International Journal of Finance and Managerial Accounting
Volume:2 Issue: 6, Summer 2017

This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The investment universe includes money-market, fixed-income, inflation-linked bonds as well as equity and commodity indices. For each such investment opportunity a dedicated statistical model has been developed to generate future return paths describing the uncertainty the investment manager is facing over time.

The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity (MV), lowest price to the highest price of the stock ratio (LHR), the standard deviation of stock returns (STD) and the standard deviation of operating cash flow (CFVOLA). To investigate this issue four-hypotheses developed for this purpose and data of 99 companies of Tehran Stock Exchange was analyzed for the period 2007 to 2015.the research method performed by panel data analyzed, Results show that for all the variables except for STD (standard deviation of stock returns), by increasing the degree of information uncertainty, stock returns trend increases(decreases) for winning(loser) portfolios.

Many organizational and environmental factors affect the information disclosure and the quality of its presentation; organizational culture is the most important factor among these factors. The organizational culture that is based on transparency will provide the information environment dynamism and it will also lead to the improvement of the quality of information disclosure by the business units. This effect is more prominent especially in the countries such as Iran which has a variety of tribes and population groups with different cultures. In this regard, the aim of this study is to evaluate the impact of organizational culture on the voluntary disclosure in Iranian firms. The study of organizational culture of Iranian firms and its impact on the voluntary disclosure in 2015 has shown that the organizational culture that is based on involvement and consistency has a positive and significant impact on the voluntary disclosure of information. Also, the organizational culture based on a mission has an adverse impact on the voluntary disclosure. These results could be useful for the policies of the senior managers of Iranian firms in the field of organizational culture and they will also lead to the improvement of the implementation of accountability procedures. Also, by identifying and modifying the types of company's organizational culture, we can lead to the enhancement of the voluntary disclosure.

According to the nature of their activities, banks are exposed to various types of risks. Hence, risk management is at the heart of financial institutions management. In this study, we intend to summarize the information content of bank financial statements on diverse risks faced by banks and then determine how stock markets react to bank's risk management behavior. The methodology used in this study is the Principal Component Analysis (PCA) and Discriminant Analysis (DA). In this research, we evaluate the status of risk management in listed banks on Tehran Stock Exchange through financial statements analysis and then investigate its relationship with bank's stock returns to determine whether capital market participants take the status of risk management into account in their pricing decisions or not. The results show that provisions taken by banks have a meaningful relationship with the bank's stock returns. However, capital adequacy, net interest margin, and net margin of non-interest income have no significant relationship with stock returns.

The monetary policy in the frame of monetary transaction through stocks market affects the stocks’ price that these prices also affect the economy with impacting consuming and investing expenses. In another word, based on the importance of monetary part in commercial banks, the effect of these policies on bank stocks has a great importance that is studied in his project. For this purpose, the data of instrument related to monetary policy and bank stocks index are evaluated monthly from 2006 to 2015 through VAR-BEKK method.
These results have presented the obvious effects from money market to capital market among banks and monetary policies of the central bank has a direct effect on stocks index of commercial banks in the way that the liquidity amounts and frequencies respectively have caused the increasing and frequency of stock price .

The purpose of this study is to evaluate the effect of the characteristics of board of directors (Chief Executive Officer Duality, CEO tenure duration, size and independence of the board of directors) on earnings management. In this study, data from 62 companies listed in the Tehran Stock Exchange during the years of 2011 to 2015 were used. The statistical method used in this research is panel data and the multiple linear regression models were used to test the hypotheses. In this study, three models of real earnings management (real earnings management based on abnormal cash flows, real earnings management based on abnormal discretionary expenditure and real earnings management based on abnormal production costs) were considered. The results of the hypotheses test using panel data showed that from the four characteristics taken into consideration for the board of directors, duration of tenure of Chief Executive Officer on the board of directors (in all three models of real earnings management), the size of the board of directors (in real earnings management model based on abnormal discretionary expenditure ), the independence of the board of directors and CEO-duality (in real earnings management models based on abnormal production costs), have a significant impact on the real earnings management.

Due to the complexity of financial markets and specialization of investment, the investors in financial markets need tools, methods and models by which they can choose the best investment and the most appropriate portfolios. Fama-French Five-Factor Model (FFFFM) is one of the newest methods among various methods for financial asset pricing and prediction of stock returns. The main aim of this research is to investigate the improved predictability of returns by inclusion ofthe skewness variable to FFFFM. The statistical population of this study consists of all manufacturing companies listed in Tehran Stock Exchange (TSE) during 2003-2014. 75 companies selected by random sampling method. The results of panel data test of FFFFM indicate the positive significant effects of book to market value ratio, size, growth opportunity, and profitability but a negative significant effect of the investment variable. By inclusion of the skewness variable in the FFFFM model, the negative effects of investment variable becomes positive. Also, skewness variable indicates a significant positive impact and that this inclusion improved the predictability of firm returns.

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Exchange index volatility during the period from 2006 to 2016 is investigated. Two hypotheses are set and are tested using Space-Time-Frequency Analysis (continuous wavelet transform and short time Fourier transform).
The results of testing research hypotheses indicate that The Tehran Stock Exchange is inefficient. The volume of stock trading and the volatility of stock index in the first half of month are different from the second half of the month. Results also show that market tension in the first half of month is more than the second half of the month.

The aim of this study is to examine the equity premium puzzle in Iran for the quarterly period of 1993-2016. In this regard, the hybrid bivariate Garch model and also fuzzy dummy variables with consumption capital asset pricing model (C-CAPM) have been used. The results of study show that using C-CAPM within fuzzy dummy variables (CCAPM-F), the relative risk aversion coefficient of investor is various between nested regimes of financial and macroeconomics, so that its value for nested regimes like C-CAPM is not unconventional. In economic recession regime and bear markets, the value of this coefficient is in maximum amount. It means that the investor is willing to take risk just for high compensation and tends to invest in assured asset like bank deposits. Totally, regardless of market conditions, the recession regimes are related to higher levels of risk aversion.

In this research, overreaction and underreaction have been studied by assessing profitability and excess returns of investment strategies and evaluating price adjustment speed in short and long terms. The results showed that the momentum investment strategies had higher annual returns in comparison to contrarian strategies in all short and long periods which led to confirmation of underreaction phenomenon and rejection of overreaction. The small size and value portfolios had higher significant returns. The highest current price to 52-week high ratio portfolios had higher returns than the lowest portfolios in short and long term periods, which is an evidence of momentum and underreaction phenomenon in the market. In addition, the speed of investment strategies adjustment to market-wide information was assessed using Dimson Beta regression and some evidences of the underreaction in short term and overreaction in long term were confirmed. The influence of winner and loser portfolio formation and holding months was observed.