فصلنامه بورس اوراق بهادار
پیاپی 17 (بهار 1391)

In an efficient capital market، information rapidly affects the stock price of firms. The informational efficiency is classified as weak form، semi-strong form and strong form. The weak form efficiency indicates the random walk theory. If the market follows random walk، we cannot gain abnormal return. The purpose of this study، using autocorrelation، run، unit root and variance ratio tests، is to concentrate on the market weak form efficiency of Tehran Stock Exchange subsections (TEFIX-30، TX-50 and the principle 44 companies offered in TSE). The results of this research are: 1. The 50 active companies index (TX-50) in TSE by using the four pre-told methods، is not weak form efficient. 2. 30 big companies index (TEFIX-30) by using the four pre-told methods، is not weak form efficient. 3. The principle 44 companies offered in TSE by using the four pre-told methods، is not weak form efficient.

The main goal of this research is examining the relationship between quality of accounting information and risk criteria of stock in Tehran stock exchange. So the financial information of 56 listed companies that their required information was available during the research period (1378-1389) was analyzed by Structural equation modeling. In the research، the quality of financial information was quantified according to the qualitative features of information (relevance and reliability) and for measuring stock risk، 3 variables includes of systematic risk، stock return volatility and book value to market value were used. The results show that an increase in quality of financial information leads to the less risk criteria of stock. In other words، the relationship between quality of financial information and risk criteria of stock is negative.

The subject of this study is to analize interaction between capital structure and stock returns factors. Capital structure and stock returns factors were selected based on theoretical and pervious researches. In this study، three main hypotheses and fourteen sub-hypothesis have been designed and developed. Structural equation models were used for the analysis and test hypothesis. Structural equation models allowed the researcher testing a set of regression equations simultaneously and investigating interaction variables to be measured. The results showed that the variables of capital structure and stock returns are affected. The findings also suggest the existence of interaction between capital structure and stock return. According to equity market timing theory، returns have negative effects on capital structure against capital structure have positive effects on returns because there is positive relation between risk and returns. Listen

The privatization policy in Iran flourished after the announcement of overall policies of the article 44 of the constitution. Based on enacted laws، it is determined that all public banks have to be divested to private sector excluding Melli and Sepah and specialized ones. Mellat bank was the first one entering Tehran Stock Exchange after passing the legal process. This research aims to investigate the effects of this share offering on daily returns of financial institution’s stocks existing in Tehran Stock Exchange so that can measure the investor’s attitude towards this policy and its application. The statistical population of this study consists of seven banks and three insurance companies in Tehran Stock Exchange for which their daily returns are analyzed during a period of 565 days since 5th of Day 1386 to 12th of Ordibehesht، 1389 (December 25 th، 2007 to May 2nd 2010). Two Panel Data are used to study all these seven banks and three insurance companies during the above-mentioned period. In order to estimate these panels، seemingly unrelated regression (SUR) method is employed regarding the events nature and violation of independent distribution of residuals. The results show that among seven events relating to Mellat bank’ share offering in Tehran Stock Exchange، there is no significant reaction from investors in six of them. Only، in the fifth event، relating to the four percent offering of this bank’ block، we observed a significant reduction in daily returns of private banks’ stocks in Tehran Stock Exchange. Also in seventh event، we observe a significant reduction in daily return of insurance companies stocks.

Capital Asset Pricing Model (CAPM) assumes that the only risk priced by the market is systematic risk. Fama and French Three Factors Model shows that firm size and BE/ME risk factors are also priced by the market other than the systematic risk indicator. In this study، along with the three factors considered by Fama and French، we examine the liquidity risk and its pricing by the investors in TSE for the 2004-2008 period by using the multivariable regression with a sample of listed firms in TSE. Research finding suggest that the changes in stock returns in TSE are explained relatively acceptable (approximately 40%) by four factors which are excess return to risk-free rate of return، firm size، BE/ME and stock turnover. But in the portfolio of firms with high liquidity these factors explain the return best (approximately 60%). Also there is a significant relationship between the market risk premium، firm size and stock return. However، there is no significant relationship between BE/ME (Value premium) and stock turnover (liquidity premium) and stock return. In other words، only the market risk and firm size are priced by the market.

One of the ordinary questions asked for many years is that dose periodical or cross sectional macroeconomics’ performance have any effect on financial relations? Hard volatilities in macroeconomic (growth and) can affected on capital market and financial relation. Most of the study have ignored effects’ macro economy. In all of financial studies earnings-returns relation is one of significant matters from 60’ decade and many studies have been done about it. This study provides results concerning the earnings-returns relation in periods of poor versus strong macroeconomic performance. For lesting of hypotheses، multi variables regression with application data in Tehran stock exchange from 1999-2009 is used. We found that there is Significant Relationship between earnings-abnormal returns، but when Macroeconomic volatilities are added to this relation، there is no Significant Relationship between earnings-returns.

In this study، I have examined the effects of auditor type، earnings management and firm''s profitability on accounting information quality over a 7- period in 46 firms in Tehran Stock Exchange. The results of the study show that there is a positive relation between auditor type and firm’s profitability with the accounting information quality in study sample. But earnings management index has a negative relation with the accounting information quality. Meanwhile، audit quality in audit organization is effective on accounting quality than private audit firm''s audit quality. Therefore، the audit competitive after formation of Iranian Auditing Society could decrease accounting quality. On the basis of the research outcome، the study has concluded that the improve of the management performance by contently separating of management and ownership can enhance accounting information quality.

In today''s world، intangible properties like securities، as new properties، form an important part of people''s assets. Beside other benefits of these properties، the possibility of putting them up as collateral is of great importance. Today، in many legal systems، such a possibility has been defined; in our legal system، according to the Article 774 of Civil Code، «a thing pledged must be a definite object، and pledging of a debt or profit is null and void». Furthermore، regarding Article 772، the thing pledged must be transferred to the possession of the creditor. The two Articles lead to some ambiguities as for the possibility of pledging of shares of Joint-Stock Companies. The current research intends to review the legal nature of giving shares as security and the regulations governing this matter، and to show even if it is not possible to describe giving shares as security as pledge، we can give them as security by the application of Article 10 of Civil Code. It is noteworthy that even by this description، most of the regulations governing pledge will be applicable.

The Law for Usury Free Banking «was enacted in Iran in 1983 and has been effective ever since. Notwithstanding، the accounting standard setters have not designed appropriate and sound accounting system، standards and procedures to give effect to its mandate and to assess the level of accountability called for by the Law. Some experts believe that the accounting policies and procedures set by the Auditing Organization of Iran meet the requirements of the Law in as much they relate to» fixed rate «contracts; but the prevailing policies and procedure fall short of complying with the mandate of the Law and accounting for» Mosharekah Contracts «which have no predetermined and fixed element of profit، and thus application of current accounting systems and standards pose serious questions and doubt on the accuracy and appropriateness of income recognized by banks and its appropriation to different stakeholders. The accounting standard setting organization and other professional bodies have not addressed these shortcomings and accordingly the author has felt the need to conduct this research with a view to overcome، to the extent possible، such deficiencies، by gathering and analyzing the views of 96 accounting and other experts as well as by applying the» Delphi Method «. In addition and for the purpose of this research، the author has considered the relevant aspects of» Fund Theory «and» Fund Accounting «in line with the» Accountability Based Conceptual Framework«. It is hoped that the outcome of this research has identified and addressed certain key issues pertaining to financial reporting by banks in compliance with the requirements of the Law to lay grounds for design and application of an appropriate accounting and reporting model to recognize the income and measure the resources of banks with accordance to Usury Free Banking Law.