فصلنامه دانش سرمایه گذاری
پیاپی 9 (بهار 1393)

In this research, stock's return momentum (as one of the most challenging issues of finance in the past 2 decades) is studied on Tehran Stock Exchange. The methodology of examining momentum includes forming of 6438 portfolios and testing the mean of these portfolio returns statistically during a 10 year period from 2002 to 2011.The evidence shows in a sample consisting of 94 listed companies which constitutes majority of market capitalization of Tehran Stock Exchange, trading strategies based on return momentum are profitable in midterm. Fama-French (1993) three factor risk model cannot explain momentum in medium term and momentum excess return after adjusting for risk is a challenge to efficient market hypothesis. Therefore, midterm return momentum can be explained by behavioral models and market under reaction can result in momentum. In long-term, return momentum disappears and returns of strategies formed based on return momentum is close to zero and insignificant.

In investor's opinion, liquidity is a critical item for a market to be chosen by investors. This paper aim is a comparison among efficiency of 5 different GARCH models for modeling and liquidity risk measurement. Due to do that, a time series of data belong stock market for a period of 1381-1390 were gathered. Then liquidity risk was modeled by some GARCH models. Moreover, an Amihood criterion was calculated in accordance with TEPIX. The results show that M-Arch is the best model among other GARCH models.

This article investigates the usefulness of applying the technical analysis to the world gold market by using daily world gold price data per ounce in the US Dollar during last 37 years and the Relative Strength Index which is a directional indicator of the technical analysis. The results of this study indicate that the use of buy and sell signals derived from this method using the Relative Strength Index Junction 50 on the world gold market over the last 37 years has been significantly beneficial.
The average yield of gold ownership in the gold market, when the relative strength index technical analyses of predictive signals, signs are sold, the value is negative. The average return on equity (or maintenance) of gold in the gold market, when relative strength index technical analysis of the predictive signals, signs are purchasing, the value is positive. This article is also a useful model to provide technical analysis of gold prices .

Many accidents occur every year around the world cause material and human losses. The amount of insured losses resulting from these incidents make damage inflicted on the insurance company. in some cases, the insurance company are faced with the threat of bankruptcy. Insurance companies use reinsurance to approach to the crisis traditionally. But it should be noted that the reinsurance companies have limited storage capacity and concentration risk. so, one of the effective tools to solve this problem is a direct relationship between the insurance industry and the capital market as a concept called "risk securitization". This is known as debt securities insurance. However, an additional problem in our country is international sanctions that cause limitation. In this case the cost of such reinsurance increases. Thus, according to studies and evaluated that were collected and analyzed by using the Delphi technique ideas theme "insurance investing investment fund reinsurance in order to increase capacity" was proposed.

The recent bankruptcies in national and international level, makes necessary models to increase accuracy of firms 'financial ability prediction. One of the simplest and the most famous financial distress prediction models is the Altman model. This model is designed in other economic environment and using unadjusted form in the Iran capital market could be Create error. Therefore, this study investigates initially Altman models accuracy without adjustment coefficients, and then adjusts the coefficients of the model proportional financial and economic environment of Iran and design simple model, to facilitate decision making for users of financial information. For this purpose, Information 112 firms listed on the Tehran Stock Exchange, including 56 distressed and 56 healthy firms, for a period of 17 years (1374-1390) were studied. Finding show that Altman unadjusted model identify, more than 50% of distressed firms in the years before the bankruptcy, and 18 percent of healthy firms introduced bankrupt. While that the Altman adjusted model, identify bankruptcy firms by accuracy 95%, and the total stages of financial distress in one, two and three years before bankruptcy, respectively, with an accuracy of 63%, 91% and 96% prediction.

Corporate governance is one of the main factors in improving economic efficiency which includes a set of the relationships between the directors, board of directors, shareholders and other stakeholders. This study aims to investigate the impact of corporate governance on the relationship of corporate governance and the value of Tehran listed firms for a period covering the years of 2003 to 2009 by using regression and structural equation modeling. The mechanisms of corporate governance in this study are: the ownership percentage of the board members, the ownership percentage of the institutional investors, the ratio of non-executive managers of the board, duality of chief executive officer (CEO), board size, and presence of the internal and independent auditor. Capital structure is also composed of the ratios of short-term debts to the market value of the owners’ equity, the ratio of long-term debts to the market value of the owners’ equity and the ratio of long-term debts to the book value of the owners’ equity. Firm value is also measured by Tobin’s Q ratio. The findings reveal that corporate governance does not play a mediatory role in the relationship between capital structure and firm value. Additionally, corporate governance has a significant relationship with the firm value and capital structure.

Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. In this paper, mainly EVT models are compared to other well-known models such as GARCH, Historical Simulation and Filtered Historical Simulation. Then evaluation their models with different back testing such as Kupiec test, Christoffersen test and Lopez Loss function.
Our results indicate that using conditional methods and Extreme Value Theory to forecast Value at Risk, is better than other models. And we should examine different methods for forecast Value at Risk, then select the best method for any tails of distributions.

This paper categorize institutional investors in two category as a theoretical view. First, investors which have a business relationship with the companies in which they hold shares and second vice versa. Investment firms are existing in second category. Hence ,this study investigate relationship between ownership of investment firms and share price in107 listed firms of Tehran Stock Exchange (TSE) during a six-year period from 2006 to 2011. Using correlation method and multiple regression technique, the results of this study indicate that there is a negative relation between ownership of investment firms and investee firms share price.

In this research, the effect of maturity, trade volume and open interests on gold coin future price volatility in Iran commodity market have been studied since Dey 1387 to Shahrivar 1391.For doing that we can utilize two approach. In first approach, by considering 27 contracts separately, we perceived that the effect of trade volume is meaningful and positive. As we expected, the effect of maturity and open interests are negative, but it’s not meaningful. In second approach, by using time series observation during sample period, the effect of trade volume and open interests on future price volatility have been studied. As a result, we find that the effect of trade volume and open interests on future price volatility is positive and negative respectively. Both of these effects are meaningful, but,the former is substantially more than the latter.

Credit risk is one of the most prevalent and most important risks in commercial banks. These banks have ever paid special attention to credit risk management and various approaches have been applied for; the use of credit derivatives is one of the methods and "Credit-linked Note" is the most common credit derivatives that used for this purpose. Given that some of problems in the banking system are regard with lack of appropriate financial instruments to manage credit risk, this paper investigates the juridical possibility of utilization this instrument in banking system and therefore credit derivatives is evaluated in according with general terms of Shia` jurisprudence perspective. The important result of this study is that Credit-linked Note is applicable according to principles and standards of Imamie jurisprudence. Also Credit-linked Note is considered as a new contract and shown its revision to comply with the general conditions for the validity of the transaction is possible in the form of innovative contract.

The purpose of this study explain the behavior of the optimal portfolio choice than the standard assumptions of classical finance is Markowitz. The 5-year interval of the listed companies in Tehran Stock Exchange for the years 1386-1389 were examined Between the 118 companies analyzed statistically compared using ANOVA and regression tests, Behavioral and mental accounting dominant influence on stocks and investment Optimal portfolio selection with higher yields than comparable financial misstatement was determined by standard The research consisted of two main hypothesis was that the first hypothesis was that the expected return on the portfolio choice behavior model Expected return is higher than the standard model that the measure was taken to confirm The second hypothesis was based on the claim that the portfolio's expected risk choice behavior model less Risk is the expected standard model with respect to the results achieved were acceptable.

Through Behavioral finance, researchers faced with many exceptions in financial markets and concluded that psychological phenomena play an important role to determine financial markets behavior. In this research, different types of investors’ behavior have been recognized in different time scales.
A general model for Tehran Stock Exchange has been designed by using the time series data, from 2006 to 2010. Wavelet analysis has been used as a statistical and analytical tool to explain trait and multi resolution.
Research results show that investors have different reaction after good or bad news,their reaction in long term scale is more distinct than short term. Return of investment derived by price is different in various periods after good or bad news; it has the same trade as the direction of EPS adjustment in short term. But this trend isn’t recognized in long term.