فصلنامه دانش مالی تحلیل اوراق بهادار
سال دوازدهم شماره 44 (زمستان 1398)

The present study is an applied and descriptive-analytic research, while investigating a multi-period portfolio, below the optimal calculated responses to the analytical form of Skaf and Boyd (2009) for models with limited transaction costs and the impossibility The sale of borrowings in the Tehran Stock Exchange is reviewed. In this research, the first 30 active companies in the Tehran Stock Exchange, which have the highest ratings in the period between 2011 and 2016, were first selected, and then, using data envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality.envelopment analysis, 8 efficient companies were selected among the 30 companies. The research result Show that the optimal answer is of good quality.

The purpose of this study is to examine the impact of business strategy and overvalued equity on stock price crash risk. Business strategy Following Bentley et al. (2014) research, the stock price crash risk has been measured following Houghton et al. (2014) and overvalued equity, following the model of Foods et al. (2005). Business strategy and overvalued as independent variables, the stock price crash risk as a dependent variable and firm size, company's age, financial leverage, market value to book value and return on assets as control variables. A total of 211 companies listed in the Tehran Securities Exchange have been selected in the Tehran Securities Exchange during the period of six years from 2012 to 2017 according to the society's screening conditions and 1266 company-year observations are included in the statistical analyzes. The research hypotheses have been tested using multivariate regression analysis using Panel data with fix effects. The results of the research show that business strategy and overvalued equity have a significant and positive effect on the crash risk. In fact, stocks of companies with a Prospector strategy are more exposed to the stock price crash risk compared to Defender Strategy companies. If firm size, company's age, financial leverage have a significant effect on the Stock Price Crash Risk, but the market value to book value and return on assets does not have a significant effect on the stock price crash risk.

The presence of noise traders with fanatical attitude in financial markets is considered as a reason for the divergence of price and risk from predicted levels, but on the other hand the absence of noise traders might cause dwindling of market volatility. Generally, those who execute their trades based on market noise have poor understanding of the validity of receiving information, nevertheless a major part of traders falls into this category. The following study evaluated fluctuation of noise trading, using EGARCH (exponential general autoregressive conditional heteroscedastic) model for the price index of the Tehran stock exchange market from 2012 to 2016. There was a meaningful relation between the noise and market return, so that an increase in noise trading resulted in market return growth and a decline in noise trading altered fluctuation to a smoother trend. Furthermore, the growth of trade value, turnover and number of trades was related to the rise in noise trading.

The purpose of this article is to scientometrics study of treatises in the Islamic finance sphere in Iran with using the content analysis technique. The statistical population of the study consists of 153 thesis published in universities and educational centers of the country. Research data were collected by using a check list tool and analyzed by Excel software. The findings of the research show that Imam Sadegh University and Qom Seminary each with 35 and Allameh Tabataba'i University with 14 thesis titles produced the highest number of treatise in this field. Of all the treatises; 58 titles (38%) were in the subject of Islamic jurisprudence, Islamic financial law with 29 (19%) and Islamic banking with 19 (12%) titles of theses are in the next rank. The most research method used in the writing of treatises is a descriptive-analytic research method that has been used with a jurisprudential approach. Also, educational disciplines of Islamic sciences with 36 titles, Jurisprudence and principles of Islamic law with 26 titles and Private law and economics each with 23 titles, have published the highest number of dissertations in this field.

One of the factors that investors consider in their decisions is the return on equity. Achieving this return is possible in a situation where economic stability exists. One of the aspects of economic stability is the stability of economic policies that plays an important role in the economy of the country. So, if there is uncertainty about economic policies, this uncertainty will unconscious of the economic activists towards future economic developments, and the subsequent owners of the capital will be able to make decisions for the future, including capital and the money market and the capital market will be in trouble. Considering the importance of the issue in this paper, using the Markov Switching Model and applying annual data, we investigate the effect of economic policy uncertainty on the return on Iranian stock market during the period of 1981-2016. In this research, the variables of economic growth rate, inflation rate, unemployment rate, interest rate and liquidity growth rate are used as independent variables. In order to measure economic policy uncertainty, exchange rate fluctuations and government budget deficits are also used. The findings of the paper show that dynamic communication of uncertainty in economic policies and stock market returns is always negative, as the increase in uncertainty in economic policies significantly reduces capital market returns. Also, the relation between stock market returns and the uncertainty of nonlinear economic policies and the uncertainty about the return on capital during a period of high-fluctuation diet is stronger and more stable.

Being a general stock, is one of the progressive option for under developing companies in which in addition to attract required sources to develop activities they can easily access to financial markets such as debt markets and stock markets. In Iran according to privatization capital policy new IPOs enter to capital market that determining appropriate price to offer which is a big distress for these companies’ managers. Exact evaluation is of being importance when IPO is really high and price offering and investors don’t participate in offering process. And this matter leads to great financial or intellectual expanses to both supply investment institute and applicant company or the offering price is really lower than what is expected that the applicant company, benefit would be ignored. Therefore to determine a realistic price to offer the initial IPO which supply the success offering process would be of great importance. One of the important economical and financial matter, is to offer the stocks in a public form and to convert the proper ownership to the public one. And because of its great benefit such as new investment equipment, higher competition, tax’ exemption, and access to cheap financial resources would be welcomed to the companies.

The aim of this paper is to study the correlation structure of different risk measures. These measures include idiosyncratic skewness (IS), idiosyncratic kurtosis (IK), volatility, idiosyncratic volatility (IV), Cornish-Fisher VaR(CFVaR), extreme downside risk (EDR) and right tail index. The GARCH(p,q) model is estimated by Fama-French regression innovations and then using the residuals to calculate the EDR and other measures for 175 stocks in TSE. In this research, Extreme Value Theory (EVT) is used to estimate Extreme downside risk and Cornish-Fisher expansion of value at risk. The results show that the IS and CFVaR methods have the highest correlation coefficient with the EDR method, but given the low correlation values, this implies that the EDR effect cannot be completely subsumed by other risk measures. Only the EDR and CFVaR measures focus on left tail of distribution and are comparable to each other. Back testing results for Cornish-Fisher expansion of value at risk and Extreme downside risk approaches show Extreme downside risk has a better prediction in compare with Cornish-Fisher expansion of value at risk.

Identifying the factors affecting company performance and its analysis in the past and its future prediction for decision making in the financial area is very important. Important factors that play a critical role in determining how firms and institutions work are corporate capital structure and firm strategies.The purpose of this study is to examine the impact of the business cycle on the capital structure and the impact of capital structure on their performance. Hence, in a descriptive-correlation study،a total of 71 companies fromTehran stock exchange from 2004to2015 were selected. For data analysis, panel regression model and Eviews8 software were used. The results indicate an insignificant effect of the business cycle on capital structure، also indicate the negative and significant effect of capital structure on the company's performance in different business cycles.

Given the importance of exchange-traded funds and their ever-increasing advancement in financial markets, it is important to review and explain their ranking based on criteria beyond the examination of returns. Also, considering that broad distribution sequences in financial data are of particular importance in measuring financial risk, in this study, based on criteria beyond the efficiency and considering the value of risk, based on the Extreme -Value Theory (EVT) and the modified Sharpe Ratio, the rating of exchange-traded funds has been dealt with. Then evaluation their models with different back testing such as Kupiec test, Christoffersen test. For the purpose of this study, the first period of September 2014 until the end of September 2017 was considered for the funds that were active in the capital market during this period. The results indicate the proper capabilities of VaR models which is based on GHARCH-EVT approach.

The purpose of this study was to investigate the relationship between corporate governance mechanisms and stock liquidity in family firms accepted in Tehran Stock Exchange. For this purpose, a sample of 33 companies has been selected among the family companies admitted to the Tehran Stock Exchange during the period of 2010-2016 (seven years). To test the hypotheses, the least squares (GLS) method has been used. The criteria used to measure corporate governance mechanisms are the independence of the board of directors and the concentration of ownership. And the stock trading turnover variable is used as a criterion for stock liquidity. The results of the research show that there is a positive and significant relationship between the percentage of non-executive directors and stock liquidity. That is, with the increase in the independence of the board, the turnover of stock exchanges also increases. Also, there is a negative and meaningful relationship between the concentration of ownership and stock liquidity. In other words, with the increase in the focus of family owners, turnover of stock transactions is also reduced.

The way of allocating money to stock is the one of investors’ concerns. Investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. Therefore, prospect theory value as an influential factor in explaining stock returns has attracted many researchers. The purpose of this study was to investigate the effect of the prospect theory on future stock returns in listed companies in Tehran Stock Exchange. The statistical sample of the research, which has been selected by systematic elimination method, includes 104 companies from the companies listed in the Tehran Stock Exchange during the years 2012 to 2016. In this research, Fama and Franch model (1992) have been used to test the research hypotheses. The research model is fitted twice separately, once using panel data and again by the time series method, by the formulation of the portfolios. The results of the research show that the prospect theory value has a negative effect on stock returns.

The way of allocating money to stock is the one of investors’ concerns. Investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. Therefore, prospect theory value as an influential factor in explaining stock returns has attracted many researchers. The purpose of this study was to investigate the effect of the prospect theory on future stock returns in listed companies in Tehran Stock Exchange. The statistical sample of the research, which has been selected by systematic elimination method, includes 104 companies from the companies listed in the Tehran Stock Exchange during the years 2012 to 2016. In this research, Fama and Franch model (1992) have been used to test the research hypotheses. The research model is fitted twice separately, once using panel data and again by the time series method, by the formulation of the portfolios. The results of the research show that the prospect theory value has a negative effect on stock returns.

The political and economic instability in recent years and followed by rapid changes in the realm of financial markets, has increased the risk of most financial institutions. So that risk managers at these institutions are worried about the decline in their asset value over the coming days. In recent studies, generally the Conditional Value at Risk is used to measure and forecast the risks existing in financial markets. Therefore, in this research, it has been attempted to introduce, calculate and implement a nonlinear hybrid model for forecasting the Conditional Value at Risk. For this purpose, the new hybrid model based on the Extreme Value Theory and the Holt-Winters exponential smoothing (HWES-EVT) that, in addition to dynamics, cluster characteristics and broad data sequence, also takes into account the forecast Conditional Value at Risk of the industry and Tehran Stock Exchange Indices. For evaluating the accuracy the performance of proposed hybrid model, this modek is compared with the GARCH-EVT model. The results of backtesting show that the proposed hybrid approach provides a more accurate answer to the forecasting of Conditional Value at Risk for these indicators Indices.