جستجوی مقالات مرتبط با کلیدواژه "چولگی" در نشریات گروه "علوم انسانی"

The Black-Scholes model is used to price a wide range of options contracts. The basic assumption in this model is to follow the normal distribution of returns. But the reality of the market indicates the skewness and abnormal stretching of the data, which reduces the accuracy in calculating the option price. The main purpose of this research is to determine the price of European call option in data with non-normal skewness and kurtosis. In this regard, the option price has been determined in two models, Black Shoals and Gram-Charlier. For this purpose, the data of Iran Khodro in the period 2020-11-21 to 2022-12-14 and Shasta in the period 2022-7-25 to 2022-12-14 have been used. Hyper-skewness has been used for the first time in domestic financial literature in this research and it was shown that this factor increases the accuracy of option pricing. The results of this research show that the share of Shasta has more abnormal skewness and kurtosis than Iran Khodro. The option price calculated with the Gram-Charlier model shows a smaller error compared to the market price in the Shasta compared to the Black-Scholes model. Therefore, Gram-Charlie model has more flexibility than Black Shoals model with abnormal skewness and kurtosis

Portfolio optimization is one of the main methods of investment and one of the main stages of portfolio construction. Since ptimization is the process of selecting the best option from a set of available options, given specific constraints, this is one of the most important challenges facing investors, financial managers and operations research modelers. In this paper, the optimal portfolio curvature with criteria of variance risk (MV), absolute deviation (MAD) and conditional value at risk (CVaR) for the five symbols Shasta, Kachad, Vepars, Khsapa and Shebandar is obtained from 1/09/1399 to 1/3/1400 and all four methods are compared. Accordingly, the effect of skewness and kurtosis on optimal portfolios in all four risk criteria is investigated by applying the dependence structure of copula functions using Monte Carlo simulation. In this regard, Pearson distribution system and Gaussian copula have been used to simulate the yields with different skewness and kurtosis and with standard deviation and mean of historical data, and finally it is shown that this process leads to a change in the optimal portfolios in all four methods of portfolio optimization, so that the change in the amount of presented risk causes the most change in the optimal portfolio of CVaR and the least change in the optimal portfolio MSV.

The present study seeks to answer the question of whether there is a relationship between investor behavioral bias and short-term returns of initial public offering (IPO) or not and whether this relationship is affected by audit quality (audit size) and the firm growths of be moderated or not? In this research, the data of 172 companies listed on the Tehran Stock Exchange (TSE) during the years 2008-2021 have been used. To measure investors' interest in lottery through the expected skewness criterion as well as short-term cumulative return, it is calculated within 10 working days after the offer. Regression test was performed based on cross-sectional regression. The results of the study indicate that the direct relationship between the investors’ preference for skewness and short-term returns of IPO and higher audit quality (audit size), reduces the amount of the effect. Also, the intensity of this effect is less in companies that have less growth options than the average than companies that have more growth options than the average.

The purpose of this research is to use granulometric analyzes in desertification studies in Gonabad city,  To achieve this goal, after the preparation of geomorphological maps of the region, 14 sediment samples were taken from the erosion-sensitive facies of the region. In the laboratory, a series of sieve with a diameter of 2000, 1000, 500, 250, and 64 micrometers, and a container Gatherings of sediment smaller than 64 μm were screened. The results showed that the highest frequency of particle diameter in sand samples was in the 250-225 micron class. And, given the average particle relationship with their transport intervals, it can be concluded that the distance between the particles was close to a point. Variants of different samples varied from 1.502 to 1.319. The most prevalent plots of ridge and the smallest slopes with low slope were the highest. In surveys in the skidding section, precipitates were mostly positive tilted, indicating the prevalence of fine particles in the region.

The inflation forecast via specifying the uncertainties in the economy, is de facto in vogue between the most Central Banks of the world to advocate the” Inflation Targeting Strategy “and to follow up the specific monetary policies to reinstate the inflation into its targeted path, per se. In this paper an attempt is made to investigate de jure, how the risks balances of various macroeconomic variables may be linked to the uncertainty inherited in the inflation forecasting, in toto. In this context, we have made a key assumption that the inflation uncertainty is derived from the observed uncertainty among the certain macroeconomic variables because the forecasted CPI is highly elastic pari passu with these macroeconomic variables . In other words, the inflation forecast skewness and the probability Density Function is technically derived from the uncertainty discerned in some macroeconomic variables, A fortiori. Subsequently, we have depicted the Fan Chart for inflation forecast, Ipso facto. Though, it is an axiomatic fact that, in most of the cases, the uncertainties in these macro economic variables are gleaned from their respective historical standard deviations. However we have contemplated to subjectively adjust these uncertainties considering the value judgments for future course of economic developments, if and only if there is a plausible reason for less or more uncertainties compared to the historical standard deviations of these macroeconomic variables, quid pro qua. Besides, we performed the judgmental assessment of risks balances indicating that whether the distribution functions of probability density are symmetric or not. Thus, we have observed that the baselines for distributions of the macro economic variables are symmetric and Gaussian, if the standard deviations are based upon the historical data and similarly, any departure from the baseline can prima facie be construed to correlate with future inflation. Finally, the Fan Chart of inflation forecast related to four quarters leading to the September 2019 is presented as an operational sample. Furthermore, we have found that, the skewness of inflation forecasts has tendency for the higher inflation due to dynamic impacts of some macro economic variables on the rate of inflation, Sine qua non.

Investors, as one of the main elements of financial markets, have always looked up for a performance evaluation criterion for various companies. One of the most important performance criteria, is stock return. Considering the deployment of capital market, identifying the factors affecting stock return, is of a great significance. Researchers have always been looking for variables with which help the stock return behavior can be explained. Accounting profit is amongst accounting information which is used to predict stock return. The purpose of this research is to investigate the effect of profitability skewness on stock return prediction. In this regard, to explicate the relationship between profitability skewness and future stock return, three perspectives including behavioral explication, growth opportunity and future profitability have been used. To test the hypotheses, a sample of seasonal data from 127 Tehran Stock Exchange listed companies was selected from 2009 to 2017. The method used to test the hypotheses is two-step Fama-Mac Beth regression using the panel data. The results from testing hypotheses show that the skewness of profitability considering three criteria: gross profit, earning per share to price ratio, and net profit, has a significant and negative effect on future stock returns.

risk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection method in order to maximize investors utility. In this model we used not only variance but also higher order moment –skewness- for optimization.
For emprical test of the model we used return of first 50 companies stored by market capitalization in tehran stock exchange during 1386-1395. We used skewness
& transaction cost to introduce a moltipriod model in asset allocation to minimize variance of investors utility. Comparing the result of this model with markowitz model & simpel model considering investor preferences shows that based on performance evaluation criteria, the suggested model perform much better than the two other.

Investors, as one of the main elements of financial markets, have always looked up for a performance evaluation criterion for various companies. One of the most important performance criteria, is stock return. Considering the deployment of capital market, identifying the factors affecting stock return, is of a great significance. Researchers have always been looking for variables with which help the stock return behavior can be explained. Accounting profit is amongst accounting information which is used to predict stock return. The purpose of this research is to investigate the effect of profitability skewness on stock return prediction. In this regard, to explicate the relationship between profitability skewness and future stock return, three perspectives including behavioral explication, growth opportunity and future profitability have been used. To test the hypotheses, a sample of seasonal data from 127 Tehran Stock Exchange listed companies was selected from 2009 to 2017. The method used to test the hypotheses is two-step Fama-Mac Beth regression using the panel data. The results from testing hypotheses show that the skewness of profitability considering three criteria: gross profit, earning per share to price ratio, and net profit, has a significant and negative effect on future stock returns.

The purpose of this research is to study studying the relationship between stock price synchronicity and tails of return distribution at Tehran Stock Exchange. The sample consists of 118 companies that have been chosen from among compaines listed in Tehran Stock Exchange during the period of 2010-2014, and hypothesis testing has been done with multiple regression based on panel data. The results of hypothesis testing show that firms with high stock price synchronicity have higher probability of generating positive tails than firms with low synchronicity, and also there is positive relation between stock price synchronicity and skewness. Investors of stocks with hig price synchronicity have lower reaction to bad news in respect to stocks with low price synchronicity. High stock price synchronicity show that market information reflected on stock return is more, and investors suffer only systematic risk. Therefore, it is suggested that investors in Tehran Stock Exchange invest on stocks with higher stock price synchronicity and with higher information transparency.

This study aims to investigate IPOs return from the Investors’ bias point of view. Moreover, we intend to examine the reducing effect of investors’ bias on IPOs return through earning quality. We used the data from 93 companies of IPOs during 2007-2017 offered in TSE. We used Expected Skewedness as lottery preference measurement tool, and calculated IPOs return using BAH Return on a 7-day period. Modified Jones Accrual Quality model was used to measure earning quality. The hypotheses were tested using pooled cross-sectional regression. Our findings showed that there is a direct relationship between the investors’ preference for Skewedness and IPOs return. Besides, earning quality diminishes this effect. Results also showed that investors’ lottery preference has direct effects on IPOs return and more accounting quality in the year just before IPO, could reduce this behavioral bias.

This research aims to explain the growth and value stocks anomaly by the relationship between accounting ratios and skewness of stock return distribution. Then, the data of 89 companies listed in the Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there is a negative and significant relationship between skewness and book to market ratio. This reveals the information content of financial statement ratios in Tehran Stock Exchange. Moreover, the skewness affects on difference between growth and value stock return. However, due to lack of growth and value stocks anomaly in the research sample, results isn’t (is not) supported empirical model .

This research aims to investigate relationship between skewness and future stock return and the impact of information releases on this relationship. Then, the data of 89 companies listed in Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there exists a negative and significant relationship between skewness and future stock return. Moreover, the earnings announcements have high impact on the relationship between skewness and stock return. Hence, skewness is negatively related to stock return when there are no earnings announcements, while this relationship loses its significance when there are such information releases.

Verification of direct relation between unsystematic risk and return (by Drew et als (2006) and Fu (2009)) on the one hand and affirmation of reverse relation between idiosyncratic volatility and return by some academicians such as Ang etals (2006,2009) on the other hand, resulted in forming idiosyncratic risk puzzle. This research objective is to investigate the role of third and fourth moments as potential explanations for the idiosyncratic risk puzzle. So, a sample composed of 270 listed firms in Tehran Stock Exchange during 1378 to 1389 is investigated using portfolio approach and Fama-MacBeth (1973) model. Total used observations for these methods are more than 9000 firm-season.
The results confirm positive relation between skewness and return but do not show significant relation between kurtosis and stock return. The effect of skewness and kurtosis on the relation between idiosyncratic risk and return strongly is affected by considerations such as IVOL measure, mechanical rules for thin trading and weighting scheme of portfolio return. Nonetheless, because the lack of explicite theory about third and fourth moments pricing, it cannot impute the origin of return and unsystematic risk relation to skewness and kurtosis.

The relationship between world Energy market and Stock market in per country are very important in studying of stock market’s efficiency، the choice of portfolio and pricing the assets. The purpose of this study is establishing a Conditional relationship between global energy market and Iran’s stock market by investigation the relationship between some risk factors (Oil price risk، Market risk، Skewness and Kurtosis) and stock return. The approach taken in this paper uses a Multi- Factor Model with consider to the direction of markets (Up or Down). We have selected 5 largest energy consumer industries in Tehran stock exchange in period of 1384-90. The results declare that in Up (Down) Oil market، there is an asymmetrical positive (negative) relationship between Oil price risk and Stock return. Also the findings show that the relationship between Market risk and stock return is asymmetrical and positive (negative) in situation of Up (down) in Tehran’s Stock exchange. So we can express that the changes in the global Oil price and changes in the Market return has a big asymmetrical effect on mentioned industries’ return.

Variance and standard deviation can be used for measuring risk of portfolios. When return distribution is normally distributed they are suitable measurements. But there are situations in which that condition dose not exist. for instance if the minimum value of stock return is -100% the minimum value of stock is zero. Therefore recently some criterions like kurtosis and skewness have been more common. in this article we use these new measurements and Fama and French 3factor model to compare their ability to determine of difference in stock returns. Based on data from march 2001 to march 2005 of Tehran Stock Market companies our results show that market risk premium, Size of company and kurtosis are more efficient than other factors like B/M and skewness in determining the risk of portfolios. consequently it is suitable for investors to use them for performance measurement and portfolio optimization.

Recognition of the country's precipitation regime and its spatial and temporal dispersion can be a better basis for proper planning to deal with damage and reduce the effects of abnormalities of water resources. In the present study, the monthly and annual data of 22 synoptic stations during the statistical period (1986-2005) have been used to determine the time and place indices of precipitation and its changes. (Table 2 shows the geographic position of the stations). The analysis shows that according to the average station precipitation of 20 years old, precipitation in the northwest of Iran is 354 mm, variation coefficient of precipitation 0.26, skewness 0.39 and bezel 0.86 respectively. Studies have shown that rainmaking systems that invade the area create different effects due to the geographic location of the stations.

This article examines the relationship between return, systematic risk, skewness and kurtosis in Tehran stock Exchange during 2001-2007.Similar research, in this field, shows different results on upward and downward markets, therefore the period under study is divided into sub periods including upward market (2001-2004) and downward market (2004-2007) and the relationship between these sub periods independently are examined. Regarding to this approach, totally 64 firms from different industries are selected. Then daily price and market index data were collected. Findings indicate that beta and skewness play an essential role in describing stock return in both periods. However, in the upward market, excess kurtosis has a significant relationship with the stock returns but in the downward market there is no such relationship.