فصلنامه دانش سرمایه گذاری
پیاپی 16 (زمستان 1394)

Nowadays the portfolio of financial assets play an important role in the creation of new liquidity of the assets that its fund return requires to perform the obligations of debtors over time. But using these financial tools necessary to pay special attention to the issue of risk in financial assets because if there is any risk in assets it will produce greater effects after becoming securities. In the event of a crisis in financial assets, the relevant securities create irreparable damage to its owner’s. The problem stems from the fact that one of the main purposes of portfolio is diversification, then the aim of risk management is selecting the securities with low correlation to reduce portfolio volatility. However, the most important impact of stressful events is that the correlations that existed under normal conditions change and risk managers face a new correlations that will lead to unexpected concentration risk. Also, the banks pay loans to different industries and in varies currencies and they diversify their portfolio in this way. However, in times of stress, all these industries are more likely to default on their debt, and consequently ineffective to provide diversification. The aim of this paper is introducing stress test as one of risk management instruments that it examine the effects of risk assets, especially in critical situations then it has special application in securitization process assessment.

In this study were investigated efficient technical strategies containing exponential moving average (EMA) and relative strength index (RSI) with buy and hold method in order to buy stocks. According to daily and weekly, signals were extracted from 16 investments companies in Tehran Stock Exchange for three years 1390 to 1392 and was compared with buy and hold method. Results showed, although technical strategies were not efficient enough in order to buy stock in extremely bullish periods (1392) this strategy was efficient in equal periods to buy stock.

one of the most widely used and the most effective tools that the banking industry can be used forcredit risk management, it is credit default swap.. The purpose of this research, Feasibility of using credit default swaps money market. The type is methods the research and in terms of the objective functional, data collection tool, is questionnaires. The statistical population, experts of Research Institute Monetary and Banking Central Bank, as well as experts, managers and senior experts of capital market that with this tool are aware. Selected sample, of among statistical population, were selected by census method. We doing analyze data collected by the questionnaires by using the Expert Choice software and SPSS and results of obtained, shows that feasibility of using credit default swap on Iran's money market, there are In terms of a new contract of the signing guaranty together with fee and also in terms of the insurance contract.

The main purpose of this study, is surveying the asymmetry of price impact of block trades in buying and selling. For this reason, the sample consisted of 525 block trades (310 block in buying and 215 block in selling)have been selected randomly of companies that have block trade during the period 1390 to 1392. This trades have attracted the attention of shareholders because of low limits, high volume and price effects. Shareholders do block trades to identify, assess and improve liquidity and market capacity. In this study, first block trades divided into two group’s in buying and selling with using the midpoint method, then the hypotheses are tested. According to previous studies, cross-sectional regression results indicate that there is asymmetry between price impact of block trades in buying and selling.

The purpose of this study is to examine the effects of securitization process on risking behavior and banking stability. In order to achieve this goal, 20 banks were studied under certain conditions in the period 2009 to 2013. Multivariate regression models were employed to analyze the data. The ratio of the converted assets to total assets is considered as the securitization index, the ratio of the balanced assets based on risk to the total assets is the credit risk index, and Z scores were used as banking stability index. The results of this study suggest that the securitization process has no significant effect on credit risk and bank stability among commercial banks of Iran.

The main of this research was to design and feasibility issue of securities is based on the dividend receivable. In Iran one of the important issues is growthing of liquidity and lack of proper guidance to the productive sector which creates many problems.Given the high percentage of earnings per share divided by the capital market in the form of cash And time of receipt of benefits receivable in cash and investment companies, which leads to reduced liquidity in the companies is based on the asset portfolio designed to provide working capital for these companies is very important. The methodology of This study was Delphi. The final member of the Delphi group were 87 experts employed in the financial area, including financial institutions, regulatory and universities. This model, with a majority vote of the members of Delphi's financial markets was appropriate and was approved. Based on the comments provided, dividends receivable backed securities are positive effect on capital markets, financial institutions - investment and the country's macro economy.The valuation formula of these securities is provided in the of paper.

Securitization of assets is a process in which organizations and banks sort out assets in their balance sheets and use them as a guarantee to issue bonds and attract investors to participate in financing projects. In recent decades, many companies have been using these methods to raise funds. Using frozen assets for financing, better risk management, increasing efficiency in business and reducing finance costs are all securitization benefits. One of the valuable properties for knowledge based (like IT and high tech companies) and human skill based companies (like sport clubs) is brand that is categorized under intangible assets in financial statements.
This essay tries to introduce new financial instrument named brand benefit bonds and its implementation structure to finance companies with creditable brands by using securitization general process. Moreover, advantages and disadvantages of this new instrument and suitable methods of risk management are discussed. Finally, the author's suggestions to implement this financial instrument are mentioned.

The aim of this study is to investigate and identify the effects of calendar weekdays and months of the year on the Tehran Stock Exchange. To attain this goal use the Tehran Stock Exchange index daily returns in the period beginning in 1386 until the end of 1392 and we have stochastic dominance criteria for the analysis that due to the non-parametric orientation has certain charm. The results indicated the existence of calendar effects in the Tehran Stock Exchange. On weekdays effects in the Tehran Stock Exchange, in terms of return Saturday dominance on other days and Sunday dominated by other days. The effects of months of the year, in terms of return April dominance on other months and November dominated by other months. Also due to calendar effects identified in the Tehran Stock Exchange, the efficient market hypothesis is rejected in the stock even at low levels.

In recent years, attention to the intellectual properties has found a special place in developed economies so that a large percentage of GDP is allocated to these assets. For example, in America in 2012, about 38 percent of GDP is allocated to industries that are based on intellectual property. Perhaps the most important issue in the field of intellectual property is related to the financing of ideas converting into the commercial products. Of course, there are different ways to do so, such as financing from commercial banks, issuing bonds, venture capital industry. Another new way of financing the intellectual property is securitization process of these assets. In this paper, after an introductory speech about securitization of intellectual property, a brief comparison of these methods of financing have performed and different types of securities based on intellectual property is reviewed. Finally, we have concluded by designing of pattern for intellectual property securitization.

The pattern habitual suggests people are Cognitive styles that they are used in decision-making. All investment decisions are made based on the relationship between risk and return. This study examined the relationship between cognitive styles and decision-making and risk and return expectations of investors investing in financial instruments. The statistical Sample Professional and non- professional analyst’s, the population in 2013 is an infinite number of them being estimated. It is estimated that their number is unlimited. Research, descriptive - is inductive. Methodology is Application to the target. Quasi- Laboratory procedure and the method of hypothesis testing is. This is a community of 150 people who are stratified random. The results show that: the profession -oriented investors and risk perception and risk propensity, there is a positive relationship. Between expected return and risk perception, there is a positive relationship. Perception of risk among styles with high cognitive complexity (analytical and conceptual) more styles with low cognitive complexity (guidance and behavior) is. Risk propensity the styles with high cognitive complexity (analytical and conceptual) more styles with low cognitive complexity (guidance and behavior) is. Risk propensity the hemisphere left brain, right brain dominant hemisphere is more dominant.

The present research has been carried out aiming at comparing the return and risk in selected technical methods, using two strategies of reinvestment and rebalancing, and a buy and hold method as an inactive investment method, in Tehran Stock Exchange during the years between 2006 and 2012. After data collection about 15 active firms, Excel broadsheet software was used to categorize information and calculate the variables. Finally the resulted data were analyzed through the use of SPSS software. In this research, risk and return of the selected technical methods including moving average, two moving averages, money flow index, trading range breakout, and money flow index were calculated by using the two strategies and then the return and risk of the selected technical methods were compared using buy and hold method. Results showed that the return of technical methods with two strategies of reinvestment and balancing do not have meaningful differences. Meanwhile, the risk of reinvestment method has had a meaningful difference with the risk of balancing investment method and in most results; the risk of technical method with reinvestment strategy has been less that the same technical method with balancing strategy. On the contrary, the technical method with two strategies posed for return of buy and hold method has been different from technical methods with reinvestment and balancing strategies and this difference has been more for technical method with balancing strategy than reinvestment strategy. On the whole, in most selected technical methods, the returns of the selected technical method have been less than buy and hold method with a trivial difference. And the return of buy and hold method has been less than technical method used with balancing investment strategy. Regarding risk, most results gained showed that the risk of the selected technical method with reinvestment strategy has been less than the risk of buy and hold method and risk of buy and hold method has been more than the technical method used with rebalancing investment strategy.

In every economic, Securitisation is equally necessary of structured finance markets. The upshot of desired structured Securitisation is to invent marketable securities with better liquidity for financial claims. Securitisation process enables investors to improve their risk management, to earn better modified returns and to access more liquidity. Debt conversion to a marketable asset, creates the great financial Communications between individual borrowers and vast capital markets. The participants in financial markets include the investors who have different needs to meet their investment goals, continue to comply with their risk and return requirements. Therefore, trenching various risks to credit risk and interest rate risk, prioritizing the investors who enter to securities market with structuring the market, has economic concept. Previous studies have demonstrated the correlation between economic growth and progress of economic freedom indices. In this research, we found that the relationship between development in securitization market and financial freedom is statistically significant in some developed countries. Also, it’s proved that there is positive linear correlation between Islamic Financial Instruments (SUKUK) issuances as structured financing as well as Securitisation and overall economic freedom and/or investment freedom and/or financial freedom in Islamic developing countries. Studying current situation of Securitisation in Iran demonstrated there is relative gap in comparative of objective countries in group of Islamic countries for use of SUKUK, and in the other word, Securitisation, in Islamic financing markets. However, effective proceedings accomplished for deploying Islamic Financial Instruments (SUKUK) markets in Iran, but to achieve economic development, expedition in this deployment is unavoidable necessity.

In economic studies of industrial and mine projects and estimation of their net present value (NPV) there are many factors as uncertain variables related to the future. Therefore, such studies should be carried out based on forecasting. To obtain reliable results in these situations, risk analyses methods under uncertainty are used. One of these uncertainty methods is to employ models to be simulated. In these models, some factors as random variables will be studied for the future. Future prediction of each random variable is assessed considering a probability distribution function. The aim of this research work is economic evaluation of Koohzar gold mine in Torbate-Heydariyeh, Iran for a seven years period using simulation and its application in risk and decision management, and estimating its NPV by applying General Regression Neural Network artificial intelligence method. For this purpose, first, probability distributions of the variables were obtained using information from the variables in previous years. Next, distribution functions of uncertain variables are replaced in appropriate cells of discounted cash flow (DCF) table. Then, random sampling was taken from the probability distributions of uncertain variables as an input of cash flow analysis. In the next stage, based on the simulation technique, probability distribution for NPV variations was obtained as the output in the form of graphs and a function. Considering the output, all of the NPV variations can be forecasted. Then, a general regression neural network was designed using simulated results for NPV prediction using input variables. The results show high reliable capability of general regression neural network in prediction of NPV.

Sharp specified investment styles by four characteristics: (1) “identifiable before the fact” (2) “not easily beaten” (3) “a viable alternative” and (4) “low cost”. The paper is aimed to test mentioned four characteristics about liquidity in Tehran Stock Exchange (TSE). To this end, a sample composed of listed firms in TSE has been examined during 1379 to 1389. One and two-dimensional portfolio study approaches and regression analysis have been used to test above characteristics. According to research findings, Even though portfolios which have different liquidity level that allocated by turnover to meet “identifiable before the fact” condition but return of extreme portfolios based on liquidity is very low relative to other styles. The results do not confirm superior performance of investment strategy based on liquidity so “not easily beaten” characteristic for liquidity style is not verified in TSE. Nevertheless, it can beat the market by putting together liquidity and other investment styles. In accordance with research outcomes, liquidity does not have more information content than other investment styles so it is not taken into account “viable alternative”. Since half of stocks in portfolio based on liquidity are interchanged by rebalancing, so it cannot manage this strategy passively and “low cost” condition is not confirmed. Liquidity as risk factor also is not viable and is only liner combination of identified risk factors in other asset pricing models.