مجله راهبرد مدیریت مالی
پیاپی 1 (تابستان 1392)

In the past several years many financial theories such as portfolio optimization model، model prices of capital assets (CAPM)، arbitrage pricing، and the like، are based on normal return distribution. Yet recent research has rejected the assumption that if the distribution of returns is different from the normal distribution، so variables and methods that they use in these models are challenged. Then it is important that the exact types of distributions are specified. In this research we conduct a test on stock return distribution of 22 firms using R/S method as well as the Anderson–Darling criteria. It covers the period of 2001-2013. The test results show that the return distributions of nine firms are stable.

To assess the performance of mutual funds، this research uses the indexes of risk، return، portfolio diversification & transaction activity ratio. For the purpose of investigating the relationship between the overconfidence of investment managers and the performance assessment of mutual funds، a sample of investment managers of 37 mutual funds was taken. The derived results from analyzing the data by Pearson correlation show that between the overconfidence of investment managers and risk، return، portfolio diversification، the ratio of transaction activity of mutual fund، there exist meaningful direct relation، meaningful reverse relation، and meaningful direct relation، respectively. The results of this research show that overconfidence of men is more than women، and that as the experience، education and age of people increase، their overconfidence decreases. But، in terms of better than average effect and wrong calibration، from the point of general knowledge، no meaningful (significant) difference was observed، among different age groups.

The main objective of this study is to investigate the effect of financial information quality on liquidity risk and cost of equity using information of companies listed in the Tehran Stock Exchange. The period is the years between 2005 until 2009، and it reaches back to 2001 for collection of required information. Characteristics related to financial information quality that are used in this study are: Reliability، relevance، persistence، accuracy، precision and frequency of the revenue. The first three features are dedicated to quality of earning reported by the firm and the other three features refer to quality of management earning forecast. For measuring the cost of capital، Gordon Model is used. The Panel method is used for statistical analysis and the sample included 100 firms between years 2005 until 2009. Findings show a negative and significant relationship between the cost of capital and financial information quality.

To reach their goal of getting desirable return on their investment the investors require that information to be clear، come in appropriate time، and to be homogeneous. One of the issues that has been raised recently in the selection and purchase of shares is the amount of free float of the companies. On the other hand، P/E ratio is accounted as one of the tools for making investment decision for investors in evaluating the shares of the companies. The purpose of this research is measuring the relationship between the amount of free float and price to earnings ratio of the companies. The research utilizes the data of the companies listed at the Tehran Stock Exchange for the period of 2004-2010. On the other hand، in addition to answering the above question، the paper attempts to test the relation in various industries as well. Making use of elimination sampling، the related data were collected from 79 companies across various industries. The survey research hypotheses using Pearson correlation test and regression analysis indicate the positive relationship to exist between these two variables. Also، in most industries this test has been positive and significant.

The purpose of the present research is to investigate the relationship between stock price changes and trading volume in companies accepted at the Tehran Stock Exchange. The trading volume describes the consistency and accuracy of the price. In fact، any study that would not consider trading volume along with price changes، is not taking into account the price accuracy. Therefore، after a comprehensive review of the subject in the relevant literature، tests of variables correlation were conducted on samples of 70 companies in three high transaction industries. The results indicated that there are correlations in market structure. Trade frequency، the number of traded stocks and daily price changes، had positive correlations with one another. These correlations also exist in the interval of one day. So the price changes are caused by trade frequency and the number of stocks traded the day before. Furthermore، the price changes follow ascending or descending trends during consecutive days.

The aim of this study is to investigate the relationship between financial flexibility and capital structure decisions in companies admitted to the Tehran Stock Exchange. The research method is descriptive while using correlation. The hypothesis was test ed via multivariate linear regression models as well as panel data method. The time period of research is 2006-2010 and the sample consists of 82 companies which are already admitted to the Tehran Stock Exchange. The results indicate that marginal value of cash is negative in terms of the market. Furthermore، findings show that there is no significant relationship between marginal value of financial flexibility and capital structure decisions of firms under study، which is the firms، would not consider financial flexibility level in their decisions regarding increasing or decreasing debts. Such lack of consideration would in the long term، result in the loss of financial flexibility as well as missing profitable investment opportunities.

One of the main subjects of financial management is risk management. Risk management involves recognizing، measuring and monitoring risk. So measuring risk is very important part of the risk management. One of the most recognized and applied way of measuring risk، is evaluating value at risk that is the main subject of this research. In this research، we forecast volatility of TEPIX index and TSE-50 index، using the hybrid model of support vector machine based and the GARCH، then we calculate Value at Risk by Variance-Covariance approach and finally we compare its result with the traditional models including: Risk Metrics، GARCH and EGARCH by LOPEZ’s back testing and back testing based of expected shortfall. The result of this research has shown that the hybrid model significantly outperform the competing models.