فصلنامه بررسی های حسابداری و حسابرسی
پیاپی 62 (زمستان 1389)

The purpose of investment in common stock is earning a reasonable return. The stock return is comprised of two parts, capital gain yield and dividend yield. Therefore, the stock price or the price change portion of a stock's return is a criterion in common stock investment decisions. This research investigates the relationships between accounting variables and companies’ features and stock prices of the companies listed in Tehran Stock Exchange. For the investigation, we obtained a sample of 92 companies for years 1380-1386. We study the accounting variables of: book value per share, return on assets, assets turnover ratio, operating cash flow per share, earnings per share. The companies’ features that we investigate are prior period stock price, company size, and age of the company. This research uses a hierarchical Bayesian model and maximum likelihood estimation of the random effects model. The results show that there are positive relationships between stock price and the three variables of earnings per share, return on assets, and prior period stock price. Also the results show no relationships between stock price and the variables of operating cash flow per share, age of the company, and assets turnover ratio, however, there is a negative relationship between stock price and company size.

: This paper show the effect of corporate governance and audit quality on the credit cost of listed companies in Tehran stock exchange. Financing system in Iran is bank oriented, but banks and other financial institutions have little share in corporate governance structure of companies. So they may attend about the controlling quality and quantity procedures exerted and also the quality of financial reporting. Therefore it is expected an adverse relation between cost of debt and quality of corporate governance which result from efficient monitoring of the board of directors and institutional block shareholders and audit quality. Our result on the basis of the 119 companies of Tehran stock exchange between years 1382 to 1387, and using pool data regression method with Eviews3 program, shows that existence of the institutional block shareholders in shareholders composition of the company and efficient monitoring of them has a meaningful decreasing effect on the cost of debt of the statistical companies, but the audit quality has no effect.

Analyzing the stock market via different methods is an essential component for forecasting the future events. One of the most recent methods for this analysis is the Complex Network notion. Complex Network is a new concept in quantitative science in order to have a complete look on the market. This method is useful for both scientific and practical purposes such as assets allocation and portfolio risk management. This is based on modeling the price fluctuations of stocks and the effects of them on each other. In this article, in order to constructing the network of Tehran Stock market, the threshold method is used. The most noticeable points are the appearance of high systemic risk in thresholds that are nearby the mean of correlation coefficients and increasing the component number in the stock correlation network. This analysis shows that Tehran Stock market is a Scale-free network in a specific threshold interval and it obeys a Power Law distribution. So this network is composed of small quantity of Hubs (vertices with large degree) and large quantity of vertices with small degree. This matter would be useful for portfolio risk management.

In this paper, we will intend to introduce a new model of capital asset pricing model which is called Revised Capital Asset Pricing Model. First we calculate degree of economic leverage. We investigate five economical variables (Inflation rate, financial expenditure, unemployment rate, exchange rate and export) for calculating DEL. Then by combining Capital Assets Pricing Model with leverages (financial, operational and economic leverages), we found a new model which in title Revised CAPM (R-CAPM) and compared the model with traditional CAPM, Downside capital asset pricing model and Adjusted capital asset pricing model. We compared these models through experimental testing, for the case of 67 firms listed on the stock exchange of Iran for the period 2000-2007. For testing the research hypotheses, liner regression, Friedman and Wilcoxon Test is used. After theoretical conceptual studies, it was confirmed that there is a meaningful difference between measures of the R-CAPM expected return and the other models expected return. The best model which can use for predicting expected return in Iran stock exchange market is R-CAPM.

The Agency Theory is one of the interesting debates that it devoted itself many research in financial literature. Based on agency theory, this study explores agency costs as a determinant of dividend policy. Since the shareholder rights are related to agency problems and thus also to corporate governance; Therefore, this paper tend to investigate relation between dividend policy and corporate governance, as tools for solving agency problems. This study is descriptive-correlation based on panel data analyzing. The 125 firms existing in Tehran Stock Exchange have selected as sample for time period 1383-1386. also, Corporate governance index, counted based on check list that divided to eight category disclosure, Business moral, train, compliance of company law, auditing, ownership, board of directors structure, assets & liquidity management. The finding shows, there is significant and negative association between dividend policy and corporate governance. This finding emphasis that manager of stock exchange firms use dividend for taking reputation and making credit and corporate governance has effective role in dividend decisions.

One of the primary assumptions of management accounting expresses that changes in costs are proportionate with increasing and decreasing the level of activity. This hypothesis, however, has been challenged recently by Anderson and colleagues [3], who state that the amount of the rise in costs with increasing the level of activity is more than the amount of fall in costs with equivalent amount of decreasing the level of activity. In essence, the goal of this research is to study the amount of the cost stickiness in the Tehran Stock Exchange by analyzing the administrative, general and selling costs. Precisely, the major aim of this research is finding appropriate responses for the following inquiries: 1- Whether administrative, general and selling costs are sticky? And 2) if the preeding costs are sticky, what is the amount of their severity? The statistical results of this research, which are based on the data derived from companies listed by the Tehran Stock Exchange in a 10-year period (from 1377 to 1386), indicate that when sales is increased by 1%, the administrative general and selling costs is also increased by 65%. However, when sale is decreased by 1%, the administrative general and selling costs is also decreased by 41%. These results hold for 50 active firms and for different industries. In this research, the degree of cost stickness in different firms and in different periods of time have also been evaluated. The results show that the degree of cost stickiness is lower in periods of times in which sales reduction has occured previously. Furthermore, cost stickiness is more intensive for those firms which maintain a higher ratio of total assets to sales.

This study seeks evidence on whether the return series on Tehran Stock Exchange (TSE) is independent and follows the random walk model. Two hypotheses introduced to attaining this goal. First, Price series follows the random walk model and are independent. Second, Price series of investment companies are random series. The sample primarily includes 50 active listed companies’ daily price and daily price index and Investment Company’s daily price on the TSE over the period 1999 to 2009. The results of both non-parametric (Kolmogrov—Smirnov: normality test and run test) and parametric test (Autoregressive model, ARIMA model) provide evidence that the security returns do not follow the random walk model and the significant correlation coefficient at different lags reject the null hypothesis of weak-form efficiency. In other words, investors can’t achieve extra return using historical return and price information.