality error approached to one unit and base inequality error and variance inequality error approached to zero and indicate functionality accuracy of the GBM generalized by the MSR in stock price simulation.

This research is about the efficiency of the banking system in small and medium enterprises on the development of cooperation with (DEA). The question of this Research is that: is the efficiency of commercial banks more than specialized banks in job creation of the cooperative sector through facility payment to small and medium enterprises?To answer, a sample consisting of nine operating banks in Ardabil province was selected and theix efficiency was calculated by using DEA method, constant returns to scale (CRS), variable returns to scale (VRS), decreasixy returns to scale (IRS), decrease returns to scale (DRS) models and optimization models (input shaft and output shaft). The Survey results show the average efficiency of commercial banks are more than specialized banks with constant returns to scale, variable returns to scale, increasing returns to scale, decreasing returns to scale models. The average efficiency of banking system with variable returns to scale are more than the average efficiency of banking system with constant returns to scale.

Working capital management is one of the management structure of an organization that plays a fundamental role and also is as a major force in evolution of the organization. So it is important to acquire economic profits.This study investigates the relationship between working capital policy and profitability of companies in automobile, pharmaceutical and mineral industries in Tehran Stock Exchange. The sample was selected consisting of 235 data -year of listed companies in Tehran Stock Exchange in automobile, pharmaceutical and mineral industries from 1383 to 1387. The methodology of this research was discriptive and the hypotheses were analyzed by using Pearson correlation and regression model. The results of this study indicate that there is no direct and significant relationship between working capital management strategies with earning per share and return on equity, but there is a direct and significant relation between working capital management strategies and return on investment but not very strong correlation, and only 6% of the variation in the return on investment can be justified by the variation in the working capital management strategies.

One of the latest firm performance assessment measures is economic value added. Based on this measure, firm value depends on two factors: capital return and cost of capital. This research studies the correlation between criteria's related to economic value added (EVA, REVA, MVA) with the intrinsic value of companies and comparison with the correlation between the other variable (cost of capital) with the intrinsic value of companies listed in Tehran Stock Exchange. and specify the criterion related to economic value added (EVA, REVA, MVA) which can be appropriate to evaluate company performance and has more correlation with the intrinsic value of companies? In order to answer this question 110 year – company data are selected from the active companies listed in Tehran Stock Exchange and statistical analysis was done. The results indicate that there are significant relationships between economic value added and market value added with the intrinsic value of company. So market value added has a stronger relationship with the intrinsic value of the company among these three criteria.

Cooperative funds are considered a major part of the financial system. As insome countries, cooperative funds are considered the largest financial institutions.Cooperative finance, retain existing jobs and creating new job opportunities sue amajor cause of established Cooperation Fund. This study examines thecorrelations Cooperative Fund Facility (separation process of payments andseparation where financing) and entrepreneur in the cooperative sector deals.Whether between the Cooperative Fund facilities and Cooperative sectorentrepreneur exist a significant relationship? And the effectiveness of the facilityof domestic resources is more or effectiveness of the Facility a Note resources inthe entrepreneur? To answer these questions was chosen a sample containing45data - Year Fund in Ardebil province during the period 84-88 that equal to the entire statistical community of research. Hypotheses using Pearson correlationcoefficient were measured. Test results of the first main hypothesis suggest thatthere is no significant relationship between Facilities cooperation Fund (a separateprocess of payments) and entrepreneur, so we conclude the Cooperative fundfacility has not been effective in development cooperation sector. The results ofthe second major hypothesis testing shows that there are significant relationshipbetween Cooperative Fund Facility from domestic sources and entrepreneur,while there is no significant relationship between Cooperative Fund of facilitiesfrom Note resources and entrepreneur and can be concluded that the effectivenessof Cooperative facilities funds from internal resources is more Note Of resources.