فصلنامه دانش سرمایه گذاری
پیاپی 5 (بهار 1392)

The main purpose of this study is to analyze the strategy of synthesizing the fundamental financial and non-financial variables in order to present a pattern for ranking companies in Tehran Stock Exchange , and eventually classifying them as winner and loser.
To confirm the offered ranking and to demonstrate how the companies were differentiated, the researcher tries to determine whether there are any significant differences in the studies financial and non-financial variables between the winner and loser companies. The hypotheses offered are based on two main axes. First, the variables under study for the winner companies are much stronger than those of the loser companies. Second, winner companies enjoy a higher actual return average of 16.3 percent. Besides, their actual return is 17.4 percent higher than that of the market.
This research study was conducted in a five-year period, from 1382 through 1386, using the method of average comparison and ranking comparison of a variable in two independent societies (t-Student and U—Mann Whitney tests).
The findings of the study revealed that winner companies possess a more favorable cash status, financial leverage, profitability, and non-financial indexes (indicators). Moreover, it was concluded that activity and market’s value indexes (indicators) were not significantly different between the two groups of companies.

During the recent two decades, the academic studies quickly developed in the financial scope entitled with the market microstructure. The initial studies are started from the study of Bid-Ask Spread phenomenon and how quote was formed in the scope of market microstructure. The studies of the market microstructure are very important in order to the presentation of approaches for helping to the investors in the investment strategy design and the practitioners and the policymakers of stock market in editing rules and transaction mechanisms. In this research the effects of microstructure on the stock price was examined from 2008 to 2011. For this purpose, the number of 43 companies as a sample was selected from Tehran Stock Exchange. In this research, we were used Panel Data for evaluation of theories because the combined studies data is from the sectional and time series data. The results indicate that during the research time, the small elements of market microstructure (Size, duration and Bid-Ask Spread) are more effective on the stock price. This element of size in addition to the effect on the middle of quotes also is effective on Bid-Ask Spread .

this study investigates stock selection ability between institutional and individual investors. Methodology in this study is based on the intuitive idea that if institutional investors are better at selecting stocks than individual investors, then institutional investors are more likely to buy future winners and sell future losers. while controlling for other factors, such as size and momentum effects, the institutional and individual investor daily trading were regressed on future stock performance. The result of the study dose not show any apparent difference in stock selection ability between individuals and institutional investors. Coefficient of independent variable with dependent variable has positive and negative relation but none of them are significant. Thus first Hypothesis as Changes in institutional investor ownership are related with subsequent abnormal returns is rejected. Second Hypothesis Changes in individual investor ownership are negatively correlated with subsequent abnormal returns is rejected too.

Research activities are the most uniquely functions in the universities and research centers on which in addition to consume operational resources, we indicate them as investment. Specially in ranking universities in one hand and their effectiveness on national economy on the other hand, research activities are applied importantly.This paper which is mostly based on research findings of one of the branches of Islamic Azad University is implemented in descriptive manner as well. The assay results denote firstly that research operation of the abovesaid branch has justified to invest in this field. Secondly, research function has significance difference in different activities.

Volatility of price movements on stock security exchange is of great importance. Entering of new information to stock security exchange can result in price movement volatility. With regard to this important point, this research is aimed at considering the quick reaction of Tehran Security Exchange to the internationally published economic announcements. Since U.S economy is known as the axis of economic crises of the world, the quick effect of U.S Job Union (USJU) which is grounded on job opportunities reduction rates has been investigated on Tehran Exchange Security by event study methodology during 1390. The research’s results which have been done on a sample containing 5o listed companies of Tehran Security Exchange during 1990 indicated that the USJU’s internationally published announcement has no information effect on Tehran Security Exchange.

Shareholders are the original owner of the business unit and continuously seek to maximize their own wealth and the wealth of the business unit for optimal performance will result. Due to high sensitivity of investors to the performance of companies wealth is one of the most important objectives of the companies and the performance appraisal systems are useful tools for appraisal evaluation of the manager's performance. So, the main aim of this paper is the study of the relationship between Pay-for-performance sensitivity as an independent variable and shareholder value added & CEO pay efficiency as a dependent variables in Tehran Stock Exchange. Therefore, the data of 81 firms for a five-year period (1385-1389) were studied. The multivariate pooled regression model is used to test the hypotheses. The results show that there is significant relationship between Pay-for-performance sensitivity and shareholder value added but there is no significant relationship between Pay-for-performance sensitivity and CEO pay efficiency. Although the overall result is executive senior managers for Iranian companies to create value for shareholders, but payment is not efficient enough.

Firms with a history of growth in earning have been able to get good rankings in the capital market and Concerned about maintaining their reputation. The concern is whether earning forecast increase firm`s credibility or reduce it?
This study illustrates the effect of earnings consistent growth on the stock price reaction to the EPS forecast characteristics. In this study we use 104 firm's data during 1383 to 1389. Capital market reaction to bad news earning forecasts and Earning Forecast Horizon in earnings consistent growth companies differ from others while Capital market reaction to good news earning forecasts and Earning Forecast point was not affected by earning consistent growth. It seems that it is related to investor's attitudes about the importance and credit of bad news earning forecast.

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years .Capital Asset Pricing Model is an equilibrium model that explains why rates of return expected on stock is different; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The main contribution of this research is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to explain stock returns changes Tehran Stock Exchange listed firms. Research statistical Society is Companies listed on the Tehran Stock Exchange from 1386 until 1389, a period of 4 years. The sample consisted of 33 companies among the top 100 companies in Tehran Stock Exchange member firms. In present research survey Addition of skewness and kurtosis on the proxy asset pricing model four factors have a greater ability than other asset pricing models in explaining variations in stock returns are expected on top 100 companies in Tehran Stock Exchange member firms period 2007-2011.The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model.

This research dealt with the survey of the relationship among the transaction activity ratio and risk, return & portfolio diversification of mutual funds. the statistical population of this research consists of investment managers of mutual funds and a sample of investment managers of 37 mutual funds was investigated. Derived results from analyzing the data by Pearson correlation and SPSS software show that between the transaction activity ratio of mutual funds and risk, return, portfolio diversification, there is a meaningful direct relation, meaningful reverse relation, meaningful reverse relation, respectively.
The results show that transaction activity ratio in men investment managers, less experienced, less educated and younger ones is more than women, more experienced, highly educated and older ones.
One of the findings of this research is the survey of relationship between mutual funds portfolio diversification ratio and transaction activity ratio of mutual funds which is done for the first time in Iran.

One important component of any economic activity, providing financial resources needed. Financial resources can to provide from equity or debt. combining debt and equity at financing represents the financial structure. Optimal financial structure refers to the combination of the two is that maximization firm’s value and to minimize capital costs. Aim of this study is to emphasize the financial structure of categories and its efficacy on firm’s value according to the industry. Criteria used to measure the financial structure of research is the debt to asset ratio (FL) and long-term debt to total equity (NCE). that the resources of the Company has financed through debt shows. Cash value added; part cash wealth created by the company shows. Results of this research indicate that both strategic and non-strategic industries and the entire industry significant relationship between financial structure and cash value added there. Adjusted coefficients of determine and coefficients of independent variables in regression models show the relationships between financial structure and cash value added in strategic and non-strategic industries have significant difference together.

Banking industry in the world and especially in Iran are among those competitive organizations that active based on parallel production systems. So,production planning for the next period of activity is so sensitive, and important. To achieve these end, Decisions should forecastes short and long financial plans for next period. In many real word problems, there is production systems which are composed a finite number of production stations arranged in parallel. The problem of production planning and resource allocation in such systems is an important subject in DEA context. In this paper, the problem of resource allocation and production planning in parallel production systems has been studied. An aggregated DEA model is used to the production planning problem. An empirical example is used to illustrate the applicability to the proposed approach.

Financial health is defined as capability of making profit and the continuation of industrial entity activity. This research aims at the determination and recognition of financial components and features affecting health and presentation of a model based on Multinomial logistic Regression (MLR) approach to assess and evaluate financial health in Iran.
companies in this research have been divided into three groups as to their financial health state called; healthy, intermediate and distressed.In order to test the accuracy of prediction and trath-value of the extracted model , the selected companies at every level of health were divided as symmetrical pairs in to control and experimental groups.Using Excel software 15 financial ratios were calculated in 5 states of liquidity, leverage, activity , market value and Value creation .
SPSS (17) was used to test hypotheses , (ANOVA) and Kruskal-Wallis statistical variance analysis to compare the average and SD of ratios at 5% level of error. Research findings show that there is significant statistical differences among these companies according to different levels of financial health based on leverage, activity and market value ratios. But the liquidity and Value creation state difference of these three levels is significant and the components affecting financial health are as quick ,current , debt , the proportion of net working capital to total assets ratios, EVA and MVA. Based on Dunnett and Tukey tests the distressed companies are the factors yielding the difference. i.e. distressed companies are statistically on one side and intermediate and healthy ones on the other side of distribution. As a resalt two models were presented, one for distressed companies and another one for intermediate and healthy ones.
The test of model prediction accuracy in the experimental group at three levels of distressed , intermediate , healthy and total are subsequently 70% , 92% , 100%, 88.88% and shows 66% , 79.16% , 77.7% and 76.92% of prediction accuracy and classification in the control group.