فهرست مطالب کاظم چاوشی

Entering into the interbank market in order to balance profitability and liquidity risk management, depending on the conditions of short-term activities, banks are required to equip resources through this market or to lend short-term loans to other banks. Banks' commitments to each other mainly arise in the interbank market, which can lead to increased systemic risk due to the spillover effect. Therefore, the objective of this paper is to analyze the network dynamic stability of the Iranian overnight money market through methods of statistical mechanics applied to complex networks .The results show that the network structure changes during time depending economic conditions. Systemic risk measures such as clustering coefficient, average short path, heterogeneity and centrality, show that the networks systemic risk increases and then by occurring default and crisis in one bank, default spillover during the domino effect in whole network. Also, in the event of failure, the most vulnerable group is to privatized and specialist governmental banks, and the private banks, due to the high volume of exchanges and net negative flows, can put a considerable systemic risk to the interbank market network. Morever, the signals of speculative activity by private banks are found.

Diversification is one of the risk management tools and its important advantage is when the diversification increased, nonsystematic risk is reduced without reducing return, but well-diversified portfolios associated with the costs of trading, maintenance, and regulatory. Besides traditional risk measures, such as standard deviation and beta, failing to distinguish between risk and downside risk from the perspective is not appropriate metrics to measure risks and reflect the risks of what the human mind understands. But downside risk measures give downside volatilities investor's aim. This study aims to determine the relationship between diversification and downside risk in order to reduce nonsystematic risk on the Tehran Stock Exchange Market. The data used the time series of daily returns of 104 firms in the 3.5 years period. Using this data, portfolios with 1 to 20 stocks is formed based a simple strategy, downside risk measures such as semi-variance below the target, the target semi-SD, value at risk, expected shortfall and Lower Partial Moments were calculated for each portfolio, the relationship of each of these criteria and the number of stocks in the portfolio were tested. The result of this study indicates that the negative correlation between diversification and downside risk.

One of the most important decisions faced the firm's managers, is financing decision. Making this kind of decisions has important effects on stockholders’ risk and wealth. However recognizing the factors that affect these decisions has more importance. Many factors influence the financing decisions in the firms that can be classified into two groups: the factors related to firm structure such as agency problems, firm size, insolvency and factors which are related to the management behavioral characteristics such as conservatism, overconfidence. This paper is going to study the effect of one of the psychological factors (overconfidence) on firm's financing decisions. For this purpose we use a panel data of 157 firms from listed companies in Tehran Stock Exchange over the period 2006-2012 The results – based on fixed effect panel data method – show that there is no relation between managerial overconfidence and financing decisions. In addition, it has shown that there are significant relations between growth opportunity, firm size and insolvency risk with financing decisions.

Expansion and growing complexity of financial markets, makes difficult Choosing assets for investors; Meanwhile, based on portfolio theory, diversification, while maintaining average returns, leads to lower fluctuations. Also, due to the complexity and speed of effective factors, constitution of optimal portfolio with Using traditional methods is difficult. This study is aimed at optimizing the portfolio consists of shares of mutual funds using genetic algorithm and comparing it with the traditional approaches and the impact of portfolio sizehas also been studied. For this purpose, the data of 30 mutual funds in the Iran's stock market from 2011 till 2013 are collected. Results indicate that genetic algorithms can be used to select a portfolio of shares of mutual funds. Using paired t-test determined that using genetic algorithms in portfolio selection is better than traditional methods. Also, the size of the portfolio did not influence the results and at all level, the genetic algorithm has better performance. Meanwhile, the larger and more diversified portfolio, genetic algorithm performance advantage over linear methods is more significant.

The current research is mainly intended to study the changes’ effects of Article 105 of the Direct Taxes Act، on capital structure and shared profit for the companies accepted in Tehran’s Stock Exchange since 1997 to 2013. Given the fact that article 105 of this Act has been modified in 2002 while it was a mandatory to implement it since 2004، the changes in capital structure، shared profits have been studied in this research by using a research event method for the years before and after these changes. In order to reach this objective، the independent variable of changes applied to article 105 of the direct taxes Act، it was considered as a dummy variable so that for the years before March 2003، zero was assigned while for the years after this date، 1 was assigned. With respect to the kind of the data and the current methods of statistic analysis، combined data method was used for estimating model parameters and studying hypotheses. The results from analyzing the data since 1997 to 2013 indicated that in a confidence level of 95%، the changes to article 105 of the Direct Taxes Act are directly related to shared profit (positive). In addition، the results indicated that there isn’t any meaningful relationship between changes applied to article 105 of the Direct Taxes Act and corporate capital structure.

In recent years, financial economists have increasingly recognized the interaction between market structure and capital structure or financial decisions of the firms. This research analyzes the relationship between market structure (power) and the capital structure (leverage ratio) of listed companies in Tehran Stock Exchange (TSE) based on static and dynamic approach. In this research we study a balanced panel dataset of 101 firm-year observations from 2006 to2010 and test significant relationship for testing hypothesis. First we use pooled regression to determinant the relationship between capital structure, market structure (Tobin's Q) and five control variables including profitability, size, collateral value of assets, growth rate of assets and uniqueness of assets. After employing chow and hausman test, we selected fixed effect panel data model. Also we employed GMM method to have more efficient result and also to cope with the unobservable firm-specific characteristics and endogeneity problems. Our results suggest that the relationship between leverage and market structure is non-linear (cubic) due to the complex interaction of market conditions, agency problems and bankruptcy costs. The study finds a negative relationship between capital structure and profitability and also positive relation between capital structure and the size. So, profitable companies tend to use internal financing such as retained earnings and issuing new shares instead of debt financing. Also big companies prefer to use more leverage due to desirable conditions for getting loans. Our evidence shows that Iranian listed companies are generally more subject to agency cost theory (limited liability effect) and tax shield theory. Finally, the system-GMM results reveal that managers of Iranian firms tend to adjust dynamically their leverage ratios over time.

The purpose of this research is to study relationship between competitive intelligence and performance of companies listed on Tehran Stock Exchange. For this purpose 78 companies in a 5-year duration were selected as the target population and we gain the static sample of 65 companies by using cochran formula.In this research different aspects of competitive intelligence were defined based on GTILab theory including four aspects titled; Commercial & Marketing Intelligence, Competitor's Intelligence, Technological Intelligence, and Strategic & Social Intelligence. During the research the performance of companies were measured by the use of companies financial Statements. Results indicate competitive intelligence and its dimensions have positive and meaningful relationship with perfotmance of companies listed on Tehran Stock Exchange.