مجله راهبرد مدیریت مالی
سال هشتم شماره 4 (پیاپی 31، زمستان 1399)

The performance of Iranian banking network listed in the Tehran Stock Exchange indicates that the accumulated losses have exceeded the risk limits, which may threatens the stability of the banking system. However, Contrary to the conventional belief, the augmentation of exchange rates could not improve the financial position of banking network. Hence, in this paper an attempt is made to investigate the impact of the estimated threshold level of the exchange rate on the financial stability of banking system. The explanatory variables of the model comprising the certain macroeconomic variables such as the rate of inflation, exchange rate, GDP growth rate, as well as the banks’ balance sheet variables including the profit, equity, Non-Performing Loans(NPL) and also the amount of loans extended to the customers. Due to key role assigned to the exchange rate as an anchor in the economy, we may envisage that the indefinite appreciation in the value of exchange rate does not necessarily enhance the financial position of banking system as we were witness in the Iranian economy in the past, but when the exchange rate rose from Rials 12260 in the 1391, the financial stability of banking system experienced the relative stable trend and subsequently with increasing the foreign exchange rate to the threshold level of Rials 45627, this trend continued to some extent. None the less, after reaching the designated threshold level, the financial stability of banks could change the direction showing that any movement of exchange rate beyond the threshold level of Rials 45627 could lead to reduction of banking stability in the Iranian economy. For this purpose, we applied the Generalized Method of Moment Method to estimate the model Viz-a-Viz employing the Dynamic Panel Data of 31 banks for the study period of 1385-1395 in the Iranian calendar.

Momentum factor is known as a one of the pervasive factor that can explain the returns of stock. This Strategy challenge efficient Market hypothesis by creating opportunity to earn excess returns as a anomaly in the level of national Market. It has a dark side too. It is shown that in the time of the market crashes (financial crises) it may be several years' returns of the strategy of momentum can be eliminated. In this research for explaining of the momentum crashes, we use high volatility of momentum risk by estimating of realized volatility of daily momentum returns in Tehran Stock Exchange. The results show that when we scale on the base of the target standard deviation, we can manage the momentum risk. Therefore we can see decreasing in standard deviation from 45% to 31% and negative skew from -2.5% to 1.5%. Before the scaling, we saw that the Sharp ratio was 36% and after the scaling it increased and received to 53%. So the results of research show that managed momentum risk can eliminate the risk of momentum crashes in Tehran Stock Exchange.

The main question of this research is the role of personality characteristics and information sources on the behavior of personal investors. The statistical population of the study is all real investors over 18 years old who engage in stock trading. The sample size is 384. SPSS and Smart PLS softwares were used to analyze the data obtained from the questionnaire. Structural equation modeling indices using partial least squares method were used to demonstrate the validity of the findings of the research model. The results of the factor analysis shows positive relationship between Neuroticisms, extraversion and number of investor trades and there is a significant positive relationship. On the other hand, there is a significant negative relationship between openness, consistency and number of transactions. The use of financial advisory services by professionals moderates the relationship between the number of investor transactions with openeness personality and conscientiousness negatively and psychologically. On the other hand, word of mouth communication, as another source of information, moderates the relationship between the number of investor trades with the adjustment personality trait positively and the negative investor tempered ones.

This study will provide a new approach to cost behavior analysis. Also, by completing past models, examine the behavior of costs when sales decrease (cost stickiness) and sales increase (cost positive signal). In addition, in this study, costs are categorized in terms of function (COGS and SG&A) and nature (payroll, service and depreciation expenses), and examined the impact of them on the earnings forecast accuracy. Fixed effect data model and OLS regression were applied to test the research hypotheses. The sample of the research is 95 companies listed in Tehran Stock Exchange, during 2014-2019. The results show when sales decrease there is a negative and significant relationship between the stickiness of the total cost, COGS and services costs with earnings forecast accuracy. However, no significant relationship was found between the stickiness of operating and depreciation costs and earnings forecast accuracy. Additionally, the results show when sales increase there is a positive and significant relationship between the positive signal of COGS with earnings forecast accuracy. On the other hand, there is no significant relationship between the positive signal of total costs, SG&A, payrolls, services and depreciation costs with earnings forecast accuracy. When sales decrease, the behavior of total costs, COGS and services cause to reduce earnings forecast accuracy and when sales increase, the positive signal of COGS cause to reduce earnings forecast accuracy. Therefore managers and financial analysts need to carefully consider the behavior of them and apply cost stickiness and positive signals in their forecast in order to improve earnings forecast accuracy.

Higher managerial ability and authority could lead to both higher efficiency for the firm and/or opportunistic behavior by manager. We are supposed to investigate the effect the managerial ability might have on tax avoidance and investment efficiency relationship. To do so we applied Demerjian et al (2012) and Richardson (2006) models to respectively proxy for manageria ability and investment efficiency. Tax avoidance is measured using cash effective tax rate (CETR). We sampled out 152 firms listed with Tehran Stock Exchange from 2009 to 2018. Contrary to our expectation, increased tax avoidance does not lead to less investment efficiency at lower levels of managerial ability. However, Benefiting from high ability managers, firms would enjoy higher investment efficiency when tax avoidance increases. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

According to Trade off theory, the firms have an optimal leverage and any deviation can weaken corporate performance and subsequently decrease the firms value. In this research, the relation between deviations from optimal leverage and accumulated abnormal returns of stocks was considered in order to study the effect of deviation from optimal leverage on market participants. To this end, this paper uses data from 96 firms listed in Tehran Stock Exchange during 2009-2017 and also applies the approach to control the industry and year effects. Results show that the market impounds the information about deviation from optimal leverage in stock prices and the above or below optimal leverage, equity overvalued or undervalued are main factors modify price impact. It means that market has positive reaction to increase the distance from optimal leverage in firms that their leverage are lower than optimal and their stock overvalued. Deviation from optimal leverage in these firms is leading to an increase in abnormal returns of stocks. Because the optimal leverage measurement don't affect on the results, in this paper four measures was used that among them, the results of moving average leverage measures had more compatibility with research literature.

Economic appraisal of investment projects requires a new thought referred to as real option theory given the governing uncertainty over their financial conditions which can cover deficiencies of traditional methods of capital budgeting such as stationary and not considering uncertainty factors. According to this theory, a model was proposed in the present study to identify and rank environmental uncertainties and effective managerial flexibilities or options on investment decisions in a photovoltaic plant in the south of Isfahan. To this end, uncertainty factors of this plant were identified via field study from the viewpoint of a sample consisted of 36 experts through confirmatory factor analysis. Then, impact factor of each factor on advantages and expenses of the above plant was evaluated using the fuzzy hierarchical analysis. In the next step, the effect of these options on the project value was tested by means of linear regression method. Tools of data collection were two researcher self-made questionnaires. Validity and reliability of each questionnaire were confirmed through Lawshe's content validity index and Cronbach's alpha coefficient. The results indicated the effect of uncertainty factors on investment environment of the plant and a significant relationship between the use of real option and flexibilities with increased effect of investment in this plant. Meanwhile, the experts positively evaluated the effect of expansion, wait and abandonment options to increase the flexibility of investment decisions in this plant.

The purpose of this paper is to investigate the relationship between the sensitivity of investment cash flows with investment thirst by controlling financial constraints, which the financial constraint using WW and SA indicators. This paper, by developing the Deng et al. Model in 2017, with the use of the concept of soft budget constraint has examined the relationship between the sensitivity of cash flow to investment and investment thirst. This research examines the financial information of 107 companies listed in the Tehran Stock Exchange during the period from 2006 to 2016. The results of the research indicate that the sensitivity of investment inflow flow in different classes of companies with financial constraints and without financial constraints has a significant positive relationship with investment thirst. Therefore, the present study considers the sensitivity of investment cash flow as a suitable measure for measuring Investment thirst. This result could be of interest to policy makers in the field of investment.

The financial fragility of banks has always been one of the main concerns of supervisors and decision makers in the banking system. In recent decades, financial stability as a goal of the economic system has been increasingly taken into account in policy making. Many of researches has focused on the role of government financing in the monetary system. But so far, the impact of government debt on commercial banks has not been investigated on financial frailty. The purpose of this study is to investigate the effect of government debt on commercial banks on the financial fragility index in Iran. For this purpose, data from 1979 to 2018 and ARDL method have been used. Results shows that the research hypothesis that the bank debt had a significant effect on the financial system's fragility was confirmed. The results also show a positive and significant relationship between inflation and financial system fragility. The regression coefficients shows that the development of the financial market and, more precisely, the increase in value of the stock market and the tax share of production, have a negative and significant relation with the financial fragility index.

This paper estimates the systemic risk of the Iranian banking system applying two systemic risk measures namely ; ΔCoVaR and MES to estimate the systemic risk of the Iranian banking system using daily data between January 2008 and July 2019 to assess the impact of the banking system crisis on the entire economy, and showing the role of the banking system in systemic risk. The results show that ΔCoVaR measure of systemic risk estimated using ordinary least squares (OLS) and quantile regression are less than of that estimated by the DCC-GARCH model. The reason for this can be seen in spillover effects considered in DCC-GARCH model. The results also show that ΔCoVaR measure estimates the systemic risk of the banking system less that MES on average.According to the findings of the study, it is suggested that the Monetary Observatory, based on estimated results, enforce stricter rules and regulations on the operations of banks in the country.