مجله مدیریت دارایی و تامین مالی
پیاپی 1 (تابستان 1392)

This article reports the results of a survey of executives of companies listed on the Tehran Stock Exchange regarding their companies’ capital budgeting practices and the major factors influencing their practices. The results show that the majority of responding companies use formal techniques to evaluate proposed capital investments. Of these companies, the majority use a discounted cash flow technique as the primary measure for evaluating capital investment proposals. Sensitivity analysis and Decision tree analysis are the most commonly-used risk assessment techniques. Accounting return on equity and the CAPM are most popular used techniques in Calculating the Cost of Equity in Iran. The most important objectives in capital budgeting are increase future cash flow and Growth in market shares followed by growth in long term earnings.The results also show that chief financial officer educational background and size of annual capital investment (increase in Net Fixed Assets) influence capital budgeting analysis technique usage.

High quality accounting information is necessary for capital market health function and overall economy and is very important for investors, companies and standard setters. So, in this study the effect of disclosure quality on the value relevance of financial statements items is examined. For this, at first the value relevance of financial statements items and the value relevance of disclosure quality Characteristic with future stock return were tested. Then, the effect of disclosure quality on the relationship between financial statements items and future stock return was examined. The statistical population was the listed companies in Tehran Stock Exchange during 1383 to 1391. Panel data regression analysis (Time-Fixed Effect Model and Time-Random Effect Model) and Wald Test were used in the research method. The results indicated that financial statements items except operating profit and debt ratio and financial information reliability and timeliness characteristics have significant relationships with future stock return. Also, the results showed that disclosure quality and communication score has no significant effect on the value relevance of financial statements items with future stock return.

Stock market prediction is important because successful prediction of stock prices may promise attractive benefits. This task is complicated and very difficult. In this paper, the predictability of stock market index with Adaptive Network-Based Fuzzy Inference System (ANFIS) is investigated. The goal is to determine whether an ANFIS algorithm is capable to predict stock market return and trying to find best architecture. We attempt to model and predict the return on stock price index of the Tehran Stock Exchange (TEDPIX) with ANFIS. We use six macroeconomic variables as input variables. The experimental results reveal that the model successfully forecasts the daily return of TEDPIX Index. ANFIS can be a useful tool for economists and practitioners dealing with the forecasting of the stock price index return.

In this we article study the common rules of stochastic dominance (first order stochastic dominance, second and third) also the concept of stochastic dominance are discussed in the context of real behaviour of investors. thus has been studied the Investor’s behavior toward growth-value stocks based on rules of stochastic dominance in listed companies at TSE. The results don’t showed first, second and third order of stochastic dominance of Growth stocks over value stocks and value stocks over Growth stocks.

Our study investigates the relationship between after-market liquidity and initial public offering (IPO) price. We also examine effects of other factors such as: firm size, belonging to the high-risk industry, IPO size, reputation of the underwriter and firm age on IPO price. The sample consists of all IPOs issued in Iran stock exchange during 2006-2012.the actual data cover the period from sep2006 to march2012.our findings indicate that IPO price is positively related to after-market liquidity and there is no relationship between IPO price and other factors such as: firm size, belonging to the high-risk industry, IPO size, reputation of the underwriter and firm age.

Abstract The issue of the optimal portfolio selection has always been one of the essential concerns of the investors. One of the famous models for this purpose is the Mean-Variance model of Markowitz. While Markowitz used the static correlation in his model, the recent studies have shown the dynamics of correlation between the variables over time. Therefore, this research investigates the consistency of the correlation matrices of return among the selected financial markets. In addition, developing the Markowitz ҆s Mean-Variance model and using the Multiple Fitness Functions Genetic Algorithm tries to compare the behavior of the optimum portfolios based on two models of “Dynamic Conditional Correlation” and “Static Correlation”. Hence, market price index of three groups of the Middle Eastern developing, South East Emerging and some of the developing countries have been collected. The findings confirm the inequality of the correlation matrices of return during the period of study and also show that there is a significant difference between the behavior of international optimum portfolios based on the static and dynamic models.

According to agency theory, ownership structure play important role in guiding opportunistic behavior by managers. In this study, will be examined various forms of ownership structure including managerial and institutional ownership structure and their effect on the relationship between free cash flow and efficient use of assets. Therefore, the data related to the companies listed in Tehran Stock Exchange for the period 1384 to 1390 were extracted and the combination regression model were used to test the hypothesis. The results show that there is significant positive relationship between of free cash flow, managerial ownership and efficient use of assets but, the relationship between institutional ownership and asset utilization was not confirmed. Also, the results show that with managerial ownership increases, the relationship between free cash flow and efficient use of assets is more negative and meaningful. Managers willing to invest free cash flows in projects with personal gain and did not follow the foreseen procedures and even ignore negative net present value projects. Total investment of some activities may have a positive ROI, but ROI is less than the cost of capital.

In financial economics, there are two theories, market timing theory (composition financing) and real investment-based theory (net financing), about relation between corporate finiancing and stock returns. Two theories predict significantly the negative relationship, but with different explanation. Using CAMP and Fama and French (1993) models and sample contain 78 of active company on Tehran Stock Exchange (TSE), we examine these two theories. The results indicat on the base of CAPM there is significantly positive relation between net and composition finiancing and stock returns but on the base of Fama and French that there is significantly negative relation between net and composition finiancing and stock returns. Also, when we use net and composition financing, together, there is there is significantly relation between the net and composition finiancing and the stock returns.