فصلنامه بورس اوراق بهادار
پیاپی 48 (زمستان 1398)

The purpose of this article is the detection of potential financial distress and early warnings of impending financial distress among the listed companies on Tehran Stock Exchange (TSE) and Iran Fara Bourse (IFB). To do so, a wide range of features including accrual accounting variables, cash-based accounting variables, market-based variables, corporate governance mechanisms, and macroeconomic indicators have been identified to prospectively predict the financial distress in the companies. The final sample includes 421 firms leading to 3,670 firm-year observations. The prepared data, was then split into a train and test data set using a 70/30 ratio. In this research, various data pre-processing machine learning techniques i.e., Z-score standardization, one-hot encoding, stratified K-fold validation combined with feature engineering are applied to improve classifier performance. Stratified K-fold cross validation method, (with k = 5) was used for estimation of model prediction performance during training phase. During the training phase, hyper-parameter tuning of a model was carried out using a grid-search. Furthermore, a cost-sensitive meta-learning approach in conjunction with the proposed imbalance-oriented metric i.e., F1 score were used to overcome the extreme class imbalance issue. Based on the experimental results, the tuned LASSO logistic model achieved a f1-score, MCC, recall and precision of respectively, 50%, 50%, 73% and 38% on the training set. Finally, the proposed model was tested on the hold-out test set which resulted in a f1-score, MCC, recall and precision of 51%, 51%, 73% and 39%, respectively.

After the Iran's capital market in accordance with the Securities Exchange Act of 1966, the financial institutions were introduced as new financial intermediaries to the financial market. One of these financial institutions is brokerage firms that are expected to perform intermediary transactions in securities transactions. With the passage of the securities market law in December 2005, the capital market, its activists, including financial institutions, accepted wide-ranging changes and a new legal system governing their relations. The legal clarification of the brokerage activity as the gateway to the capital market and its legal requirements in the capital market of Iran is of great importance in both internal and international dimensions. This paper deals with the analytical-descriptive method. What has so far been considered by researchers and research has been the examination of the internal dimension of the activities of brokerage firms and the external dimension of these activities has not been adequately addressed. It should be noted that although the internal activities of the brokers are more extensive, this does not mean that the activities of foreign brokers are impossible or even impossible for foreign brokerage firms to operate in the Iranian capital market. It is also necessary to examine the various assumptions of the dimensions of transnational activities and the contractual relations of the brokers, which have an external element (parties, place of contract, place of execution of the contract), as well as the role of the parties in determining the law governing the contracts of brokerage firms.

Applying effective policies and regulations is necessary economical life of the capital market. Understanding the rights and obligations of individuals and institutions involved in the capital market is one of the essential requirements for the activity in this market. Responsibility for fulfilling obligations arising from stock exchange transactions is one of the most important issues in the field of the capital market, which was added to the ambiguity by adopting various regulations and instructions, so that the broker, clearing house (the central depository company) and the customer (genuine person) each one are known in different places Responsible for fulfilling obligations. In this research, we have tried with descriptive and analytical method by searching the authoritative sources and rules regarding all three responsible persons in terms of research constraints and describe the nature and responsibility of each of these institutions in settlement of exchange transactions. In short, in the transactions settlement structure, the clearing house, broker and genuine person, each are responsible for settling the deals; the main responsibility is with the customer. In the event of non-fulfillment of the customer's obligation, his/her broker is liable for performance of the obligations in the contracts in person on the basis of a warranty contract and in online contracts (made by the genuine person) under the ‘’contract of commitment to act third-party ’’, The clearing house operates as agent with the mechanism of binding payments netting.

the aim of this study is to examine whether and when the non - financial information disclosure method affects the financial judgment of the firm 's financial performance? " For this purpose , the influence of the two independent variables discussed causal links and the level of non - financial performance on firm financial performance ( income , income growth , net income and net income growth are represented as the representative of the company " s financial performance criteria ) as the dependent variable . this research is based on the method of research, deductive and inductive and the type of research is applied. also, in terms of deduction method, descriptive - analytic and in terms of the research project is survey. survey tool is questionnaire. the population of this study is study students at the university level of one country. statistical methods to test hypothesis , test ratio , single - sample t test , independent t test , one - way variance analysis is one - way and two - way variance . the findings show that the disclosure of non - financial information along with causal relationships affects investors judgments about future financial performance of the company. however, the influence of investors judgment by providing non-financial information in the long term can be interpreted .

Decision making on buying stock is a complex process. Comparing various companies based on the industry they belong to and the identification of the superior industries through their performance assessment can be a useful guide for stakeholders. Since a set of parameters is considered for decision, in this study beside identification of factors affecting decision-making process and determining input and output parameters affecting the ranking of selected companies that are active in Tehran stock exchange market, data envelopment analysis (DEA) has been used to evaluate the performance of companies in several different industries. This method is a nonparametric method to measure and assess the relative efficiency of decision-making units with multiple inputs and outputs. Identified inputs and outputs include net profit margin, quick ratio, fixed asset turnover, equity rate, return on assets, equity, current debt, current assets, and debt ratios. First, input orientation CCR method is used to determine efficient and deficient companies. Entropy method is used to determine the weights of indicators. Finally, VIKOR method is used to rank efficient companies and with the ranking of inefficient companies, models have been presented to reach the efficiency frontier.

The aim of this survey is identifying effective indexes of financial statements quality for companies listed in Tehran Exchange and also ranking those indexes. To achieve this aim, firstly by studying research literature review and theoretical background and also expert interview, a collection of indexes related to quality of financial statements were identified and then by use of questionnaire and performing Fuzzy Delphi method we have identified those quality indexes which have expert consensus about their effect on quality of financial statements. After that by using confirmatory factor analysis, we recognize those indexes which have significant effect on quality of financial statements. Lastly by use of analytic network process we have measured the relative weight of each of those indexes about their effect on quality of financial statements. Results show that “predictability value”, “value-relevance of earning” and “earning consistency” as indexes related to “relevance” component and “conservatism”, “accruals quality”, “earning smoothness”, “closeness of earning to cash” and “unbiasedness” as indexes related to “faithful representation” component are significant effective financial reporting quality indexes. Results of analytic network process show that “predictability value” and “accruals quality” respectively with weight of 29% and 17% have the greatest effect on the quality of financial statements and other indexes are on the next priorities.