مجله مدیریت دارایی و تامین مالی
سال چهارم شماره 2 (پیاپی 13، تابستان 1395)

This study investigates the relationship between product market power and competitiveness of industries with earnings management. In this study, to quantify earnings management, the models based on discretionary accruals were used. Two hypotheses were formulated and tested in this regard. In so doing, the data of 94 (460 years-firms) firms listed in Tehran Stock Exchange for the period between 1388 and 1392 was collected and tested by using the multi-variable regression model based on panel data. The experimental findings indicate that all two hypotheses are confirmed so that product market power and earnings management have a significant relationship and negative. The results also show that there is significant relationship and positive between competitiveness of industries and earnings management.

Mutual funds were first established in Iran in 2007 under Securities Market Act 2005 and have since grown significantly to one of the most important capital market intermediaries. Hence understanding and evaluating the performance of these funds are critical to both investors and fund managers. This research aims to examine the effects of various mutual fund attributes and characteristics, namely past performance, size, expenses ratio, turnover ratio, number of funds under fund manager’s management, and type of institution of fund founder, on their current performance. For this purpose, a sample of 43 equity mutual fund was chosen and relevant weekly data for the period of 22th June to 22th September 2013 was collected. The results show that only past performance and the type of institution of founder have an impact on the mutual fund's performance.

In this research, we aimed to study the relationship between earnings management and forecast error in earnings of listed companies in Tehran Stock Exchange (TSE). For the calculation of earnings management, we employed discretionary accruals using the Jones model. Hypotheses were tested in the both level of annual and interim financial statements. Therefore, the data of 75 firms for a five-year period (2009-2013) were studied. The multivariate panel regression model is used to test the hypotheses. The results show that there is no significant relationship between earnings management and earnings forecast error in the annual financial statements. This can reject the fundamental hypothesis that the optimistic predictions are associated with lower levels of forecast accuracy. Also in the interim financial statements, there is a negative significant relationship between earnings management and earnings forecast error as increased accruals leads to decreased forecast errors. It can be said that to compensate for the poor performance of the firms, managers do the earnings management through accruals increase which leads to decreased earnings forecast error.

The goal of this research is to rate Tehran Stock Exchange industries based on different risk criteria from the perspective of institutional investors. We first reviewed the literature of industry risk criteria and then we interviewed some managers working in institutional investors. In the next step all the risk criteria were evaluated by institutional investors’ managers to select more important criteria using a questionnaire with Likert scale. Finally the selected criteria in the last step ranked by AHP process to identify the best industries for investment from the view point of institutional investors. In the second phase of the research we ranked the TSE industries based on Anderson Peterson Model and the weighted risk criteria. The results show that three of eight important risk criteria for industry analysis from institutional investor’s viewpoint are industry return volatility p/e volatility and sum of days symbols closed in the industry. Finally, basic metals and financial services are identified as two less risky industries selected by institutional investors based on the eight risk criteria.

This study aims to investigate the relationship between products diversity strategy and the capital structure components with the performance of companies listed on the Tehran Stock Exchange. A total of 107 companies listed on the Tehran Stock Exchange from 2008 to 2013 were studied. We used Entropy criteria to measure diversification. Furthermore, we measured capital structure with four ratios (ratio of total debt, long-term debt, current debt to total assets and debt to equity ratio) and the performance with return on assets. The results show that products diversity strategy is negatively and significantly associated with return on assets. In addition, we found that the ratio of total debt to equity is negatively and significantly related to return on assets, but there are insignificant relationship between other ratios and return on assets.

This paper examines the extreme value theory as a useful measure for evaluation of extreme risk events (rare but high impact events). A common practice to calculate Value at Risk (VaR) is based on the assumption that changes in the value of the portfolio are normally distributed. However, assets returns usually come from fat-tailed distributions. Therefore, computing VaR under the assumption of conditional normality can be an important source of error. Extreme value theory does not follow from the central limit theorem in mathematics, and instead is focused on extreme data. Therefore, this study examines the extreme value theory is a powerful framework for studying tail distributions. USD return and volatility is considered as a case study in this article. The normality assumption was rejected by examining the distribution of logarithmic returns. The results suggest that the application of EVT make better fit than the other models that are based on the assumption of normality.

According to some theoretical evidence, generalization of the theory of Miller and Modigliani on the relationship between the dividend and investment, depend upon the quality of financial reporting due to its direct effect on information asymmetry and financial reporting. The purpose of this study is to evaluate the quality of financial reporting in reducing the impact of dividend policy on investment according to the framework provided by Gowdaand et al. (2013). We investigate the role of financial reporting quality in mitigating the constraining effect of dividend policy on investment using financial data of 72 companies listed on Tehran Stock Exchanges in the period of 1380-1392. We find that high quality financial reporting significantly mitigates the negative effect of dividend policy on investments. Further, this mitigating role of financial reporting quality is also confirmed for the firms with a larger portion of firm value attributable to growth opportunities.