فصلنامه دانش مالی تحلیل اوراق بهادار
سال سوم شماره 6 (تابستان 1389)

Risk management has traditionally been occupied in eliminated downside exposures and effects of behavioral over the Performance and function. This paper puts forward the idea of total risk management as the ability to respond to market factors beyond management control so as to stabilize corporate earnings. This in turn will lead to enhanced trust by investors and stakeholders and result in enhanced performance that indicative of performance behaviors. The paper reports on an empirical study that examines the performance relationship of total risk management and finds a positive relationship, among drug companies and the automotive industry which once in each industry and once total industries especially among firms investing in innovation and those operating in knowledge-intensive industries that indicative of Performance and functional behaviors.

The present research," initial public offering (IPO) pricing ", is written in order to increase the efficiency of stock exchange. This research aims to help the qualitative and quantitative development of initial public offering methods of companies accepted by Tehran stock exchange in order to evolve applied financial knowledge in capital market. Methodology is based on surveying, correlation and causal-comparative method. The statistical universe of the research includes companies accepted by Tehran stock exchange between 2001 and 2008.The statistical universe includes 120 companies from 27 industries which were accepted by stock exchange. The research findings indicate that:1. After two phases, the IPO price will reach to After Market Price
2. In comparison with IPO price, After Market Price (AP) difference is more than zero.
3. The IPO in Tehran stock exchange is underpricing.
4. Among investor sensitivity variables(company magnitude , stock transaction rate in the first offering , number of buyers in the first offering , inflation rate , P/E ratio and currents ratios , debt ratio , return on owners equity and net growth value of company), there is only meaningful relation between P/E and mispricing.
5. Investor shows over reaction from the first day of IPO until the price is stabilized in secondary market (AP).
6.The analysis of possible variables related to After Market Price(AP) indicates that among the research variables(inflation rate, industry, P/E, company magnitude, current ratio, debt ratio, return on owners equity , fixed assets turnover, net growth value and EPS during issue) ,three variables influenced After Market Price(AP) which included: inflation rate, P/E rate and debt ratio. Since investment is important in stock exchange and pricing is critical in investors absorption and issuers success; this research deals with initial public offering method and it's affecting factors so that it provides good insights for investors.

The relationship between economic growth and financial development has received a lot of attention in economic literature in recent years. The consensus finding, which has also become widely accepted by policymakers, is that financial development has positive, monotonic effect on growth. The relationship between financial development and economic growth may not be uniform, but varies according to the level of financial development of the country. The result of this paper shows that in countries with high income and high level of financial development in money and equity market, additional improvement financial has a positive effect on growth. In country with low and middle income and middle level of financial development in money and equity, additional improvement in money market has negative effect on growth and additional improvement in equity market has positive effect on growth.

Acording to theory of the stok exchange;supposed that investors don’t risk. It means that they select asset from between two assets with same efficiency rate that have lower risk level.Or risk against assets that they choose to be more efficient Investors that accept Theoretical basket of securities belice that con’t challenge with market . so;they keep several types of the Stock exchange until their efficiency become same average market efficiency Therefore, this research to select optimal portfolio shares by investors in the Tehran Stock Exchange through Markowitz models and values at risk are investigated and studied To the possibility of its application to optimal portfolio choice for investors determine the stock. time period of this research is considered from 1380 to 1387 and statistics society is all of the stock companies with special conditions then and comparison of optimum stocks by two models of markovitz and worth of exposed to danger from ttest. Results of this research show that selection of optimum stocks in Tehran Stock Exchange market is similar by madels of markovitz and worth of exposed to danger.Therefore, investors can for choose optimal portfolio shares equally from both models use.

Forecasting of volatility is a critical activity in financial markets. It has a very wide sphere of influence including " investment, security valuation, risk management and monetary policy making". These concerns clearly have particular value in economic decision-making. So, this create the obvious questions: how can we effectively forecast volatility and is it possible to clearly identify a preferred technique? Various methods by which such forecasts can be achieved have been developed in the literature and applied in practice. Such techniques range from the extremely simplistic models that use naïve (random walk) assumptions through to the relatively complex conditional heteroskedastic models of the GARCH family. This paper evaluates the out-of-sample forecasting accuracy of six models for daily volatility of Tehran Dividend Stock Price Index(TEDPIX) during the period from the start of 1378 to the end of 1387(2355 observation). The first 2300 observation is retained for the estimation of parameters and remaining sample is for the forecast period. The following models are employed: Riskmetric model and the GARCH genre of models including GARCH, EGARCH,APARCH,TARCH and IGARCH. These models compare with eachother for selecting the model with best forecasting performance.To this end, we use three error statistics: MAE,RMSE and Theil to evaluate the performance of the competing models. According to all of these statistics; the Riskmetric model provides superior forecasts of volatility. On the other hand, EGARCH model provides worst forecasting performance.

In this paper, we have examined the relationship between capital structure and competitive power over a 7- period in 36 companies in Tehran Stock Exchange. We have founded evidence that capital structure and competitive power have a significant positive relation. there is a negative relation between capital structure and profitability ratio but sale growth and firm size have a positive relation with capital structure in study sample. Also, sale growth and firm size have a positive relation with competitive power but we have not seen any relation between profitability ratio and competitive power . Fixed asset ratio has a negative relation with competitive power but has not any relation with capital structure.

This study investigates the effect of intellectual capital on the financial performance of both value and growth companies listed in Tehran Stock Exchange (TSE). Performance is measured using return on equity (ROE) and return on investment (ROI). Study sample includes 64 companies out of all listed companies on TSE for which the relevant information during the years 1383 till 1386 are available. The results show a significant relation between intellectual capital and the return on investment companies, but no relation for growth companies. The results also show that there is positive relationship between intellectual capital and return on equity for growth companies and return on equity and return on investment in value companies. On the other hand, no significant difference between the effect of intellectual capital on return of investment and equity in value companies is observed. Overall results revealed the importance of intellectual capital and the perceived value of the invest mentors and high correlation with performance listed companies on the Tehran Stock Exchange.