فصلنامه بورس اوراق بهادار
پیاپی 49 (بهار 1399)

Investors are always concerned about protecting their investment and the stock price crash risk threatens this investment. The stock price crash risk, although related to the market, can be due to the type of business strategy of the company that managers of the company to compete with competitors So that they can increase their rewards by increasing profits, The stock price crash risk is a vital element in the return on equity for investors, therefore, the present research "Evaluating the impact of Defensive and Prospector strategies of business on stock price crash" has tried to investigate business strategies on falling stock prices in companies listed to Tehran Stock Exchange. The present research is based on the purpose of applied research and on the other hand, in terms of the nature and method of research, is a descriptive (correlation type). The statistical population of this research is all companies accepted in Tehran Stock Exchange. In this research, systematic elimination method was used for sampling. Finally, 113 companies were selected and a panel regression analysis was used to analyze the data. The results indicate that business defensive strategies will reduce the stock price crash risk, but prospective strategies will increase the stock price crash risk.

A Part of activities in the capital market includes transactions in framework of legal regulations. The other part consists supervision rules and principles that be implemented by laws. Along with conventional legal instruments, one of the most important issues that should be considered within Sharia-based systems is the Sharia’s governance and sharia’s based rules and regulations. Despite of using and generality of the subject as a simple context in three areas of guidance, monitoring and competition, this important factor is not institutionalized in the current capital markets structure and it faces some challenges. On one hand, these challenges are related to both legal ambiguities and organizational problems. Therefore, to realize a favorable legal system based on religious regulations, it is need to consider institutions of the Sharia’s governance as guidance and supervisory pillars in the capital market. Because, the most important thing to draw a structure for based sharia markets is accordance of regulations and rules based on sharia standards. However, some of the criteria in the capital markets are not compatible with this feature because of the organizational affiliation.

One of the main concerns of modeling is the adaptation of the mathematical model to reality, and in the real world of uncertainty one of the decisive cases ignored in the classical mathematical programming of these uncertainties. robust optimization is one of the methods for uncertainly parameter management. In this research, trying that be studied from robust possiblistic programming to create an enhanced index fund that tracking the index. Enhanced index funds on the one hand trying to have the smallest deviation from the index, On the other hand, will try to achieve target returns than the index. This research model is solved by the real data on the stock exchange. Comparing the results of data analysis and solving the model with a robust feasibility approach points to good performance and high traceability of the improved indicator fund, and the fund has a high positive correlation with the stock index and also return more than index.

Conflict of interests between managers and employees paves the way for the improper conduction of internal controls, thus obscuring the realization of the goals expected of the implementation of such controls. Therefore, it is highly necessary to work out a tool or a process to examine and evaluate the efficiency of these controls. Allied to this, the present study sought to present an internal control quality prediction model for companies listed in Tehran Stock Exchange. To do so, 141 out of all companies listed in Tehran Stock Exchange were selected for the 2012-2017 timeframe. The research hypotheses were tested via the compositional data analysis. The results showed that a model based on the characteristics of economic units could detect the units with weak internal controls. The auditors’ characteristics were also shown to affect the identification and reporting of such units with weaknesses in their internal controls. There is a significant relationship between the measurement indexes of the goals expected of the implementation of internal controls and economic units with weakness in their internal controls.

Based on the evaluations of The Committee on the Global Financial System (CGFS), the recent crisis in the financial system has started with a sharp increase in total leverage. In this study, we are looking at the causes and means of preventing a financial crisis. We also seeks to address the impacts of different banks on the cycle of financial leverage(CFL) including accepted banks in TSE and other banks, commercial and Professionalized banks, and private and public banks. We mainly focus on GDP growth and asset volumes in CFL. First, based on the results of Granger's causality test, the causal relationships between GDP variables, asset volume and financial leverage were determined and then independent and dependent variables were determined in multivariate regression models. By using panel data (fixed and accidental effects), we examined the effect of types of banks with three main variables. Then we analyzed wealth- accumulation of 15 banks from 2009 to 2016. The findings show that GDP has a significant positive and important relationship with financial leverage, and government-owned banks have an increasingly interactive role in this regard. The results also indicate a positive and significant relationship between assets and financial leverage. Government-owned banks, banks accepted in TSE and commercial banks, have a more effective role in leverage than others when it come to the relationship between assets with a more leverage effect.By relying on these findings, we will be able to review goals of privatization, bank Professionalization and capital market development.

The research at hand is a study of systematic and non-systematic factors influencing credit risk in Iran's banking system between 2006 and 2016. Throughout the study the GMM-SYS method has been used. According to the results gained, macro economic factors including inflation, stock market index and currency rate had positive and meaningful effects on increasing the non-productice loans.On the other hand, Gross Domestic Product had a negative effect in this regard; in other words, economic stagnation and a decrease in domestic product augment credit risk in the banking system. The effectiveness of Government-owned banks factor on credit risk was not proved. Among the non-systematic factors, the explored quotients for ROA and weighted average rate of deposits (WARD) were positive and meaningful effect. It implies that this high rate results in diminishing the banks' margin of profit which, in turn, causes them to take adventurous steps toward and grant risky and high-interest loans. Moreover, in this article, two simultaneous models are studied; one inplicates the effective factors in the ROA and the other one is (WARD): The attained results show that an increase in liquidity risk and ROA & non interest deposit of Previous period lead to a decrease in WARD. Furthermore, the ratio of the capital adequacy and Diversity in Revenues results in an increase in ROA. On the contrary Increase in cost / income ratio makes ROA go down