فصلنامه دانش سرمایه گذاری
پیاپی 44 (زمستان 1401)

In this study، the moderating effect of ownership structure (largest shareholder)، political communication, and board independence on the relationship between the divergence of views and investors' attention to the IPO market was evaluated. To do so،124 companies with an initial public offering (IPO) were analyzed during the period 2006-2017. This is an applied study in terms of purpose and is among the descriptive-retrospective researches in terms of the data collection method. To examine the hypotheses، Eviews8 software was used. The results obtained in this study indicated that, in general، the difference between investors' views and divergence of their views were under the influence of various factors such as ownership structures، political communication, and board independence. When the largest shareholder of the company has higher ownership، it reduces the difference in investors' views and has a negative effect on the positive relationship between initial returns and divergence of investors' opinions.

Working in financial institutions and the capital market is one of the most stressful and sensitive jobs in the world. Given the importance of the role of human resources in the performance and events of the capital market, in this study, an attempt has been made to provide a model for analyzing and measuring the critical risks of human resources based on fuzzy FMEA and Pareto principle in the capital market. For this purpose, in the first step, multiple dimensions of risk were identified by semi-structured interviews with HR experts in the capital market, and factors affecting HR risk were identified and fitted to the model by using structural equation modeling method with Smart-PLS software. In the next step, the risk factors of RPN number were determined by FMEA method, which also used the concept of fuzzy logic to solve this deficiency in order to eliminate the weaknesses of FMEA method and to avoid uncertainty. Finally, human resource risks were measured and identified by Pareto Critical Risks based on the fuzzy FMEA method. The results indicate that the critical human resource risks are unethical behaviors (financial fraud), poor leadership, and inadequate rules and policies in the capital market, respectively.

The purpose of this study is to investigate the effect of dividend reduction and corporate tax avoidance on the Stock price crash risk. Two measures of negative skewness coefficient and low to high volatility were used to measure the stock price crash risk. In this regard, the financial data of 131 companies during the period 2014-2019 have been extracted and analyzed by systematic elimination method as a statistical sample of research. Statistical analysis was performed using Eviews9 software at 95% confidence level and panel data and linear regression model were used to test the hypotheses. F-Limer (Chow) and Hausman statistics were used to determine how the regressions fit. The normality of the error distributions was evaluated by the Jarkue-Bera test, the residual independence was estimated by the Durbin-Watson statistic, and the test of variance by the Bartlett test. The results showed that there is no significant relationship between dividend reduction and the stock price crash risk according to both mentioned criteria in companies. Based on the results of the third hypothesis test (taking into account the first index of stock price risk), the ratio of independent directors intensified the direct relationship between the decrease in dividend yield and the Stock price crash risk. Finally, the level of tax avoidance is directly related to stock price crash risk in companies. This result shows that tax avoidance has led to the accumulation of bad news in the company, which with the disclosure of this news leads to a decrease in stock prices.

Confidence in the capital market becomes dynamically valuable when interactive strategies with stakeholders are formulated for the long term to reduce the information asymmetry that has become an epidemic among companies. That is, a more responsive response to the level of expectations of this market under the supervision of relevant institutions. By reflecting on timely news content and honestly speaking, one can expect interactive functions and capabilities between companies with stakeholders in the form of theories such as Pygmalion theory that points to the re-formation of expectations in this market. It should be strengthened and the level of satisfaction with investing in this market will increase due to lower risk and higher return. The purpose of this research is Information Content of Financial Reporting and the development of interactive capability with stakeholders by Pygmalion Theory Test. In this study, in order to measure the content of financial reporting information, two criteria of timeliness and Reporting-Lag have been used. To evaluate the development of interactive capability with stakeholders, Delphi's analysis based on Likert-5 formulation has been used. Questionnaire for collecting research data for 142 companies in year 2019 was sent out of which 105 questionnaires were returned with the participation of managers of Tehran Stock Exchange. In order to fit and test the hypothesis, we used the partial least squares analysis. The results showed that Information Content of Financial Reporting had a positive and significant effect on development of interactive capability with stakeholders.

Purpose of the present study is to understand the relationship between investors sentiment behavior and financial reporting quality with the information content of financial statements of listed companies in Tehran Stock Exchange. The data of 110 companies were collected from the databases of the Iranian Stock Exchange during the years 2009-2019 and analyzed in three stages using ANOVA- FRIEDMAN- OLS methods. In this study, the criteria for measuring the quality of financial reporting are the method of Jones, Dechow and Ball.From the OLS test results, it can be concluded that the information content determination coefficient has the highest value when the investors sentiment behavior is high and the financial reporting quality of the Jones model is average and it can also be stated that according to the test results ANOVA only in the model of financial reporting quality of Jones has the sentiment behavior of investors and the quality of financial reporting has an increasing impact on information content. The results of Friedman test also showed that there was a significant difference between different groups of investors sentiment behavior and financial reporting quality of Jones, Ball and Dechow.

The main purpose of this study was to evaluate the tolerance of returns to the variations of stocks idiosynchratic volatilities, in order to present an explicit response to previous empirical evidences that documents existence of positive or negative relationship between idiosynchratic volatilities and stock returns. The statistical population of study is all active listed firms in Tehran stock exchange during years 2013 to 2018, which among them, 155 firms were active in market in whole period of research and were studied. The data of research were analyzed through regression models with approach of panel data. The results of regression models in testing hypotheses of study showed that the general relationship between stock idiosynchratic volatilities and future stock returns is in a negative direction. But, the more accurate evaluations under second model showed that this relationship is affected by risk tolerance of return and there is a U-shape relationship between idiosynchratic volatilities and future stock returns.

The present study examines the effect of voluntary disclosure of historical and forward-looking non-financial information on sustainability performance and contributes to the existing literature by providing evidence of a definite relationship between the level of voluntary disclosure and sustainability performance in Iran. For content analysis, a checklist tool consisting of 23 components and 186 indicators was used to describe the disclosure criteria. In order to achieve the purpose of the research, the required data of 910 year-company observations (7 years and 130 companies) resulting from the screening process by systematic elimination of companies listed on the Tehran Stock Exchange, have been used in a descriptive-correlational manner from sources such as corporate board reports, financial statements, resource management software and new results with the implementation of content analysis test and multivariate linear regression model. The results showed that there is a positive and significant relationship between voluntary disclosure of non-financial information, historical and forward-looking non-financial information and sustainability performance. These findings indicate that the motivation of companies to disclose voluntary information, especially about the Iranian economy, is very important, because companies must grow economically and therefore their need for capital is high. This study also showed that the level of corporate disclosure continues to increase during the study period.

The present research is applied based on the purpose of the research and qualitative-quantitative in terms of data collection. The research topic is technological entrepreneurship ecosystem in knowledge-based businesses in Tehran and Qazvin Science and Technology Parks. Targeted or judgmental-snowball sampling method was used to select a sample of 15 academic experts. The data collection tool in the field method is three questionnaire, interview and observation. Semi-structured interview method has been used. Validity and reliability of the assessment tool were presented by 6 academic and practical experts in the field of technological entrepreneurship and their opinions were applied to it to correct the cases and after the amendments were approved. Organizing and analyzing qualitative data requires three activities: data summarization, data supply, and conclusion. For this purpose, after conducting interviews with members of the statistical community, qualitative data analysis was performed using qualitative content analysis method and using Atlas T8 software. Quantitative data analysis showed that the path coefficient of the variables of financial technology (fintech) and technological entrepreneurship is 0.532 and the t-statistic is 7.205. Therefore, the proposed model has a good fit.

In the current competitive market, identify the major factors affecting the behavior of consumers is considered very important. Every organization needs to know to capitalize on one of the highest yield will be. The banks with the complex world of competition that they face, they need to recognize these factors. The factors that the manufacturing industry is different. Therefore, banks need to identify its own marketing mix and also have knowledge of the most important factors. Therefore, after reviewing research literature, these factors combined to identify and then using DEMATEL, to rank them and thus introduce the most important factor. According to the results, of which the price and the staff are most effective.

In this study, we investigate the role of investors with long-term / short-term investment horizons, supervise management decisions in terms of characteristics of financing decisions, dividend payout decisions and volatility variables. This research is based on the published data of listed companies in Tehran Stock Exchange during 2008-2009 with a sample of 99 companies selected. Hypotheses were tested using multivariate linear regression model and econometric models. The research hypotheses are based on the combined / hybrid data and the partial least squares approach of the hypothesis test. The results show that, in companies with long-term, short-term investment horizons, management decisions are monitored from the perspective of financing decisions. In companies with long-to-short-term investor horizons, monitoring of managerial decisions is from the perspective of dividend payout decisions. In companies with long-term short-term investment horizons, monitoring of managerial decisions is a profitable variable. In companies with long-term-short-term investor horizons, monitoring of management decisions is from the perspective of volatility variables.

In today's growing, saturated and competitive markets, the insurance industry, like other industries, is suffering from customer churn. Recent advances in communications and technology have led to increased awareness and ease of comparison of insurance policies and services. Thus, insurers are constantly confronted with new offers from competing companies and easily turn to competitors; in other words, they churn. The aims of this research are actually pursued through the following research question. What are the main factors of churn in the Iranian insurance industry? This study is conducted in two phases: qualitative and quantitative. First, in the qualitative phase, 15 experts in the insurance industry are interviewed to identify the factors affecting churn. Then, based on the identified factors in the research literature and comparing them with the results of the interview, 8 main influential factors are identified and finalized. In the quantitative phase, these indices are first weighted by hierarchical analysis technique. Then, the statistical population is determined in the quantitative phase; they included the insurers of the Iranian insurance company, and by selecting a sample of 120, neural network technique is applied to fit the model. The calculated R = 0.74 proves that the eight identified factors (type of insurance, premium, final result of claims, duration of cooperation, payment method, number of installments, number of policies, and number of claims) can best explain the reasons of churn of policyholders.

onsidering that the purpose of the stock exchange is to attract small funds and allocate them to the economy, especially production, so it is necessary to try as much as possible to make it as efficient as possible. The higher the cost-effectiveness of the capital market, the more investors' confidence in stock will increase, and their willingness to invest will increase. So if this confidence and trust is created in the investors, it will increase the possibility of attracting small savings and investments through stock exchange and injection. For this purpose, in this research, we will try firstly to test the efficiency of the Tehran Stock Exchange, and in the next step, suggestions are made to move from inefficiency towards the better functioning of the market to improve the quality of profit. Therefore, in this research, the role of stock market performance in the quality of companies' profits in Tehran Stock Exchange has been investigated. In this study, a sample of 172 companies has been used to measure the company's earnings quality. Multiple regression analysis showed that there is a negative and significant relationship between stock market stock performance and corporate earnings quality. Also, the other result showed that the amount of investment in the relationship between the performance of the stock market and the quality of corporate profits is ineffective.

The purpose of the present study is designing a crowdfunding platform by the way Murabaha. Development the scope and operation of the Murabaha (commodities, services), and most importantly its Islamic and clear legal nature over other contracts, were chosen for modeling. The statistical population of this study is the financial data of credit / facility file of all clients (506 cases) of one of the banks of the country for the year 2018-2019. Because the Murabaha Compiled by the Central Bank And also because of its use in providing facilities, its indicators have been confirmed. Accordingly, the proposed platform was introduced for the first time with three main areas: borrower, bank and lender.To test the model, the queue simulation test was used. The research findings showed, The proposed model reduces the average waiting time from 590 seconds to 30 seconds. Reduces the average number of queues from 38 people to one person per day, increasing system productivity by over 30% And it is a strong reason for the proposed system to work better than existing banking systems.

Social capital as a socio-behavioral factor can keep the problem of excessive costs of the company at a desirable level. Therefore, when a company's social capital is at a high level, managers show less opportunistic behaviors and strive for more cooperation and interaction in the company. Therefore, reducing the opportunistic behaviors of managers through social capital can affect the adhesion of dividends and increase the investment efficiency of the company. Therefore, based on this argument, the present study examines the relationship between social capital, dividend stickiness and investment efficiency. For this purpose, Levy and Lee (2015) questionnaire was used to measure social capital. The hypotheses were tested using the structural equation modeling method based on the information of 83 companies listed on the Tehran Stock Exchange in 2019. The findings of the first hypothesis of the research indicate that social capital increases the investment efficiency of the company. Also, the high level of social capital in companies causes dividend stickiness.

In this paper, a new nonparametric method is applied using the adaptive group LASSO for selecting features and studying which of the features provide incremental information for predicting the cross-sectional expected return. Out of many features mentioned in previous studies, the effect of 36 characteristics on the expected returns of stock portfolios in Tehran Stock Exchange (1396-1387) was investigated.The result of this study shows that only three to five features provide incremental information to predict the expected return on stock portfolios. Therefore, only the return characteristics of 2 to 1 month before the forecast, total fluctuations, beta, maximum daily returns, and the ratio of price to the highest price have the power to predict the expected return on stock portfolios. The rest of the studied features do not have the power to predict expected returns.

the tax organization , like other organizations , is faced with some risks in achieving its goals such as the realization of predicted tax revenues in the course of the annual budgets . there are many time lags in the process of cutting tax cases and finally paying taxes . therefore , this study aimed to design a risk management model of tax arrears with tax litigation approach using grounded theory . this research is qualitative . in the present study , a deep interview was used as data collection tool whose data were analyzed using open , axial and selective coding . in this research for selecting the sample , purposive sampling has been used which is based on the principle of theoretical sufficiency , in the present study using interview16 of this important . the validity of the questionnaire was confirmed by the content validity test ( cvr ) and its reliability was confirmed by cohen 's kappa test ( k ) . the results of the study include identification of causal factors , background , meddling and consequences ,risk management of tax arrears with tax litigation approach and finally presenting the final model . the results indicate that the risk of no doing legal duties by taxpayers , lack of tax compliance , no timely payment of taxes , prolongation of tax proceedings , multiplicity of jurisdictions , lack of optimal use of human resources as causal of risk management of tax arrears ,is known .

The main purpose of this study is to study one of the most important investment funds, the Hedge fund, which has attracted the attention of investors (especially real investors) and scientific circles over the last few decades. This study tries to conduct a comprehensive study on these funds and to obtain a comprehensive knowledge about them, functions, interests and disadvantages of investment. The aim of this research is to study the feasibility of establishing this fund in Iran with a view to the main needs of investors, tools required and legal requirements and to test the feasibility of launching the fund in Iran with the data obtained from feasibility and feasibility study using opinion survey of experts.The results of data analysis show that based on the opinion of experts and the establishment of new financial instruments in the Iranian capital market, including private investment funds (Private equity fund and short sale), it is possible to establish a hedging fund in the country.Keywords: Hedge Fund, Hedging Strategies, Fixed Income Arbitrage, Currency Risk, Interest Rate Risk

Financial solvency is one of the essential components that illustrates financial status of a financial enterprise, at large, or an insurance company to be specific. In addition to solvency ratio, other metrics and indices are also early warning indicators of an upcoming crisis in insurance industry. Therefore, the main purpose of the present paper is to provide a model for an early warning system of solvency for insurance companies and Iranian insurance companies in particular. To this end, a number of indexes and ratios, as independent variables affecting solvency, are selected and classified as economic, corporate, and corporate governance, that distinct this article from other studies. In this respect, the empirical model of research was estimated by econometric method of panel data for 18 Iranian companies during 1387-1396. The results of the research depict that interest rates with one-period delay and the change in board of directors have the most and the least impact on Iranian insurers’ solvency, respectively. Also, due to its cube strength, the impact of loss ratio differs in various quantities. Moreover, all hypotheses that are based on meaningful impact of variables on financial solvency of Iranian insurers are verified; including macroeconomic (inflation rate with one delay), interest rate (with one delay), economic growth (with one delay), corporate variables (ratio of investments in risky assets to all assets), loss ratio, the Herfindahl–Hirschman Index, and corporate governance (percentage of major shareholder’s ownership and change in board of directors) along with international economic sanctions.

The present study investigates the prevalence of parallel capital market revolts on stock exchange trading industries. In this study, the overflow of stock exchange industries has been measured separately for export and import-oriented parallel markets of currency and gold. In this regard, the autoregressive vector analysis (VAR) method and the autoregressive model conditional on the heterogeneity of multivariate generalized variances (MGARCH) have been used. The data of this research have been collected and tested using Eviews software from the beginning of September 2015 to the end of August 2016. The method of the present study is based on the classification of research based on the method, nature and direction of descriptive, applied and post-event, respectively, and is considered as a correlation in terms of type.The results of this study confirm the relationship between the effect of the overflow of export-oriented stock exchange industries from the parallel foreign exchange market; However, the research results of this overflow have not been confirmed by the parallel gold market. In this regard, the effect of the overflow of import-oriented industries from the parallel markets of currency and gold has not been confirmed. The side findings of the present study also show that there was a positive and two-way relationship between the two markets of currency and gold in the period under study.

Investigating the probablility of rare events occurring (events that occur with very low probability) is an important issue in portfolio risk management. extreme value theory of value provides the mathematical basis for modeling these events and calculating the risk criteria associated with them, such as the value at risk. The purpose of this paper is to model the dependency structure andextreme value theory of 10 foreign exchange companies of Tehran Stock Exchange (Persian Gulf Holding, Bandar Abbas Refinery, Mobarakeh Steel, Topico, Ghadir, Parsian Oil and Gas, Melli Mes, Gol Gohar, Mobile Communications, Chadormelo).The results indicated the fact that among the stock returns of the top 10 companies evaluated, it is possible that using extreme value theory of value using vine Copula functions, the results of the forecast were greatly increased. Results of the copula function in six modes: simple Copula (t), time-varying Copula (tDCC), and Gaussian distribution-based time-varying Copula (GDCC). tvSJC) was investigated. In all six cases, the use of the Copula -wine method increased the accuracy in predicting optimal stock returns.

The aim of this study is to investigate the effect of Economics Uncertainty on speed of adjustment to target leverage of listed Companies in Tehran Stock Exchange. These Four criteria have been used for measure of Economics Uncertainty in our tests: GDP growth, inflation rate, exchange rate and interest rates. Using ARCH and GARCH For this purpose two hypotheses are developed and data on the 142 companies in Tehran Stock Exchange for the period of 1389 to 1397 were analyzed. For This regression model using Two-step regression Fama-MacBeth, reviews and tests. The results showed that the criteria of Economics Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) has significant positive impact on speed of adjustment to target leverage. Moreover, the results showed that the effect of Economics Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) on speed of adjustment to target leverage in firms with a above-target leverage adjust their leverage More than in firms with a below-target leverage adjust their leverage.

The purpose of this article was the role of management's expected profit on the investment efficiency of companies listed on the Tehran Stock Exchange. The literature shows that with increasing accuracy of expected profits, investment efficiency increases and abnormal investment decreases. The present study was reviewed among 457 companies listed on the Tehran Stock Exchange in the period 2013-2021. In order to analyze the relationship between variables, the panel data method has been used. The results of this study showed how the expected profit of management, which is estimated under the direction of management expectations, affects investment efficiency. The effect of expected profits on abnormal investment through underinvestment and overinvestment was also examined. The results showed that the expected profit of management had a significant effect on under-investment and over-investment variable.

Iran Stock Exchange has developed a lot in recent years. Today, the importance of forecasting and its benefits for decision-making and policy-making from various dimensions, especially in the field of investment, is not hidden from anyone. Risk is one of the first concerns of investors and is an important criterion in decision making. Value at risk as a risk measure has given way to measuring a variety of risks, but despite the high efficiency of this model due to some shortcomings, including the lack of aggregation feature of a coherent risk measure. Conditional Risk Value (CvaR) is considered as a coherent risk measure that has recently been welcomed and has been proposed as a useful tool for measuring risk.To predict the risk, various models have been presented so far, each of which has its strengths and weaknesses. Some of them are weak in terms of lack of appropriate theoretical foundations and others have not shown proper efficiency in practice despite using appropriate theoretical foundations. Provide adequate empirical risk assessment that helps both investors and anticipate unexpected risks that may threaten companies. In recent years, much attention has been paid to the application of neural network models and hybrid models. In the present study, a combined model of coherent risk prediction is presented and developed using fuzzy neural network inference system (ANFIS) based on Markov switching models and Garch family models.