نشریه چشم انداز مدیریت مالی
پیاپی 13 (بهار 1395)

Interaction with elements of the market economic system is one of the important issues in the capital markets. The impact of macroeconomic variables on the performance of the stock market has been considered as an important issue. In general, economic variables have two parts, micro and macro. Micro variables in company and industry level, includes the composition and structure of the company`s assets and liabilities, financial ratios and profit margins of firms and so on. Macroeconomic variables includes interest rate, exchange rates, oil prices, industrial production index and so on, are not related to specific company or industry and related to total market. According with the significant impact of macroeconomic variables in the stock market, financial analysts trying to identify the most important variables affecting market performance so that they can provide better predictions. This research intends to investigate the impact of macroeconomic variables such as exchange rates, interest rates, inflation, money supply, the industrial production index and world oil prices on the stock market index, market capitalization and market turnover. Therefore, monthly data collect from September 1998 (Mehr 1377) to September 2014 (Shahriver 1393) and using Granger Causality, Johansen Co-integration, Correlation and Regression test and Impulse Response test for data analysis. The regression analysis show, the exchange rate bank and current exchange rate, interest rates and oil prices positively correlated with the stock market index and exchange rate bank, industrial production index and inflation and money supply, a negative correlation relationship with the market capitalization. Also, the bank exchange rate, inflation and industrial production index is positively correlated with stock market trading volume. According to Granger causality test, one-way causal relationship between macroeconomic variables to the market capitalization and market turnover, there is no causal relationship with stock market index.

Rational investment decisions needs attention to criteria and different factors simultaneously. Goal programming can be used to achieve this Purpose. Goal programming is used widely in management science due to the flexibility in the assessment of the decision with multiple objective contradictory and vague information. In this paper, differences in stock selection and the results of the Markowitz model and goal programming model is shown. Measures Common minimize risk, maximize revenue, be positive skewness of the revenue portfolio, be negative elongation of portfolio risk and a measure of economic value added and dividend separately in two stages are considered as the model's ideal. Using analysis hierarchical process (AHP) was comparable to the level of importance of the criteria. For this reason, Information of 10 participants from 30 best companies in the Tehran Stock Exchange were used. Statistical analysis and solve the model has been by Using spss software and lingo software. According to the results, goal programming model, greater efficiency compared with Markowitz model to provide investor.

In every economic system regarding depth and span of both real and financial markets, managers are faced with varied opportunities for future investments, which are mostly expressed as option theory concepts. Since, volatility of returns in some cases are affected by these type of decisions, the aim of this study is to clarify the real option theory and its effect on volatility of the underlying asset (stock). Volatilities of the underlying assets return were calculated based on the standard deviation of stock returns. In this research, firms’ real options were also calculated based on four measures including: firm size, firm age, sale revenue growth and the ratio of market value to book value. The results of multiple regression and logistic regression models using data from 63 companies in the sample between 2004 and 2013 show, % 95 confidence level, variables which affect real option, will also affect the volatility of the underlying asset. More the amount of real options for a company gives the stronger effect.

Returns along with risk are the most important investment criteria. Asset of enterprises are the main sources of value creating for stockholders. Investors in stock market, consider some factors in asset pricing which affect their returns. This paper investigates fundamental factors affecting bank’s stock returns. Return on assets ratio has emphasized in this paper and our search is going to study banking profitability in their stock market return through extention of ROA ration. In this paper using panel data, the relationship between returns on assets and other fundamental factors on stock returns were examined and finally through Bayesian vector autoregressive relationship between bank’s stock returns and their fundamental variable were studied. The results show that stock returns of Iranian banks has a significant positive relationship with its one period lag, net income to total operating revenues, ratio of total operating revenues to net interest income and significant negative effects with net interest income to interest income and bank size.

Recent economic crisis of 2007 and 2008 focus on working capital management in all companies is being considered again. Given the importance of business cycles on the working capital of the companies in the study of business cycles on the relationship between working capital management and profitability has been paid. In this study, two criteria to measure operational profitability and return on assets and gross profit, a total of 200 companies were selected as the sample for the period 91-1380 the total year 2218 the company was created. Results show that the impact of business cycles on the relationship between working capital and profitability in terms of economic prosperity is leading the economic downturn. Also the additional results show that the importance of the cash conversion cycle management and collection period increased demands in terms of economic prosperity, as well as efficient management of inventory and accounts payable payment period is reduced in terms of economic prosperity. Overall, the results show that working capital management is essential and critical for companies. And so, companies should consider it in their financing plans.

Islamic banks are able to maximize their value from the sale of Murabahah on housing debt in order to manage their risk arising from fluctuations in interest rates. This paper shows how a risk management mechanism through selling debt can affect the value of Islamic banks. A tractable theoretical model is developed to maximize the Islamic banks’ values from the sale of housing debt financing in order to hedge against fluctuations in interest rates. Our findings showed that Islamic banks could improve their earnings and rectify the problem in aligning their assets and liabilities through the benefits of debt selling. A rise in the market interest rates leads to an increase in the base financing rate and the mark-up rate in Islamic banks, since market interest rates serve as benchmarks in determining profits or mark-ups. If the Islamic banks engage in debt selling to decrease their risk exposure, their earnings or value may be amplified since they have the opportunity to undertake other positive NPV projects from the payoffs on the murabahah debt selling.

Choosing the right stocks to buy and sell in order to earn more income investors in the stock market is the most important issue, despite the fact that in the current situation many investors to buy shares on market rumors and unofficial news altogether. In this study using techniques DANP and VIKOR to select stocks for investment which means the First, the process of analyzing lattice parameters were calculated based on the weight of expert opinion and then studied The data evaluated 30 companies from the Archives unit and the website of the stock exchange and financial statements of firms that in 1391 the highest P / e ratio and are collected and then use the techniques VIKOR firms are ranked. The criteria used in this study in four categories of profitability criteria (including return on equity, return on assets, net profit margin, operating profit margin and earnings per share) growth standards (including potential growth rate, the growth rate of earnings per share the growth rate of net profit and income growth rate), risk factors (including market risk, business risk and financial risk) and standards were developed and marketing. This is an applied research regarding the purpose and the nature and method of collecting data, the type is descriptive and case study.