فصلنامه دانش مالی تحلیل اوراق بهادار
سال یکم شماره 3 (زمستان 1387)

This study investigates the relationship between 144 firms systemstic risk (beta) and return for the period of 6 years ( 2001 – 2006 ) in Tehran stock exchange . In this period Tehran stock exchange has faced with brikness and stagnation . So the results demonstrated that there is not significant relationship between beta and return during 72 months of market briskness and stagnation. In the period of briskness 35 from 144 firms have significant betas and among them 34 firms have stationary beta. In the period of stagnation 36 firms have significant beta and among them 32 firms have stationary beta. For all of this period 51 firms have stationary beta. Cususm test demonstrated that all of 144 firms in the periods of briskness and stagnation have stationary betas. But betas for all the period were nonstationary. Wald test also demonstrated that during the time beta of low and high firms have tendency toward market equally beta.

Banks and financial institutions are of the institutions that have significant role in optimum recourse allocation. In an economic system, any activity requiring recourses and capitals, undoubtedly is in need of banks and financial institutions. Optimum usage of banks recourses and improvement of efficiency of these institutions needs measurement the efficiency of bank’s operation. In this research we use financial ratios of banks for compares financial operations of governmental commercial banks of the Islamic republic of Iran with Islamic banks of the persion gold states based on campel index. Ultimately after comparison of averages, results have been presented and proposed to improve banking system.

In capital market ,the investor gets the return as he experiences the risk. To compare the risk and to evaluate the expected rate of return ,he usually uses the models such as Sharp and Estrada with the calculation of traditional beta and downside beta. The findings of this research show the inefficiency of both models in Tehran Stock Exchange. The researches suggested model is the conditional downside capital asset pricing model(CD-CAPM).The recent research is a kind of applied once. It is considered as correlation research. Its statistical population is among eighty five companies in twenty three industrial groups from 2003to 2007. This research findings show risk premium is determining factor in the explaining of investors the expected rate of return variance. There is a conditional relationship between downside beta and the expected rate of return. So it must be noticed to the market direction for explaining the relationship between risk and return .

In the banking system, providing and allocation of resources through financial facilities such as leases is one of the major goals. Measurement of credit risk is an important factor that affects on management decision making in the banking system. This paper tries to measure credit risk by utilization of Leaseurope (the European Federation of leasing company Associations) model. According to this model we estimate the loss distribution of each section. The 99.9th percentile in each of these distributions is an indicator of credit risk in related section. The findings of this research shows that there is a direct relation between age of the lease contracts and credit risk and there is also significant difference among different economical sections.

Bankruptcy of companies is one of the ways which cause the resource to be wasted and the investment opportunities to be faded. In this research we are concerned with the prediction ability of Zavgren model in assessing bankruptcy of the companies Accepted in Tehran Stock Exchange and surveying correlation between bankruptcy probability and ratios of relative valuation approach (P/E, P/CF, P/BV, P/S). Finally, we estimated Zavgren model using ratios of relative valuation approach. In this research we focused on a five-year period (1381-1385), in which we used data of year 1385 as a control group. The society under investigation covers companies accepted in Tehran Stock Exchange. Because Zavgren model is based on the business environment and economic structure of foreign companies, using companies existed in population (including 879 observations), some modifications carried out in order to adapt this model to Iranian companies. Finally, from among seven variables of Zavgren model, four variables that have significant effect on discriminating between bankrupt and non-bankrupt groups selected and the model estimated with the use of them. Having done surveys for the model to be fit, the estimated was studied with the data of year 1385 including 119 companies, in order to measure ability and applicability of the model by the use of external data. Ensuring the proficiency of the model, the correlation between bankruptcy probability and relative valuation approach was examined. The results of the study indicated that there is a significant correlation between bankruptcy and relative valuation approach. Finally, Zavgren model estimated using ratio of relative valuation approach. The result indicated that in the case of using P/S ratio, the validity of the model increased.

In this paper our aim is to find a relationship between some indices of financial repression and investment in Iran. According to solow growth theory, stock of capital is an important factor in growth GPD. So if there is financial repression in a country stock of capital can not graw and and thus growth rate remain low, and country remain poor and underdeveloped. We start the paper by what we mean by financial repression. When government sets a ceiling for rate of interest below the equilibrium rate, and directs banking sector funds to some specified activities or when financial institution are owned and controlled by government, or offer subsidize loans to some of the borrowers in periods of high inflation rates, we have financial repression (T. Killick, 1993)