نشریه چشم انداز مدیریت مالی
پیاپی 33 (بهار 1400)

This paper examines empirically the presentation adjust Three-Factor model explaining stock returns. According to the comparison of the tested models, the three factors of value, size and market-adjusted in each of the tested models are significant. The difference between the two models tested in the calculations of the market factor have been calculated. Based on the theoretical background considering the market leverage is considered in the model. Based on the results of the present study, the power of explaining the proposed model is improved in comparing to the original model.

The main purpose of the research is to design a model for reducing the consequences of effective behavioral biases in the recession of the banking system. The main problem is the existence of various behavioral biases in the decision-making process. Banks are one of the vital and very important sectors of any economy. The importance of banks for the national economy becomes clear when we know that banking is a legal and global industry that has a great impact on the formation of relations between nations and governments. This research, in terms of nature and method of research, is a survey type research. In this research,  by using grounded theory, at first,  based on the collection of information through interviews of 74 experts, field notes, participatory observation, documents, abstractions, data production, data analysis with a systematic approach, open coding, axial coding, selective coding and finally after model validation evaluation with the approval of 222 subject experts and confirmatory factor analysis techniques of the first and second order and structural equation modelling, model with 4 dimensions, 20 categories and 239 indicators will be presented.Due to the factor load, the Self-description component has the highest factor load and more priority.Also the components of emotional effect and social interactions and Heuristic simplification have priority, respectively.

In this study the effect of fundamental variables and size on stock return is considered. The aim of the study is to answer two questions about each variable. The first question is how the effects of variables on the return have changed through time. In order to answer this question, the effect of each variable is considered in three consequential time window: 2004-08, 2009-13, and 2014-18. The second question in on the effects of variables in 2018. The return of the market in this year significantly deviated from historical average and it could be marked as an anomaly. The study aims to investigate how this irregularity affects the association between return and variables. In order to answer to this question, the effect of each variable is considered in two time window: 2004-17, 2004-18. The data in this study consists of price and financial statements listed companies in Tehran Stock exchange from 2004 to 2018 which are analyzed by methods used in Fama and French (1993) and Assadi and Eslami (1393). The results suggest that the effect of some variables has changed through time. The results also have shown that market irregularity in 2018 significantly changed the effect of some variables on stock return.

Regarding the importance of the stock market and commodity indexes as a predictive index, the effect of some selected global commodity indexes on the index of metal ores extraction in Tehran Stock Exchange is investigated in this article. Using the monthly state data from April 25th, 2012 to January 20th, 2020, the impact of the index of Bloomberg industrial metals, and the index of Nasdaq industrial metals on the index of metal ores extraction in Tehran stock exchange were studied by ARDL method. To investigate the existence of the long-term relationship, the Bounds testing approach was used and in order to control the effects of liquidity, consumer’s inflation, producer’s inflation, and the exchange rate in the unofficial market on independent and dependent variables, these variables were used as control variables in the model. The results show that the global commodity indexes of CRB without energy, Bloomberg industrial metals index, and Nasdaq industrial metals index have a positive and meaningful relationship with the index of metal ores extraction in the Tehran stock exchange Among the above two indexes, the Nasdaq industrial metals index was more influential on the metal ores extraction index than the Bloomberg industrial metals index.

Stock investing decisions require information which Obtain through valuation models. Therefore, the purpose of this study is to compare the accuracy of the Dividend Discount Model, the Discounted Cash Flow Model, the Residual Earnings Model and the Abnormal Earnings Growth Model in explaining the stock price changes of listed companies in Tehran Stock Exchange during 2001- 2009 (Iranian calendar 1391- 1397 ) . Target sample consists of 105 companies listed in Tehran stock exchange. Collected data were analyzed using T- test method. The results show that in the Tehran Stock Exchange the intrinsic values estimated by the Dividend Discounted and the discounted cash flow model have the highest correlation with the market value of the stocks. These results also indicate that in the Tehran Stock Exchange These results show that cash dividends and cash flows were used more than any other information as a criterion for buying and selling stocks.

The purpose of this study is to optimize the Bayesian profit management model with tunneling phenomenon and cumulative particle motion optimization algorithm. The statistical population of the study included companies listed in the Tehran Stock Exchange and the number of companies under study, including 196 companies listed during the years 2015 to 2020. The research method is descriptive-correlational and in terms of causal-correlational variables and in terms of purpose and event, it is post-event. In order to analyze the data, regression and artificial neural network and cumulative particle motion optimization algorithm were used. The results of the model analysis showed that all financial ratios had a significant effect on the earnings management prediction of insight and the greatest impact on the prediction of earnings management was on the INE tunneling phenomenon and the least on financial leverage. The results of the estimation of the designed neural networks show that the use of cumulative particle optimization algorithm to predict the Profit management for companies listed in Tehran Stock Exchange is acceptable.

The experiences of recent decades in financial markets, and in particular the banks of different countries, indicate an increase in the importance of risk management in financial activities. Therefore, international efforts are aimed at creating a framework for standards that can be achieved by improving the financial health of the institution, especially banks. The axis of these standards has been manifested in creating an integrated risk management framework in the context of corporate risk management. The main purpose of the present research is to design a structural model of the types of existing risks in the banking sector. By studying thematic literature and using the textual content analysis approach, eleven effective risks were identified and for localization of them in the country's banking sector, Delphi technique was used for three periods of use It turned out The statistical population of the study consisted of managers and experts familiar with the subject and working in the banking sector. A researcher-made questionnaire was used to collect data. The reliability and validity of the questionnaire was confirmed by calculating Kendall's correlation coefficient (0.82) and Goghos and Boucher's correlation coefficient (0.08, 0.06), respectively. In order to design a structural model of risk, an interpretive structural modeling approach was used in fuzzy environment to manage linguistic ambiguity in judgments. The results of the Mick-Mac modeling and analysis showed that liquidity, credit, operational, interest rate, exchange rate risk and risk of laws and regulations are key and basic risks in the banking sector.

Financial inclusion means that individuals and businesses have access to useful and affordable financial products and services that meet their needs in a reliable and sustainable way. Reducing poverty and unemployment rate along with increasing economic growth are considered to be the most important advantages of financial inclusion. Given the importance of this subject, the concept of financial inclusion has been explained; moreover, a composite index has been developed to measure financial inclusion in this article. Using designed financial inclusion composite index (FICI), the financial inclusion measures have been calculated in each province of Iran and theses provinces have been ranked. The results show that Tehran, Semnan and Yazd provinces have the highest level of financial inclusion and Systan Balouchestan, Khouzestan and Western Azarbayejan provinces have the lowest level of financial inclusion. Finally, the parameters, which have lowered the rank of these provinces in reaching suitable financial inclusion index, have been studied.

The purpose of this study is to provide a model for predicting the factors affecting the stock price Crash Risk in the Tehran Stock Exchange. In addition to a comprehensive review of the thematic literature related to the stock price crash risk, in the qualitative section, 12 people through theoretical sampling method, Selected among capital market experts and then by collecting the required data by means of document reference and interview tools to extract the factors affecting the risk of stock price crash risk using MAXQDA18 software and to extract the model from the structural equation model And PLS software has been used. Statistical population in the quantitative part, a sample of 100 companies was selected from the companies listed in the Tehran Stock Exchange between 2009 and 2019. The results show, it is possible to provide a model to predict the factors affecting the stock price crash risk and Financial variables, business strategies, managerial ability and information asymmetry as internal factors and macroeconomic variables and political relations and social responsibility as external effective factors on Stock Price Crash Risk and respectively social responsibility in the first priority, business strategies in the second priority, macroeconomic variables in the third priority, managerial ability in the fourth priority, political communication in the fifth priority, variables Financial in the sixth priority and information asymmetry in the seventh priority affect the stock price crash risk.

The current financial literature examines business cycles based on a retrospective approach and emphasizes the rational assumption of human in evaluating managerial confidence models.In the present study, the main purpose is to design an index that describes the collective belief of managers towards the economic outlook of companies and economic sectors and the overall level of the economy and represents the economic sentiments and managerial confidence of managers of companies listed on the Tehran Stock Exchange.The present study includes qualitative and quantitative steps. In the qualitative step of data collection, content analysis and the Delphi method were used, respectively. according to the Delphi method, these topics were assigned to experts active in the capital market and academic elites for approval, and they were asked to express their views on each of the factors based on the Likert scale. The results of using confirmatory factor analysis to evaluate the adequacy of the sample showed that the coefficient obtained from the Bartlett test is significant in all industries. In the explanation of variance by a latent factor, there are more than 60% of variance by a latent factor in all industries. Therefore, the factor structure of the questionnaire can be confirmed.Applying the combined index designed to describe the managerial confidence and economic beliefs of the company's managers listed on the Tehran Stock Exchange has the necessary competence. And it can be used by analysts, investors, and rulers to determine the attitude of business people towards the future of the economy.