فصلنامه بورس اوراق بهادار
پیاپی 4 (زمستان 1387)

This paper compares conventional risk measures operation (Beta, Sharpe ratios and Trey nor indices) with downside risk measures operation (Down Beta, Down Sharpe ratios and Down trey nor indices) to present alternative measures for risk based on some models in order to evaluate risk in forecasting the excess returns of individual stocks in Tehran Stock Exchange and is heading to replace the conventional CAPM model with a suited model or a Sharpe-based and Trey nor -based models. In financial literature, there have been various assumptions about concept of risk and it's measures. Modern financial theories are based on Markowitz's portfolio selection model, then, they all rely on the assumption of mean-variance behavior in the market. This measure of risk has been questioned by Roy and Markowitz and they have advocated of downside risk measures. Therefore, based on the gathered data, from 32listed companies in Tehran Stock Exchange, their monthly returns are calculated as a base for our tests. Relying on financial literature, two separated definition and two kinds of conventional and downside risk measures are presented and tested for evaluating risk. Results show that Down Beta and Down Trey nor indices are better than their conventional measures (Beta and Trey nor indices) in forecasting the excess returns of individual stocks, also Sharpe ratio which is a conventional risk measure, is a more accurate measure than Down Sharpe ratio in forecasting the excess returns of individual stocks.

This article examines the relationship between return, systematic risk, skewness and kurtosis in Tehran stock Exchange during 2001-2007.Similar research, in this field, shows different results on upward and downward markets, therefore the period under study is divided into sub periods including upward market (2001-2004) and downward market (2004-2007) and the relationship between these sub periods independently are examined. Regarding to this approach, totally 64 firms from different industries are selected. Then daily price and market index data were collected. Findings indicate that beta and skewness play an essential role in describing stock return in both periods. However, in the upward market, excess kurtosis has a significant relationship with the stock returns but in the downward market there is no such relationship.

According to the agency theory, a firm is nexus of diversified stakeholders. Each of them contracts to others to protect his interests. Stockholders and bondholders are two main stakeholders in all firms. This research investigates the effect of conflict between these two groups on income distribution and financial constraints. We measured conflicts of interest following Ahmed et al. (2002). Whetted and Wu (2006) index (WW) is used to compute degree of financial constraints by means of Iranian financial data. We used correlation coefficients to test hypothesis and found conflicts of interest between stockholders and bondholders have a negative impact on income distribution. Furthermore, our results show that the increase in conflicts is not correlated with financial constraints.

Stock exchange is a market that suppliers and companies present their stocks and securities for sale, also investors come to buy these securities. With due attention to information that is very important for efficiency of stock market, market efficiency was studied by three groups of information. This information consists of: 1) Historical information 2) The current or general available information 3) General and inside information With due attention to such information, market efficiency is tested in three levels respectively: weak, semi-strong and strong form. The main purpose of this research is to study the efficiency of stock market in the weak level to answer the question "are respectively changes of stock prices independent from each other?" In this study, the statistical methods, correlation analysis which is a parametric method and Run-test that is a non parametric method are used. The data in this study is the stock daily price for ninety five accepted companies in the stock exchange between 1999 and 2006. The results showed that, there is a correlation between the respectively changes of stock prices in 95% of confidence level, and particular investors can gain irregular profit by having some inside information. Generally, inefficiency of the information of Tehran stock exchange is proved.

The model of European Foundation for Quality Management, by the name of EFQM model, has been used extensively in Europe and other countries of the World and recently introduced as a base model to assess and present the "EFQM Excellence Award". The specification of this model has a strong viewpoint to business process of organizations and offers the necessary methods to attain an eminent organization. This research turns to this subject that “how quality management systems have been able to improve the function of organizations.” Tow groups of theories were tested to answer the above question. The first group of theories refers to this point that “is there any meaningful correlation between acquired privilege based an EFQM model assessment and indices of financial function.” The second group of theories refers to this subject that “is there any meaningful difference between the indices of financial function before and after performance of EFQM model.” Statistic societies of this research are the companies which have put the EFQM model into practice and after assessment and survey based on the model, they have succeeded to gain the license, letter of appreciation or EFQM Excellence Award. Considering being normal or abmoral variable distribution, it has been used Spirman or Pearson's correlation coefficient in test of the first group of theories and considering a number of observations, it has been used nonparametric tests wilcoxon in experiment of the second group of theories. The results from the test of first group of theories show that there is meaningful and positive correlation between the acquired privileges based on EFQM model assessment and EVA but the obtained results from this test have not confirmed correlation between acquired advantages based on EFQM model assessment and sale, finances efficiency rate and shareholders` fees. The obtained results from the test of second group of theories show that there is a meaningful difference between EVA, finances efficiencies and shareholders` fees before and after performing EFQM. With regard to the results of the first group of theories, the meaningful difference between EVA before and after performing EFQM can be resulted from this model but the existing difference in finances efficiencies before and after performing the model can be resulted from other factors. Due to the obtained results and considering the capability and the point of profit-expense, it is suggested to organizations to use EFQM model to improve their function.

Capital asset pricing, as one of the basic theories in finance and investment area, develops a model for estimation of expected rate of return and equity cost of capital. This model has many applications in the field of finance. One of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in original model. Researchers (such as fama & french) believe that if we ignore the value premium, the expected rate of return estimated by CAPM would be biased. This research is going to evaluate the value premium in Tehran Stock Exchange and its role in asset pricing. Finally, critical viewpoints would also be analyzed.