فصلنامه دانش سرمایه گذاری
پیاپی 18 (تابستان 1395)

This paper is focusing on the process of securitization, as well as comparing securitization in the major international markets vs. the Islamic one. Since, financing through the issue of securities has seen significant changes in the past decade, it seems necessary to have an overview of the process as well. On the other hand, since the need for liquidity in the Islamic framework has been well- recognized, samples of several securitization processes in the Islamic lawlikemurabaha and ijara-based securitization have been being considered. Finally, we find that the process of securitization in the Islamic markets should not be in conflict with the basic principles of Islamic finance such as finance without riba.Whereas, the process of securitization in major international markets violates these essential norms.

Securitization has the potential to improve market efficiency and capital utilization in the insurance industry. Through selling risk to investors, insurers can reduce their capital requirements, and increase ability for the acquisition of new businesses. Also, in this way, they can reduce cost of capital, and enhance return on equity.
Securitization offers insurers the opportunity to unlock the embedded profits in blocks of insurance presently carried on balance sheet and to provide an alternative source of financing in an industry where traditional financing mechanisms are often restricted due to regulation.
Securitized transactions also permit insurers to achieve liquidity goals and can add transparency to many on-balance sheet assets and liabilities traditionally characterized by illiquidity, complexity, and informational opacity.

Leasing companies play an important role in meeting the needs of firms and households. These companies can resolve liquidity problem of their customers by providing their various products. But despite these advantages, leasing industry is relatively young and less developed in Iran. One of the major problems in the path of growth and development of leasing companies is Failure in providing reliable and stable financial resources at different periods of time. From the past, difficulties in financing leasing companies are a key issue in the industry that occupied the minds of managers. The performance of leasing industry in Iran shows that leasing industry at different periods of boom and recession has failed to show the same performance and stability. One of the key causes in the process of stable financing is existing shortcomings. Hence, it is vital to using modern methods, diversified and stable financing in leasing companies in Iran within the interest-free banking system. One of the most effective methods to finance leasing companies in Iran is securitization of assets. It can be said that balance sheet assets of leasing companies which have the ability to transform into securities include assets resulting from installment sale and lease-purchase .
This study tries to design and offer asset securitization process in Iran and leasing companies within the interest-free banking and finds proper response to the problems raised in the area of financing leasing companies.

Treasury Bills are contained the proof of face value payment of bonds in the future by the publisher (typically by governments). Issuing conventional Treasury bills, due to usury based nature of Treasury bills, in Islamic financial systems is not possible. So Islamic financial experts have designed the Islamic Treasury bills.
Islamic Treasury bills are registered or bearer securities that of the Treasury of the Ministry of Economic Affairs and Finance, with a certain maturity and without interest coupons issue and can be used for Settlement of public sector debts to the Central Bank, the banking network and contractors. This model is examined in terms of jurisprudence and law and it is applicable but appropriate discount rate and in fact Treasury valuation model has not been studied yet.
This article will explain the appropriate model to determine the discount rate for these securities. It seems to be the best assess to discount rates or pricing Islamic T-bill’s is the mean return of the market that these instruments have been issued for them. This means for the purchasing goods Islamic T-bills, the average estimated return on the market that the required goods are purchased from it. In purchasing services Islamic T-bill’s, the average rate of return of the operation of the project. And in funding Islamic T-bill’s, the average rate of returns gold trades in the horizon of securities is the best criteria to determinate the rates.

Economic value added is a fundamental measure for performance evaluation and determination of firms’ value in order to solve conflict of interest between stockholders and managers. The objective of this study is to examine the effect of EVA, EVA Spread and EVA Momentum on return on equity and compare these measures. 133 firms were chosen from Tehran Stock Exchange (statistical population) over years 2008 to 2012. The results showed that all three variables have direct and meaningful relationship with return on equity. EVA Spread is the most effective one and EVA Momentum and EVAare ranked second and third.

The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of research includes cash return and price indices during period 1382 to 1391. Using R/S analysis and Hurst exponent, this research surveys the cash return and price time series being stochastic. To study the stochastic time series and differentiating from time series are not stochastic, R/S analysis is used as an efficient nonlinear method. Distribution type disrelation is the most important advantage of R/S analysis. Results of research show that, cash return and price indices time series are not stochastic and have a long-memory.

Using high frequency data from 33 member companies of the TEFIX30 (about 5 million data), this study examined the information content of limit order book in Tehran Stock Exchange. We try to find that does limit orders behind the best bid and offer provide useful information about stock value? And how much is their information share? We use two well-known methods based on a vector error correction model. Results show that based on Hasbrouck (Gonzalo-Granger) measure, contribution of steps 2 to 10 to price discovery is about 18% (25%) and also contribution of steps 4 to 10 that are not publicly visible is about 8% (10%).

carries out to develop a competitive tender pricing model in the two stage tenders.
This study uses combinational approach to pricing in two stage tenders and based on this approach winning distribution function has been developed according to bidder preferences. Winning distribution function determines the winning probability of each offer prices according to normalized prices.
In order to considering cost and margin, after developing model, by defining a new variable, the cost of the project inserted in the model. Then by analyzing their attendance objectives in tenders, could determine intended winning probability and accordingly correspond price to that probability will be determined.
Finally a case study has been carried out based on developed model and the result of model application described. Practical application of the model shows that it will lead to improving decision making process and determining suitable price correspond to intended wining probability in tenders, and help contractor to gain a competitive edge in bidding. The developed model has been validated with actual projects collected from a survey of the engineering services

In two recent decades, the investigation of herding behavior takes into consideration of many researchers. But a little research has done about the factors influence this phenomenon. The purpose of this paper is to investigate the role of momentum, investor's sentiments and firm size on the herding behavior in Tehran Stock Exchange. In this study, daily returns of market and firms for the period of 2001 to 2014 are used. In order to testing the research hypothesis multiple regression analysis and time series data are used. Furthermore, Granger causality tests for studying the Causal relationship between investor sentiments and herding behavior is used.
The research results indicate that investor's sentiments significantly effect on herding behavior. Granger causality tests support this result. But there are not any evidences about the influence of momentum and firm size on the herding behavior.

The identification of price patterns in inefficient markets and the market with distribution of abnormal returns on the market index, is one of the most important factors of earning return commensurate with the risk.
In this regard, when the unexpected and extreme market fluctuations happen or so-called black swan events, by forming the portfolio at the correct times can gain higher return than market.
The main objective of this article consist of analysis of portfolio performance that forming by black sawn strategy than market portfolio, based on using measures of risk and return in the market with black sawn events. The sample included 83 companies from 10 different industry of Tehran stock exchange, which traded from March 1383 to December 1393. The data were collected monthly.
The results show that Tehran Stock Exchange has black swan events that the volatility is ± 4.22 percent. The portfolios formed on the basis of a black swan strategy to market index portfolio, despite limitations of the market, observed better performance.

This study investigates the relationship between stock liquidity, investment efficiency, and firm's performance in Tehran Stock Exchange. In this study, three criteria including trading volume ratio, the bid ask spread, and Amihud's stock liquidity ratio are used to quantify stock liquidity. Moreover, the model of Biddle et al and that of TobinsQ are applied to determine investment efficiency and firms's performance, respectively. In so doing, the data of 115 firms listed in Tehran Stock Exchange for the period between 1387 and 1391 was collected and tested by using the multi-variable regression model based on panel data. The experimental results indicate that the first research hypothesis- the significantly positive impact of stock liquidity on investment efficiency- is statistically confirmed in a way that stock liquidity leads to investment efficiency. In addition, the investment efficiency results in an increase in firm's performance. The results also show that the bid ask spread criterion is of more effective and explanatory power than those of trading volume and Amihud's stock liquidity.

The central bank's behavior towards its four targets is subject that has occupied the minds of many economists. This research tries to find rules governing the monetary policy makers. Then two main goals of stable inflation and growth rate of national products selected. In the other hands, according to significance of real estate market fluctuations controlling, Central Bank has a great task. Then it has an active role and real estate price growth comes in the model similar Taylor Rule model. Resulting with quarters data 1371:1-1391:4 show that growth rate of national products and it's fluctuations are many important and their coefficients are significant but the others are not. Central Bank can predict those fluctuations and react them, but it's reaction for after two periods is pro-cyclic.

Convertible bonds are hybrid securities with both characteristics of straight bond and equities. At each subsequent time, the bondholder must decide whether to hold the bond or to convert it to stock. Also the bond can be called by the issuing firm, if included in the contract. Security price significantly affect by interaction between bondholders and shareholders. In this study we investigate the interaction between bondholder and shareholder by using of stopping game and we study the effect of convertible bond on investment timing. We get optimal investment threshold, bankruptcy, convert and call. Then we consider the effect of volatility, coupon payment and strike price on thresholds.

In recent years, corporate diversification has turned into a highly controversial issue amongst numerous managers. It is contended by many that diversification is vitally important and highly effective especially when it comes to evaluating the financial performance. There are several studies about the relationship between diversification and financial performance. However, there is no agreement that diversified firms are more efficient than focus firms. In this study, the listed firms in Tehran Stock Exchange are ranked based on their efficiency scores calculating by Data Envelopment Analysis (DEA) models. Then, by slack analysis, the proposed improvement strategies for inefficient firms have been cited. Ultimately, the Malmquist index of productivity (MIP) has been utilized to further comparison and analysis.

Nowadays e-banking services that take place through virtual and public channels play special role in the life of people around the world. Therefore, lack of security on performance of national and international banks in the context of globalization and distrust of people to these services will lead to undesirable effects. Hence, security is one of the most important elements that will affect banking transactions and its shortage prevents the development of business. For the same reason, the need for information security is determined in the banking system. Accordingly, several factors in art infrastructural facilities (AIF) area and operational risk management (ORM) area are considerable which are presented as research variables. The results suggest that in order to provide more security in e-banking transactions, banks have to create security policies such as internet security. In addition, they need to strengthen infrastructural factors in the fields like getting access to other banks, quality of infrastructure, and reserve bank of India (RBI) activity for e-banking supported systems.