فصلنامه دانش سرمایه گذاری
پیاپی 32 (زمستان 1398)

The main purpose of this research is to test the effect of the rational speculative bubbles on the theory of constraint on the total rate of return in selected companies of the chemical and petroleum industry (51 companies) In the Tehran Stock Exchange during the period of 2009-2016 by econometric model of panel data.. results shown represent the confirmation of the positive and significant relationship between the independent variables (political cycles in two periods of fundamentalism and moderation), as well as three variables in the model such as; capital cost, earnings, and operating cash flow, which are based on the theory of constraints. Of course, all the research control variables (financial leverage and firm size) were obtained on the dependent variable (total return on equity) of the companies under review. Also, the hypothesis has been approved, Finally, the suggestions based on the results of the research are presented to adjust the impact of the speculative bubbles on the total real stock return rate.

Investment is counted as motivate of economic growth and development and is the fundamental economic purpose in every country. Recognition of effects of monetary and financial policy on economic activities needed to cognition of these policies and there instruments. Therefore the purpose of this paper is to examine the effects of changes in monetary policy of governments on investment, selected from Islamic countries using the method of econometric estimation of panel data over the period 2015-2000. The results of this study indicate that interest rates on government bonds have a negative and significant effect and banking credit has positively and significantly effect on investment in Islamic countries, while deposit interest rate has no significant effect on investment. Based on the results, economic growth and trade significantly increased investment. Therefore, according to the research results of Islamic countries, with the growth of economic growth and the volume of trade, including exports and imports, especially the import of capital goods and intermediaries, they can have a direct impact on investment. Therefore interest rate and deposit interest rate can not be suitable monetary policy instruments in Islamic countries. While banking credit can significantly affects investment.

Statistical Arbitrage Strategies are looking for profitable opportunities using statistical methods. In this paper, we use a new approach to devise a statistical arbitrage strategy in Iran’s stock exchange market. In this new approach, instead of model and forecast stock prices independently, we take them as a whole and extract their common movement patterns, which can represent the general market movements, with principal component analysis. After that, we model and forecast these patterns (factors) and through them, we forecast the stock returns. Ultimately, we construct portfolios from chosen stocks in each period. Empirical result of this paper show the profitability of these strategies. chosen strategy, with time window of 100 days and forecasting horizon of 1 day could made the average annual return of 115%, without considering the transaction costs.

Value at Risk is one of the most important criteria in financial markets for risk assessment. Various methods have been proposed for measuring this index. Extreme Value Theory is one of the new methods for calculating the value at risk that focuses on Distribution sequence of series, and instead of taking all data into account without considering the limiting assumptions such as the assumption of normalization. In this research, the logarithmic return of Tehran Stock Exchange index based on the data received during the time intervals of the day (due to the use of high frequency data) during the years 1392 to 1395 was summed up and the Block Maxima Approach was used in VaR measurement. Given the correlation between the variance and the time series of the data, the problem was first solved using the E-GARCH model. Then VaR index was calculated in three blocking conditions based on hourly, daily and monthly data. The results showed that the use of monthly data in calculating this index has a higher predictive accuracy.

The technical analysis is one of the methods of market analysis, in which historical stock prices and volumes are used to predict the future direction of price movements.The Ichimucu oscillator is one of the most widely used tools in technical analysis that predicts the strength and speed of the process, the ceilings, and the possible temperatures of the price.In this research, the stock market strategy of the Ichimoku oscilloscope, called a typical, conservative, and bold strategy, will be examined.The three strategies differ in terms of combining Ichimoku components with different points of sale.The result of the research on the total index of Tehran Stock Exchange in yield from 1370 to 1395 according to Sharp's ratio shows that the bold strategy is 0/6747 compared to the market strategy of 152,305 and the other two conservative and ordinary strategies that are 0.3335 and 0/310058 respectively , Is in a higher position and has a higher profitability.In terms of return, only a bold strategy has overcome market efficiencies. On the whole, it can be concluded that among the three strategies, the best result is a bold strategy, with a conservative and conservative strategy ranked next.

An installment option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the installment option will be terminated even if one installment is not paid. This study is divided into two sections. First, the importance of installment option is studied; the relationship between installment option and Venture Capital is explained; and it is studied how BLS model is failed to evaluate the installment option. As the exact evaluation of installment option is extremely complicated and usually intractable, Monte Carlo simulation and Least Squares (LS) have been applied to evaluate installment option. Second, the three optimum values, function type, number of base variables and number of simulated path, as important factors on this method are calculated. So, numerical valuation converges to exact solution.

Markovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets.

Regarding the limitation of resources and as a result of increasing importance of increase in investment efficiency and the important role of working capital in the business of the economic corporations, this study is devoted to the relationship between financial constraint and investment efficiency and working capital strategy. Financial data of 171 firms in the time period of 2011-2016 is studied in this research. According to the conducted analyses of the first hypothesis, financial constraint has a positive and meaningful effect on inefficiency of the investment. The second hypothesis showed that financial constraint has no meaningful relationship with the working capital policies .The third hypothesis shows a positive and meaningful relationship between financial constraint and investment inefficiency in companies adopting risky strategies and finally the fourth hypothesis showed no meaningful relationship between financial constraint and investment inefficiency in companies adopting a conservative policy. The general conclusions show that a limitation in resourcing will entail a deviation from favorite investment. Also, the unwanted effect of the financial constraint on effective investment occurs only in companies with risky strategies of working capital and it does not exist in companies with conservative strategies.

The paper examines the relationship between earnings quality and leverage deficit, as well as the impact of earnings quality on equity financing choice for under- and over-leveraged firms. Considering external financing and its components, equity and debt, and both accrual-based and real earnings management, we further examine the effect of earnings quality and leverage deficit on financing choice and activities. In this regard, a sample of 125 companies listed in the Tehran Stock Exchange during the years 1390 to 1395 (750 views) was selected and tested by using the linear regression and logistic regression model. The results show that there is no correlation between financial leverage deficit and poor earnings quality. Also, for under- and over- financial leveraged firms, there is also no relationship between the quality of profit and financing through the issuance of stocks. Other findings of the study showed that companies with a over-financial leverage compared with companies with a financial leverage deficit, before financing by issuing stocks, manage their earnings through accruals and real items to make them more convenient to sell their stocks. On the other hand, in over-financial leveraged firms, there was no correlation between debt financing and earnings management through accruals and real items. compared to under-financial leveraged firms.

In accordance with Basel Committee definition, Operational Risk is the exposure of inadequacy of the processes, people and internal systems or external events. Operational risk management is an ongoing process in the organization, although implementation of enterprise risk management depends on goal setting, planning and organizing. There are some barriers and obstacles against the efforts for operational risk management that this research firstly wants to identify, then prioritize them using a qualitative method namely Delphi method and Friedman test as a Non-parametric method respectively. If risk managers find the main obstacles that prevent the implementation of operational risk management, they could easily control them.

The main purpose of this paper is to examine the relationship between financing variables, the ratio of research and development costs to operating profit and financial crisis in companies admitted to the Tehran Stock Exchange. The statistical population of the research is accepted by the companies in the 5 years period from 1391 to 1395 in the Tehran Stock Exchange and the research samples are from 181 companies. The research data were compiled through the new software and financial statements of the companies. In this research, multivariate linear regression model was used to test the hypotheses. The statistical method used in this paper is the panel data method. The results of the research indicate that the ratio of financial leverage to the ratio of R & D investment to operating profit is also affected by the ratio of R & D to operating profit on the criteria of the corporate financial crisis based on Springerty model, and the ratio of the cost of research and Operational development is effective on the financial crisis criteria of the company based on the Zimsky model, as well as the impact of the cost of research and development on the operating profit on the financial crisis criteria of the company based on the Altman model of 1983 and 1986 and the modified Kurdistan model was not approved.

Among the most important concerns of policy makers in monetary and financial markets and particularly in stock exchange are supervising how to make decision and what are the influencing variables on decision making by the activists of this field. The general aim of the current study is to investigate the role of demographic factors in explaining the risk tolerance of real investors and their risk-taking behavior. The main question of this research is to identify the impact of demographic factors such as: gender, age, marital status, education, job status and income on the level of risk tolerance and risk-taking of real investors. The statistical population of the present study was real people who are active on the stock exchange. The sample size was 384 individuals. In addition to expert opinions, factor analysis was used to confirm validity and reliability. Finally, in order to demonstrate the validity of the research model findings, the fitting indexes of structural equation models were used by partial least squares method. The results of current study revealed that the level of risk tolerance and risk taking for men is more than women. In addition, age, education, job status and income have significant effect on level of risk tolerance and risk taking. The results also indicated that  marital status has no significant effect on risk tolerance and risk taking.

The purpose of this article is to investigate the effect of investor based brand equity to intention investment, and the perceived risk is a mediated risk in this study. Based on the revision made of Aaker’s brand equity construct in investment decisions we use of investor based equity in this study. The population of this study is a university academics in Iran. Some studies show that youngsters influence key family decisions and purchases. This aspect is of interest to firms planning to obtain financing from capital markets to know what features within management scope affect investment decisions of youngsters, whether they can be seen as potential investors or an influencing factor in family investment decisions. We selected students from a university in Iran to study their intention investment. The sample consisted of 69 respondents, Ph.D. students from one university in Iran in 2017 that selected by cluster sampling. Structural equation modeling –partial least squares is used to test relationships between brand equity dimensions and intention to invest, with a mediating role or perceived risk. The results indicate that the investor –based brand equity significantly influences intention to invest. Research result can be useful for policymakers in the financial area, and helpful for their plans.

The optimization of the stock portfolio and the allocation of wealth between the various assets are among the most important issues in investing.In this study, the problem of optimizing stock portfolios, considering the real world constraints and with the assumption that the return on risky assets of fuzzy numbers is composed. Then, a new probabilistic model of mean-semi absolute deviation was presented in which transaction cost and cardinality constraints were also considered. The existence of such constraints transforms the model into a mixed-integer non-linear programming model that traditional approaches fail to solve, for this purpose a new meta-heuristic algorithm called the Unconscious Search Algorithm is used to solve the problem. Unconscious Search algorithm is a new algorithm based on Freud's psychoanalysis theory. In order to investigate the power and accuracy of solving this algorithm, a case study was carried out with the information of 50 top Tehran Stock Exchanges for years 2012 to 2016. The results were compared with Particle Swarm Optimization and Genetic algorithms, which showed the superiority of this algorithm in the optimization problem of Stock portfolio.

Capital is one of the fundamental factors in assessing the health and stability of the banking system. On the other hands, the value of the banks’ capital has a significant effect on their competitive position. Therefore, the utility and appropriateness of the capital base is as safe cover against a wide range of banking risks. The purpose of this study was to determine the effect of Buffer capital changes on the risk changes of banks’ portfolios. This research has been collected in term of applied methodology and accomplished transaction data in the period of five years from 2011 to 2015. The statistical   population of the study consisted of 17 with systematic elimination sampling from Stock Exchange organization. For analyzing the data, Linear Regression and Correlation tests were used Eviewse software. The research results show, changes in Buffer capital have a significant effect on portfolio risk changes and given the negative coefficient of the variable of the Buffer capital changes, there is an inverse relationship between Buffer capital changes and portfolio risk changes. Also, Buffer capital changes in interaction with the business cycle, income diversification and asset fluctuation affects banks’ portfolio risk changes.

Money and monetary policy, on the one hand, are the source of economic activity and on the other hand, the value of money and the speed of its circulation are influenced by the conditions and economic activities. According to many scholars, the criterion of the importance of money is that it can have a decisive impact on the economical structure of the countries. Along with this approach the present study is looking for to determine and quantify the effect of the real value of money on Iran's gross domestic product, it will be a useful guide for policy makers to properly plan future programs. According to objectives this research is practical and according to the methodology inductive reasoning and the research design is retrospective study; the time period for doing this research is 1991- 2016. In this study, inferential statistics were used to analyze the relationship between variables. Accordingly, based on theoretical foundations and various studies which have been carried out both inside and outside the country, all the variables that influenced the Iran Stock Exchange were identified.In the following, according to the statistical characteristics of the variables, the Autoregressive Distributed Lag(ARDL) was selected as an appropriate econometric model. Based on the real value of money, short-term and long-term money does not have a significant effect on gross domestic product; but government expenditures, exports, imports and exchange rates have a positive and significant impact on Iran Stock Exchange over the short term and in the long termperiod. The results also indicated that the error correction model (ECM) coefficient in the study was about 0. 347; in other words, about 34.7 percent of the Iran Stock Exchange's imbalance variable from its long-term values disappears after a period of time. Accordingly, if the Iran Stock Exchange exits from the initial equilibrium due to the shock, 3 courses of time are needed to correct short-term imbalances and gross domestic product will return to the original long-term equilibrium.

Economic uncertainty is an unpredictable changes in economic variables that can have a large impact on other variables and economic entities such as banks and credit institutions, especially in developing countries such as Iran. The purpose of this study was to investigate the effect of economic uncertainty on credit risk, performance and lending decisions of banks. For this purpose, firstly, the effective variables on bank lending decisions were separated into three indicators (credit risk, performance, and lending rates). Also, economic uncertainty was measured using the standard deviation of six variables (exchange rate, annual interest rate, GDP, national income growth rate, ratio of oil sales to national income, tax rate to national income), then research data in the period of five For the year 1390-1394, for 13 banks accepted in the Tehran Stock Exchange, they were assembled by performing different tests, distinguishing between specific bank and macroeconomic variables, from the variability of the research variables. Finally, estimating the econometric model with panel data technology showed that in the first model, the economic uncertainty variable had a positive and significant effect on the credit risk of banks. Also, in the second model, economic uncertainty has a positive effect on the performance of banks, and finally, in the third model, there was no significant relationship between economic uncertainty and the level of bank lending.

One of the most fundamental economic issues for holding companies is capital allocation. Typically, investors in selecting investment alternatives follow conflicting preferences and goals simultaneously. Therefore, in the present study, we are looking for to study the Factors Affecting on the Management of investment in holding companies. This study is an applied research from the purpose perspective and is descriptive based on its data collection method. To assess the validity of the questionnaire, the diagnostic validity (DV) using an average variance extracted (AVE) and to determine the reliability of the questionnaire Cronbach's alpha were used. In addition to completely browsing the literature and by selecting the statistical sample members from holding managers using of random sample method, researchers have evaluated the research hypotheses by using of structural equation modeling (SEM) and regression methods. Research findings indicate that Internal factors (including Technical, process and operation parameters) and External factors (including Risk & return and market parameters) have a significant impact on Management of investment in holding companies.

In this paper using data mining to studied taxpayers risk value added taxes. the importance of assessing the taxpayers risk of value added taxes in order to formulate an effective plan for choosing taxpayers for tax audit with the goal of increasing efficiency and effectiveness, in the country's value added taxes system. In this research taxpayers are catogorized into three, risk_free , low_ risk and risk _averse groups. To assess tax risk two techniques, data mining machin backup vector and logistic regression have been used. The research community consist of large legal entities in Tehran.that wich have been subject to tax audit in value added taxes system in 2012 to 2015. In this research, variables are include corporate governance mechanisms, special corporate features, the nature of the activity of the pioneers of the control system and tax ratios wich are used to train and use the model. The research's results show two techniques LSVM ,Logistic, have a reliability of 70percent and a kind of integration into the results of these two techniques has been achieved nearly 83 percent of reliability has a higher potential.