فصلنامه دانش سرمایه گذاری
پیاپی 4 (زمستان 1391)

Investment is one of the effective factors on economical growth and development. So paying attention to the growth and development of private investment is very important. Inflation is known as the most basic problems over the economic life of the country. Inflation the continuous increase in general level of prices or the continuous decrease in purchasing power of money that would impose great costs on society. It causes the lack of certainty and therefore motivation denial and delay in making decision of investment ,making problem for allocating of resources and has negative influence on the benefits of investment. So in this study the effect of inflation on private investment. The data were collected through library and they were based on time series data taken from central bank and Organization the tax affairs. They were evaluated through a neoclassical investment model and and the effect of explanatory variables on governmental section ,corporate tax ,inflation, interest rate and two dummy variables using the econometrics metoth GMM and software Reviews for the economy of Iran were assessed. The investment in governmental section ,corporate tax, inflation and interest rate had a negative relationship with private investment but facilities, Adjustment policies and Currency reserve fund had positive effects on private investment. Regarding the reverse relationship between investment and inflation and applying effective policies on decreasing inflation that cause encourages of saving and causing motivations for investment, preventing capital escape from production section toward speculative and broker`s activities .

In recent decades, the dominant conditions in economy such as Increasing speed of change in production technologies, growth and expension of markets, extensive range of exchange among industries,focusing on custmore-oriented approaches and change in competition basics and product variations form one hand, and concern about bankruptcy reports in economy of the world , on the other hand leads to alteration of attitudes of economists and planners in terms of resourse allocation with the aim of reducing bankruptcy –related investmsnt risk. therefore,indentification and prediction the scope of business in relation to the interests of wild rang of stakeholders seems something to be dsirabe and critical.
Statistical models, Artificially Intelligent Expert System models and Theoretic models approaches are used by researchers to predict the business scppe, focusing on symptom of bankruprcy in Statistical models and Artificially Intelligent Expert System models but Theoretic models merily concern about the causes leading to bankruptcy. Each model has some advantage and disadvantage .although the methods differ in the models, there is no difference interms of effect and outcome.
The results show that the both befitted models are able to predict the bankruptcy of accepted companies in the stock exchange,general accuracy levels of prediction for modified version of Altman-Levalle model 91.85% and 84.7% for one year and two years before bankruptcy events respectively and the same levels for modified version of Legault-Veronneau model are 88.8% and 86.7% for one year and tow years before bankruptcy events respectively. Thus, the firt and the second hypothesis are confirmed but for the third, it is concluded that there is no differnens between the two modles in terms o f their application, that is, the third Hypothesis is rejected.

The Tehran exchange after reopening in 1368 ,has been undergone fluctuations during its activities that these fluctuations often were market inherent and indicate what it has happened in the markets. But sometimes the market reacts suddenly. Perhaps the decline of share market in 1383 was one of these reactions. In this research we explore the price bulb in public companies in Tehran exchange. firstly by using of box Jenkins method, we estimate the residual of model and based on model residual ,the continuum, skew and unit root has been used that the price bulb have been occurred during 1383 to 1388. Then by testing price bulb, all of companies that have been undergone to high growth and decline of price in exchange are divided to 2 companies. One without bulb and other one with price bulb. In order to prediction of bulb, the independence variables inside of companies like company size ,shareholders demography ,p/e ratio, information transparency and liquidity speed have been used. In the next step, by using of binary logit and probit regression method, a model has been designed for the prediction of price bulb. for model reliability, the data 6 months before bulb expression have been used. The test of hypothesis show that there is no significant relationship between independent variables (company size, shareholders demography, P/E ratio, information transparency, liquidity speed) and price bulb, except 2 companies inherent independent variable(share floatability and company size).

Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes.
Generally speaking, researchers and market participant usually disagree about price limit application, its efficiency, and optimum range. Pros believe although price limit may delay price discovery, it prevents extreme price volatility and overreaction. On the other hand, cons assert that price limit causes price volatility spillover and intensify investor’s overreaction. Since there is no consensus over the price limit application and efficiency, it is recommended to study this issue using different methods. Therefore, we are trying to study price limit effects in Tehran Stock Exchange using Contrarian Investment Strategy.
Our results show that price limit application in Tehran Stock Exchange delays price discovery but has nothing to do with investor’s overreaction. Consequently, it seems that regulators have prevented extreme volatility, although this constraint delays price discovery and reduces market efficiency.

Financial Scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reversion processes. Random walk means that accruing shocks to the stock price have permanent impacts and prices dont revert to their previous trend path. In efficient market, the stock return couldnt be predicted using previous price variation. However, efficient market hypothesis is under question because the researchers have provided evidences that reveal some anomalies in stock markets. Mean reversion stock price is one of these anomalies. The purpose of this research is the study of mean reversion in the period 1380-1389. In line with this research, using unit root test (Dickey Fuller generalized), the phenomenon of mean reversion in the total stock price index, stock price and cash returns index, and the index's top fifty companies were examined. The results of the study indicate that continuous changes in the total stock price index and the index of the top fifty companies follow a random walk process or more words that are not eligible for mean reversion. But the price and cash returns index index the result shows that only 1% error level was confirmed that the mean reversion. Error levels of 5% and 10% of the rest of the process did not follow a random walk and mean reversion confirmed. In general, the performance of the Tehran Stock Exchange Index and fifty top companies indicate But the price and returns index results in poor performance suggests a lack of cash.

This study investigates the relationship of different intellectual capital components on the financial reporting quality. In order to conduct this study, a sample including 184 accepted companies in Tehran Stock Exchange that work in deference industries between 2006 and 2011 have been selected. The methodology of the present study is co relational research and has an applied purpose. Co relational analysis and multiple linear regressions are the statistical methods are used in this study. The results from hypothesis testing demonstrated among the different components of intellectual capital, two components of capital employed efficiency and human capital efficiency have significant positive effect on the dependent variable of financial reporting quality and structural capital efficiency has a significant negative effect on the financial reporting quality. Among these three components of intellectual capital, the effect of human capital efficiency on the financial reporting quality is stronger with than the other two factors.

Initially in this research we introduce a new method for evaluating the performance of company in Tehran Stock Exchange that called Revised-Sharp ratio and then examine this index was compared with sharp ratio. In Revised- Sharp ration we used of Value at Risk (Var) concept. Due to the unique properties and its application in the international financial institutions, VaR was applied as a financial innovation in Revised Sharp index.
In this study, evaluating the performance by Revised-Sharp and Sharp was done in Investment and Metal Producer Company for period of study (2007-2011). The results show that there is no difference between ranking of Revised-Sharp and Sharp index in Investment companies (Portfolio). Although in Metal companies there were some differences between ranking of Revised Sharp and Sharp apparently, but also this hypothesis was not approved by nonparametric statistical examination.

The main object of this study is investigation of effectiveness state of earning forecasts news on the firms cost of equity capital and look for answer to this question that is the cost of equity capital affected importantly by forecasts negative or positive adjustment news or not? at this course tried to more over than separated effects of forecasts positive adjustment news or negative adjustment news on the cost of equity capital, investigate the symmetrical or asymmetrical effects of these two types of news on the cost of equity capital. for this purpose four hypothesis compiled and examined with use of gathered data from statistical samples include 132 firms at time period from 1385 to 1389by put panel and compound data regression method into operation Resulted Experimental evidences from this research indicated that both forecasts negative and positive adjustment news affected the firms cost of equity capital in the manner that negative adjustment news have increasing effect and positive adjustment news have decreasing effect on the cost of equity capital. The results also indicated that effect measure of negative adjustment news on the cost of equity capital have been more than positive adjustment news. In addition the investigations indicated that for descending profitability trends, management’s preemption in issue of earning forecasts negative adjustment news was modifying the really earning declare effect on the cost of equity capital.

During the recent years extensive researches have been done on fuzzy time series. In many of these studies, universe of discourse and relevant intervals have been determined based on levels of price or data; in this study a new type of universe of discourse is established based on rate of return concept in financial markets.
Another point that has a significant effect on the performance of fuzzy time series models is the length of intervals, therefore doing research in this area became an interesting topic for time series researchers, there are some studies on this issue but their results are not good enough. So we propose a novel simulated annealing heuristic algorithm that is used to promote the accuracy of forecasting. The experimental results show that proposed model (RBFTS) is more accurate than existing models on forecasting Alabama university enrollments data. At the final step, Tehran’s bourse price index (TEPIX) is used as a case study for forecasting. The obtained results indicate a good forecasting performance on this test problem.

Quality is a topic which the most attentions are allocated to it by business companies. This topic which can be studied from different aspects is considered as primary precedence of organizational strategies. According to using different quality control systems in the country and favorites of many manufacturing and service companies for establishing such systems and obtaining valid quality certification in order to enhance quality level of production and receiving a great share of market, considerable attention is allocated to this topic in our country. Hence, the most application is allocated to system of international standards quality assurance - ISO 9000.
In this paper, efficiency of establishing this international standard in the companies which are listed on the stock exchange has been evaluated. So, companies which are holder of this standard certification were determined, a counterpart was chosen for each company in order to comparison. Then, we studied effect of establishing this management system on 3 indexes as sales growth, margin, earning per share.
The obtained data from paired observations showed that obtaining ISO 9000 certification just could have effect on sales growth level. It does not have any significant effect on margin and EPS.

In this paper we examine the usefulness of multivariate GARCH models to estimate Value-at-Risk (VaR) and spillover effect using a portfolio of returns in the OPEC and WTI oil spot market. In this procedure first we estimate conditional covariance matrix using multivariate GARCH models, results show that in multivariate GARCH models, although CCC model estimate variance matrix well with utilize more complete information of correlation matrix. Also we detect extreme risk spillover effect between the two oil markets from existence covariance between variable. The tests showed the importance of time varying correlation in risk portfolio management. The estimated Value-at-Risk represents the superiority of CCC to other models. The distributional assumption has large impact on VaR estimation. These results are valuable for anyone who needs to evaluate and forecast the risk situation in international crude oil markets.