International Journal of Finance and Managerial Accounting
Volume:2 Issue: 5, Spring 2017

Bankruptcy prediction is one of the major business classification problems. The main purpose of this study is to investigate Kohonen self-organizing feature map in term of performance accuracy in the area of bankruptcy prediction. A sample of 108 firms listed in Tehran Stock Exchange is used for the study. Our results confirm that Kohonen network is a robust model for predicting bankruptcy in today’s fast changing business environment

In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selecting (DMS) and Dynamic Model Averaging (DMA) and their comparison via the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (monthly) are discussed. In the present study the variables of unofficial exchange rate changes, interest rate changes and inflation oil price forecast returns for stocks in Tehran Stock Exchange are used. The study concludes that dynamic models with time-varying parameters are more accurate in predicting returns in the Stock Exchange, in a way that the MAFE and MSFE models, DMA, DMS which have complete dynamics are more efficient than other models. As a consequence, it can be said that the variability of the coefficients of the variables in the TVP model cannot lead to higher accuracy in predicting returns in the Stock Exchange, and it is required that the dynamics of time-varying variables of the model used to predict stock returns be taken into consideration.

Business expansions along with number of new companies being engaged in variety of industries aimed at getting bigger market share, underscored the role of corporate governance within the financial sphere. One of the important issues in corporate governance is acquisition.
Due to the significant impact of companies in refining and petrochemical sectors on capital market and whole economy, their corporate governance should be addressed accordingly.
In this study, the relation between acquisition and aspect of the company, in firms listed in Tehran stock exchange or Iranian farabourse[i], has been investigated for the period 2009-2014. Size (logarithm of total assets), management efficiency (operational profit to total assets), efficient financial structure (Current debt to cash) and incorrect valuation (price to book value) are among factors affecting on acquisition a company. In this study we found that the type of company (refinery and petrochemical) does not effect on acquisition. With the investment policy of firms, they can choice appropriate target for acquisition when considering the size of target compared with firm size, management efficiency, efficient financial structure and the price to book value ratio of the target company.

Literature in tax avoidance indicates that the proceeds of tax avoidance can be invested on production affairs, which in turn enhance the future expected cash flow, thereby reducing the cost of equity. Based on this reasoning, the present study aims to examine whether tax avoidance is associated with the cost of equity with emphasis on the moderating effect of outside monitoring. To calculate tax avoidance, the effective tax rate is employed. Using a sample of 420 firm-year observations from 2011 to 2015 and after controlling for the effect of exogenous variables, to test the research hypotheses, multivariate regression model based on panel data was employed; the results indicate that tax avoidance is negatively and significantly associated with the cost of equity. In other words, firms, investing the proceeds of tax avoidance, increase their future expected cash flow and hence reduce the cost of equity. Moreover, outside monitoring moderates the relationship between tax avoidance and cost of equity. The findings of the study not only fill the research gap in the field, but also benefit investors, tax regulators and other stakeholders in decision making process.

Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the true volatility of the unobservable efficient returns and the volatility from the existence of microstructure noise. Researchers proposed several methodologies for estimating these two components but each of these estimators has its own pros and cons. however, some of them have higher rate of convergence. Multi-Scale Realized Volatility (MSRV) is one of these estimators that reported to have a high efficiency in estimating true realized volatility. In this paper, after estimating these two components through the MSRV approach, we investigate the relation between them. Our results suggest that there is a positive meaningful relation between microstructure noise and true realized volatility.

The perceptual error of the investors is one of the issues discussed in behavioral finance. The perceptual error is a wrong sensual or perceptual error. That is, what we see or hear does not match with the reality. Regarding the fact that the perception of individuals is affected by their worldview and beliefs and religious attitudes can also affect their viewpoint, in this study, the relationship between these two variables was investigated. The study used an applied-survey method. The instrument of the study was a questionnaire and the subjects of the study were 200 individuals who were randomly chosen from individual investors, the experts of investment institutes, stock brokers on stock exchange and stock exchange organization across the country (Iran) in 2016. The data were analyzed using SPSS software. After investigating the normality of the data, Pearson correlation formula was used to investigate the relationship between the variables in the form of 1 main hypothesis and 5 sub-hypotheses. The results indicated that there was no significant relationship between religious attitude and Perceptual error but there was a negative and significant relationship between religious attitude and overconfidence. There was also no significant relationship between religious attitude and hindsight, escalation of commitment, availability and randomness. Investigation of transposition of perceptual errors, using Friedman test, indicated that most of the errors were related to availability error and least of them were related to overconfidence error.

Analyzing the correlation between banks’ assets and liabilities after the financial crisis has been focused by many countries. As the banks in Iran have proved to be the biggest financer required for the production sector, investigating the asset and liability portfolio and their correlation appears to be very important. In this paper, there has been an attempt to patronize the Iranian banking network’s balance sheets during the course of 2006-2015 and the standard methods of measuring correlation coefficient to evaluate the dependency degree among the assets and liabilities of the banks in order to scrutinize its trend. Results show some similarities between the two banking sectors. First, for two banking sectors alike, neither the asset nor the liability side of the balance sheet alone can be held responsible for the declining asset-liability dependencies. Second, all two banking sectors have experienced declining dependencies of loans to non-banks and deposits, while dependencies of the security and investment increase and the dependency of the liability from central bank did not change significantly during the period of our study.