فصلنامه دانش سرمایه گذاری
پیاپی 3 (پاییز 1391)

This thesis investigate The religious months effect in Tehran stock exchange (TSE). The religious month effect is seasonality or calendar anomaly that has been studied and documented in finance literature. This anormaly indicates the repetitive trends or patterns in the time series behavior of stock market.
In this study the total index of TSE for the period of 1420-1431 hijri (moon year) are examined to specify the probable pattern in trading days of TSE in term of return, volatility and volume.
In this research regression analysis are used for monthly data of TSE. Both OLS methodology and new specification of GARCH models are used to specify and separate the effect of various months on the dependent variables.
The results of testing of regression analysis support validity of Ramadan and Zi Hijjah effect on volatility and Zi Hijjah effect on return.

The current research was carried out to investigate the relationship between risk and return based on the investors’ views. The research, in addition to a thorough investigation of the variable of the illiquidity risk, investigates the effect whereof on the excess of stock return. The research utilized the variables IMV, HML, and SMB for measuring purposes and a portfolio method to reduce the correlational effects of the variables. This longitudinal study completed over a 7-year time span and the analysis of the results stood witness to the significantly positive relationship between the ratio of illiquidity and the excess of stock return. Moreover, the research utilized a mathematical model to investigate the degree of such significance. The research concluded with the analysis of the results of the investigation into the companies’ stocks over the very time span of 7 years (1999-2005).

The purpose of this study profitability strategy momentum prices in Tehran stock exchange and evaluation of the ratio of dividends to prices on the efficiency of this strategy. This research, in terms of applications, according to data type bit. In this study shares 96 companies participating Active in the Tehran Stock Exchange from 1380 to 1389 has been selected The main research hypothesis is that the momentum strategy can be an extra return earned on the Tehran Stock Exchange. Compared with test results of hypothesis test showed that the momentum strategy is profitable during the period of six months.

This paper deals with this issue, which can be summarized as the conflict between randomness and determinism. On the one hand, there are market analysts who feel that the market is perfectly deterministic; on the other, there is a group who feel that the market is completely random. We will see that there is a possibility that both are right to a limited extent. But what comes out of these partial truths is quite different from the outcome either group expects. We will use R/S analysis, or rescaled range analysis. R/S analysis can distinguish fractal from other types of time series, revealing the self-similar statistical structure. This structure fits a theory of market structure called the Fractal Market Hypothesis.. This reconciliation ties directly into the concept of local randomness and global determinism.
One of the most important area that we focun on is capital market distributions. capital markets are not well described by the normal distribution and random walk theory. Yet, the Efficient Market Hypothesis continues to the dominant paradigm for how the markets work. Standard statistical analysis begins by assuming that the system under study is primarily random; that is, the causal process that created the time series has many component parts, or degrees of freedom, and the interaction of those components is so complex that a deterministic explanation is not possible. Only probabilities can help us understand and take advantage of the process. The underlying philosophy implies that randomness and determinism cannot coexist.

The aim of this study is to investigate the determinants of dividend policy in Teheran Stock Exchange (TSE). To do so, a fresh bunch of recently introduced theories including catering theory, cash flow uncertainty, life cycle hypothesis, systematic risk, dividend stability and fixed assets variable are selected to be investigated. Data for hypotheses testing derived from financial statements of firms listed in TSE for the period between 2003-2010. For analyses purpose Tobit regression is used because of the censuring nature of dependent variable. In addition to six main theories and variables, four control variable including cash, firms size, profitability and investment opportunity are considered. The results of study show that mangers of TSE firms do not cater to investors demand and they have not stable dividend policy. Moreover, firm’s life cycle and systematic risk are not determinants of dividend policy while cash flow uncertainty, fixed assets, cash, firm’s size, profitability and investment opportunity are.

This research introduces the behavioral finance. Investment in a coherent state requires analyzing the main character of the investors decisions. In this case, the activities related to the decision making process are such very important factors in the investors working environment and affect their decisions. Some psychological factors including the perceptual errors are effective in their financial decisions. The existence of the psychological factors, prevent the investors from making perfectly rational decisions and this is in contradiction with the efficient market hypothesis. The purpose of this study is to examine the effects of the locus of control on the perceptual errors in the decision making of the investors, reducing such errors, and eventually lead the markets toward efficiency.
From the purpose point of view, this research is an applied one, and it has a descriptive correlation nature. In this study, the information is collected by the questionnaire, and the questionnaire distribution among the sample members is carried out through the simple, random sampling. The statistical population includes the whole actual investors in the Tehran Stock Exchange, the stockbrokerages and the common funds of investment in the Tehran Stock Exchange. Some statistical softwares such as the “spss 19” and “lisrel 8.7” were applied to test the hypothesis. The research hypothesis was tested through structural equation modeling, and the results indicated that some factors like job satisfaction, motivation, efficiency, positive experiences of working, and stress are proved effective on the perceptual errors of the investors, but the managerial strategies do not have such effects.

In the current competitive market, the goal of organizations is to gain more market share by creating competitive advantages. The success of an organization depends on the use and management of knowledge and Intellectual Capital (IC) in all aspects of the organization.
Today’s IC plays an important role in the process of economic, managerial, technological and social developing. According to the importance of IC and its impact on company’s value and returns, select portfolio based on IC can affect the investor’s return, so in this study we apply IC variables in Grid matrix model which categorizes companies stock by use of six accounting model for measuring IC and market value, to form the Grid matrix.
The data of the research is gathered from companies which listed in Tehran stock exchange through 1385-1389 by random sampling procedures. Returns of selected portfolios are computed by Traynor and Sharp performance ratios, in order to identify portfolios with higher performance than market portfolio performance. The Kolmogorov – Smirnov Z test is used to test the hypothesis.
The results show that portfolios which selected based on IC models In Grid matrix model have higher performance than market portfolio.

In many cases it is observed that share prices in the share market swings are severe, without clear and reliable information concerning them is released in the market. The decision follows the herding behavior of other investor's decisions are based. This decision caused a rush of investors to buy or sell the share and price volatility that the outcome of the instability and fragility of the market.
Paper examines the presence of herding behavior of investors in Tehran Stock Exchange (TSE). We examine the herding behavior in TSE with Christie and Huang model. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index with daily and weekly data on institutional investors.
Our findings indicate that herding formations do not exist in upward markets, but we find evidence of herding in down markets with daily data. The results suggest that any evidence of herding behavior does not exist with weekly data that is consistent with the observation by Christie and Huang(1995) that “herd behavior is a very short-lived phenomenon”.

This research attempts to investigate the relationship of investment opportunities and earnings management with respect to ownership concentration. Earnings management is measured by using absolute abnormal accruals proxy through Ball and Shivakumar model (2006-2008). Investment opportunities calculated as an independent variable through geometric growth, market-to-book asset ratio and factor analysis of these two indicators. Control rights and deviation between cash flow rights and control rights was considered as a measure for ownership concentration. Results indicate there is not any significant relationship exists between assets geometric growth and earnings management. Although, there is a significant relationship exists between high market-to-book ratio and factor analysis of these two indicators and earnings management. Furthermore, ownership concentration has not a significant effect on earnings management and investment opportunities and controlling shareholders do not use their monitoring role and their power to protect shareholders.

This study aims to identifying and prioritizing various foreign investment methods for technology transferring in ship making industry based on a Fuzzy multi criteria decision making approach. Studying different foreign investment methods and the effective factrs on prioritizing of the methods and using the sample judging, this study considered the viewpoints of managers and experts familiar with foreign investment issues in Iran's ship making industry. The Fuzzy TOPSIS method has been used to analyze the collected data. The results showed that among various foreign investment methods, the joint venture and the subsidiary company are of highest and lowest priorities, respectively .