فصلنامه دانش سرمایه گذاری
پیاپی 31 (پاییز 1398)

This research investigate the impact of management over confidence ( on based two index of investment more than sales growth and profit tendentious prediction ) on value creation ( on based diversification indexes stock return involved stock maintains return , special and unusual risk ) and firm’s stock return risk in Tehran stock exchange . In general , the use of a sample of stock market companies between 1386 / 1395 suggests that there is a significant difference between the stock return of companies with over_ executives and companies that do not have such managers.  There is also no significant difference between the stock of innovative stock companies with the unconditional confidence of the management and other companies. also, there was no significant difference between the stock return of innovative companies with excessive management confidence and other companies. The results show that the exist once of management over confidence has a negative and significant effect on stock return risk and despite the excessive assurance of management (based on both of the criteria examined) Stock return risk has decreased significantly . the other result show that the status of innovative companies with excessive management confidence has not been able to have a significant effect the on stock return risk and there is a significant difference the return risk of innovative companies with excessive assurance management and other companies do not exist .

Over the past years, technological leaps and consecutive innovations in production processes have led to immense and unprecedented changes in the global industrial vista. In this midst, we are witness to the nascence of new concepts such as “industry 4.0,” which have become the topic of increasing focus by researchers. In the present study, existing research work on the models and assessment readiness criteria for the adoption of industry 4.0 are overviewed. The new industrial paradigm resulting from the integration of  technologies that are based on physical cyber systems and digital transformation will radically change both the industry and the economy. Against this significant backdrop, the fundamental industry 4.0 readiness criteria have been identified and a suitable process framework for the readiness assessment of the country’s firms and enterprises is put to the fore. At the outset, all major scientific databases, i.e., Springer, Emerald, Sage, and Science Direct, including 40 scientific papers on readiness assessment and indicators of firms’ maturity level for the adoption of industry 4.0, were considered. Out of these articles, 16 were selected and subsequent to their comparative review, the resulting criteria for the assessment of the readiness and maturity of firms were extracted with a view to their suitability for Iranian firms and industrial parks. To this end a combination of methodologies such as expert panels, the DEMATEL method, and the Interpretive Structural Modeling (ISM) approach were used to develop the process model, which subsequent to preliminary validation, was detailed in terms of criteria content and applicability to operational environments.

Prediction of management is a key mechanism of voluntary disclosure. Previous studies in this area have shown evidences that managers disseminate the profit predictions to provide more information and guidance to the market and the market significantly react to it.After designing the mentioned indices, the data of transactions conducted in the study five-year duration i.e. 1390-94 (2011-15) has been collected from the Stock Exchange. The statistical sample is consisted of 107 companies that have been selected using systematic elimination method that totally were 535 year-firm. In this study to assess the hypotheses, the linear regression and correlation have been used. In order to data analysis and test the hypotheses, the EVIEWS software is used. What can be considered in total summing up and conclusion of the study hypotheses is that the buy and hold returns, the number of revision and the seasonal error in predicted profit have an impact on the possibility of revision in profit prediction. In addition, decision-making based on informed transactions by insiders has an impact on the relationship between the mentioned variables.

The global increase in the volume of foreign direct investment in recent decades has been the focus countries on it. The effects of foreign direct investment in sustainability indices has led many researchers to assess various aspects of this type investments. In the Foreign direct investment have two agents that are decision makers. They are the investor and the host country. So had to use the multi-agents decision makers’ methods for this kind of investment. This study for the first time examines foreign direct investment using game theory as an efficient tool in multi-agents decision-making. For this purpose has been paid to mathematical modeling and then using stackelberg game to solve the model in the different strategy. In Continue provide a numerical example and analyzed and finally, extracted Managements tips. The results of this study can be used as a decision support tool in the field of foreign direct investment.

The present research with goal of survey the relationship between financial development and cost of equity in companies accepted in Tehran Stock exchange has been done. For this purpose, financial information of 118 companies that were selected through a systematic removal procedure during the period 2010 to 2015 was investigated. To measuring of financial development, stock market and banking development and for cost of equity Gordon Growth model has been used. In order to analyze the data and test the hypotheses, multivariate regression models with panel data were used. The results of the research indicate that there is a negative and significant relationship between development of the stock market and development of banking with cost of equity.

The aim of this study is to investigating the impact of cultural dimension based on schein model on Herd behavior in investors' decisions. The present research is a survey study and The research method used in this study is descriptive and the aim of this study was applied.The population is about 4,000 investors brokerage at the Tehran Stock Exchange and The statistical samples consist of 351 who were selected randomly .The questionnaire is applied as the research tool based on the 5-point Likert scale. According to the studied reliability and validity of questionnaire, the questionnaire has acceptable reliability and content validity. The results showed that the different cultural dimension based on schein model has an impact on herd behavior in investors’ decisions.

The purpose of this study was to test the capital asset pricing approach to some extent with the the use of derivatives is value. For the collect data for research using documentary techniques, the financial statements of a sample of 50 companies listed in the Tehran Stock Exchange during the years 2011-2016 were used. For the analyze the data, panel data techniques were used. The results show that, there is relationship between futures and option pricing of capital assets in companies listed in Tehran Stock Exchange. But a significant relationship between the option and value pricing some extent with the of capital assets in companies listed in Tehran Stock Exchange does not exist.

The purpose of this study is to investigate the effect of size of the company on the relationship between conventional returns, unconventional returns and heterogeneous investor beliefs.For calculate the size of a company from the natural logarithm of book value of assets, the unusual returns of the Fama and French Factor model, the conventional returns from the difference between fluctuations in stock returns and the volatility of unusual stock returns and nulligan beliefs by obtaining relative prices (model Below, 2008). 110 companies in the capital market of Iran during the period of 1385 to 1395 have been studied as a statistical society. To test the hypothesis , regression analysis has been used in combination data. The results of the study show that the conventional and unconventional returns of stock affect the heterogeneous investor’s beliefs and the effect of these two variables is greater on heterogeneous beliefs in large firms than in small firms. Thus, these components of stock return can affect investor confidence and challenge investment decisions.

We obtain the hedging strategy in a jump-diffusion market by minimizing the variance of the residual risk. We calculate the residual risk by two formulas: the Ito's formula and the jump-diffusion version of the Clark-Ocone formula. The results show that Malliavin calculus can generate the hedging strategy under weaker assumptions. Thus afterward we do not require to check the strong condition  on  and the condition  with bounded derivative is sufficient.

The aim of this study is to consider the combination of market timing models with Fama - French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been chosen. At first step, active management skills including market timing & security selection based on Treynor-Mazuy & Henriksson –Merton models for individual funds and then for all of the funds, using panel model, was applied. The results show that there is no statistically significant market timing ability and security selection among any of these cases. Although a Positive statistically significant size and book to market ratio effect, respectively, in one and three mutual funds is observed. As a result of panel model, there is a negative statistically significant size effect and security selection, a positive statistically significant beta and book to market ratio, and there is no market timing ability in both Treynor-Mazuy & Henriksson –Merton models. In contrast to traditional models, combined models show better results.

Studying and ranking the Exchange-Traded Funds have been vital issues, since these asset funds have been amongst the most popular financial means, which their significant emergence and growth may confirm undeniable success in the global market. On the other hand, the most part of studying and ranking these funds can be categorized based on the efficiency criteria. Accordingly, applying a new perspective, this paper would consider the funds ranking based on value at risk approach. In doing so, the funds have been considered who had been active in the period of the 2014-September to 2017- September. Findings of the research show the appropriate value at risk models based on GARCH approach. In addition, the ranking based on the loss function illustrates that Almas, Atlas and Asam Exchange-Traded Funds have had the lowest risk in this study.

Money laundering is any action for hiding or changing the form of incomes with criminal identity in a way that they are pretended to be legal. Financial, accounting and legal tools were used. In this process as means of changing nature, identity, form and illegal assessing. The main objective of this study is evaluating and prioritizing risk indicators of money laundering of customers of Refah Bank. Data were collected from managers and experts who were familiar with money laundering issue and its criteria. In order to data analysis BWM technique was used. The results of prioritizing of 12 research's criteria indicated that "The amount of the first deposit at the opening of an account" and "The use of non-public services" from "Bank account" cluster was located in first and second priority. According to these results and given the economic and social disadvantages of money laundering, the sensitivity to the matching and proportionality of the first amount of deposit at the opening of the account with the type of the customer business and his/her economic activity, as well as the willingness of the customer to use non-public services such as Telephone, swift and the Internet can be considered as a warning to the phenomenon of money laundering. At the end, some practical suggestions and strategies for managers and some suggestions for future research have been developed.

Current research; meanwhile investigation of relationship between market currency fluctuations and chemical product industries stock returns, study optimize investment portfolio consisting of selected industries. So; multivariate heterogeneous variance models (CDCC), were used in Variance-Covariance with variable-time condition for estimation daily data output and also stock-variable index was used for basic metals and chemical product industries share index daily data output estimation during 1387 Azar month to 1394 shahrivar month. Also, in order to study impulse response functions, selected shares to market currency rate shocks; Var model was applied. Then, investment portfolio optimization was done with minimization portfolio risk according to Markowitz portfolio theory. Optimal stock weights were specified during time. Results show significant relationship between exchange rate fluctuations and studied industries stock returns. Also stocks immediate and weak reactions to created shocks in exchange rate are strengths for most diverse and most optimal portfolio selection. In optimization results; more weight of investment portfolio during time relates to stocks which themselves output fluctuations have been declining over time.

The most important problem for investors, at the beginning stages of their works, is the way of assigning their investment to one or more different investment alternatives in such a way that with the least possible risk the maximum return become obtainable. In the economic literature this is known as the problem of portfolio selection. In present research, portfolio classic performance efficiency (Markowitz variance average model) was discussed in phase environment based on Kurtosis as target function. The research method Used in this study is post event semi empirical design. In this research, one discussed 195 monthly portfolios in 10 years (2007-2016) in companies accepted in Tehran stock exchange and risk and yield of portfolio was estimated in phase and classic environment. In another step, significant difference between risk and yield was predicated and the results showed that risk and yield have significant difference in phase environment based on kurtosis model.

In many cases, Internal R&D cannot follow the changes in the organization’s turbulent environment with the sufficient pace. So the companies in such markets have to complete their internal R&D activities with external development strategies. Use of corporate venture capital as an external development strategy is growing among large Iranian companies. In this research, we are going to propose a classification model of factors affect the application of corporate venture capital strategy in Iranian companies.  Data has been gathered through interview to experts and Literature review. Then factors have been Identified based on a content analysis. The built model in an ISM approach has been analyzed in a MICMAC.

One of the most important problems in capital market is allocating financial resources in an optimal fashion. In an effective capital market, from an operational point of view, the capital is allocated for the best investment option. Therefore, in order to establish more output, making use of appropriate management tools is a step toward more effective market management of transactions. Regarding backgrounds of applying Artificial Neural Networks and Fuzzy Logic in stocks investment and financial prediction, applying them in selecting an appropriate portfolio can lead to desired results for investors. The major goal of the current research is to achieve an optimal investment portfolio in capital market by applying Artificial Neural Network and Fuzzy Logic. Accompanied by Markowitz Model, models were used which were created through Artificial Neural Network. In order to establish investment portfolio, some of those companies were selected which were active in Tehran stock exchange, and which have had positive efficiency from the year 1386 to 1395. In order to evaluate the suggested portfolios in different conditions, the output of different portfolios based on the monthly and yearly output of the member companies were compared and optimization of suggested portfolios using genetic algorithm were carried out. The study shows that using the Fuzzy models versus mentioned models would provide higher output for the investors.

One of the main concerns of investors in financial market is reduction of risk and achieving desired return. One of the ways that reduce risk, is creating portfolio; but due to market changes, the optimal portfolio will not be stable and it is necessary to be control and rebalancing. Generally, investors in financial market are divided into two categories: real investors and legal investors. The volume of real investors' capital is little and is called small investors, too. Portfolio selection and rebalancing for small investors need attention to their criteria and limitations that are not considered in the classic financial models such as Markowitz’s model. These criteria are transaction cost, dividend, systematic risk and transaction units. In this study, a multi-objective and comprehensive model are provided that addresses the goals and limitations of small investors. For this purpose, the lexicographic goal programming is used and a mixed integer programming model is provided. Finally, the model is solved with actual data and the results are analyzed.

Investment in situations with multiple criteria, features and various types is very difficult. Because in this situation we should consider all criteria while that may be conflicted. Use the MCDM models will be helpful in the field of investment. In this study, we want to use the Vikor and Promethee methods by using the CANSLIM model criteria’s and the proposed criteria because of Similar to this research with Tehran stock exchange market. We select the top stocks and then create a portfolio using adjusted Markowitz model with taking into account the transaction costs. This study has been on Tehran stock exchange market with defined conditions, in years 1392 to 1394. The results show that mostly, the Promethee method has been more successful for the create portfolio and also in terms of the sharpe and treynor ratio this method compared to both Vikor method and market portfolio, the results have been more acceptable.

Firms need investment for their growth and development. According to efficiency contracts, management should choose efficient investment among different them. Previous research assess different factors relating to firm specification such as information quality and capital structure on investment efficiency, but there is a gap on effect of risk disclosure.so, the aim of this research is investigation of The investigation of risk disclosure on investment efficiency .according to theory and previous research expected that risk disclosure has significant effect on investment efficiency. For calculate of risk disclosure index we used manual content analysis and we categorize risks in four categories’ include financial, operational, regulation and strategies. After that, we used Miihkinen (2103) to calculate risk index. Also, we used Chen et al (2014) for   investment efficiency. Our sample includes 60 firms from 2009 to 2017. The result shows that risk disclosure has a significant and positive impact on investment efficiency that means when the risk disclosure increases as the investment efficiency increases.

A rapid grow and development has recently been witnessed in the Islamic Financial System in the world. Nowadays, not only the use of Islamic Finance Instruments is emphasized by the Islamic countries but such a trend is also adopted in other countries of the world. The present research has been conducted aimed at clarifying the factors affecting financing activities through assets securitization to the Agricultural Bank. The research method is descriptive from survey and correlation type and the research type is functional. The sample population of the research consists of Bank Keshavarzi's headquarters staff, 249 of whom have been selected by random sampling.The research data have been collected using researcher-made questionnaires.   The validity of the measuring tools has been studied according to Content Validity Ratio (CVR) and the results of the measuring model and the questionnaires reliability has been understood based on composite reliability. Structural Equation Modeling, supported by Smart PLS3, has been used for data analysis. The results of the research demonstrate that financial and banking health indices, securitization processes and the bank's financial structure can affect financing. Based on the index value, the general fitness of the model, calculated as 0.518, confirms the general model.

The present study investigates the volatility of parallel markets of capital markets on stocks of Bourse's banks. In this study, the visibility of bank libraries has been measured separately from parallel markets of foreign exchange and gold, as well as the oil market as an influential independent market. In this regard, the method of Vector Auto Regression Model (VAR) and self-regression model is used to predict the heterogeneity of generalized multivariate variances (MGARCH). The data from the beginning of July 2012 to the end of September 2018 were collected and tested. The method of this research is based on the classification of research based on the method, nature and direction are descriptive, applied and post-event respectively, and are correlated in terms of type. The results of this study confirm the relationship between the impact of bourse banks on parallel markets of currency, gold and oil. Based on this, the main hypotheses of the research that the stock markets of stock exchanges are active in the capital market from parallel markets is maintained from two perspectives of return and risk. Finally, in this study, the estimated model, which relates to the daily returns of gold and foreign exchange markets on the returns of the total stock market index, has been conceptually and mathematically explained as the best estimator of the effects of cross-market contagion. Therefore, the results of testing the research hypotheses over the time period under study confirm that the contagion effects of contingent volatility of the yields of banks admitted to the stock market by the MGARCH model are predictable.