فصلنامه بورس اوراق بهادار
پیاپی 32 (زمستان 1394)

Accruals, as a criterion for measuring earnings management, play a major role in today studies. In fact, earnings management detection is the main usage of accruals segregation. A number of models are employed to determine earnings management of which Jones and Modified Jones models are known to be the best.
In this study, we investigate the inclusion of three proposed variables in the above-mentioned models and their possible contribution to error reduction and consequent optimization of the models. These variables include current and lagged operating cash flows, lagged cash flows, and concurrent current and lagged operating cash flows and lagged cash flows.
The results show that adding our proposed variables by the following can improve the efficiency of our models in earnings management detection:1. Concurrent, current and lagged operating cash flows and lagged cash flows.
2. Current and lagged operating cash flows,
3. Lagged accruals.

Financial separation or to separate the nominal part of the real sector of the economy is a term derived from the financial issues that arose after the recent financial crisis. This paper examines the role of financial separation in financial repression (lack of financial development) by studying the Maximum Likelihood (ML) method in a state space model of Kalman Filters and Autoregressive Distributed Lag Model (ARDL). Risult shows that financial separation and interest rate cause a lack of financial development and financial repression either in long term or in short term, but economic development may have a decreasing impact on financial repression in long term.

Today stock exchange, as a part of financial system of countries, is one of the significant indices for evaluation of economic growth and development. Hence, it is important to know the elements and functions of this market. Tehran Stock Exchange as the executive body of the market undertakes different functions in transactions of capital market. But, due to ignorance of effects and foundations of exchange transactions, it is lead to disagreement about interpretation and applying regulations related to functions of the company in exchange transactions. Since classical legal rules cannot ensure and support the interests of all groups involved in exchange transactions the evaluation of rules and regulations regarding the intervention in transactions must be analyzed based on such economic theories, including efficiency. Therefore, in this article, it is tried to survey the economic and legal efforts of the TSE intervention using analytical method

This study specially investigates the behavioral biases of managers in decision making process. The main purpose of the research is to examinne the relationship between overconfidence and overinvestment as well as representation the impact of agency costs on this relationship. For this purpose, data collected from99 companies listed in Tehran Stock Exchange over the period 2003 - 2015. To test the hypotheses, the logit multivariate regression models based on panel data are used. Findings show that there is a significant and positive relationship between overconfidence and overinvestment. It means that optimistic managers have an over investment approach in decision making process. Also, agency costs have a significant impact on this relationship. Results indicate that the relationship between overconfidence and overinvestment is stronger in firms with high level of agency costs in comparison with low level ones. In fact, more conflict of interest between managers and investors caused more overinvestment because of more overconfidence.

There has been an attempt, during this research, to study the relationship between the factors of cash flow statement with the shareholder's interests. To this end, the data of 73 companies out of the ones listed in Tehran Stock Exchange were selected through systematic sampling. In addition to panel data analysis and multivariate regression model for the fiscal years 2005 to 2015, the correlation test was run between 8 of cash flow statement factors and the shareholder's interests through synthetic and analytic models. Findings reveal that out of the eight factors, the net cash fluctuations during the year and the net cash flow from financing activities demonstrated no significant correlation. Results also showed that there is a positive correlation between the three indices of net cash flow from investing activities, cash outflow from investing activities, and cash out flow from financing activities on the one hand, and achievable benefit for the investors on the other. However, there is a negative correlation between the cash flow from operating activities, cash inflow from investing activities, and cash inflow from financing activities on the one hand and shareholders’ interests on the other.

Mutual funds are new financial institutions established following the enforcement of Securities Market Act and developed by the approval of The Law for Development of New Financial Instruments and Institutions. The advantages of mutual funds are clear to everyone. However, the popularity and public trust to these new financial institutions require the existence of appropriate protection mechanisms to protect the fund assets and investor’s rights. In this regard, one of the most challenging legal debates is the phenomenon of directors’ responsibilities. In Iran, there is no relevant specified statute. So in this article, I study the directors’ responsibilities in mutual funds in the United States and Britain and I will propose a legal framework for directors’ responsibilities in Iran according to the current national laws.

The purpose of this study is to investigate the function and ranking of multivariate GARCH models in value at risk estimation. To this end, three portfolios having different dimensions, small, medium and large and having different fluctuations are selected, including the return of industrial stock price index in Tehran Stock Exchange from 3/26/2011 to 10/21/2014 in order to lead us picking up the best model in different portfolio conditions. In order to challenge of estimating value at risk in evaluating the variance-covariance matrix in high dimension because of constructing stochastic and undetermined parameters, this study uses the modeling of composite likelihood approach. Following the consideration of statistical efficiency of the models, the models ranking procedure was done based on sener test. The result indicates that for final conclusion focusing on over allocation of resource to hedge the risk plus noticing the gaps in erros, those models taking correlation into account, especially dynamic correlation models, have worked out better in different levels and dimensions. In most cases, the dynamic correlation models with composite likelihood estimations are in first place, as compared to other models and Considering the effects of asymmetric shocks partly improved the results. Also, different conditions with different sizes and the various sampling of data can affect the rating of the model. However, there are not sufficient reasons to conclude that the performance of the t distribution at different levels of statistical error is better than normal, because with decreasing the levels of statistical error at 5% to 1% it works worse.