مجله مدیریت دارایی و تامین مالی
سال هشتم شماره 3 (پیاپی 30، پاییز 1399)

The systematically important role of “value premium” in explaining equity returns (Fama and French, 1992 and 1993) has long puzzled the literature in finance and economics.

While recent studies (Petkova and Zhang (2005) and Choi (2013)) provide evidence, using U.S. data for the differential behavior of the value and growth firms, they do not explain the sources and causes underlying such differences. Further, it is unclear whether such differences still persist in other countries’ capital markets. Using both parametric and non-parametric statistical technics, value and growth firms’ conditional asset and levered betas are compared over multiple periods of stable and adverse market conditions for the period 1999 -2017 in the Tehran Stock Exchange (TSE). Market conditions are broadly defined by the size and the volatility of market risk premiums in the TSE.

Our results show that value and growth firms’ conditional betas (levered or unlevered) are not different under stable market conditions. On the other hand, there are significant differences between value and growth firms’ conditional asset and levered betas under adverse market conditions. Specifically, value firms’ asset and levered risks are significantly higher than those of growth firms under adverse market conditions.

Regarding the critical role of Banking system’s stability and explanation of financial reporting (as the final result of accounting profession and administrative bodies), the main aim of this paper is to model the banking system stability, based on financial reporting quality. In the second phase, using financial reporting quality, the assessment of approaches which could be used to stabilize banking system is at the center of attention.

Those purposes have been fulfilled, using the Basel 3 stability index and a comprehensive measure of financial reporting quality estimated in a dynamic panel setting, and using a sample of 16 banks during 2007 to 2017 time period.

The findings show positive evidence about the first hypothesis (the credibility of research model for modeling banking system stability based on financial reporting quality) and we also provide confirmatory results about our second hypothesis (promotion of banking network through financial reporting quality using a dynamic LLP approach).  The research results also confirm a positive relationship between the banking system’s stability and financial reporting quality. Furthermore, our results indicate that the implementation of dynamic LLP instead of static LLP approach could lead to stabilization of the banking system through financial reporting quality.

The effect of a firm's life cycle, as a characteristic, on stock return has been documented in the literature. The purpose of this research is to introduce and test "firm life cycle" as a new systematic factor for developing multifactor asset pricing models.

Using data of 345 companies listed in the Tehran Stock Exchange (TSE) and Iran Farabourse market during 2004 to 2018, we first show there is a significant difference among returns of companies in different firm cycle stages and that the pattern observed cannot be explained by notable multifactor asset pricing models. Regarding two competitive approaches to explain differences between stocks with different characteristics, namely risk or mispricing, empirical evidence on returns of stocks in different life cycle stages shows that return of mature firms are higher compared to that of firms in other life cycle stages and the pattern is consistent with mispricing of mature firms. Considering these results, five structures for the life cycle factor are proposed, based on the difference in monthly average returns of firms in the maturity stage and firms in other stages.

The results of spanning regressions show that none of the notable asset pricing models, namely the Fama and French three-factor model, the Carhart four-factor model, the Fama and French five-factor model, and the Fama and French six-factor model, can explain  life cycle factor return. Therefore, the life cycle factor with proposed structures can be used as an additional factor to improve the performance of these multi-factor models in explaining the variation in (expected) stock returns.

Despite the fact that accruals have a central role in preparing financial reports and are viewed as a dynamic research domain, the studies on accruals have not provided a profound understanding of how firm level economic factors affect accruals. In this study, the firms’ working capital is regarded as a form of investment. Also, using theoretical predictions from a real option-based investment framework, the present study aims to examine the effects of stock returns volatilities on changes in firm working capital accruals. In addition, the moderating effect of financial distress on the relationship between stock return volatilities and working capital accruals is studied.

The statistical sample of this research consists of 111 firms listed in the Tehran Stock Exchange from 2005 to 2016. The research hypotheses are also tested by Generalized Least Squares (GLS) regression analysis, using the pooled data.

The results show that there is a significant negative relationship between volatilities of stock return and changes of working capital accruals of firms in general. On the other hand, the results indicate a firm’s financial distress does not decrease the negative effect of stock return volatilities on working capital accruals. Furthermore, another finding suggests that stock returns volatilities have a positive effect on the items of capital liabilities and negatively affect items of working capital in accruals; however, the firms’ inventories, here, are considered as exceptions and returns volatilities have positively impacted the firms’ inventories.

Beyond a shadow of a doubt, the stock return is of great importance and one of the most influential criteria while making decisions in capital markets. For this reason, investigating the determinant factors of stock returns is important. Since the investment-specific technology shocks and business cycles are considered as factors that affect stock returns, the purpose of this study is to investigate the effect of business cycles and investment-specific technology shocks on stock returns in the Tehran Stock Exchange.

The statistical sample of this study is the companies listed on the Tehran Stock Exchange during the period from 1991 to 2018. The data are analyzed, using an autoregressive distributed lag model. Additionally, the short-run and long-run relationships between variables have been estimated in this study.

The results of the study reveal that business cycles, investment-specific technology shocks, and interest rates have significant positive effects on stock returns.

Managers' ability can be considered as an influential factor that can balance the information content of debt agreements between companies and creditors.
The purpose of this study is to investigate the role of managers' ability to moderate credit conditions and reduce the spread of bond yields. For this purpose, the data of 120 companies, listed in the Tehran Stock Exchange from 2008 to 2018, was extracted and a combined data regression model was used to test the research hypotheses.
The results of this study confirm the research hypotheses. In other words, the results of this research indicate that the impact of managers' ability on the use of performance-based terms in credit agreements is significant. Additionally, the second research hypothesis confirms the impact of the managers' ability on corporate debt maturity. Finally, the third hypothesis of the study reveals that financial crisis risk does not have a significant impact on the relationship between managers' ability and return spread.