hassan ghalibaf asl

This paper aims to introduce a new model for stock valuation called the ZZ growth model, as well to measure its power compared to the Gordon model in estimating the intrinsic value of stocks. To test the power of the ZZ growth model in determining the fair value of the stocks of companies in the Iranian stock market, after calculating the average growth rate and the required payback period of the companies in the sample and according to their EPSs in the fiscal years 2020-2022, the values of the selected stocks in the mentioned years have been estimated and determined using this model. In the next stage, the Gordon model has been used to determine the values of companies' stocks. Finally, the values estimated using these two models and the deviation of each of them from the average adjusted stock market prices through the Independent Samples T-test, have been compared. The research findings indicate that in each of investigated industries, the ZZ growth model compared to the Gordon model, has been able to estimate the value of stocks with much higher accuracy.

The unfortunate consequences of recent financial crises on the world economy necessitated the implementation of policies to protect financial systems from external shocks. Considering the negative effects caused by the bankruptcy of banks, especially large banks, a mechanism called the bank resolution system was defined to restore the bank to health before it is considered bankrupt. In this regard, the deposit guarantee system, as one of the pillars of the financial safety network, can provide an opportunity to create laws and executive activities in order to quickly resolve them, while preventing bank raids in the conditions of banks' incapacity and crisis. Therefore, the purpose of this study is to investigate and analyze the role and position of the deposit guarantee system in the process of resolving the banking system. After the theoretical review and analysis, in order to understand the role of the deposit guarantee system in the resolution process of the banking system at the world level, statistical and experimental facts were discussed using world statistics. This research provides a better understanding of the importance of the banking resolution system and the role of the deposit guarantee system at the world level and, accordingly, its application in the country's banking system.

The purpose of this study is to investigate the effect of market power and income diversification strategy on liquidity creation. Thus, the data of 20 banks in Iran during the period 2016-2021 were collected from the financial statements and attached notes. For this purpose, the Panel Vector Auto Regression method has been used. In order to measure the liquidity creation index, Berger and Boehman's (2009) method has been used. Also, the market power in the bank system is measured by the Lerner index, for this, the translog random frontier function is used, and then the market power is calculated. To measure the income diversity index, the adjusted Herschmann Herfindahl index of income has been used. The results indicate that competition or market power has a significant negative effect on liquidity creation. The effect of non-interest income diversification strategy on liquidity creation was also confirmed. The results of the analysis of variance decomposition test show that in the long run, market power has more explanatory power on liquidity creation, so that market power has a greater share in explaining liquidity creation than the non-interest income diversification strategy.

The news contains information about the fundamentals of the company and can change the behavior of the stock market. However, most research in stock market prediction has relied on technical analysis, i.e., time series analysis, based on past stock data, and the impact of fundamental data – especially Persian news – on the stock prices has been neglected. Consequently, this study aimed to fill this gap. To this aim, the stock index values were collected from the Tehran Stock Exchange along with the news published during this period. Then, the semantic load of news sentences was determined using text mining and sentiments analysis techniques, and the news was classified into positive and negative categories using machine-learning algorithms. Finally, the relationship between news and stock index was evaluated using logistic regression. According to the results, published news has a positive or negative semantic burden, and is effective on the index value.

Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models of the (GARCH) family in each of the above industries by using regime transitions. After the risk of return on index is obtained for each industry, the optimal portfolio is created in the next step based on VaR minimization, and the optimal value of each industry is determined in the portfolio. According to the results, (MRS-FIEGARCH) model had no superiority in VaR estimation over the other parametric models of the GARCH family. In fact (MS-EGARCH-t) was introduced as the optimal model. Among the designated industries, returns on indices followed regime transitions only in chemical products and investment by showing asymmetric reactions to external shocks. Moreover, the optimal weights were on the rise in the industries where VaR decreased over time, whereas the optimal weight of the portfolio decreased in the industries where VaR increased over time. The higher share of an optimal portfolio belonged to the industries where stock returns had lower rates of VaR. The risk-return-ratio was employed to show that the optimal portfolio with a risk rate was measured by considering the switching regime was superior over the optimal portfolio with a risk rate extracted without considering the switching effects. To create an optimal portfolio, it is then recommended to make investments in the industries characterized by higher stability in prices and lower fluctuations in stock returns in the long run. This approach can be employed to obtain the best results from optimal portfolio preparation in the worst-case scenario of the market fluctuations.

The aim of this study is to investigate the behavior of individual and institutional investors in Tehran Stock Exchange. For this purpose, we examined the portfolio statement of individual and institutional investors during a five-year period from 2012 to 2016. The result show that Investors’ behavior reflects some behavioral biases. Specifically, both individual and institutional investors tend to sell stocks that have appreciated in price, but not those that have depreciated in price (consistent with a disposition effect), although this tendency is more for individual investors. They also appear to believe that past returns are indicative of future returns (a representativeness bias), and their trading behavior shows that they are overconfidence. In the following, to investigate the effect of characteristics of investors on the cognitive errors, behavioral biases and trading error are investigated based on characteristics of investors.

one of the most important institutions in the financial market is insurance. It helps people to reduce the risk of life-threatening conditions. Insurance companies, on the other hand, face different risks depending on the issue to insurers. Therefore, these companies are looking for ways to transfer their risk. Disaster reliance insurance is an important tool for insurance companies to protect against very large risks and capital management. Today, catastrophic reinsurance insurance bonds have been considered as an alternative source of financing for reinsurance property and accident insurance.

The first purpose of insurance securities is financing. Today, life insurers are looking for changing some of their insurance policies into securities and increase their stock returns through capital efficiency. The second purpose of converting insurance securities is the main function of the insurance industry, such as risk transfer. Non-life insurance securities are generally issued for this purpose, especially insurance and reinsurance. Therefore, reinsurance prices are one of the key factors in the possibility of issuing these bonds. Studies such as the present study could help policy makers to develop effective policies to use catastrophic accident bonds in order to increase the acceptance capacity of reinsurance.

The research strategy used is the Foundation's Data Theory. The most important methods of data collection in this research are: Gathering information from library resources including: articles, books and the World Wide Web to compile theoretical foundations and background research. The data and information collection of the qualitative statistical population was collected by interviewing insurance industry experts in order to develop a theoretical model.

 The primary purpose of this research is to design a model to increase the acceptance capacity of reliance on insurance securities. In this study, based on the available interviews, finally six general categories (main category), twelve concepts and thirty-two codes extracted in the form of open coding and central coding were obtained in the process of data theory. By conducting interviews and analyzing the data, the researcher gained a deeper insight into the experience of the interviewees. Then, between the identified categories and features in the initial stage of open coding, reciprocating or zigzag movement was performed. The new concepts identified in the new studies were added to the previously identified categories. In necessary cases, some categories were renamed and the connection between different categories and concepts was formed.

The results demonstrated that the causal economic and non-economic conditions as the policy casual conditions cause to grow the capacity of reinsurance acceptance through Catastrophic accidents bonds in the insurance industry and the policy dimensions of increasing the capacity of accepting reinsurance by using Catastrophic accidents bonds have included insurance and exchange dimension. The underlying conditions are included macro and micro, and also the intervening conditions are long-term and short-term. This model of strategy is included a structural and institutional action. Finally, the consequences of the phenomenon of growing the capacity of accepting reinsurance through catastrophic accidents bonds are indirect and direct outcomes. Finally, we provide some suggestions to each of the various stakeholders involved in policy making of growing the capacity of accepting reinsurance through catastrophic accidents bonds.

The stock market is one of the most important parts of the capital market. There are defined concepts in this market that are more important than the other ones. Meanwhile, it can be mention to liquidity, risk and return. Given the important three variables has tried to model know as GARCH regime and Markov regime switching, the relationship between these concepts with the concepts of changing the regime by important economic events in country's history such as article 44 of the constitution is examined. According to the results of three- regime GARCH model, the most important Article 44 events in the changes of stock return's volatility process regimes has been identified, due to the behavior of institutional investors in low-volatility regimes in comparison with high-volatility liquidity.

Despite increasing attention to human resource area of research as a value generating asset, managing its risks have not been studied systematically. In this study a quantitative approach for analyzing and assessing the human resources risks has been adopted. First, the multiple dimensions of human resource risks and their components were identified through semi-structured interviews with experts of human resources field in one of the major organizations in the power industry. In the next step, five criteria were presented to analyze the risks and causal interaction between the human resources risks as one of the criteria of analysis were identified using fuzzy DEMATEL technique. In the final step, the estimated level of risks were compared according to analysis criteria and human resources risks were ranked based on the five given indicators using fuzzy Similarity technique. The results showed that human resource operational risks have the greatest total effect both given and received in the network of interrelationships among risks and have the highest priority based on analyzing criteria compared to other four main areas of human resource risks.

The purpose of this study is to provide an appropriate pricing model and also addressing the common deficiencies in other valuation models. To this goal, a sample of 82 companies is selected. (Financial companies, companies with fiscal year different from end of 29th of isfand, companies which their stocks were not traded in past 3 month and those which listed after 1389 are excluded). Then portfolios based on the third and fourth moments are formed by the sampled companies. We used three pricing models including CAPM, Fama- French 3 factor model and Carhart Model for each portfolio. Results show that estimating these models accounting third and fourth moment lead to increase of significance of these models. But the insignificance of the interception of difference between two portfolios showed that third and fourth moment premium are not priced which can be due to assuming homogeneous investment horizon for investors. For this, using wavelet analysis, we analyzed three portfolios with in two horizon levels including level 1 (2 to 4 month) and level 2 (4 to 8 month). Results interestingly showed the improvement in significance and also in R^2.
Using GPH estimator, we showed that there is long term memory in studied time series. In order to making these series stationary, we used recent method by calculating fractional data and again we estimated the models. Results showed that models estimation significantly improved for all three portfolios. But except CAPM for the two first portfolios, in other models the risk premium is not priced. Comparing fractional models with those obtained by wavelet models strongly indicates the superiority of the latter. Comparing all models, we concluded that best model for pricing, based on the third moment, is fama- French 3 factor model in level 2 daubeechies4 and by regarding the fourth moment, CAPM is optimal one for the level 2 symlts8.

Accounting conservatism has been a challenging subject during the last century. Accounting researchers examined the advantages and disadvantages of this financial reporting characteristic. The advocates suggest that conservatism helps the owners to control the managers by mitigating their ability in opportunistic behaviors. On the other hand, the critics suggest that accounting conservatism reduce the firm's available financial resources by reducing net assets and earnings. This research examines the relation between conditional accounting conservatism and financial flexibility. Data are analyzed using multivariate linear regression; 2 proxies of conservatism, Basu (1997) and Ball and Shivakumar (2005); and 3 criteria of financial flexibility, cash balance, financial leverage and dividends. The sample consists of 80 firms listed in TSE. The results show no significant relation between conditional accounting and financial flexibility.

In this study the aim is to test whether financial market anomalies such as market risk premium، firm size، the book-to-market ratio، the turnover rate، and momentum both with and without the inclusion of the market liquidity risk factor in the case of the Tehran stock exchange can explain stock returns? To this end، a number of 67 listed companies of Tehran Stock Exchange، based on Criteria filtering method، have been chosen as a sample. Data are collected on a monthly basis for the period 2008-2011 and by using EViews and panel data. finding indicate that during the study period، factors such as market risk premium، the book-to-market ratio and liquidity risk have meaningful correlation with excess return in Tehran Stock Exchange.

This research dealt with the survey of the relationship among the transaction activity ratio and risk, return & portfolio diversification of mutual funds. the statistical population of this research consists of investment managers of mutual funds and a sample of investment managers of 37 mutual funds was investigated. Derived results from analyzing the data by Pearson correlation and SPSS software show that between the transaction activity ratio of mutual funds and risk, return, portfolio diversification, there is a meaningful direct relation, meaningful reverse relation, meaningful reverse relation, respectively.
The results show that transaction activity ratio in men investment managers, less experienced, less educated and younger ones is more than women, more experienced, highly educated and older ones.
One of the findings of this research is the survey of relationship between mutual funds portfolio diversification ratio and transaction activity ratio of mutual funds which is done for the first time in Iran.

In this thesis we considered the effects of macro-economic factors on stock returns in order to estimate the risk free rate of return. For doing so, we used monthly returns of companies from 1383-1 to 1387-12.The sample of this thesis was consist of 48 companies which were present in stock market. Then the effect of 10 macro economic factors like Import, Export, Coin price, Oil price, M1, Inflation, Exchange rate, Index, Indext-1,construction permit on monthly stock returns was estimated for 5 years. The method which was used in this research was multi-factor model Arbitrage Pricing Theory (APT) and the method used was Factor Analysis.The aim of this research was to clarify whether co-movement of stock returns was the result of macro -economic factors or not, and also to estimate the risk free rate of return.The result of this thesis showed that co-movement of stock returns was due to different effects of macro- economic factors, for inflation and indext-1 affected Tehran stock return during these 5 years, and the estimated risk free rate of return of investment market was more than the risk free rate of return of monetary market.

One of the new approach in finance literature is behavioral finance, that describes behavior of investors and satisfies some of the anomalies that effective market hypothesizes were not able to describe it. One of the statement in behavioral finance paradigm is prospect theory and disposition effect that replies the position of individual during decision making. The disposition effect's base comes from Kahneman and Tversky’s prospect theory, point to construction of the reference points and replies that investors will decide according to their intended reference points. According to this theory, investors are more likely to close positions with gains than they are to close positions with losses. So, individuals define gains and losses relative to the reference point, and are risk-seeking when faced with loss outcomes and risk-averse when faced with gain outcomes. The main goal of this research is inspection of construction of reference point on max and min of stock price of 52 weeks prior reference point and it's effect on volume. Results of research represent with increasing of stock price in compared as max price of 52 weeks prior to reference, volume increases. While with decreasing of stock price from min price of 52 weeks prior, volume approximately remain the same.