نشریه چشم انداز مدیریت مالی
پیاپی 30 (تابستان 1399)

The purpose of this study is to present a method for evaluating and prioritizing static and dynamic pricing models based on cash inflows and outflows in mutual funds. The present study uses quantitative variables (cash inflows and outflows in mutual funds) from the models examined in this study in two groups of static pricing models (Capital Asset Pricing Model, Fama and French Three-Factor Model, Carhart Four-Factor Model) and dynamic pricing models (consumption-based capital asset pricing model, habit formation model, long run risk model), have identified a model that is used by investors to make more capital allocation decisions. This study uses the data of mutual funds in the capital market of Iran during the period 2013 to 2019, and with the implementation of ordinary least squares regression (OLS) this method has been presented. Based on the results of the research, among the pricing models investigated, the capital asset pricing model (CAPM) is ranked first and the long run risk model (LRR) is ranked last.

The dependency structure of the futures and spot markets is crucial for achieving the optimal hedge ratio. Accordingly, the use of methods that consider the structural dependence on the decomposed frequencies in the modeling can achieve the optimal hedge ratio. The purpose of the this study is to model the optimal hedge ratio in futures and spot markets of gold coin with respect to structural dependence based on wavelet-Copula as time variables. For this purpose, the data of spot and futures markets of gold coins in Tehran Stock Exchange during March 25, 2014 to September 2, 2018 were used in daily time frame The results of time variability wavelet analysis model, GARCH-Copula model, and Combined Pair-Capula Functions and Wavelet Decomposition showed better performance of the models based on Combined Pair-Capula Functions and Wavelet Decomposition in the medium and long term.

The main purpose of this research is to investigate the effect of Institutional Shareholders on the relationship between CEO power and capital structure decision making in companies listed in Tehran Stock Exchange. To this end, the CEO task duality criteria, CEO tenure and CEO ownership percentage were used to measure CEO power. Benchmarks such as book value leverage, market value leverage, short-term leverage and long-term leverage were used as capital structure representatives. Research hypotheses based on a statistical sample consisting of 106 companies during an 8-year period from 2011 to 2018 were tested using multivariate regression models. The results of the test showed that there is a positive and significant relationship between CEO power and capital structure (book value leverage, market value leverage, and short-term leverage). Also, there is a negative and significant relationship between the CEO power and the capital structure (long-term leverage). In addition, institutional shareholders have a negative moderating effect on the relationship between CEO power and market value leverage.

Options market efficiency has become a main concern for practitioners and academicians because of its important role in economic information transparency and optimized allocation of capital. In this study the efficiency of options market has been measured using meta-analysis of empirical tests of arbitrage restrictions violation in published papers in each country-year, and the efficiency has been regressed on the macroeconomic variables including GDP, capital market growth and country development to investigate the effect of these variables on options market efficiency. The results of this study show that the GDP growth, capital market growth and country development have a positive and significant effect on options market efficiency. Meaning that increasing of GDP growth will lead to capital market efficiency. On the other hand, in the countries with more growth in capital market one can expect more efficiency in options market. Finally developed countries have more efficient market for options trade. The empirical studies in which the arbitrage restrictions has been revised by transaction cost and dividend payout, the options market efficiency has been measured low. It means that market efficiency should be measured considering transaction cost and dividend effect, maybe because of deviation of results in studies do not consider these conditions.

Study of spillover effects of default risk plays a very significant role in financial institutions, their relation & interaction with each other and in portfolio selection, risk management and the credit rating of such institutions as well.This research aims to study the spillover effects of default risk between holding Companies and their subsidiaries active in Iran’s capital market. For such a purpose, in the first phase, default probability was calculated for Iran Khodro Investment Development Co. and its three subsidiaries by Black-Scholes-Merton (BSM) option pricing model, then default probability spillover for the period of 2011-2018 was measured on daily basis by multivariate GARCH model (BEKK model).As concluded, there is a spillover effect of default risk from the holding companies to their subsidiaries and vice versa.

One of the factors affecting stock market returns is the change in oil return and volatility that can help explain the returns and adopt profitable strategies. Considering the importance of the impact of the crude oil price changes on stock return in different industries, this study uses monthly data from 2009 to 2018 to determine whether oil return volatility affect the profitability of Tehran stock exchange strategy? Besides of robustness of the results, the efficiency of the momentum strategy based on crude oil price data is compared with the efficiency of the conventional momentum strategy. The results show that the conditional oil return volatility and the stock market return are able to explain the momentum return of industries, the portfolio return of the winner industries and the portfolio return of loser industries. The study shows that the results are robust and the oil return volatility after controlling for macroeconomic variables has high explanatory power. The momentum strategy also yields higher returns than oil-based momentum strategy.

This study investigates the impact of morale on the behavioral finance traps of Tehran Stock Exchange investors considering the importance of financial decisions in the lives of individuals. Behavioral finance traps are behavioral biases or biases that impede good and optimal decision making. In behavioral finance, the behavioral characteristics that influence individuals' decision making process are studied. These features are called behavioral biases. Mental states (moods) are more based on the emotions of the individual, that is, the individual feels and expresses a state within each external action. The statistical population of this research includes all investors of Tehran Stock Exchange. Structural equation modeling with partial least squares approach was used to test the research hypotheses. The results showed that investors' behavioral financial traps are influenced by both high and low moods. Also, behavioral finance traps are most affected by high morale.