فهرست مطالب dariush foroghi

Earning is valued because of the information it provides to the capital market. But managers use abnormal Items to manipulate earning to achieve their intended goal, such as maintaining stock prices. Since the manager's benefit depends on the value of the company, he tries to maintain the status quo. So at first it uses accruals abnormal to manipulate earning, but accruals are reversible in nature, so they use abnormal items in later years. On the other hand, this may be different in state-owned companies. The present study examines the relationship between highly-valued firms and abnormal accruals items with emphasis on state ownership. In this regard, samples including 130 companies listed on the Tehran Stock Exchange during the period 2014-2020 have been selected and tested. The results show that companies use more accruals abnormal in the first years and less really abnormal items. But over time, the use of accruals abnormal decreases and they turn more to really abnormal items. Also, in overvalued state-owned companies, the use of accruals abnormal has received more attention, but the really abnormal items manipulation has not had a major impact.

The intrinsic value of the company is determined based on the information obtained regarding the operational ability of the company. But in practice, sometimes the stock price in the market is not an accurate reflection of the available information and the market does not act rationally in the face of the information, as a result of which the intrinsic value of the stock market will be different. If the market price of a company's stock is higher than its intrinsic value, overvaluation is created. In these cases, managers of overvalued companies may manipulate earnings through actual or accrued activity. Managers may do more accrual earnings management and less actual earnings management in the first years so that the company's future cash flows are not jeopardized. But over time, since accruals are reversible, they turn to real earnings management. Also, in addition to the financial status of economic enterprises, government ownership affects the motivation of managers during financial reporting and preparation of financial statements. Government support in the form of state ownership helps companies to use this advantage, to obtain more financial resources, so managers of overvalued state-owned companies have less incentive to manipulate earnings to maintain the company's overvaluation. Therefore, the main goal of this research is to investigate the relationship between company overvaluation and abnormal earnings with an emphasis on government ownership in companies listed on the Tehran Stock Exchange.

This research is applied in terms of purpose. Abnormal accruals and actual abnormal earnings are dependent variables and stock overvaluation is the independent variable. State ownership is also a moderating variable. The first and second hypotheses of the research state that there is a positive relationship between the overvaluation of the company and the amount of abnormal accruals and earnings. There is a negative relationship between the overvaluation of the company and the amount of real unusual items of earnings. Also, the third and fourth hypothesis of the research states, the increase in the duration of overvaluation has a negative relationship with the amount of accrual items of abnormal earnings, but it has a positive relationship with the amount of actual items of abnormal earning. Finally, the fifth and sixth hypotheses state that state ownership has an effect on the relationship between company overvaluation and the amount of abnormal accrual items of Earning and the amount of actual abnormal items of Earning. In order to collect data, a sample consisting of 130 listed companies in Tehran Stock Exchnge were selected for the period of 2014 to 2020. Also, to test research hypotheses, multivariate regression with panel data and ordinary least squares (OLS) approach and robust standard error method have been used.

The results of the research showed that when companies are overvalued, they manipulate earnings through abnormal accruals and use less manipulation of abnormal real earnings. Also, in the first and second year of stock valuation, companies manipulate earnings through accruals and due to the reversible nature of abnormal accruals, over time it becomes difficult for managers to show more earnings through the manipulation of abnormal accruals. So the manager has to reduce the use of unusual accruals over time. Continuing the process of manipulation in the fourth year, the amount of manipulation of unusual accrual items decreases and the use of actual unusual items increases. In addition, during the overvaluation of the company, the use of accruals has increased in government companies as well as in non-government companies. On the other hand, the overvaluation of corporate shares in non-government firms leads to a reduction in the use of abnormal real earnings manipulation.  But in overvalued public companies, the real unusual items of earning have decreased, but this decrease is not significant.

It is recommended to investors, creditors, including investors, while evaluating companies for investment, keep in mind that some companies may be overvalued due to the use of unusual earnings items. In this case, they should do more experience and analysis and not only pay attention to the last figure of the Earning and Loss report and consider the process of preparing the reports. So investors and creditors are suggested to be more aware of the overvaluation of the company. In addition, managers are also suggested that if the company under their supervision is overvalued, there is this insight for users that the company has used abnormal earnings items. Therefore, to prevent the market from creating a negative view of the company, try to improve the financial reports and increase the quality of the reports. Also, law makers and standard setters should take effective measures and measures to prevent the continuation of overvaluation of the company by applying stricter laws and stronger supervision.

Left-tailed risk illustrates the probability of unfavorable events that could occur in a range wider than three variances of the distribution function. Although such events have a very low occurrence probability, they would cause significant losses in case of occurrence. This research aims at examining the cross-sectional effects of left-tailed risk on expected excess returns. The present research also examines the probability of the persistence of left-tiled risk in the future.

In this research two proxies of value at risk and expected shortfall are used to measure left-tailed risk. For this purpose, a sample of 120 companies listed in the Tehran stock market in the period of the years 2010-2017 have been selected. Research hypotheses were examined with the use of Fama and Macbeth regression. Transition matrix was used to determine the probability of left-tailed risk persistence in the future.

According to the findings of the research, left-tailed risk has a significant and negative effect on the expected excess returns. The findings also suggested that the negative returns of the left tail will have a persistence probability of over 50% in the future.

The findings of the present research illustrate a new anomaly in the financial area, which is the negative effect of left-tail risk on the expected excess returns, and persists in the future.

In recent years, there is a lot of attention to keep the cash in companies in financial literatures. This interest has come up from this reality that companies have reported significant amounts of cash in their balance sheet. Company’s social responsibility is one of the most effective factors in social and financial operation and plays a key role in investors reactions to a company. The main purpose of the present study is to evaluate the social responsibility of companies and their effects on keeping cash through systematic risk index and non-systematic risk and corporate sovereignty. To test the hypothesis, a sample of 91 companies from the accepted ones is Tehran securities exchange was choosen in 2009to 2016. The appropriate method to test the hypothesis is to assess the synchronous equation system through (3SLS) minimum three level has squares. The results show that social responsibility through idiosyncratic risk is a significant and positive impact on cash holdings. As well as social responsibility through systematic risk has a significant negative impact on its cash holdings. The results show social responsibility through corporate governance has positive significant effect on its cash holdings.

As mentioned in prior studies, there is not one accepted model that presents a measure for expected return by withstanding a certain level of risk. Now a new approach has been provided by Penman and Zhou (2014) that the accounting variables are linked to the expected return. In this approach if the market assesses the earnings along with the risk, then the variables that predict earnings and earnings growth, will also be able to predict the return. They argue that if it is proven that the aforementioned factors predict future earnings and earnings growth in the same direction that predicted future returns, it will be proven that the return predicted by these variables is not abnormal.
Research Hypotheses: The main question of this research is to investigate whether the variables that predict future earnings or growth in future earnings can predict future returns and future realized returns in the same manner. This article is based on sign of predictive variables in predicting future earnings and comparison with the predicted future returns. Accordingly, the following four hypotheses were explained and tested:Hypothesis 1: The variables that predict future earnings are able to predict future returns in the same direction.
Hypothesis 2: The variables that predict future earnings growth are able to predict future returns in the same direction.
Hypothesis 3: The variables that predict future earnings are able to predict future realized returns in the same direction.
Hypothesis 4: The variables that predict future earnings growth are able to predict future realized returns in the same direction.
The time period used in this study is the 11-year period between 2003 and 2013 and last year for estimating models is 2011. The population of this research consists of the companies listed in the Tehran Stock Exchange. A sample was selected from this population using screening method. Four models were specified for predicting each of the four indexes (future earnings, future earnings growth, future return and future realized return) and were estimated using pool and panel data approach. The variables in these four models that were indexes of anomaly variables include: Working capital accruals, Change in net operating assets, ROA, Investments, Net shares issuance, External Financing and Momentum. Then the probability and the sign of these variables in these four models were compared mutually and each of the hypotheses were investigated using these signs.
Results showed that four variables (Accruals, External Financing, Momentum and ROA) which are able to forecast the future earnings are also able to forecast future return in the same direction. Therefore that return is predictable and referred to as "abnormal" is not suitable for them. But that return would be "required return" according to Penman and Zhou (2014). That means the return of which is expected to occur. For this reason, it is clear that this return is consistent with the hypothesis of rational expectations.
Discussion and According to our results, researchers and investors should note that market inefficiency is detectable not only through the accounting variables but also through investigating whether these returns are consistent with the hypothesis of rational expectations. Consistency of returns with the assumption of rational expectations is an important condition which is usually ignored in this field.

This study examines the Impact of Stock Price Synchronicity and Volatilities of Stock return on Stock Liquidity. The time period of study is from 1385 until 1390 . The statistical population is all firms listed in Tehran Stock Exchange , which eventually qualified 95 companies were selected for this study .for Measuring stock liquidity measure, Amihud illiquidity measure is used. The stock prices synchronicity calculated using the R-square of stock from the market model regression .The volatilities of stock return divided systematic and idiosyncratic volatility calculated by systematic and idiosyncratic variance . The results indicate a positive effect stock price synchronicity and systematic volatility of stock returns on stock liquidity while idiosyncratic volatility of stock returns have a negative impact on stock liquidity.

Corporate financial performance is one of the criteria to select investment opportunities. it is influenced by many factors, such as stock liquidity. This research examines the relationship between stock liquidity and corporate performance in the Tehran Stock Exchange over 2002 to 2008. In this study, bid-ask spread was used as a standard indicator of liquidity and Tobin Q was applied as company performance measurement criteria. The relationship between dependent and independent variables was examined by multivariate regression model and conducted on the base of combined data. The results show a positive and significant relationship between stock liquidity and corporate performance.