فصلنامه بورس اوراق بهادار
پیاپی 59 (پاییز 1401)

This study intends to investigate the role of Religious Months on the relationship between Investor Sentiment and The Risk Of Crashing Stock Prices by emphasizing the role of corporate governance. The specific Religious Months in this study include holy months of Ramadan and Muharram. In this study, variables in corporate governance include The CEO tenure, CEO duality, board independence, board ownership, audit firm size, and institutional investors’ ownership. The research sample consists of 132 companies observed over a period extending from 14/8/1392 in Solar Hijri calendar (SH) (or 1/1/1435 or first of month of Muharram in Islamic calendar (AH)) to 19/6/1397 in Solar Hijri calendar (SH) (or 29/12/1439 or last day in month of Dhu al-Hijjah in Islamic calendar (AH)). In this study, Multivariate Regression Model for panel data was used to analyze the data and test the hypotheses. The research results indicate a significant difference between Investor Sentiment, on one hand, and stock returns on the other hand during Islamic months of Ramadan and Muharram compared to other months. Also, corporate governance was found to have a significant impact on the relationship between investor sentiment and stock returns. In other words, in case of companies with higher corporate governance levels, investor sentiment tends to have a more favorable impact on stock returns.

In behavioral economics, it is assumed that people's behavior is not complete and that there is a possibility of irrational behavior in people's decisions. One of these behavioral biases is known as mass behavior. The present study collected data related to the research with the aim of investigating the effect of interest rate fluctuations and exchange rate changes on the mass behavior of corporate investors. The research method is applied and the statistical method used includes multivariate panel regression pattern. To test the research hypotheses, financial data of statistical sample including 116 companies listed on the Tehran Stock Exchange from 2013 to 2019 and have been collected on a monthly basis. The results showed that there is a positive and significant relationship between mass behavior of investors and rising interest rates; There is also a positive and significant relationship between the mass behavior of investors and rising interest rates in markets with low market index. While no significant relationship was found between the mass behavior of investors and the increase in interest rates in markets with high market index. Also, the findings showed that there was a negative and significant relationship between mass behavior of investors and exchange rate decline in markets with low market index, but there is no significant relationship between mass behavior of investors and exchange rate decline in markets with high market index.

In the past decade, In order to develop corporate governance in Iran, regulatory authorities such as the Central Bank of the Islamic Republic of Iran (CBI) and the Securities & Exchange Organization (SEO) have mandated establishment of Audit Committee(AC) in companies and credit institutions through issuing guidelines and requirements. Due to immaturity of AC in Iran, there are many obstacles and challenges in front of it and on the other hand, many aspects of AC, including the challenges of its implementation in Iran, are less explained. Many aspects of the AC in Iran, including the Audit Committee Effectiveness (ACE) and it's obstacles and barriers, have not been clarified yet. Also, limited areas of the Audit Committee’s Challenges (ACC) and barriers have been considered in previous research. In order to explain and describe the various aspects of ACC and it’ s improvement strategies, by using the qualitative approach and Grounded Theory(GT), AC multi-stakeholders were studied for the first time in Iran. In this regard, 34 Participants were interviewed. In addition, 31 papers and seminars which published in Iranian professional magazines that reflect the viewpoints of the above-mentioned stakeholders were also used and analyzed. The data were analyzed by using the open coding, axial coding & selective coding approach that are specific to the GT and major categories, categories, and subcategories (concepts) were extracted. The ACC model as an emerged theory was designed. The model incorporates multidimensional of ACC.

Clearing houses are considered a key element of capital markets and one of the most important risks associated with clearing houses is the risk of brokers defaulting on clearing transactions. Therefore, this study with the aim of identifying the factors affecting this risk tries to provide a model to identify and prioritize these factors. For this purpose, after studying the available resources, using interviews with experts and analyzing its content, the relevant conceptual model was prepared and then the model was validated by collecting the opinions of experts through a questionnaire and confirmatory factor analysis. These factors were also prioritized based on Friedman test. Thus, based on the analysis, the factors affecting brokers' settlement risk are divided into four dimensions: broker performance (the most important dimension), interactions and contracts between brokers and banks, customer performance, and infrastructure and market variables, which include a total of 10 components. Issues related to the weakness of the legal infrastructure are the most important of these components.

Active Banks in the recent economic environment are obliged to encounter in a massive gamut of risks which are closely following them. If cash is regarded as cash at hand, then Liquidity risk is a kind of loss which arises of lack of fund or more specifically endured loss originating from inability of funding required capital in a reasonable way or selling off assets or being forced to have them pledged in order to cover solicited or unsolicited commitments. Hence Liquidity risk is comprised of economic loss incurred due to of providing cash and is deemed vital for operational activities of enterprises. Liquidity Mismatch in banks or maturity mismatch of sensitive assets to cash or debt may culminate in divergent of cash inflow or outflow during elapse of time which is actually stressed as Liquidity risk. Quarterly performance of 23 quoted banks in either Tehran Stock Exchange or Iran Farabourse are executed to model forecasted Banks’ Liquidity risk by means of implementing Artificial Neural Network algorithms. Applying genetic algorithm and Levenberg algorithm helped utilizing the best Training method and subsequently by facilitating Principal Component Analysis (PCA) method, we managed to optimize independent variables. Finally having hidden layers been determined and exercising calculations by Bayesian network model, the Artificial neural network is modeled and tested. All the mentioned process is performed by MATLAB software. Eventually fulfilling the asserted stages, a robust model for anticipating listed banks’ Liquidity risk is developed and findings of models for forcasted data is elaborated.

The purpose of this research is Presenting CEO's Inertial Self-Concept Model in Not Reflecting Negative News to The Capital Market. This study, which was developmental in terms of result methodology and a combination of data type criteria, consisted of three Meta-synthesis to identify components and themes; Delphi analysis was used to determine the theoretical adequacy in the qualitative part and systematic representation analysis was used to present the CEO's inertial self-concept model in reflecting negative news to the capital market in the quantitative part. The results in the qualitative section showed that the approval of 17 themes in the form of three main components of the inertial self-concept of the CEO's vision; Inertial self-concept of CEO performance; The CEO's psychological inertial self-concept. The results in the quantitative section separately identify the most important stimulus and consequence in the component of inertial self-concept of the CEO's insight. On the other hand, an important stimulus and consequence of the inertial self-concept of the CEO's performance was the existence of poor accounting standards in disclosing bad news and the incompatibility of stakeholder information needs with the culture of information desirability in disclosing bad news. Finally, it was found that the two themes of the CEO's external control in disclosing bad news and the CEO's lack of self-confidence in disclosing bad news are the main drivers of psychological inertial self-concept.

In this research I investigate the impact of opportunistic financial reporting on peer firms’ operational efficiency. By concealing the weakness of the rival firms’ economic performance, opportunistic financial reporting causes peer firms to be misled in interpreting signs related to the future economic conditions. This situation results in incorrect evaluation of investment opportunities, and thereby, lead to non-optimal capital expenditure decisions. The results, based on the data of 212 firms listed in Tehran Stock Exchange during the years 1388-1400 (1,666 firm-year observations), show that peers’ operational efficiency declines after rival firms misstate their financial performance. However, not all peer firms are homogenously affected by the negative impact of opportunistic reporting. Peer firms with poor past performance suffer less from the negative effects of opportunistic reporting. Rival firms’ opportunistic reporting can motivate the firms with poor performance to a more optimal level of capital expenditures, and thus, increasing the operational efficiency. In addition, the results show that the effect of opportunistic reporting is weaker when the peer firm is an industry leader, because, they are less likely to mimic the policy of less successful firms.

As a significant source of financing resources, the stock market plays a vital role in directing savings to the productive sectors of the economy in all countries. Therefore, the study of factors affecting this market is of particular importance. The primary purpose of this paper is to investigate the effect of Noise Trading and the withdrawal of the United States from the Joint Comprehensive Plan of Action (JCPOA) on the return of the Tehran Stock Exchange Market. The sample includes 248 companies listed on the Tehran Stock Exchange selected by systematic removal method, and the data has been collected from the Rahavard365.com website and the Tehran Stock Exchange Organization website. Empirical results based on pooling data and estimate by generalized least squares (GLS) method during 2011-2018 applying for the STATA (15) software showed that United States withdrawal from JCPOA, herding behavior, and company size have a significant positive effect on the return of the Tehran Stock Exchange Market, While the noise trading has a significant negative effect on this return

Predicting crises and price jumps in the stock market and based on different models has been growing over the last decade. Due to the presence of big data, this issue has led to the growth of developments in the field of machine learning and deep learning models. Due to the importance of this issue, This study examined the ability of different machine learning models to predict the jumps in the total index of the Tehran Stock Exchange during the period 2013 to 2020. For this purpose, first stock market jumps were extracted based on the ARJI-GARCH approach and then these jumps were predicted by considering the possible effective variables including global and domestic markets. The prediction results of 1-, 3-, and 6-day periods for the out-of-sample period show that the machine learning method based on the long short-term memory (LSTM) network, a recurrent neural network, has a better result than other models.

Venture capital is a type of financing and one of the financial institutions of the capital market that deals with financing combined along with the technical management of knowledge-based companies. The context of this method of financing focuses on investing in property based on innovative ideas aimed at commercializing them. It is important to examine the structure of this financial institution, which is formed in the form of a ‘venture capital fund’. Because it is the structure of the fund that determines the overall framework of its activities and draws the rights, duties and responsibilities of its pillars and which, among other things, clarifies the answers to these questions, firstly, what is the overall framework of the fund and its components; Secondly, the financing is provided by which group of partners, and on the other hand, by whom is the fund managed And thirdly, what is their level of responsibility; The results of this study indicate that in that in American and British law, the venture capital fund has a kind of non-corporate structure_ versus the organization of the commercial company_ knows as limited partnership. In domestic law, the mentioned structure is also the basis of adaptation. The structure is formed from two components of limited partners and general partners; Limited partners are responsible for financing and have limited liability and general partners manage fund operations and have unlimited responsibility.

The perpus of this research is evaluating the Integrity of Green Tax in the Presence of the Values of Thick Decision. In this research, in order to identify the components (consequences of glass ceiling) and research propositions (hegemonic of power acceptance), a combined analysis was performed with the participation of 15 accounting experts at the university level and In the quantitative part, the components and propositions identified in the form of matrix questionnaires were evaluated by 22 CEO in Capital Market. The results showed that the statement of social responsibility in decision making (B2); Reducing conflict of interest in decision-making (B5) and legitimacy in decision-making (B6) are the most influential philosophical themes in crowdfunding decision-making at the capital market level, which reinforces the consequence of reducing environmental pollution as a component of green tax sustainability. This result suggests that crowdfunding decision-making, which describes the pursuit of a significant level of pluralistic social values, reinforces the implications of green taxes for the future, as companies increase their social responsibilities by expanding their social responsibilities to strengthen productive infrastructure. Reduce themselves and, through the disclosure of voluntary information in the form of financial statements, enrich social confidence and trust through insight into congestion decisions.

The purpose of this study is to develop a model for supporting micro-investors in the Iranian capital market with emphasis on financial institutions. The faculty of the university and the people working in the capital market supervisory pillars, by using the research method of grounded theorizing and analyzing the data obtained from the interview, the effective factors on protecting the rights of investors have been studied. Also, using open, central and selective coding, concepts, categories, characteristics and dimensions of categories were extracted and the mentioned categories were classified into causal conditions, strategies, intervening conditions, contextual conditions and finally consequences. The obtained model was approved after refinement by presenting to five faculty members, four of whom had not previously participated in the interview. The results of this study showed that factors such as financial support, legal support, media support, educational support, cultural support, information transparency support, investor accountability support, regulatory support, reporting transparency support, quality support Accounting and corporate governance can build trust in the capital market and encourage small investors to operate in the capital market.

Returning the leverage to the mean despite the decisions to adjust the company's financial leverage is an obstacle to achieving the right choice of the optimal leverage, which can affect the future earning ability growth and prices of companies. Therefore, the main purpose of this study is to investigate the effect of the phenomenon of mechanical mean reversion of leverage ratios on earning acceleration strategy and price acceleration returns. The variable measurement of the mechanical mean reversion of leverage ratios is done using the bootstrap simulation method. For this purpose, a sample consisting of 1248 years-listed companies on the Tehran Stock Exchange during the years 1387-1388 has been studied using multivariate regression. In order to analyze the data and test the research hypotheses, R software and Ives software were used. The results showed that increasing the phenomenon of leverage reversion to the mean reduces the acceleration of earnings and the phenomenon of mechanical reversion of leverage to the mean can be confirmed for Iranian companies. The results also showed that reducing the phenomenon of mean mechanical reversion to the leverage can lead to price changes in the time horizon of 3 and 6 months; However, in a one-year period, the acceleration of the price is not effective in obtaining additional returns.

Emerging capital markets have limiting regulation such as price range in order to control dark impacts of market excitement and prevent extreme price volatility & market collapse. However, price range due to impose price limitation on timely reflection of information can make serial correlation and false rejection of capital market efficiency. The purpose of this paper is to evaluate weak-form capital market efficiency in Iran considering price range regulation through static & dynamic (time varying) models. Using TEPIX index time series data from 2006 to 2018 in some longer time frames (i.e. returns computed daily, weekly, and in 10-days’ time) we investigated the significance of ARMA-GARCH coefficients. The results of state space models & timeline figures of the coefficients could document capital market efficiency after eliminating (or diminishing) the impact of price limit in wide window returns. The results also explain some improvement in weak-form efficiency since 2006 along with market development degree.

The main purpose of this study is to investigate the role of accounting comparability as an intra-organizational factor on pricing considerations of information environment issues such as information uncertainty and information asymmetry. In this study, two criteria have been used to measure information uncertainty. Based on the standard deviation of cash flows by the matched company (MF) method, the first criterion of information uncertainty on the model presented by Larson and Risatek is based. To measure the second criterion three different indicators were used, and then factor analysis method was used to convert these indicators into a single criterion. Information asymmetry is also measured based on the two indicators of accruals quality and sales gap. Also, the expected return of shareholders has been calculated based on the 5-factor model of Fama and French, for pricing these issues. For this purpose, data related to companies listed on the Tehran Stock Exchange have been extracted, for the period 1388 to 1397 and a combined regression model has been used to test the research hypotheses. The results show that the comparability of profits and cash flows leads to changes in returns due to information uncertainty and information asymmetry.Thus, investors and users of financial information in the Iranian capital market as well as standard formulators should pay special attention to the importance of comparability of financial reports as a qualitative factor among organizations; this is because it reduces the effects of information environment interference on the decision-making of users of financial information.

The novel theory of the portfolio optimization has developed based on the fundamental Markowitz model. The Markowitz model is unique in terms of theory, but its weaknesses prevent the use of this model in practice. In this model, the return rate is extracted based on past data, but in this research, future scenarios related to return rates has been used in the investment process. The Markowitz model and its subsequent generalizations are multi-objective. In this study, from the development approach of Zimmermann's multi-objective optimization approach, that has fuzzy like structure, has been used. Also, for confront with the uncertainties from a robust optimization approach based on minimization of regret, has been used. In other words, first describe Zimmermann's model by considering the scenarios and specific weighting combinations, for the two purposes of minimizing risk and maximizing return, and then the minimax regret solution has been calculated with respect to the considered scenarios and weighted combinations. In the end of this paper, in order to evaluate the performance and validation of the proposed model, it has been implemented in Tehran Stock Exchange.