Due to the nature of the assets in Iran, markets such as exchange rate, gold, housing and stock are options facing investors as asset portfolio, although each of them has different returns. Usually, investors are looking for higher returns and focus of investors on markets with higher returns may reduce returns of this kind of markets in the long run. This can be named as returns convergence of different asset markets. This study aims to also examine the returns convergence of dollar, euro, coins, housing and stock markets in Iran over the period 2002:05-2016:02, using Nahar and Inder method and convergence Measurement of each market`s returns to the average returns of them. Based on the results, the returns convergence of housing market was not significantly meaningful. Also, there was no evidence of convergence in the returns of other studied markets.

Abstract: The housing market is one of the most important subsectors of capital markets that have the most backward and forward linkages with other sectors. Because of the high dependence of Iranian economy to oil revenues, oil price shocks can be affect the housing market. The aim of this study is to analyze the business cycle of the housing market, with emphasis on the impact of oil shocks on the return of housing. According to APM model, regardless of portfolio selected, several factors affect the return of housing assets that in this study, the risk and shocks of macroeconomic factors including money supply, private sector investment, housing facilities allocated by special Maskan Bank and oil export revenues, have been analyzed on the housing return by a Markov regime-switching GARCH model during the period 1982 -2016. The results have shown that the return of housing in the Iranian economy has three high, moderate and low return regimes. So that the volatility of the housing return is different in each of the three regimes. Housing returns volatility at the low return regime is more than volatility of returns at the moderate and high return regimes. Therewith in the 35 years of the research period, housing market has been 13 years in the moderate return regime, 20 years in the low return regime and only 2 years in the high return regime. The results also showed that based on Dutch disease hypothesis oil shocks, liquidity and private investment have a significant positive impact on the return of housing but the housing facilities of Maskan Bank have a significant negative impact on the return of housing.

The return of Initial Public Offerings (IPOs) in short and long term, were always noticed by market Analysts. In Iran and after policies Asle 44 announcement by supreme leader, IPOs intensified by entering government's firms to Tehran stock markets. In this research, we compared the short and long term return of Asle 44 IPOs with other IPOs and market return. The results showed that short term return(20 days) of Asle 44 IPOs is positive and more than market short term return, but displayed no difference with other short term IPOs return. Furthermore, the long term return of Asle 44 IPOs (annual return) is positive and more than other IPOs return, but has no considerable difference with market long term return.

The aim of this study is clarifying the relationship between the return and the simultaneous volatility of stock returns utilizing investment options pattern. Covariance of return and volatility (based on standard deviation of stock return) as the dependent variable and investment options, based on four measures including: firm size, firm age, sale revenue growth and market value to book value ratio, as the independent variable have been calculated. In the developed model of research, effects of two factors were studied as the control variable, including: flexibility of management decisions and performance of the Fama French model on the relationship between the return and the simultaneous volatility. The results of the multiple regression using data of 63 companies in the sample between 2006 and 2015 show, 95% confidence level, variables which affect real options and control variables, will also affect the relationship between the return and simultaneous volatility of return. More the amount of options for a company gives the stronger effect.

The purpose of this article is to investigate the effect of the financial stress index (FSI) on the returns of mutual funds (separately including mutual funds and mixed mutual funds) in Iranian capital market during 2011-2021 on a monthly basis. For this purpose, the principal component analysis method is used to construct the financial stress index, and the effect of financial stress on the returns of mutual funds in two regimes of high return and low return was investigated using the Markov switching model. Results show that the financial stress in the high return regime has a negative effect on the return of investment funds in stocks and mixed. In a regime with low return, financial stress has had a positive effect on the return of investment funds in stocks and mixed. Despite the same direction of the effect of financial stress on the performance of both types of studied funds, this situation indicates the asymmetry information in the effect of financial stress on the return of investment funds.

Modern Portfolio Theories are based on Markowitz’s portfolio optimization model that involves the assumption of Mean Variance Behavior and therefore require the asymmetry and normality of returns. This issue also affects the Capital Asset Pricing Model that estimates systematic risk and uses it in pricing securities. This article analyzes the various measures of risk. The main purpose of this research is to investigate the relationship between various risk measures and return in Tehran Stock Exchange to clarify that how investors consider risk in their investment decisions. Therefore, this paper investigates the behavior of stock market toward risk. Furthermore, in order to describe the relationship between risk and return, presents alternative models for conventional CAPM that better explain the return. The results show that monthly returns are not normally distributed. Upside risk criteria strongly explain the monthly returns. Also explanation power of conditional CAPM is low and the difference between the realized returns and the returns that are calculated with three types of CAPM is statistically significant.

Determining efficiency of an institution and comparison with other institutions can help the stockholders to achieve their investment goals. The purpose of this study is formation of portfolio from efficient firms, using data envelopment analysis approach for earning return more than the market average return. In this study, the input oriented and output oriented models were applied to the conditions regarding constant return scale (CCR) and variable return scale (BCC). Also, in this study the hypothesis that portfolios composed of small companies have better performance than the industry average was examined. The results show that, using CCR method, return more than the market average return cannot be gained, but, using BCC method, return more than the market average could be gained. In addition, comparing the results from portfolios, using size measure, showed that portfolios composed of small firms gained return more than the market average return and created appropriate performance. In this study to measure the performance of portfolios, William Sharp criteria were used.

Returns along with risk are the most important investment criteria. Asset of enterprises are the main sources of value creating for stockholders. Investors in stock market, consider some factors in asset pricing which affect their returns. This paper investigates fundamental factors affecting bank’s stock returns. Return on assets ratio has emphasized in this paper and our search is going to study banking profitability in their stock market return through extention of ROA ration. In this paper using panel data, the relationship between returns on assets and other fundamental factors on stock returns were examined and finally through Bayesian vector autoregressive relationship between bank’s stock returns and their fundamental variable were studied. The results show that stock returns of Iranian banks has a significant positive relationship with its one period lag, net income to total operating revenues, ratio of total operating revenues to net interest income and significant negative effects with net interest income to interest income and bank size.

The purpose of this study was to investigate the relationship between volume of transactions and value of transactions with stock returns in the stock exchange and various stock markets during the years 1385 to 1395. To investigate these communications, we used MGJR-GARCH, DCC-GJR-GARCH, diagonal BEKK and COPULA models. Between trading volume changes and stock returns of companies there is a two-way and direct relationship, but the relationship between transaction value and stock returns is one-way, and only the value of transactions that affects stock returns. Also, in the review of variables Researches with volume of transactions revealed that changes in the variables of liquidity volume, annual returns and oil prices with the volume of transactions have a reverse and meaningful relationship, and the returns of companies' shares and the value of transactions with the volume of transactions has a direct and meaningful relationship. Also, other than the volume of transactions, other research variables have a significant relationship with annual stock returns. The volatility of the volatile variables, the volume of liquidity and the price of gold, direct effect, and the changes in the value of transactions and oil prices have a negative effect on the returns of companies. The only variable whose volatility affects the price of oil is the return on shares of the companies.

The negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure. If this relationship holds, the increased volatility resulting from a fall in stock price should be comparable with the decreased volatility resulting from a price rise with the same magnitude, and this effect should also be persistent. Most research on the leverage effect has examined the relationship between the behavior of returns and return volatility. The present study aimed to examine the relationship between return volatility, returns, and the debt ratio. The data were collected from 22 biggest companies listed on the Tehran Stock Exchange for the period from March 2009 to March 2019. The value of debt in the capital structure of the selected companies was calculated using the Geske compound option pricing model. According to the results, the existence of an asymmetric effect on returns only during bearish market conditions, alongside the instability of this effect, indicates that the debt ratio cannot explain the behavior of returns and return volatility.