فصلنامه دانش سرمایه گذاری
پیاپی 17 (بهار 1395)

Being a principle factor for investors in asset allocating, stock liquidity gains a lot of attention from researchers in its measures and various assessment techniques and numerous measures have been introduced. In this study stock liquidity is evaluated with its prevalent quantitative and cryptic qualitative measures by means of MULTIMOORA fuzzy group decision making. This multi-objective optimization by ratio analysis approach which is the combination of three different methods, called Ratio system, Reference point method and Full multiplicative form, and uses Dominance theory for evaluating final ranking in ordinal environment, is used to evaluate and compare the liquidity of 10 stocks from food and beverage production industry group according to 8 quantitative and qualitative measures. The results show the robustness of MULTIMOORA as well as the ranking and preferences of company stocksʼ liquidity.

It is about nine years that price limit has been implemented in Tehran stock exchange to limit price fluctuations like many other emerging markets . Although this mechanism has been used for a long time in Iran and other parts of universe, researchers don’t have similar attitudes toward its pros and cons. One of the price limit’s implication on stock market mentioned by proponents of this mechanism is magnet effect. The magnet effect suggests that the asset price accelerates toward the limits as it gets closer to the limits. This project employs panel logit model to test magnet effect hypothesis across periods with different price limit. It also tests magnet effect in upper and lower price limits.

Theoretically in economics, perfect competition market is the best and most efficient market. Such a market has as much as suppliers and demanders that no one can affect it solely and only significant changes can vary prices. Low depth of Tehran Stock Exchange causes costs to investors as a play of some participants and behavioral biases. Price limit is an opportunity for market to take and make decision more effective. Results of this research show that, due to price limitation in market, magnet effect phenomenon is appeared. It absorbs investors avoiding losses. In includes top 30 publicly traded companies like many others, and unexpectedly institutional investors have more tendency to limits. Other finding of the research indicates that fluctuation will be controlled as a result of magnet effect; meanwhile it does not affect wave length of price indices.

Various entities in the business world too much attention to the issue of corporate social responsibility (CSR), it has become an essential element for the success of the company.
Due to the lack of CSR reporting in Iran and the lack of firms rating Institutions in the field of social responsibility and a general, lack of transparency in this section, we used questionnaire survey to determine the level of corporate social responsibility. CSR used in this study is composed of the following: internal processes, ecology, environment, society and the state, the market and industry.Questionnaires were sent to 138 companies and 84 companies responded to the questionnaires. The results suggest that government ownership is positively correlated significantly with social responsibility. Disclosure of corporate social responsibility focus government ownership also plays a positive role. The results indicate that institutional ownership and institutional ownership concentration have not a significant relationship with social responsibility. The empirical evidence in this study can identify the companies and institutions on legislative measures which increase the disclosure of CSR, to help.

Brand is one of the most valuable intangible assets and is a factor for distinguishing companies in customer's point of view. To value brands, many methods and models have been invented in the past three decades by researchers and consultant companies. Financial value of brand can be used for strategic management, financial transactions and litigation purposes. Since financial value of brands has been recently accepted as security for borrowing loans from Iranian banks, specified brand's financial value would be a privilege in winning funding opportunities. Especially for companies with continuing need of investment, this would be an appropriate method of financing. A great example of such companies is telecommunication service providers. Therefore calculating financial value of brand in this sector seems to be of paramount importance. With this in mind, the two most popular valuation models, Intangible Business and Financial World were applied to calculate Rightel's brand value as a case study in telecommunication industry. The results didnt show noticeable difference between the calculated values.

The aim of this research is to investigate the effects of emotional intelligence on the quality of investor's decision-making at Tehran Stock exchange market. The sample decision-makers who were stock brokers and analyzers were examined by both "emotional intelligence test" and "decision-making quality test".
The data obtained was analyzed by the diagnostic test and indicated that Self-motivation and agreement had positive meaningful influence on the quality of decision-making and the relation management had negative meaningful influence on the quality of decision-making. Other results show that self-consciousness and self-management had no meaningful influences on the quality of decision-making. Likewise, there was no meaningful relation between the emotional intelligence and the quality of decision-making of the investors.

In this research, return and risk tradeoff examined using standard form of Capital Assets Pricing Model (CAPM) in Tehran Securities Exchange (TSE). Using a methodology related to the field of Ex post facto studies in financial researches, OLS and Quantile regression model was used for test of CAPM. Results of running (linear and Quantile) two stage regression show that beta as systematic risk proxy cannot explain excess returns difference. Results show also unique risk can explain excess returns, although relation of unique risk and excess return is variant in different quartile of returns. As a conclusion, it can be stated that at least using of TSE Index as proxy of market portfolio, CAPM model does not explain stock prices.

In this study, the relationship between tax evasion and future stock price crash risk of Companies listed in Tehran stock exchange (TSE), based on data from 70 companies during the years 2005-2012 is examined. To do this, two hypothesis were specified. The statistical methods used in testing hypotheses are logistic and panel data regression. Findings show that tax evasion is positively associated with future stock price crash risk. This finding is consistent with the following view: Tax avoidance facilitates managerial rent extraction and bad news hoarding activities. The hoarding and accumulation of bad news for extended periods lead to stock price crashes when the accumulated hidden bad news crosses a tipping point, and thus comes out all at once. Moreover, the second hypothesis, the positive relation between tax evasion and crash risk is attenuated when firms have strong external monitoring mechanisms such as institutional investors and non executive directors, was not approved.

The purpose of this paper is to investigate the effect of financial decisions on the market value of firms with excess cashflow and firms with low investment opportunities. Financial decisions can be seen from three aspects, which are investment decisions, dividend policy, and debt policy. The data of 123 publicly traded companies in Tehran Stock Exchange were collected from the years 1383 to 1387. The hypotheses were analyzed, using panel data method and multiple regression models. The results indicated that in the firms with low investment opportunities, investments are understated, while debts are overstated. Moreover, in this kind of firms, shareholders were interested in more cash dividends. Analysis showed the same results for the firms with excess cashflow.

Wide spread presence of institutional investors as a group of investors for corporate decisions and the behavior of stock prices through massive financial sources have important implications. This is a regulatory activity that investors do, emanate. Institutional investors use their ability to monitor and manage corporate performance that is a function of their investment. The goal of this paper is examine the relationship between institutional investors and stock price synchronicity in listed companies in Tehran Stock Exchange. Also in this research institutional investors had classified into two groups, in terms of motivation and desire to control and monitor companies: stable (long-term) and transient (temporary). They examined the relationship of stock price synchronicity. Price synchronicity is degree of market and industry information that reflected in the stock price. And its evaluation scale is systematic risk divided by non systematic risk.To examine this, 50 companies listed on the Stock Exchange during the years 1386 to 1390 as sample were chosen. And to test the hypothesis is used from pooled data (panel data). The results showed a significant negative correlation between institutional investors and stock price synchronicity. Also the findings show a significant negative correlation between the stability of institutional investors and stock price synchronicity and there is significant positive relationship between transient institutional investors and stock price synchronicity.

In the oil markets, crack spread refers to the relationship between crude oil price and the price of its distillated product in refiners. Refiners are the major part of oil markets and are exposed to crack spread. Furthermore, oil customers are active participants in oil hedging markets and they are exposed to the Crack Spread. Investment funds mainly use crack spread for speculating and making profits in oil markets. Regarding the high volume of trading crack spread futures in oil markets, this question arises; whether futures of crack spread can be a good predictor of oil price movements or not. At first, we examine the relationship between futures and spot oil price by using a Vector Error Correction Model (VECM). This study shows that, there is causal relationship between crack spread futures and spot oil price in bull oil market, but in bear oil market the causal relationship becomes weaker. Ultimately, the effectiveness of crack spread futures is compared to forecasts of oil price. The results show that crack spread futures are good predictors of crude oil price.

Dynamic and complicated circumstances of economic activities, and consequently increase in risks require an efficient analytical method of investment and financing decision making in which does not suffer from traditional methods shortcoming such as stationarity. Real option analysis developed in response to this requirement.
This paper provides a framework to study advantage of using real option theory in evaluating power generation projects in comparison to traditional methods. First, it uses abandon option and its different real option pricing methods, then compares to traditional methods. To compare traditional and real option methods, it uses Monte Carlo simulation.
The results show that real option pricing methods do not differ significantly, because when time steps increase, option value increases and all methods converge. Monte Carlo simulation results show that in real option methods risk decreases and return increases in comparison to traditional methods.

Financial Contagion is considered as one of the key concern in the financial markets. Financial Contagion is categorized by return contagion and shock contagion. The purpose of this paper is to examine the short-term, medium-term and long-term contagion of return shocks and volatilities into the stock market. The sample consisted of the daily price of Dollar, Euro, Gold and Oil during the period from 2007 to 2014. To analyze the data within the sample, using the Wavelet analysis, the time series have been broken into different periods and the financial contagion has been analyzed through both factor analysis and correlation analysis
In conclusion, it was found that the return of industry Indexes are significantly related to the return of Oil, Gold, Dollar and Euro markets which was proved to be more significant between dependent and independent variables in short run. Furthermore, considering the sum of coefficients of independent variables during different periods and among various industries, it could be perceived that Industry indexes are mostly influenced by the return of Oil, Gold, Dollar and Euro variables respectively.

Scientific and cultural investment is an emerging concept in knowledge based economy. Recently, translation in Iran is considered as one of the manifestations of this notion and went under scrutiny. The fact that translation industry has a fundamental concept in today’s world, causes it’s elements work together systematically and objectively. Although this industry in Iran is newly founded, and it’s formation gets back to 1389, it has been practiced for long and has established numerous scientific and cultural potentials. In this article, the significance and the place of translation industry and it’s role in the transfer of ideology, science and technology will be discussed. The authors also try to answer the question wheather this industry can be used for investment, in a way that can enhance the economic revenue.