نشریه تحقیقات مالی
پیاپی 44 (زمستان 1395)

Finding the best method to optimize Portfolio, has been found more value in investment management industry after publishing harry Markowitz’s article in 1952. It caused to find various new method related to portfolio of stock exchange. In this article, portfolio is optimized by two new model of Goal Programming, Meta-Goal Programming & Extended Lexicography Goal Programming. Our goal is to maximized the Rate of return & Liquidity, and minimize risk & beta of the stock in the models. This research has been done in Tehran exchange market. At the end, resulting values would be compared. The rate of return for ELGP model is 21/678% and for Meta-GP model is 20/178%.

The trend of the stock price index, has taken as one of the investment criteria consistently. Because of the two components of nonlinear and time series price index volatility, in this study, a new hybrid model presented that can predict move and change of these two components of the trend of the index with the highest accuracy. In this model, at the first by using wavelet transform the index time series splits into six separate time series index which represent the characteristics of nonlinear and volatility of index. Then the derived time series with nonlinear behavior by combining the support vector machine and particle swarm optimization (SVM-PSO) and time series behavior based on index volatility by using GJR models predicted and then by accumulating results of two nonlinear and volatility of price index prediction component, price index time series estimates. The results show that the proposed hybrid model, in comparison to other forecasting methods, has fewer errors and higher accuracy.

One of the most significant functions of an efficient Islamic financial system is to support the real sector of economy. Such a system must consolidate the real sector of economy and also meet continually its basic needs. In order to attain this objective, we need to design and make use of appropriate and effective financial instruments to finance companies and projects. At the moment, we do not make favorable use of these instruments in Iran. Given the present circumstances; if we design a financial instrument based on Istisna contract, we will be able to finance the major projects available in both private and public sector. This research, intend to design Istisna sukuk through using a rational analysis based on comparison of financial models and to provide the possibility for operationalizing this instrument in Iran’s financial market.

This research aims to develop a domestic model to rank Iranian banks based on their function to evaluate soundness and stability. For this purpose, after studying the related literature, a model with six dimensions and thirty factors is designed and validated using Delphi-Fuzzy method. This resulted in a model with six dimension and twenty six factors. Then, using network analysis and applying Dematel technique, the final model and the weights of each factor were determined. We used the model to evaluate the performance of the several banks in year 1393. And then they were ranked by using TOPSIS technique. The results show that Pasargad, Khavarmiyane, Karafarin, Dey and Sina banks had better function in comparison to other studied banks in 1393..

This paper examines the relationship between mutual fund manager's ownership and the disposition effect, by using the 24 accepted mutual funds in the Tehran Stock Exchange for the period of 2011 to 2015, we investigate the effect of mutual funds’s types of ownershipon their disposition effect by applying Generalized Method of Moments (GMM) and Generalized Least Squares (EGLS) methods of estimations. Ownership structure is divided into four categories including: foreign ownership, corporate ownership, institutional ownership and management ownership. Kao cointegration test results confirm Long-run relationship among variables. Results also show Funds with managerial ownership exhibit significantly less disposition effect than those without, and the disposition measure decreases with manager's percentage ownership. We also find that the disposition effect is positively related to the degree of board independence. In addation results don’t confirm the effect of corporate ownership on mutual funds’s disposition effect.

Fama and French five-factor model (2015), is a response to inconsistencies that have been observed in Fama and French three-factor model empirical tests. Five-factor model adds profitability and investment factors to three-factor model. This paper is aimed to analyze the performance of five-factor model in Tehran stock exchange and uses GRS test to compare five-factor model with former three-factors (market premium, size and value). This test is based on regressions estimated intercept analysis. These estimates has been made with three portfolio construction templates and measuring of studied factors with different patterns. Based on results of this research, by controlling profitability and investment factors, three-factor model still perform better for explaining excess returns of studied portfolios. Also, two added factors don’t increase performance of the model.

In recent decades the world economy has witnessed vast changes that mainly occurred because of the emergence of factors that make up globalization. The purpose of this study is to evaluate the impact of financial globalization on stock return. In this respect, total foreign direct investment and investments in portfolios are employed as indicator of financial globalization. Also, among the other macroeconomic variables affecting the stock return, GDP, liquidity, inflation, market exchange rate and oil revenues are considered. This study applies the Bounds test and Autoregressive Distributed Lag (ARDL) models for Iranian economic during 1997-2015. The results provide a positive relationship between financial globalization and stock return. In other words, expansion of financial globalization lead to increase in stock return in Iran.

Perceptual errors is an important factor for investors in financial decisions that affect their decisions when dealing on the stock. The aim of this study is to identify errors common perception among investors and its impact on their investment decisions. For this purpose, 300 person were randomly selected for samplefrom investors Tehran Stock Exchange. The data was collected using a questionnaire. Truth hypotheses were tested using factor analysis. The findings indicate that cognitive errors influence on investment decisions. The results showed that Representativeness error 19 percent, error overconfidence 31 percent and 29 percent state error morale impact on investment decisions.