فصلنامه بورس اوراق بهادار
پیاپی 15 (پاییز 1390)

The aim of this survey is to examine the importance of various information sources and their fairness on the analysts, investment decisions. In this survey, the importance of three information sources, including accounting information, information presented by management and other publicly available information will be investigated. Furthermore the importance of faithful representation of information and trust of management are also studied. The data was gathered with questionnaire and the respondents consisted of 80 analysts working in investment firms. The results of this study show that analyst use all of these three sources of information in order to evaluate stocks. Data were tested using path analysis and Partial Least Squares (PLS) which revealed that the stock evaluation base on accounting data and management information has significantly impacted stock purchase decisions of analysts. On the Other hand, decision making to stock purchase by analysts are affected by faithful representation of accounting information.

In this study we try to investigate the dynamic and spontaneous relationship between trade volume and stocks return in Tehran Stock Exchange as an immerging market. The time period in our study includes monthly data from the time series of stocks return and trade volume between the beginning of the year 1379 (March 21, 2000) and the 7th month of 1390 (Oct. 23, 2011). In contrast with the results of studies in developed markets, the evidences resulted from calculation of spontaneous relationship between trade volume and stock return (and stock return absolute) show no positive correlation between variables. These findings would reject the MDH hypothesis in Tehran Stock Exchange. However, investigating the dynamic and spontaneous relationship between the two variables using the VAR models show that the Granger causality of stocks return is the trade volume but in reverse manner we experienced no Granger causality.

One of the most important questions in the issue of performance appraisal is that realized performance stem from what factors (performance Attribution)? This research aimed to find answer to this question that how is the importance and effect of each part of portfolio return (return from asset allocation, Return from market timing, Return from security selection) on portfolio return and stock return of investment companies. In the other word the explanation power of which part of return is bigger. This issue is investigated in form of three separated hypothesis and tested with time series, cross section and panel data. In this paper data of 32 investment companies listed in Tehran Stock Exchange for 82 month between 1383 to 1389 is used for testing the hypothesizes. Also some control variables are used to present a better explanation for the models. This variables are market condition, portfolio diversification, asset under management and ownership concentration. The results of this paper, is contradict with the results of similar researches that documented in finance literature and show that asset allocation doesn’t have the dominant impact and the impact of selection and timing also is significant and in most models is greater that asset allocation. Therefore in investment companies the explanation power of active management is greater than asset allocation.

The purpose of the present study is to investigate the effects of free cash flows and investment opportunity set on debt and dividend policies of the firms listed in Tehran stock exchange. In this vein, the study tests four main hypotheses and six subordinate hypotheses by choosing 117 firms among firms listed in Tehran Stock Exchange for a period of 5 years (1383-1387). For data analysis Pearson correlation, partial correlation, linear regression, and factor analysis are applied. The results obtained from the data analysis represent that there is a significant and negative correlation between free cash flows and debt policy. But there is no significant correlation between investment opportunities set and companies debt policy. Moreover, there is no significant correlation between free cash flows and companies’ dividend policy. Meanwhile there is a significant and positive correlation between investment opportunity set and dividend policy. The results of this investigation also reveal that there is a positive and significant relationship between the size and debt policy but there is no significant relationship between the size and dividend policy

Global economy has always suffered from different crises which influence economy's real variables, including capital market indices. International financial crisis initiated aftermath of the burst of the housing bubble in the credit division in the U.S.A. and reached the highest level by the bankruptcy of some banks in the financial markets and then penetrated into the economy's real divisions including stock exchange. In the current study the impact of this crisis on Tehran Stock Exchange is examined using Auto Regressive Distributed Lag model on a seasonally basis from spring of 1998 to winter of 2008. The results show that the liquidity variables and the exchange rates with a period of interval and the bank interest rate in the same period hold a direct relationship with Tehran Stock Exchange. But the financial crisis has a negative impact on this relationship which is in accordance with the reality and requires strategies to be taken in order to defeat the crisis.

The BP ratio is a variable that its relationship with stock return is reflected in a number of researches. But this research lays out the relationship between the decompositions of BP ratio and stock return in Tehran Stock Exchange (2001 - 2006). For this purpose, having inspired by the methodology used in Penman, Richardson and Tuna (2007), by decomposing BP to operating and financing ratios, and formed portfolios, we analyzed the relationship between these two ratios and future return by Spearman and Pearson correlations and Regression analyses. When we considered the whole data, the result of research shows that the financing component of BP is positively associated with future stock returns. Further, under control of default risk in analyses, the operating component of BP is positively associated with future stock returns. Finally, once data have been classified by NOA/PNOA ratio, for data that included companies with NOA/PNOA < 1, a positively relationship between net operating assets and future returns is confirmed.

Corporate financial performance is one of the criteria to select investment opportunities. it is influenced by many factors, such as stock liquidity. This research examines the relationship between stock liquidity and corporate performance in the Tehran Stock Exchange over 2002 to 2008. In this study, bid-ask spread was used as a standard indicator of liquidity and Tobin Q was applied as company performance measurement criteria. The relationship between dependent and independent variables was examined by multivariate regression model and conducted on the base of combined data. The results show a positive and significant relationship between stock liquidity and corporate performance.

According to agency literature, dividend payment to stockholders, on the one hand results in decrease in free cash flow and the possibility of non- optimal investment, and on the other hand, leads to the increase in continuous monitoring by capital market. Hence, the dividend policy is identified as one of the mechanisms which lead to reduction of agency conflicts. Therefore, the present study investigated the impact of internal and external corporate governance mechanisms on the dividend distribution policies. The sample consisted of 60 firms listed in Tehran Stock Exchange from 2002 to 2009. The method of analysis was ordinary least square regression for panel data through fixed effect method. The findings revealed that internal corporate governance mechanisms, namely board of directors size, percent of outsiders in board of directors, the appointment of outsider director as a chairman and management ownership did not have a significant effect on dividend distribution policies of the firms under investigation. Besides, among the external corporate governance mechanisms only institutional ownership did not significantly affected dividend distribution policies. On the contrary, auditor size and debt ratio have negative and significant impact on dividend distribution policies.

This paper explores the rules governing disclosure of information in Iran’s capital market and the appropriate system of civil liability for mandatory securities disclosure violations by established, publicly traded issuers. The Iran system’s design has become outmoded as the underlying mandatory disclosure regime that has moved from an emphasis on disclosure at the time that an issuer makes a public offering, to an emphasis on the issuer’s ongoing periodic disclosures. In an efficient capital market, securities’ price is fair and capital allocation is optimal. An efficiency analysis shows that, unlike Iran law today, the relevant actors should have equally great civil liability incentives to comply with the disclosure rules.

By developing publicly owned corporations and creating severe financial distress in micro and macroeconomic aspects, owners and other stockholders of entities have been looking for an immune themselves in such risks and this subject have been informed them for using the suitable models for assessing of financial solvency. In this article, financial ratios from cash flow statements and financial ratios from the other financial statements are examined. So, the logistic and discriminate analysis models for 27 bankruptcies and non - bankruptcy companies are tested during 2001 to 2007. The result shows that financial ratios of balance sheet and income statements are comparably more efficient than financial ratios from cash flow statement.

This paper examines the effects of the predictive ability of accruals and cash flows on earnings quality in Tehran Stock Exchange (TSE). In this study we have used two cross-section and pooled for testing hypothesis. The results show that Sloan model has the strongest ability to predict future earnings, and cash component earnings have more ability than accruals component earnings for predicting future earnings. Also this study indicats that prediction quality of earnings components affects on future earnings. Also this paper shows that the ability prediction of future earnings and persistence of earnings (as two assessment criteria of earnings quality) increases when earnings contain a stronger predictive ability of the accrual component and/or a cash flow component but, earnings-returns relation (as an assessment criterion of earnings quality) not increases.