مجله راهبرد مدیریت مالی
سال نهم شماره 4 (پیاپی 35، زمستان 1400)

Modeling the joint distribution of liquidity and return to determine the dependency structure of a 15-stock portfolio using intraday data in 2019 provides a suitable model for the commonalities. Based on the complexities of higher dimensions multivariate modeling (combined distribution of liquidity and return), after univariate modeling of the stocks’ liquidity based on Autoregressive Conditional Poisson model (ACP) and the returns with the Generalized Autoregressive Conditional Heteroscedastic (GARCH), the marginal distributions were incorporated into a Copula Vine to model the dependency. The findings of this study, based on high-dimensional high-frequency data, indicate that there is an extreme nonlinear correlation between the liquidity of stocks and also between liquidity and returns across the portfolio, which is necessary to take into account in risk assessments to prevent inaccurate assessment of risk indicators such as value at risk. In addition, the results have shown that modeling the joint distribution of liquidity and stock returns in high dimensions relying on the Copula Vine model due to the flexibility performs well.

Despite theoretical and empirical validity of capital asset pricing model, empirical evidence shows that investors ask Risk premium due to idiosyncratic volatility. Considering the idiosyncratic volatility in capital asset pricing، this study aims to Determine Firm characteristics which explain idiosyncratic volatility in Tehran Stock Exchange. In this study, we measured the idiosyncratic volatility, employing the 5 and 7 multi factor models and using the conditional and non-conditional methods. more over we investigate the relation between firms characteristics and idiosyncratic volatility by panel Regression. The research population contains the whole firms in Tehran Stock Exchange and OTC during 2011-2017, amongst them 82 firm were selected based on specified sampling conditions. Employing various Ivol measurements, our results show that book to market equity ratio, size، sales growth, asset growth and liquidity, are the Determinants of idiosyncratic volatility and firms with greater size, lower liquidity, lower sales growth, higher book to-market equity ratio, and lower Asset growth have less idiosyncratic volatility

Achieving the optimal capital structure in order to gain maximum profitability and value while having minimum cost of capital is one of the important topics studied by financial professionals. In the field of the relationship between financing decisions and corporate profitability, there exists four major theories of Miller and Modigliani, agency theory, static balance theory (all observing the positive relationship between debt ratio and profitability) and hierarchical theory (negative relationship between debt ratio and Profitability). In this study, using data from 161 companies listed on the Tehran Stock Exchange in five industries (including ceramic tiles, cement, metals, oil and gas, and pharmaceuticals) between 2010 and 2017, the problem of estimating the profitability function by the capital structure has been addressed. In order to estimate the mentioned function, regression analysis as well as a combination of wavelet neural network algorithm and the Imperialistic Competition Algorithm have been used. The results indicate a negative relationship between debt ratios and return on asset (confirmation of hierarchical theory) in ceramic tile, cement, metals, and pharmaceutical companies. However, in the oil and gas industry, no significant relationship has been found between these variables. In addition, the performance of the wavelet neural network optimized by the imperialistic competition algorithm has shown to be more desirable than simple linear regression for all the investigated industries.

Earnings management is the manipulation of the financial reporting process by corporate senior managers for personal interests. According to upper echelons theory, managers choose company strategies based on their personal interpretations and these interpretations depend on the managers' experiences, values, and Characteristics. In this study, the relationship between demographic characteristics of senior managers and earnings management strategy in 138 companies listed on the Tehran Stock Exchange in the years 2013- 2018 has been investigated. Multivariate regression model and combined data were used to analyze the data and test the hypotheses. The results of this study show that the presence of female senior financial managers does not have a significant relationship with accrual-based earnings management and real earnings management and the experience of senior financial managers has a positive and significant relationship with accrued earnings management and this relationship is not significant for real earnings management. The results also show that higher education of senior financial managers has a positive and significant relationship with accrual and real earnings management

The purpose of this paper is to evaluate the two behavioral biases, overreaction and underreaction, of investors in the Iran stock market and to express their relationship with another bias called herd behavior.Meaning of behavioral biases in the capital market is situations in which a person with rational or irrational reasons, ignores his personal information and his influence on news, economical and political evolutions, etc.,won’t lead to an on time or sufficient or both reaction to the market evolutions and will cause a gap in the efficient market. In this study, Barberise et al.'s model was used to evaluate overreaction and underreaction, and the Laconishok model to examine the behavioral biases of investors. For this purpose, the daily data of stock prices and stock trading volume of companies listed on the Tehran Stock Exchange during the years 2013 to 2019 have been executed. The results of the this study show that the over and under reaction of investors and also herding in the Tehran Stock Exchange has existed during the review period.

Occurrence of financial crisis Occurrence of financial crisis and increase concerns about existing inequalities have led to the introduction of financial stability sub-indicators by international institutions for insurance companies. The occurrence of any financial problems and the subsequent scandal known as financial and economic bankruptcy in insurance companies, not only affects their shareholders, even also affects many members of society, including insurers and other stakeholders. Since insurance industry observers need to achieve an efficient tool to study and identify the internal challenges of the country's insurance industry, and in the meantime, one-dimensional indicators do not have the necessary strength to express the effects of such challenges, the purpose of this article is to calculate the combined financial stability index. For the insurance industry, according to the statistics and information of the period of 1397-1385 insurance companies. The combined index of financial stability has been calculated using 27 sub-indices from the theoretical and experimental literature and the principal components method. The results show that in the long run, the insurance industry is facing a downward trend in financial stability, but in the short run, it is fluctuating. The long-term downward trend of the financial stability index indicates the critical situation of the insurance industry.

This paper seeks to discover the pattern of value creation in the National Iranian Copper Industries Company. Given the company's proximity to Holdings and its parent companies, the issue was addressed in a mixed (qualitative and quantitative) study. In the qualitative section, we came up with the conceptual model by interviewing 10 empirical and executives familiar with value creation using the Grounded theory method. The quantitative part was performed by distributing a questionnaire among 183 managers and decision-makers at the National Iranian Copper Company, and the analysis was performed using SmartPlus software, model validation. The model includes axial category (value creation), causal conditions (intrinsic attributes, relational attributes of business units, structural and functional attributes and portfolio attributes) context conditions (supply chain management, systems and methods management, resource management and prospects management, and Values), intervening conditions (Iranian economic situation, national and international rules and regulations, competing mothers), strategies (stand- alone influence, corporate development, functional and service influence, linkage influence and combination of strategies), and consequences (better resource allocation, formulation Value Creation Strategies, Performance Management Control, and Distinction). Coefficient tests show positive and significant effect of causal conditions on axial category, axial category on strategies, context conditions on strategies, intervening conditions on strategies, and strategies on consequences, and so, all of these variables on on value creation in National Iranian Copper Industries’ Company. The results showed that the National Iranian Copper Industry Company should adopt the best strategy with regard to the components mentioned in the model.

The Purpose of this research is Explaining Factors of Financial and Accounting Competitiveness Strategies in Tehran Stock Exchange Companies Using Total Interpretative Structural Interpretation (TISM). The methodology of this research is applied in terms of purpose, as a method of obtaining data, descriptive and in terms of the methodology of the combination of extended analysis and Total Interpretative Structural Interpretation (TISM). In this two-phase, qualitative and quantitative study, first, 10 of the elite of the scientific community of accounting participated in the checklist of related companies' competitive strategies through their participation. Accordingly, three functional strategies, governance, and working capital were approved in 19 indexes and entered the Delphi analysis phase. In Delphi analysis, 6 indicators were also eliminated based on average criteria and agreement coefficient, and the total of indices in Delphi second round was reduced to 13 indicators. Then, in the second part of the research, 30 participants of the stock market brokers and analysts participated and participated in 7 stages of Total Interpretative Structural Interpretation (TISM). The results showed that the three indicators of increasing the volume of transactions as a functional strategy, strengthening the independence of the board of directors as a strategy of governance and the efficiency of current liabilities as the strategy of working capital were determined by the most effective indicators of the competitive strategies of companies. It was also found that the reduction of operational costs as the indicator of corporate performance strategy was the least effective factor in the company's competitive strategy.

Restructuring is a concept of profound and deep changes that have an extensive impact on the future activities of the company. In this regard, the need to investigate the effect of enforcement of these strategies is highlighted. The purpose of this study is to investigate the effect of implementation restructuring strategies in different stages of crisis life cycle companies. For this purpose, we used Z-score Toffler to select crisis companies. 406 years – Company in the period 2005-2015 were selected as a samples.It was used to determine the stages of the company's life cycle from Dickinson's cash flow model (2011). The The Logit regression model was used to test the hypotheses. The results of the paper suggest that Toobin's variable only significant and negatively correlated with the asset restructuring strategy. The total assets variable negatively correlated with the restructuring of management structures positively and with the asset restructuring strategy. Between the financial leverage variables, the cash flows of the institutional shareholders, the firm's assets, and both strategies were not found. Thus the results of the paper indicate that growth stage companies are less likely to use the asset restructurings plan than firms in the stage of birth, maturity, shake - out and decline. Similarly, The birth stage Companies use less than Management restructuring than firms in growth, maturity, and shake - out. GEL classification: G3, G30, G320.

The efforts of the developers of the laws and regulations of capital markets over the past years have also been aimed at raising the level of information transparency in order to Companies in this field can be successful in terms of both the technical and managerial dimensions and the ability to meet the expectations of shareholders and investors. The purpose of this research is the effect of CEO Managerial Ability on Marginal Value of Cash and Corporate Opacity of Companies Listed on Tehran Stock Exchange. The research period is 2013 to 2017, and 123 firms were tested using multivariate regression model. In this research, for measuring the Managerial ability of Demerjian et al (2012), Marginal Value of Cash from Faulkender and Wang (2006) model was used to measure the final value of cash, and the model Uygur (2018) was used to measure Corporate Opacity. Findings of the research show that asset companies have higher managerial ability than asset companies. The lower managerial ability has a more positive and positive effect on the on Marginal Value of Cash. It was found firms with higher managerial ability, with Trading volume and Earnings Timeliness that two criteria are Corporate Opacity, and a significant positive correlation. But with the bid-ask spread as another component of Corporate Opacity has a negative and significant relationship.