فصلنامه دانش مالی تحلیل اوراق بهادار
سال هفتم شماره 23 (پاییز 1393)

Two investment, s guideline in stock markets by investment, s managers utilized are Momentum Strategy and Contrarian strategy. Contrarian strategy recommend that the shares which were good function in past, should be selling and the shares which were poor function in past, should be buying. this research designed based on this believe which capital market in proportion to new information shows excessive reaction and to determine prices of succeed shares more than real prices, and to determine prices of succeed shares less than real prices. therefore in future time which market will find out to the mistake in pricing return output have existence about this share. this research Investigate possibility of increase of output of short-term investment and earn unusual output by utilization Contrarian strategy in Iran, s capital market. Community statistics of this research formation five industry of stock market which during the years (1385-1389) have been studied. Analysis data with t-students Test done it. the result of this research shows which average of loser Portfolio in one year cycle or less, no statistically significant difference and more than Winner Portfolio. In fact possibility of increase of output of short-term investment in Iran, s capital market capital by applying of Contrarian strategy does not exist.

This study aims to measure government size’s effect on Tehran stock market performance. To reach our goal we use Arbitrage Pricing Theory for specify a function to explain behavior of stock price. We use quarterly data covering 1998 to 2011. Other variables that have been used consist of Consumer Price Index (CPI), money stock, land price, exchange rate and industrial production index. Long run relation that has been obtained by Auto Regressive Distributed Lags (ARDL) show that government size has significant negative effect on stock price. Other results show that money stock, land price and exchange rate have significant and negative effect on stock price, too. However CPI positively affects dependent variable.

The main objective of this study investigation the effect of membership in business group on the Investment–cash flow sensitivity. When the external financial resource is scare, the companies use cash flow operation for investing. In Result the investing sensitive to cash flow. If a company membership in business group, it can provide the resources for investing from group and in result the sensitivity of investment to cash flow is reduce. The study sample consists of 120 Firms listed in Tehran stock Exchange during the 2002 to 2011. The multivariate regression is used to analyze the study Hypotheses. The results indicate there is not a significant relationship between cash flow and investment on member firms in business group. Also the results show that there isn’t significant relationship between cash flow and investment on member firms of diversity and non diversity business group in result the Hypotheses is rejected. It shows that Iranian company don’t use from capacities in business group.

Religious beliefs and practices, such as trust in the Lord will strengthen hope and optimism in all phases of human life. In this paper, initially, the role of religious beliefs and the impact of religion on people's lives is expressed. Then the necessity and importance of financial literacy on economic decisions has been analyzed. Comments master's degree students from different universities about financial literacy and Islamic teachings have been studied. In the present study, data are collected by using a questionnaire. The results of this study can be valuable for researchers and policy makers in universities.

Mortgage market refers to a market where mortgage funds are mobilized and allocated. The main product of the mortgage market is the mortgage loans. These loans are paid to the borrower after collateralization and imply a contract between the lender and the borrower by witch the base asset is collateralized for guaranty of repaying the principal and interest of the mortgage loan. Regarding the functioning of the mortgage market and its agents, this market contains for two submarkets; (a) Primary Market and (b) Secondary Market. In the primary mortgage market the real loans are provided to the applicants and in the secondary mortgage market, liquidity is entered to the primary market by purchasing packages of mortgage loans. Considering the importance of issuing mortgage in credit risk management in money market, this paper reviews the secondary mortgage market in selected countries and focuses on America's most active institutions in the secondary mortgage market “Fannie Mae”, “Freddie Mac”, and “Ginnie Mae” and finally by reviewing the proposed structures for the secondary mortgage market participants in Iran, provides an appropriate model for establishment and public/private structure such institutions in the country.

This paper investigates the linkage between total index of Tehran stock exchange (TSE) and non-official exchange ratesby daily data from May 2011 to May 2013. In this period, exchange rate tripled and TSE doubled. Johansen Cointegration test and VECM model applied to specify this linkage. Exchange rates and TSE found to be Co-integrated. TSE has positive response to exchange rates but exchange rate has negative response to TSE and it is weak exogenous.

In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the petroleum futures markets volatility at horizons that range from one day to one month. To take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility forecasts, MRS-GARCH models, where the parameters are allowed to switch between a low and a high volatility regime, are analyzed. Both gaussian and fat-tailed conditional distributions for the residuals are assumed, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. The forecasting performances of the competing models are evaluated with statistical loss functions. Under statistical losses, we use both tests of equal predictive ability of the Diebold-Mariano-type and test of superior predictive ability, such as White􀀀s Reality Check and Hansen􀀀s SPA test. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at shorter horizons according to a broad set of statistical loss functions. At longer horizons standard asymmetric GARCH models fare the best. All this tests reject the presence of a better model than the MRS-GARCH-t in this research.

Today, achieving economic growth through the promotion of economic efficiency is one of the most important objectives. Instances of explicit and implicit productivity in economic development programs have been considered (i.e., 30 percent of productivity growth in the Fifth Development Plan). Given the emphasis in the program identifying and removing barriers to increase productivity is of great importance. In the present study, after presenting an overview of the concepts, definitions and indicators of productivity, the role of productivity in economic growth has been investigated in the Asian Productivity Organization countries. To calculate productivity indicators, the library statistics were used. Then, a brief mention of the status of productivity in Iran economic development, Total Factor Productivity, Labor and capital productivity were estimated. Finally, referring some main obstacles to increase productivity, opportunities and strategies for increasing productivity were presented.