نشریه چشم انداز مدیریت مالی
پیاپی 18 (تابستان 1396)

Different commodity markets and types of financial assets get volatility in economic condition. In many cases, the volatility transmits from one market to another. Studying volatility spill-over among equity, exchange and gold markets is this research main purpose. Modeling volatility contemporaneous transmission between above-mentioned markets has been done by using structural vector autoregressive (SVAR) model and maximum likelihood estimation method. Impulse response functions whit shock effects timing implied that shock effects of variables on each other will be eliminated offer six months. After ensuring the absence of variance heteroskedastisity in residual series with Engel's ARCH test, the results of the model regression with conditional GARCH for SVAR model residuals show variables significantly depend on one period lag. In SVAR model the correlation between dollar and gold coin during the time is approximately equal to one and the correlation between index and dollar as well as index and gold coin is almost equal. In order to evaluate news effects and each of the three variables shocks on each other using variance decomposition method whit structural approach, spill-over volatility among the three variables have been reviewed. The major share of the prediction error variance or shock effects at TSE index in long term, were originated from TSE index then dollar and gold coin had the highest share respectively. Finally, the most volatility effect of gold coin was explained by using dollar.

Diversification’s effect on firm performance has been the subject of many researches resulting in various findings. In this research we have approached the issue using two characteristics: first, we concentrate on quality of industry segmentation to recognize diversification; second, firm value is the index of performance. Some characteristics in petrochemical industry make it appropriate for our research. Petrochemical companies’ data between years 2010 and 2014 are exploited. We used regression and correlation analysis to study the diversification effect. The results indicated a negative effect of diversification on firm value which is called diversification discount. The outcome of this research also highlights two significant points: first, there are some evidences for effect of macroeconomic factors on appearance of diversification discount or premium. Second, correlation between diversification and value increasing factors was observed. So in the case of dominance of these factors, diversification premium is expected.

Long-term price reversal pattern has been the subject of many financial researches. Fama and French (1996) argue that with controlling risk factors contained in the three - factor model, price reversal pattern becomes insignificant. In this study, using portfolio study approach, the 6 portfolios was formed based on market capitalization (size) and the B/M ratio and excess returns for each portfolio and risk factors SMB and HML was calculated. Then by using of stock cumulative returns in the past 12 months, quintile portfolios was formed and monthly returns and monthly excess returns of this portfolios and the "winner minus loser" (LMW) factor were obtained. By comparing the returns of loser and the winner Portfolios observed winning portfolio returns are statistically and economically greater than the loser portfolio returns. This indicates the presence of a long-term price reversal. Using excess returns of 6 portfolios formed on size-B/M ratio and 6 portfolios formed on the basis of past performance as left hand side variables in the four-factor and three-factor models, Or use of the excess returns the market portfolio, SMB, HML, and LMW as right hand side variables, Explanatory power of the three-factor and four-factor models was tested. The results showed that these models can’t remove the abnormal returns.

This paper uses the theoretical basics of mergers and acquisitions and valid researches in this area to recognize the motivations of acquirer firms by using questionnaires to collect data. The collected data are studied from different aspects and findings related to theoretical basics were achieved. Analysis the findings and comparing them with foreign valid researches shows that in parallel with following the theoretical basics by the results of this research in some cases such as acquiring the other firms because of its undervalue stocks the results have conflicts with theoretical basics that it can be from the non- efficient stock market of Iran.

The purpose of the study, the use of conditional value at risk as the Downside Risk Measure on portfolio optimization in the Tehran Securities Exchange Organization. CVaR is defined as the weighted average of expected loss exceeding Value-at Risk (VaR) and having appealing features such as sub-additivity and convexity. The data used in this study is return of 15-day for 45 componeis from 07/01/1388 to 05/31/1392. By Chow breakpoint test, was Selected on 01/07/1392 as a market breakpoint. Therefore, the data were divided into two time periods before and after the break point. The results of the sign test reveal that the second period CVaR is greater than the first period CVaR and the corresponding expected return is higher in the second period. So, ten optimal portfolios for each of periods on various confidence levels were calculated and the efficient frontier was drawn.Also the efficient frontier shows that the Tehran Stock Exchange is prospered in second period.

Fraud is a phenomenon in which manipulations and distortions of financial statements are done by one side of finance. Also, fraudulent financial reporting dealing with distortions and frauds in financial statements is considered strongly among the investors and auditors. Since there is no model based on contingencies of Iran, nowadays one of commonly used models of fraud identification is Behnish. In this study, according to Iran's financial status we examined 100 companies of stock exchange based on Behnish balanced model in order to recognize best model for fraud identification. Conclusions indicated that Behnish balanced model model having 2/66 percent total accuracy and 8/33 percent total error indicates frauds of financial statements compared with 61 percent total accuracy and 39 percent total error of Behnish main model.

In fact optimization portfolio and diversity are the bases to develop and improve the financial markets and also the financial decisions. In the present research the function of the classic optimization portfolio (Markowitz Mean-Variance Model) has been studied as the targeted function in the presence of the Sharp Ratio. This study has presented a stable developing model of portfolio in which the results of the optimization portfolio have been shown by the relevant corresponding stable formulizing procedure based on the Factor Model by using the stock market indexes as the input data and the test of the stability of the input parameters .To do this the input data were chosen in a given confidence interval based on the worst predetermined scenario in order to maximize the Sharp Ratio. In the present survey there has been an attempt to have a survey on 164 monthly portfolio of all the accepted firms in Tehran Stock Exchange Market during a span of 15 years and the risk and return potentiality of each portfolio has been calculated based on both models of the Classic and Optimization Sharp Models. In the next level, a detailed survey has been conducted to investigate the probability of the existence of a significant difference between the risk and the real return potentiality of these two models by using the mean-difference test. The results indicate that the real return and real risk in the Sharp Model Respectively has no significant differences and has significant differences in the classic model.