meysam kaviani

Predicting the performance of government Exchange-Traded Funds (ETFs) in the Tehran Stock Exchange holds a significant position due to their importance in macroeconomic decision-making and financial markets. This study aims to develop a model for predicting the returns of these funds using advanced machine learning algorithms, such as Support Vector Machines (SVM) and Linear Regression. The primary objective is to enhance economic and investment strategies at the governmental and institutional levels through accurate return analysis of these funds.

The study is applied in terms of purpose and descriptive-analytical in terms of methodology. Data for government ETFs in the Tehran Stock Exchange, covering the four years (2020–2023), were collected from the Tehran Stock Exchange Technology and Information Center (FIP Iran). Data analysis was conducted using two machine learning algorithms (SVM and Linear Regression) in R software. Due to the differences in asset composition, the ETFs "Palaayesh-e-Yekam" and "Daaraay-e-Yekam" were selected as the primary samples.

The results indicated that SVM and Linear Regression algorithms could predict the returns of government ETFs with high accuracy. Specifically, the "Palaayesh-e-Yekam" ETF, due to its less diverse asset composition and the inefficient Tehran market, exhibited lower prediction errors. The comparison of algorithm performance showed that both methods provided satisfactory accuracy and are suitable for future forecasting in this domain.

Originality/Value: 

By employing advanced machine learning algorithms, this research presents a practical model for predicting the returns of government ETFs in the Tehran Stock Exchange. The findings can be utilized in economic and investment decision-making at the governmental and institutional levels.

This research in Tehran Stock Exchange has analyzed the tracking performance of ETFs, i.e. how funds can repeat their pattern (index) and also their tracking error. Tracking performance with CAPM and index models, as well as the analysis of the presence or absence of balance of funds in the long term with the method of Johansen (1988) have been investigated. Tracking error has been analyzed through effective factors such as yield fluctuations, liquidity and price spread of funds. The data used in the research were extracted with daily frequency between the years 2013 and 2022. The obtained results indicate that from the point of view of tracking performance, only two funds had positive and significant alpha and some of these funds also behaved riskier than the market due to their high beta. The results of the convergence test also showed that the relationship between ETFs and the total index has an imbalance in the long term. Finally, the results of the effective factors on the tracking error showed that the selected effective factors were significant in some funds and non-significant in some funds.

Choosing the best strategies in the formation of the investment portfolio according to the focus of the investors to establish a balance between risk and return and achieve optimal return is one of the important research topics in capital markets. This research has selected five relative criteria for portfolio arrangement, and for this purpose, it has used the data of 100 firms of Tehran Stock Exchange in 2013 to 2022 in 10 portfolios. The evidence shows that the portfolios created with PS ratios and modified PSs had lower cumulative returns compared to the PCF portfolio. The results of the Wilcoxon test also show the presence of significant differences in some pairs of portfolios. The results of the paired T-test also show that the performance of the modified PS ratio portfolios with profit margin (MPS2) has performed better compared to the portfolios of modified PS and PS ratios with debt (MPS1). The results also showed that portfolios formed with PCF ratios and shareholder value added to market value (SVAM) perform better compared to PS portfolios and its modified versions, while portfolios formed PCF ratios do not show significant differences with SVAM ratios.

Gold tradable funds on the Tehran Capital Market are a new tool that allows investors to invest in gold without physically buying it, which creates a safe investment option with returns close to gold.

This study analyzed seven gold funds from the point of view of tracking error and the double-beta model under two bullish and bearish market regimes. Fund data for the period 2015- 2023 were extracted with daily frequency and analyzed with univariate and multivariate regression models.

The results obtained from the regression analysis show that tracking efficiency is different in the two market regimes, while it is less in the bullish market regime. This situation shows that the pricing of gold ETFs is more dynamic in a bull market regime. The results also show that the alpha coefficients of ETFs in some funds in the down market are negative and not significant, which indicates the low performance of this fund under the down market conditions, while the alpha in the funds in the up market regime indicates that the proper performance of this fund in the market is bullish. The beta coefficients of gold ETFs are significantly different from the beta coefficient of the model index in the down market for only two funds, Zarafam and Mesghal, and in the up market for all funds, indicating that the yield of the funds is not affected by the model index. In addition, by examining the two regimes of the rising and falling markets, the results obtained from the regression model show that the tracking efficiency in the two market regimes is different in terms of influence on most funds, as the tracking error in gold funds is influenced by factors such as the volume of transactions. (liquidity), daily fluctuations (noise), and absolute value of price deviation (arbitrage).

Originality/Value:

 Unlike mutual funds, which are evaluated based on risk and return criteria, an investor should choose and select investments by considering how far the fund can follow its model index.

The purpose of this study is to investigate investment decisions based on behavioral biases, considering the disposition effect, mass behavior, and blue-chip stocks in the Tehran capital market.

In this research, to collect data, an online questionnaire was distributed among 420 individual investors, of which 395 were received and analyzed. The data were analyzed using structural equation modeling (SEM) with Smart PLS software.

The results show that the disposition effect, mass behavior, and blue-chip stocks have a positive and significant effect on risk perception. Risk perception, in turn, has a positive and significant impact on investors' decisions. The results also indicate that desire and mass behavior positively and significantly influence investors' decisions.

This research challenges the concepts of market efficiency and rational decision-making by highlighting the factors that affect financial bias in investment decision-making. This suggests that financial markets may not always function efficiently, and mispricing in markets where inefficiencies are evident can lead to economic distortions and affect resource allocation, potentially resulting in a market bubble.

Exchange-traded funds (ETFs) are an important innovation in the global financial markets, where there is still the possibility of incorrect pricing and creating arbitrage opportunities in these funds. Since the investment units in ETFs are traded in the same way as stocks, the transactions of these funds at a price other than their intrinsic value may be considered as their disadvantages. Considering the short history of these funds in Iran and the importance of their pricing efficiency, this research has taken a step to investigate this issue in the capital market of Tehran. In order to achieve the above goal, six funds (equity, index and fixed income) were selected. Daily data of a 6-year period (2016 to 2021) has been used for analysis. The results show that the performance of the selected funds was better than the performance of the whole market index. Also, the results showed that the factors affecting the Tracking Error and Premium (discount) in different funds provide different results and price inefficiency is also evident in these funds.

Whatever cannot be measured cannot be controlled, and whatever cannot be controlled cannot be managed. Therefore, the main issue in all organizational analyses is performance, and its improvement requires measurement. Therefore, an organization without a performance evaluation system is unthinkable. One of the problems organizations face when measuring performance is determining performance evaluation indicators. This research has been carried out to prioritize employee performance evaluation indicators in the strategic process of human resources management of the Alborz province fire department.

This research is exploratory and conducted using the Delphi method. The statistical sample of the study is the number of 15 experts and specialists selected from among the employees. The main research criteria, including preparation, implementation, and evaluation, were identified using the library method. Data analysis used the network process analysis approach, DEMATEL, and COPRAS.

Based on the results of the research, the implementation criterion with a normalized weight of 0.436 is the priority among the criteria, the sub-criteria of ethical compliance with a final weight of 0.1276 is the first among the sub-criteria and the implementation of the evaluation system to increase performance. Employees are the priority among the strategies.

Originality/Value:

 In this study, an attempt has been made to analyze all indicators related to the evaluation of employee performance indicators in the strategic process of human resources, but since there are very few field studies in academic societies, especially domestic ones, in the field of indicators the performance of employees has been done in the strategic process of human resources, so future researchers can improve the designed scale by increasing the range of their studies by identifying and adjusting items and factors.

From an empirical point of view, in the stock market, high risk should bring more returns is a false assumption, because the main cause of such contradictions is the possibility of investors' emotions. Also, changes in the way financial transactions are carried out and as a result of risk events have prompted monetary policy decision makers to analyze how their actions affect financial markets in this new environment. Therefore, the main goal of this research is to investigate the reaction of Tehran stock market index to monetary shock, risk aversion and investors' sentiments. For this purpose, the results were analyzed using the annual data of Iran during the period of 1401-1370 and using the autoregression with distribution interval and threshold regression models. The results show that the non-linear relationship between all independent and dependent variables is U-shaped, and according to the analysis of the short-term linear model, risk aversion, monetary shock, and investors' sentiments have an effect on the return of the stock market index. have a negative and significant effect. The long-term results showed that only the monetary shock will have a positive and significant effect on the performance of the Tehran stock market index.

In the current challenging economy with increasing environmental pressures and limited external resources, current assets and liabilities, i.e., the working capital of economic enterprises, are increasingly important, and the working capital of economic enterprises can be considered as a competitive advantage for them. The working capital of the company is the amount invested in current assets. Working capital is considered as a life-giving force for every economic unit and its management should be considered as an important function in management. The purpose of this research is to investigate and analyze the working capital behavior of companies under economic recession in Tehran's capital market. For this purpose, the information of the companies in the period of 10 years from 2013 to 2022 was reviewed and 110 companies were selected. In order to test the hypotheses of the research, multivariate regression method was used. The results showed that the economic recession has a significant impact on the components of working capital management, while the shock from the production sector does not affect them considering the role of financial constraints. The results also showed that the economic recession has a positive effect on the ratio of working capital and a negative effect on the cash conversion cycle, and finally that the economic recession, while having a negative effect on performance, is also affected by the shock from the production sector with the moderating role of financial restrictions.

Venture capital is an investment model for launching new businesses such as startups and small companies with long-term growth potential, and venture funds provide financial resources from the time the idea is formed to the end of the project. As the name suggests, high risk tolerance and courage are required to start and invest in these funds, and the purpose of this research is to investigate the fluctuations and overflow of returns between these funds and its benchmark index (total index).

This research has utilized time series data of five risky ETFs and index returns between 2018 and 2023. Heterogeneity models including generalized autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models have been employed for data analysis.

The findings of the research indicate that all tradable ETFs have return overflow from the benchmark index to ETF returns. Additionally, the returns of tradable ETFs and the benchmark index exhibit stability in volatility, and the presence of asymmetric volatility shows that negative news has a greater impact on volatility compared to positive news.

Originality/Scientific Value: 

The results of this research can offer venture fund managers and investors a novel perspective for evaluating the performance and risk of these funds by considering both positive and negative news using volatility models.

Ever since Harry Markowitz's groundbreaking paper on the mean-variance model was published in 1952, numerous efforts have been dedicated to exploring the applications and advancements of classical models. Following the development of financial markets, active portfolio optimization has become one of the most important topics in finance. This study aimed to examine active portfolio management, a critical and delicate choice for investors, particularly concerning overall portfolio risk. The determination of an optimal stock portfolio that offers both a substantial return rate and controlled risk is consistently a subject of keen interest for analysts, investors, and even portfolio managers.
 

Many methods have been developed to measure investment risk, and the price of risky assets changes rapidly and randomly due to the complexity of the financial market. A random interval is a suitable tool for describing uncertainty with randomness and imprecision. Given the uncertainty in financial markets, this study used stochastic intervals to describe the returns of risky assets and the tail sequence risk, called the interval-valued conditional value at risk (ICVaR). The interval value in this model is an extension of the classic portfolio model, which can comprehensively reflect the complexity of the financial market and the risk-taking behavior of investors.
 

Following the findings from the real data of 10 out of 30 large corporates listed on the Tehran Stock Exchange, the ICVaR model is interpretable and compatible with the practical scenario and can be used to choose the optimal portfolio at different levels of risk and depending on the risk-taking degree of the investor. The present study used the portfolio optimization approach under a new criterion of ICVaR through the closing price, the highest price, and the lowest price on each trading day. In this model, the return range of the risky asset is taken as a random variable with an interval value. Besides, CVaR with an interval value is used to describe the risk instead of the variance at a certain level of return.
 

Uncertainties induced by asset transactions affect the predictions of investment plans. To address such challenging uncertainties in this study, a stable stochastic optimization approach was presented based on the range of optimal solutions produced by the proposed model to determine different operational options. Finally, the model developed in this study showed that investors’ subjective risk preference or aversion can be described by observing the principle of portfolio diversification, which reflects an innovation different from the classic portfolio model. Furthermore, the worst possible case was optimized in all scenarios in the model by robust optimization. The findings indicated that a narrower range corresponds to a higher level of risk aversion among investors.

The purpose of this research is to introduce the function of duration criterion in the management of assets and liabilities and to analyze its impact on the performance of banks, and it refers to a process in which total assets and liabilities are simultaneously and integrated. They can be under control and management.

It is an applied research method that is carried out using the results of basic research in order to improve and perfect the behaviors, methods, tools, devices, products, structures and patterns used by human societies, and its purpose is to develop practical knowledge in a specific field. Therefore, this research, while analyzing the overall balance sheet management, asset and debt management, which includes strategic planning and implementation and control processes has led to the development of knowledge through the impact of volume, composition, maturity, interest rate sensitivity, quality and liquidity on bank assets and liabilities.

The findings show that a proper assessment of a bank's ALM situation requires a correct understanding of the nature of assets and liabilities, customers, the economy and the competitive environment that governs that bank, and its duration criterion can be of great help. To asset and debt management as well as interest rate risk management in the banking system of our country it is also possible to realize its role in the performance of banks due to the importance of managing this sector.

Originality/scientific added value:

 In line with this topic, the current research deals with the analytical approach to the management of assets and liabilities through the duration criterion and its effect on the performance of banks.

The main objective of this study is to rank methods of improving debt-asset management at branches of Bank Sepah in Tehran.

Questionnaires were the tool to collect data, and statistical sample is 146 managers and experts of Bank Sepah in Tehran that have been selected by the simple random sampling method. In this study, by using Multiple Criteria Decision-Making (MCDM) techniques of fuzzy TOPSIS, we have ranked the goals of debt asset management in Bank Sepah.

Based on the results, among the main criteria for Asset and Liability Management (ALM) goals, “the risk management of interest rate” with a weight of 3. 83 is at the first priority, then the “maintenance of adequate capital” with a weight of 3. 67 is in the second place and then “liquidity risk management” with a weight of 3. 41 is in the third priority. Also, according to Friedman test results؛ there are differences between the achievements for each of the major debt-asset management in Bank Sepah in Tehran.

Originality/Value: 

This study is a mixed method (Delphi (qualitative) and survey (quantitative)) in terms of performance and in terms of data collection. By using MCDM techniques, we have ranked the major objectives of asset-debt management in Bank Sepah. In addition, the results could be used in the planning process of banks and financial institutions.

Recent research shows that the greater the financial inclusion (financial inclusiveness), the more it leads to economic growth and financial development. For this reason, in the current era, one of the goals and objectives of policymakers, especially monetary policymakers, is the development of financial inclusion in banks, which has been discussed and emphasized a lot. However, this research also aims to examine the relationship between financial inclusion (FI) disclosure and banks' performance, emphasizing the moderating role of market competition and ownership structure. Applied research method and its data were extracted by library method. To investigate the main goal of the research, three hypotheses were formulated. The spatial scope of the research is all accepted banks in the capital market of Tehran and the temporal scope is from 1391 to 1399. The number of the research sample was 15 banks, which was determined through screening or systematic exclusion. In order to analyze the data, Eviuse software was used through multiple linear regression. The results show that disclosure of financial inclusion has a positive and significant effect on the performance of banks and market competition can play a moderating role in the relationship between these two variables. Also, the results showed that government ownership has no significant effect on the relationship between financial inclusion disclosure and bank performance.

The neoclassic development model is known as a macro-economic tool and public finance. This study, considering the general policies of resistance economy, aimed to design a neoclassic development model based on different tax shocks to analyze the relationship between tax rates and some macro-variables. The study simulates the immediate reactions of some economic variables to tax shocks (income tax of companies, income tax, and consumption tax). All the data are extracted from the fixed prices in 2011 and the annual ones from 1971 to 2020. After the logarithm taken from the variables through Headrick-Prescot, all the variables were processed. The linear random equation, were analyzed through Ohlig (1999) approach in Matlab program. Finally, the parameters were pinpointed from the literature, and the simulated variables were compared with the real data to test out the validity of the model. The findings showed that the decrease in tax income rates and the company income taxes would result in the price reduction of shares and the increase of consumption, production, and labor demand. Also, the increase in the consumption tax rate would result in the increase in share prices and reduction of consumption, production, and labor demand.

The global financial crisis of 2008 and the sharp reduction in interest rates have affected the profitability of foreign banks. This situation has created a new set of concerns for policy makers, but there is no empirical evidence that shows the effect of profitability on economic growth. On the other hand, central banks, regulatory authorities, and macroeconomic policies are interested in evaluating and monitoring the stability of the banking sector, as well as the role of inter-banking competition to resist economic shocks. Given that the banking sector plays an important role in the financial system of any country, the aim of this research is to investigate the effect of profitability and stability of the banking sector of our country, considering the role of competition on economic growth. To this aim, 15 banks in Tehran's capital market were selected through screening. The data was collected from a 10-year period between 2012 and 2021. The results based on OLS and GMM methods show that bank profitability has no significant effect on economic growth, while bank stability has a significant effect on economic growth. Moreover, the results reveal that the profitability of banks through competition does not have a significant effect on economic growth.

One of the important topics related to the stock exchange organization is predicting the future profitability of listed companies. Forecasting profitability is a very important issue that has focused the minds of financial analysts. Therefore, it is thought that the Dupont ratio, which includes the activity ratio and the profitability ratio, has a lot to do with predicting the future profitability of companies. Therefore, the purpose of this research is to predict operational profitability using Dupont analysis in insurance companies admitted to the Tehran stock market using regression models. The number of companies in the insurance industry in this research is fourteen companies for the period of 1394 -1399. The results of this research show that the future profitability of an insurance company is affected by changes in profit margins and performance management.

Choosing the right stocks for investment and forming a portfolio with the aim of obtaining higher returns is the most important issue for investors in the stock market. For this important matter, different methods using financial and fundamental variables of the company are used to determine shares with high potential as well as their ranking. In this research, with Dimtel, the most influential financial variables were determined based on the opinion of experts and then extracted from the financial statements. These ratios included current ratios, equity to assets, inventory turnover, return on capital and equity growth. Also, in this research, by using Analytical Network Process (ANP) techniques, it was determined that liquidity and profitability ratios were the most important, and among the five ratios determined based on the DEMATEL method, according to the results of the ANP technique, ratios Current and return on capital were extracted from the financial statements of 2018 and 2019, and companies were ranked for investment purposes using the COPRAS method.

One of the goals of financial reporting is to provide useful information to facilitate decision making. Accounting information system is one of the sources of information provision for users to decide. The use of the Dupont analysis as a tool for measuring performance dates back to the 1920s and its ability to use it to predict profitability is one of the interesting issues of financial management and investment. The present article seeks to answer the question of whether the components of the Dupont ratio, with emphasis on profit and performance management, can be used to predict operating profitability in the insurance industry. So, in order to investigate this, 14 insurance industry companies were selected as systematic sampling method. The data collected during a period of 6 years and between 2015 and 2020 are taken into account that the results of regression analysis show that the marginal changes in earnings at 99% confidence level have a significant effect on future profitability as well as performance management It can affect the profit margin through the margin of profit, and profit management (upward and downward) does not affect the profit margin on future profitability

Cash is one of the most important and critical resources in each profit entity, and exploring its relevance to stock returns and the extent to which it is influenced by the firm-level uncertainty is one of the most important issues in corporate decisions. The present study investigated the relationship between cash holdings, financial leverage, and excess stock returns considering the role of uncertainty level. This study uses all publicly firms on Iranian stock exchange. Data base on records of financial statements and market data of all Iranian firms that are listed on Iran Stock Exchange, and that are subject to the regulations by the Capital Market Authority in Iran. In addition, we use data from Iranian stock exchange for the period 2004–2018 to construct variables based on the information contained in financial statements. The results indicated that financial leverage and changes in cash holdings affect excess stock returns, and cash holdings are affected by the firm-level uncertainty. This paper fulfils an identified the role of Firm-level uncertainty in cash management, capital structure, and investment decisions.

The basis for decision-makers in securities markets is information provided by publishers and intermediaries active in these markets. The use of this information, in other words, the correct decision in the securities market, is possible when the information is timely, relevant, relevant, and complete and comprehensible. The purpose of this paper is to examine the linear relationship between earnings management and the disclosure of financial information with True financial performance (TFP) in listed companies in Tehran Stock Exchange. Based on this, financial information of 94 companies accepted in the capital market of Iran during the period from 2011 to 2016 has been tested. The results showed that earnings management has a positive and significant relationship with asset returns and has no significant effect on return on equity. The results show that there is a non-linear and significant relationship between the disclosure and the True performance of the company, which indicates that necessarily increasing disclosure does not improve the performance of the company.

The purpose of this study is to investigate the behavior of systematic, unsystematic and total risk in different life cycles of companies and seeks to answer the question whether the risk behavior of companies at different stages of the life cycle is different?

To answer the above question, 153 companies in the Tehran capital market were selected by screening as a statistical sample. The data collected over an 8-year period between 2011 and 2018 is considered.

The results of regression analysis show that unsystematic risk fluctuations in the introduction phase are more than the growth phase and also companies that face more cash flow fluctuations, in the introduction phase are faced with more unsystematic fluctuations than the growth phase. Finally, the results showed that companies in the introduction and decline stages do not face more total risk and market than the growth and maturity stage.

Originality/Value: 

This article evaluates the risk behavior under different life cycles of companies with a corporate risk management approach.

One of the ways that economists around the world find appropriate ways to reduce inequality in the economy, financial stability and reduce unemployment is the Central Bank Independence (CBI). The independence of the central bank means that the central bank must be able to formulate and implement monetary and credit policies based on economic goals and interests, without any political pressure. The present study examines the effect of central bank independence on income distribution, financial stability and unemployment in our country. To achieve the above goal, economic information has been used over a period of 40 years (1352 to 1391). The method of data analysis is using ARDL and ARDL, which show that in the short and long term, central bank independence has an effect on income inequality and in the short run, it has an effect on financial stability and It has had a positive and significant effect on unemployment in the short and long term.

Proper understanding of the concept of inflation and the factors affecting it is essential to achieving price stability. Despite the same general understanding of the concept of inflation, there is still no consensus among economists on the causes, so in recent years, many empirical studies in the country have identified and examined the factors affecting inflation. Since inflation is affected by various macroeconomic variables, this study has addressed this issue using the DSGE model. The data used were quarterly between 2002 and 2016, when the response of inflation to the shocks of monetary policy, fiscal policy, currency and stock price index was positive; In contrast to import tariff rate shocks, oil revenues and overall productivity have been negative. Among the shocks, monetary policy shocks have also had the most impact.Keywords: Inflation, Shock, DSGE

The need for and attention to the future and their relevance has been repeatedly discussed in our markets and the subject of forecasting is a unique factor that estimates future unknown values. Given the importance of forecasting in financial research, stock return predictions have so far been tested through various models and variables. Most of these variables, were external variables based on macroeconomic variables in addition to internal variables. In the light of the above, the present article reviews and empirically investigates some of the most important macroeconomic variables that were previously used in a variety of stock return forecasting models. The results of the paper show that macroeconomic variables effective on the stock market (stock return or market index) are suitable for modeling to predict stock returns. In the stock market of our country, the results of the impact of these variables on stock returns have been similar in some respects and contradictory in other respects, and the reasons can be attributed to the type of forecasting models, the time period of the research and different economic structure of the country.