فصلنامه دانش سرمایه گذاری
پیاپی 22 (تابستان 1396)

The aim of this study was to "study behavioral factors in the selection of optimal portfolio Iran capital market" is. In order to achieve this goal, the dominant factors for mental accounting and loss aversion behavior and investment in stock and optimal portfolio selection with high efficiency compared to standard finance Using data from 106 firms listed in the Tehran Stock Exchange during the period of 5 years from 2011 to 2014 And regression analysis, variance analysis, was measured.The results showed that the expected return on portfolio behavioral model with an emphasis on mental accounting and loss aversion (as an indicator of behavioral factors) is greater than the expected return of the Standard Model and The hypothesis was accepted.

Merton (1987) believes that under market friction, where investors pose limitations in access to information, stocks with high idiosyncratic volatility have higher expected return, because investors are not able to decrease company specific risk through diversification.
As in classical point of view, it is assumed that investors are just subject to systematic risk and only mentioned risk will be priced. Based on that view, unsystematic risk completely managed via diversification, while because of information cost and transaction cost in real world, investors hold limited number of stocks in their portfolios. This paper is going to study idiosyncratic risk and return in Tehran Stock Exchange using monotonic relationship. Our findings don’t approve monotonic relationship between expected return of idiosyncratic risk. Furthermore our results show that average return of high idiosyncratic portfolios is greater than low idiosyncratic portfolios.

Variance and downside risk are different variety of risk factors in portfolio management. The purpose of this research is testing mean-variance based on theoretical framework of downside risk using VAR. Period used for this test is from
1384 to 1393 for Tehran Stock Exchange. VAR is the statistical methods used in this study. The results of this study suggest downside risk works better than the framework of mean - variance. In addition, the difference is even more visible when return on assets is more skewed. The study's outcome suggest the downside risk is a better measurement than mean -variance for investment decisions

The purpose of this study is to evaluate the relationship between macroeconomics variables and Tehran Exchange Price Index. In other words in this article in order to extend the previous studies, the interpretation of three categories of monetary and fiscal policies and industrial development on the growth of the capital market is considered. For this purpose we have analyzed the relationship between some macroeconomic variables such as Liquidity, tax and industrial production index with Total Price Index and seasonal data since 1994 till 2014. In this study the relationship between variables have been estimated by using regression analysis and method of ordinary lease squares. After controlling for regression assumptions including Outliers, Normal distribution for the dependent variable, Homogeneity of variance, non autocorrelation; the results indicate there are positive and significant relationship between liquidity and the industrial production index with Total Price Index and there are negative relationship between taxes and total Price Index. Among other indicators used in the study considerable significant relationship was found with Tehran Exchange Price Index. These results suggest the neutralizing effects of both monetary and fiscal policy on the Tehran Exchange Price Index and confirm the impact of industrial sector development on stock index

Decisions relating to portfolio selection have been a main concern of multi business companie's managers. Selecting industries for long-term success of the business strategy and strategic planning is essential. The set of industries in which a firm operates on, affect the ability of that firm in sharing resources and creating synergy among subsidiaries. For determining the Target industries of bank's holding company, we should differentiate available industries in the holding and new industries that the holding can be inserted into them. In this research, after determining the relations between criteria with dematel, we use analytical network process to prioritizing criteria and different industries. Finally, we use linear goal programming to designing an effective mechanism for determining the quantity of each industry. After solving the model with Lingo software, the results show the compatibility of the investment portfolio with the bank's policies and multi business holding companies in our country. The attained model is the first model that solves portfolio selection problem in multi business companies and can be developed.

One of the important factors for the success of venture capital markets is, the ability to make timely decisions and take away the feelings. Thus the aim of this study is to examine the third factor of successful capital market analysts or analyst’s personality characteristics. In other words, it is assumed in this study, analysts are specialist in fundamental and technical analysis and then influence their personality characteristics (the third dimension) is evaluated on their performance. Statistical population and the sample of this study consists of capital market analysts. Required data is collected by a combined questionnaire. The research hypotheses are tested using Pearson’s correlation tests. The results show that there is a significant correlation between extraversion features, Agreeableness, Consciousness and personal control to the degree of risk aversion, but no significant relationship was observed between personality characteristics and returns portfolios analysts. In addition, no significant relationship was observed between the type of fundamental analysis and technical analysts and degree of risk aversion.

Research and development is a key factor in industries growth and future investment that can bring survival of organizations in the complex world of competition. Understanding the capabilities of R & D centers and detailed assessment in order to achieve strategic objectives in the auto companies are important issues. The automotive industry is also whit long investing developed as an influential productive industry at different aspects of society and all over the world, more than ever. In this paper, based on expert opinion and previous studies, the factors that determine the ability of R & D units . And then investigated as a criteria for assessment the impact of this factor, paired comparisons method (FDEMATEL). Then its importance on technology transfer channels that play a role in investment, By 20 experts firms Iran Khodro and Saipa Companies is in a matrix has been studied, In addition to the ability to set priorities reflect the challenges in these centers.

Financial market developments make it more important to measure market risks correctly. In this paper we investigatethe forecasting accuracy of different historical simulation models in relation to the risk measure expected shortfall and in comparison to established parametric models.we used historical simulation, mirrored historical simulatin,volatility weighted historical simulation,filtered historical simulation and GARCH(1,1) models.The data that we used consists of Tehran stock exchange market index from 2010 to 2014.Christofferson backtest used for value at risk and mc neil & frey backtest used for expected shortfall. According to unconditional coverage backtesting ,mirrored historical simulation model was rejected and others were accepted and according to independence backtesting all models were accepted thus the christoferson backtest will omit the mirrored historical simulation model and According to mc neil and frey backtest all models were accepted and finally the model confidence set procedure showed that semi parametric models are best models to forecast expected shortfall.

Investigation and behavioral finance analysis of investors and market participants nascent field of financial management is one of the topics. Integration can be considered classical economics and sciences of psychology and decision-making. While taking note of the recent developments on the stock exchange, have all the internal and external factors considered in the nuances and micro-sighted, because this process of thought, conscience and mentally very wide variety of people (investors) that has this is a subjective understanding is important for transparency and a better understanding of the market. The importance of this issue more clear that time based on the participants ' stock, half of the stock market trading volume by investors is done and the number of fault component of this field over ninety percent of the active population of the stock market. In fact, this research has scientific literature in the country try to examine the factors influencing the behavior of investors to expand component and thereby a transparent decision making in preparation for the Tehran stock exchange offer.
This study is a comprehensive and in-depth study after scientific literature, the primary conceptual framework to the essence of its experts to the Delphi technique is deposited after the third stage of theoretical saturation in Delphi, consensus and convergence is collected pursuant to and answers become the final framework of the study. This study proceeded to survey the essence of method of the Tehran Stock Exchange component of investors about the factors influencing the behavior of the righteous, and structural equation modeling method to finally proceed to the determination and ranking factors and the relationship between determinants of behavior factors on the Tehran Stock Exchange component of the investors.

Regulation is a relatively recent method in exercising sovereignty by a government. The first step of regulation is taken when the governmentintervenes to uphold public interests and the rights of individuals in economy. Regulation is nowa recognized theory of government. The importanceof financial markets in economics for securing short-term and long term financial sources forproducers and the government is such that weakness or lack of regulation in the financialmarket has been recognized as the main reason for many contemporary global economiccrises. Proper analysis of the performance and objectives of regulation in financial marketsrequires a study of governmental styles of intervention and their various means ofimplementation therein.
In the present paper, the Islamic Republic of Iran and the United Kingdom have been selected withrespect to their completely different starting points in their approach to regulation of financialmarkets and a comparison is drawn between the legal, political and economic contexts for theformation of financial markets and their regulation, the various relevant processes that shapethe relations between government, regulators, financial market operators and the publicinterest within the regulatory framework. The study yields that the political economy and economic setting of a state forms the basis for the regulatory style applied to financial markets. The integrated regulation of the financial market and capital in the United Kingdom and the multifactorial, mandated regulation in Iran are the result of these settings. There exists a significant need for integrated management of capital and financial markets and in Iran, which should be focused on realizing proper privatization and making financial resources available. In the UK, dynamic styles and a broad spectrum of different regulators has secured privatization and a strong financial market despite rapid alterations to laws and in the face of the crises the state has faced

This study is conducted to examine the relationship between the financial expenses and the companies’ value in Tehran Stock Exchange (TSE). For this purpose, net profit in residual income model is divided into two groups including operating profit and net financial expenses. The data collected from 122 companies listed in TSE was examined using multivariate regression model. The results of the study indicated a significant relationship between the stock price of the companies listed in TSE and earnings per share, book value per share and operating profit per share. However, no significant relationship was found between the stock price and the net financial expenses. Considering the lack of relationship between the stock price and the financial expenses, it is suggested to use residual operating profit model instead of residual income model in evaluating the companies. Furthermore, with regard to the fact that most of the financial items are reported in balance sheet with their fair value, it can be said that the results of this investigation is fully consistent with Penman’s idea that “the items which are reported with the fair value in the balance sheet will be irrelevant in the companies’ evaluation.

Today managers to attract investors try to show revenue and income in maximum level as one of the criteria for their performance. They may be smooth the reported incomes by selecting specific accounting policies, accounting estimates and accruals management. Therefore, reported earnings may be differing from result of actual performance. The purpose of this study was to investigate the relationship of management optimism and earnings smoothing between banks listed in Tehran stock exchange and OTC during 2010 to 2014. Adjusted community consists of 65 year-banks. To answer the research question two hypotheses through ordinary least square regression and binary logistic in form of multivariate liner by using Pooled data were tested. The results show that the optimism managers in compare with others, more likely to report earnings smoothed by accruals and IKLE smoothing index. The results also indicate that, larger and older banks are more likely to report earnings smoothed by accruals and IKLE smoothing index. The findings indicate that, the banks that have a high market to book value, less likely to smooth earnings by IKLE model.

In finance field, two ways are the most important to analysis, fundamental and technical analysis. Different experience showed that, using one of them, independently, cannot bring in return more than they are used together. So, it seems are needed more researches in this section of finance field.
In technical analysis by using information such as prices and traded volume, indicators are calculated and base on roles that introduce with them, decision are made. It probably the normal roles of indicators are not profitable more than before and are not able to bring extreme return to investors that use them.
In stock market without enough efficiency, using technical analysis caused returns more than using fundamental analysis, independently. In this paper will tested to optimize indicators’ normal roles and is tried to produce efficient tools to bring return more. So that are used 50 companies that are much traded in years between 21 of march 2008 to 20 of march 2012 and optimizing are done first by using trying all of area and in second step by using enetic algorithm and finally compare to result from normal roles of indicators and buy and hold.