مجله راهبرد مدیریت مالی
سال هفتم شماره 3 (پیاپی 26، پاییز 1398)

According to modern portfolio theory, investors can control idiosyncratic volatility via diversification of investing portfolio. Therefore, it is assumed that investors seeking for returns just because of systematic risk tolerance. However, it is practically observed that the idiosyncratic volatility has a price which is inconsistent with assumptions of modern portfolio theory. The relationship between idiosyncratic volatility and expected returns as well as the factors affecting pricing of idiosyncratic volatility has been studied so far. In this study, it is tried to test how the idiosyncratic volatility is priced in Iran’s capital market by explaining arbitrage risk during the time period of 1386-1396. For this purpose, one of the current trading restriction in Iran’s capital market as well as other common measurement variables and Fama and French five-factor model are used in estimating arbitrage risk and idiosyncratic volatility, respectively. For the first time in this study, Fama and French five-factor model as well as arbitrage risk are utilized in order to price the idiosyncratic volatility and asset, respectively. To answer the research question as well as test the hypothesis, portfolio analysis methods and Fama-MacBeth regression are utilized. Considering arbitrage risk, the results indicate that the relation between idiosyncratic volatility and expected return is meaningfully negative.

Selecting effective criteria on prices and consequently on investor’s decision making is one of the most debating topics in portfolio optimization debate. The question is that stock prices will change in relation with market and industry price changing or with the information releasment by companies. To choose optimal portfolio one should consider these relations. Stock price synchronicity measures the degree to which the market change can explain stock price movement and stock price informativeness measures the degree to which information can explain these changes. As a result the gole of this study is surveying the role of stock price synchronicity and stock price informativeness on portfolio optimization. So by collecting 202,000 price changing data from 130 sample companies during 10 years and with solving 1300 regression equations we computed stock price synchronicity. Then by collecting 59,000 financial and nonfinancial data from the samples and analyzing these data and using data envelopment analysis (DEA) technique we made several portfolio to compare them by sharp ratio. The result shows that stock price synchronicity is about 59% and stock price informativeness is about 41% in the sample and if stock price synchronicity and stock price informativeness affection be considered in portfolio selection then portfolios will have better return.

Despite the importance of the issue of the dynamics of shareholders general meetings, little research has been done in this regard, and the theoretical findings have also predicted the inconsistency outcomes. The purpose of this study is to investigate the relationship between the shareholder participation in the general meeting of shareholders with financial and tax performance. In this regard, three criteria have been used to measure the return on assets, return on equity returns, and Tobin's Q ratio for measuring financial performance and tax avoidance criteria for measuring tax performance. This research is descriptive-correlative manner. Using the multivariate regression model, the results of the survey of 95 companies listed in the Tehran Stock Exchange between 2009 and 2017 show a positive and significant relationship between the shareholder's participation rate and the firm's performance. Thus, in companies with more dynamic meetings, the rate of return on assets, return on equity and Tobin's Q ratio is higher. In addition, the results show that there is no meaningful relationship between the amount of shareholders participating in the general meeting of shareholders and tax avoidance.

The purpose of this paper is to examine herding or collective behavior as one of the behavioral biases among investors. For this purpose, using the daily stock price information of 184 active companies listed in the Tehran Stock Exchange during the years 2013 to 2017 the existence of herding behavior in the Tehran Stock Exchange has been investigated with a new approach. The severity and weakness of this behavior during the years of research and effective observations on its occurrence were investigated and verified. To analyze the data, it is based on the principle of time series data and using standard scoring techniques and impact points. Findings of the study, while confirming the existence of herding behavior in all years of research, showed the distribution of the severity and weakness of the incidence of this behavior in a daily manner with effective observations. With the help of the technique of identifying effective points, the times of occurrence of collective behavior have been extracted. The results of this study showed that in the downtrend, more than the upward trends of herding behavior.

Recently, with the proliferation of social networks, the term financial wisdom has been much heard, although this is not a new concept and has traditionally been traditional in the old days. The focus is on pooling the target community in activities such as problem-solving, production, ideas, and innovation. Financial co-operation focuses specifically on the economic participation of individuals to carry out benevolent or economic investments that can be achieved to obtain material gain or spiritual goals. The challenges of successful implementation of financial fundraising dynamics are the recognition of the indicators that affect the maximum community participation. Therefore, the problem of the present study is to identify the indicators that affect the success of financial collusion and validate them in the form of a structural model. For this purpose, after reviewing previous researches and designing of survey tools, the opinions of the statistical community, including Yazd citizens who had a history of participation in such projects were analyzed by exploratory-confirmatory factor analysis. The results of the model test based on the participation of the 410 sample population show that, in general, the four objectives of targeting the project of wagering, proper informing, trusting the executives and encouraging investors to succeed in these dynamics are most influential.

The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options. In this paper, a new and different method was developed to prove and improve the Black-Scholes equation by focusing on the Black-Scholes main Schrödinger equation and solving this equation using the Nikkeuro-Ovaryov method. In the following, while investigating the possibility of improving the Black-Scholes equation with this method, a new equation for the pricing of transaction options was presented and tested. Increasing the accuracy of pricing arbitrary deals by using the equation provided, especially for high-value trades, checking logical solution in a new way, comparing output with numerical solution and innovating. Final formula. Option based on Lagrange polynomial functions, the goals of doing research are present. The results showed a different positive probability for the Black-Scholes equation by solving the differential equation by the method Nikkirovo-Ovaryov is feasible and at 95% confidence level, there is no significant difference between the price of the two main black-hole groups and the new model. In order to compare the output of the new model with the Black Sholes main model, information from the 50 Coin Deal options in Iran's Overseas Branch was limited to the 1394 to 1397 period and the Mann-Whitney independent nonparametric group was used to compare.

Managerial cognitive biases, particularly managerial overconfidence, have always been influential factors contributing to research and development and innovation processes of a firm. The present study thus is set to investigate the impact of managerial overconfidence on research and development costs of firms. To this end, managerial overconfidence is proxied by two measures based on investment decisions. The research hypothesis was also built upon a number of 51 firms listed on the Tehran Stock Exchange firms listed on the Tehran Stock Exchange over the period of 2012-2016, and then tested using multivariate regression model based on panel data. The findings reveal that managerial overconfidence tends to enhance research and development costs. In In addition, the results of sensitivity test suggest that In addition, the results of sensitivity test suggest that using alternative measure for calculating managerial overconfidence exerts no significant effect on the research findings, and hence the results are robust.

The price of a fixed income portfolio is a function of future cash flows and expected market rates. Since future cash flows are fixed, the price changes of the bonds will occur in response to changes in the expected market rate of return. The main issue for holders of securities is determining the sensitivity of the price of the bonds to the expected rate of return. Major measures in this area are convexity and modified duration. In addition to these two criteria, in this study, the "yield to maturity at risk" criterion is also defined. The main purpose of the research is to find a gauge that is more suitable for price estimation. Since one of the most important factors influencing the price of a sheet of risk material is the sheet, therefore, the measure that has the best performance in estimating the price of a sheet is the most efficient measure in determining its risk. To this end, the ability to estimate each of the above measures was compared using regression, which shows that the yield to maturity at risk is the best estimation power. Therefore, the best measure for determining the risk of Iranian debt market is yield to maturity at risk, and financial analysts and potential investors can use this criterion as a risk factor in optimal portfolio investment models, portfolio modification Available and analyze the risk of fixed income securities.