فصلنامه بورس اوراق بهادار
پیاپی 5 (بهار 1388)

The method of selecting stock in the exchange is one of the most important problems of investors in these markets. So, methods that can help investors in selecting stocks’ in this market are very important. One of the problems of investors is selecting correct criteria for comparing different kinds of stocks. Thus in this research we identify criteria that affect on selecting stock in Tehran Stock Exchange by using some techniques of MADM. By using different methods of Multiple Attribute Decision Making one may be lead to different categories of contender options to reach consensus and complete category of options used in integration results method (Copeland). At the end final inspiration of buying shares is provided.

This paper has investigated the relationship between earnings quality and dividend sample including 50 Iranian firms listed on Tehran Stock Exchange (TSE) during the period of 1375 to 1384. In this paper we have defined earnings quality as persistent of earnings. The results show that the earnings of dividend paying firms are more persistent in future periods, and that this effect is more pronounced for firms with larger dividend payouts. Thus dividend provide information about the quality of reported earnings.

Most fund managers typically prefer small portfolios of assets instead of very large diversified portfolios. This could be translated into a constraint on the maximum and minimum number of assets to be included in the portfolio (cardinality constraint). With such extra but realistic constraint, common optimization algorithm, such as quadratic programming will not be able to solve the portfolio optimization problem. In this paper, Ant Colony Optimization has been used to solve portfolio optimization problem with cardinality constraint on the maximum number of assets. The results show that in accordance with some well-known financial researcher's viewpoints, a small portfolio of assets could be found having has a comparable performance with much diversified portfolios. In addition, the results confirm that marginal contribution of additional assets in portfolio diversification decreasing which means after reaching certain number of included assets, adding extra stock to the portfolio does not have significant impact on the portfolio diversification and could not increase its risk adjusted performance.

In this study the existence of abnormal return in initial public offerings of Tehran Stock Exchange and some effective probable factors on which were examined. The results show that there is positive short term abnormal return during 24 months after the acceptance of sampled corporations in the exchange. Among nine variables of age, size, horizon, leverage, margin of profit, market general condition before the offering of stock, forecast error of earning per share, audit firm and Industry type, only size, audit firm (reversely) and forecast error of earning per share (directly) had a relationship with abnormal return; however, multi-variable regression analysis demonstrated that all variables can simultaneously justify approximately 20% of the abnormal return.

This work uses Teruel and Solano’s design for firms listed in the Tehran Stock Exchange over the period from 2000 to 2006 to analyze the effect of accounting quality on cash holdings. The results show that firms with good accruals quality hold lower cash levels than firms with poor accruals quality. This finding suggests that the quality of accounting information may reduce the negative effects of information asymmetries and adverse selection costs, allowing firms to reduce their level of corporate cash holdings. The results show that firms with higher growth hold higher levels of cash. In contrast with this, cash holdings decrease when firms increase cash substitutes, their leverage and dividend.

Shareholders are the firms’ primary owners and follow continuously to maximize their wealth and this wealth is created by favorite performance of the firm. Incorrect use of appropriate indicators for performance measurement and stock value of the firm causes the firm’s value not real value. It has been claimed economic value added (EVA) is able to show real value of the firm. However, inflation causes distortions in EVA model and shows inappropriate indicator from firms’ performance and shareholders’ wealth. The goal of this research is EVA adjustment due to inflation distortions and to near that indicator to true economic profit, finding appropriate model for determine created value or created value added in capital market and it’s compare to unadjusted models. In this middling, market value added (MVA) is the indicator of Shareholder's Wealth increase. Also, information significance of EVA and other competing measures of performance have been studied. The results of our study between periods of 1381 to 1385 that are estimated with use of Oils regression model and Panel Data model show when we correct EVA, a significant relationship between EVA and MVA is generated and when we don’t measure EVA and MVA correctly and don’t adjust due to inflation distortions a significant relevance between them is not generated. This subject shows the role of adjusted EVA in increasing or decreasing shareholders’ wealth and the necessity adjustment of EVA for reflection in market value added. Investigation of relationship between adjusted EVA and other competing performance measures with stock return shows that there is a significant but weak relevance between these variables and the stock return.