مجله مدیریت دارایی و تامین مالی
سال پنجم شماره 1 (پیاپی 16، بهار 1396)

This research aims to investigate the effect of real earnings management and managerial incentives on sticky costs. Sticky costs phenomenon represents that the costs do not change in proportion to changes in sales. In other words, the percentage of the reduction in costs when sales are reducing is less than the percentage of cost increase when the sales are increasing. In accordance with the “deliberate decision” theory, costs become sticky because of the deliberate decision of managers. This study focuses on managers’ resource adjustments when sales decline. The resource adjustments motivated to meet earnings targets and the ensuing cost structures. The research include a sample of 135 companies in the Tehran Stock Exchange for a period of 10 years from 2003 to 2013. For testing the hypothesis, multiple regression models based on panel data analysis is used. The results indicate that when managers face incentive to avoid losses, they accelerate sliding adjustment of slack resources for sales decreases. These decisions diminish the degree of cost stickiness.

predicting stock returns has been one of the most important financial market issues. In this paper, we compare the five-factor model of Fama and French model and four-factor model of Carhart to explain stock returns of listed companies in the Tehran Stock Exchange during 1387-1392. Carhart model variables include market risk premium, value, size and momentum. The variables included in the five factor model of Fama and French are market risk premium, value, size, momentum and profitability factors. The results show that there is a significant relation between stock return and market risk premium, size, and value factors. However, momentum and profitability do not show a significant relation with stock returns. In other words, the results show that in the Tehran Stock Exchange, Fama and French three-factor model is credible, while Carhart four-factor model and Fama and French five-factor model does not valid.

One of the fundamental criteria concerning effective decision-making in the stock exchange is stock return which, on its own, possesses an information content that has been used by investors to analyze and predict financial problems. Different studies indicate that shares return will be affected by many variables, one of which is the competitive power of the product market. This study is carried out to find out the effect of the power of the product market competition on stock return of the companies accepted in the Tehran Stock Exchange. The standards of the product market competition are comprised of industry centralization index, goods replacement ability, market size, Tobins Q index, and entrance obstacles (investment intensity). In this study, a sample of 87 companies on the period of 1382 to 1392 has been selected. Considering significant meaning and relation among the presented indexes, the findings suggest that there is a significantly negative relation between industry centralization index, substitute goods capability, market size, Tobins Q index, and shares return of the firms accepted in the Tehran stock exchange. On the other hand, there is no significant relation between entrance obstacles and stock return. The results of analyses indicate that companies with high competitive power have low efficiency.

Mutual Funds are one of the important elements of financial markets which act as financial intermediation and convert investment of amateur investors from direct condition to indirect. Given the importance of funds, this study tries to evaluate the market timing ability of manager's funds using conditional and unconditional models (Treynor–Mazuy and Henriksson –Merton) and compares both conditional and unconditional approaches. Data relating to twenty-three funds are used during the period of 1388-1392, and generalized least squares regression analysis is performed by using EVIEWS6 software. The results indicate the inability of market timing in fund managers using both conditional and unconditional models. Moreover, the conditional approach does not provide higher explanatory power than the unconditional approach.

The relation between macroeconomic variables and stock market index has been vastly investigated in previous studies. To contribute to the literature, this study employs the VARX-DCC-GARCH econometric model. The advantages of using this new model are the consideration of variable change effectiveness in different moment levels (mean and variance of changes), inclusion of oil price as an exogenous variable that has short-run and long-run effects in this model, and the consideration of time series correlation between volatility of the variables. This model is estimated for the period of 1381 to 1391 by using Iran economic and the Tehran Stock Exchange monthly data. Results show that exchange rate, inflation and oil price have a positive effect on stock index in the long run, and the exchange rate has the strongest effect. Also in the short run horizon, oil price shocks have stronger effect on the stock index. Estimated time-varying correlations between variables volatility show that exchange rate volatility has a positive effect on stock market volatility. This correlation is reinforced during 1387 to 1391. In addition, inflation volatility has weak positive correlation with stock index volatility, while oil price volatility does not show any significant effect on stock index volatiliry.

The present study aims to investigate the relation between financial reporting quality and debt maturity structure with investment efficiency of the firms listed in the Tehran Stock Exchange. To do so, Dechow and Dichev's (2002) accrual quality model is employed as a proxy for the financial reporting quality, and short-term liabilities to total liabilities ratio is used to measure the debt maturity structure. A sample of 92 firms listed in Tehran Stock Exchange from 2010 to 2014 is selected, and multiple regression model based on panel data techniques is also used to test the research hypotheses. According to the first hypothesis, there is a positively significant relation between financial reporting quality and firm's investment efficiency. Also the results of the second hypothesis indicate that there is a positively significant relation between debt maturity structure and firm's investment efficiency. Finally, the third hypothesis documents that the short term liabilities may account for the weak relation between firm's financial reporting quality and the investment efficiency.

Accounting earnings and the continuous operation assumption are two principles of Ohlson’s (1995) prediction and valuation models. Regarding the influence of bankruptcy risk on these two factors, in this research, these models are adjusted by the inclusion of bankruptcy risk. As a result, the primary models are compared with adjusted models during a 5-year (from 2003 to 2008) and a 10-year period (from 2003 to 2013) using panel data of companies listed in the Tehran Stock Exchange. The results indicate that the inclusion of the bankruptcy risk improves Ohlson’s prediction and valuation models during both 5 and 10 years estimated periods. However, due to the uncontrolled growth of prices in 2012 and 2013, which resulted in the price bubble formation, the estimated values by both original and adjusted models during 10 years estimated period are significantly lower than the actual market values.