فصلنامه دانش مالی تحلیل اوراق بهادار
سال دوازدهم شماره 43 (پاییز 1398)

Financial system participants decisions are critical to achieving the goal of financial development. Because the financial decisions of the participants in a coherent financial system based on the supply and demand of financial resources have a significant impact on the volume of financial resources and financial expenditures. Hence, appropriate financial decision-making models can improve the performance of financial markets of the countries, increase the participation of individuals and other phenomena at the micro and macro level. Therefore, the main purpose of this research is designing a pattern for financial decisions of government, corporations and households based on attention to optimal financial mix in line to achieve Iran capital market development. The method of this research is descriptive –survey and based of purpose this research as the type of applied research. For data analysis and estimating the experimental model multivariate linear regression model and for investigating the meaningful of linear regression equation Fisher Ttest and for meaningful of coefficients T-test is used. The results of the research show that financial decision mix of government, corporations and households have significant impact on Iran capital market development, that consequent of this flow can provide country economic development.

Angel financing is a critical stage in companies' growth, which a lot of companies fail because of inability in raising money. Absorbing capital from these people is affected by various behavioral finance factors. So, this paper aims to determine and examine behavioral finance factors which affect investment selecting. In this process, after studying background and history of related research, 23 variables were collectively were given to a pilot group which we reached the consensus by removing some factors. The research questionnaire was then designed according to these remained factors. In the next step, using a sample with 183 members of angel investors, behavioral finance factors were asked. Our data were analyzed then by exploratory factor analysis. Seven latent variables include: Hope, Retrospective, Simplistic, Confidence, Risk Taking, Mental-Accounting, Self -Attribution were realized as effecting behavioral finance factors. These factors then were analyzed by confirmatory factor analysis in terms of a hypothesis to confine the number of factors to seven factors, which finally this hypothesis was accepted.

The analysis of fluctuations of stock market indexes is one of the favorite topics for econophysics experts. The present study in the framework of quantum mechanics from the non-classical oscillator model is conducted an analysis of stock market fluctuations in Iran. This study has been conducted it’s analysis in different groups in the stock market about six active firms. In general, by calibrating the pattern and taking into account the different energy levels (higher energy indicates more information transparency), the results point to the fact that by increasing the level of information in the companies surveyed, it can lead to faster price adjustments and a lowering of the proposed bid and sale price. In other words, with the increase in the energy level, which indicates a decrease in information asymmetry, we can expect that the speed of the attract of news in the market will be slowly and so Transactions and liquidity in stock market increase.

The purpose of this research is to present a portfolio optimization model within the framework of uncertainty theory. To estimate the return on assets, a prospective approach was used based on expert opinions. Also, a different risk-based approach based on uncertainty (chance model) was used to model risk. The theory used to model the uncertainty in model parameters is the uncertainty theory. The team of experts involved in this research was required to complete the required information on the projections used, including 30 managers of the portfolio of active investment funds in the Tehran Stock Exchange. In the end, to demonstrate the applicability, the model was designed in Tehran Stock Exchange and according to the nonlinear nature of the model, the hyper bacterial method of the genetic algorithm was used to solve it. Finally, by generating randomized portfolios and comparing them with the optimal portfolio for solving the model, we conclude that the optimized portfolio achieves a higher level of efficiency while delivering better performance.

The purpose of this research is Explaining the model of the mental accounting framework with the investment horizon approach to optimal portfolio selection. The period of research is 12 years between 2005 and 2016. In this period, 74 companies were selected as sample size through systematic sampling and were investigated. In this research, based on the value or growth of stock, two Markowitz’s and Sortino portfolios were split into forms (A) and (B) to determine if there is a significant difference between the performances of two portfolios. Also, based on the behavioral and mental characteristics of investors, the horizons of investment differ in the choice of investment portfolios. The results of the research confirmed in the first hypothesis that there is a significant difference between the performance of two portfolios (A) and (B) in terms of value characteristics or stock growth. Also, the result of the second hypothesis of the research showed that when investors have longer-term incentives based on mental accounting, portfolios (B), are a more favorable choice, while looking for short-term incentives based on accounting Mentally, they focus on shorter horizons, the portfolio (A) is more desirable.

In this paper, Symbiotic organism search and memetic algorithms are used to solve constrained mean-semi variance portfolio problem. Then AR model, Neural network and ANFIS are compared to predict expected return of stocks. 23 active stocks from June 22, 2014 to Jan 21, 2016 are used as our sample. The results indicate that, memetic algorithm despite its longer time consuming has better performance than SOS algorithm. And ANFIS has more accurate prediction than others in predicting expected rate of return. Finally, we compare expected and real efficient frontier, the results indicate that, in lower risk, ANFIS has better prediction accuracy. So in that area, we can allocate our asset with higher certainty.

The main goal of this study is compare effect of monetary and fiscal policy effect on stock market bubble within DSGE model in iran stock market. In recent year Iran Stock Exchange has experience a bubble. Fiscal and monetary policies have a roll in bubbles. in this paper we have investigated a effect of monetary and fiscal polies in bubble. In this paper we consider a general equilibrium model to find effect of monetary and fiscal shocks in Iran Stock Exchange we use a Dynar software to evaluate the research and using the seasonal data from 1995-2014. The result has shown: that first, monetary policy shocks has increased interest of investment in Iran Stock Exchange. therefore Tobin's Q will increase and bubble will increase. Second, as result of fiscal policy shocks through increase in government spending, investing in financial markets like Iran Stock Exchange will decrease and price of stocks will decrease.

This study is aimed at investigating the impact of oil price and exchange rate uncertainty on stock returns in Tehran Securities Exchange (TSE). To this end, "oil price uncertainty" and "exchange rate uncertainty" were considered as independent variables and "return on stocks" as the dependent variable. The daily data on the price of heavy oil, the official exchange rate and TEPIX (Tehran Exchange Price Index) are used from 1 January 2002 to 31 December 2012.Due to the nature of time-series data and the type of the study, to evaluate the impact of oil price and exchange rate uncertainty on stock returns, the uncertainty was measured using Whitening Linear Transformation method and was estimated using the Vector Auto Regressive model.The results of the estimations of the model and the uncertainty obtained from the Whitening Linear Transformation method showed that there has been a significant relation between the uncertainty of oil price and stock returns and another between the uncertainty of exchange rate and stock returns. Thus, the hypothesis of this study were confirmed by the error level of 0/05.

Debt structure is one of the key indicators that determine the company's success, and it contributes to a sustainable growth of the company. Hence, debt-critical debt-critical decisions are critical to the survival of companies. In this paper, the effect of ownership concentration on the relationship between management over-liability and corporate debt maturity in companies admitted to the Tehran Stock Exchange and in the period between 1386 and 1395 was investigated. In the same vein, the debt was classified into three categories of short-term, medium-term and long-term debt and tested for its uncertainty. The results of the survey of 79 companies admitted to Tehran Stock Exchange showed that there is a positive and significant relationship between short-term and medium-term debt with management over-reliance. Also, there is a significant and significant relationship between long-term debt repayment with the uncertainty of management and the existence of a significant and negative relationship The concentration of ownership on the relationship between short-term and long-term debt did not have a significant effect on management's uncertainty, and the concentration of ownership on the relationship between the expected medium-term debt and the management's uncertainty was significant.

Based on theoretical finance and accounting literature, distress firm's managers manipulate their financial information and real activities in order to hide and postpone bad news about financial distress situation. In fact, in these companies, management efforts are on track to provide personal benefits rather than putting in place to improving financial situation of the company. Therefore, this research aims to investigate the association between agency costs and corporate financial health. 120 publicly listed firms from Tehran Stock Exchange for the period 1382 to 1395 (Iranian Calendar) are selected as final data set. The research hypotheses were tested by using multivariate linear regression and Comparison of means. The results based on Altman adjusted z-score (1968) indicate that agency costs derived from the separation of ownership and management is one of the factors affecting the financial distress and the agency costs in healthy firms is lower than unhealthy companies. But the results based on Olson's financial health index (1980) indicate that there is no relationship between the agency costs and the level of financial health and there is no significant difference between the agency costs in healthy and non-healthy companies.

One of the most important aspects of investing is the risk of that investment. considering systematic and unsystematic risk as total risk, a part of risk that not deleted by diversification is called systematic risk. The purpose of this research is a comparison between two criteria of systematic risk assessment, the fundamental beta and historical beta. before that, the effect of financial statements information on the historical beta is investigated. For this purpose, the data of 33 companies that is selected by sifting method were collected during the period 1386-1395 using econometric methods of time series and pooled data. The results show that among the 7 accounting variables tested in this study (financial leverage, operating leverage, liquidity, fluctuation of earnings per share, percentage of dividend, size, and growth), 3 variables, namely, financial leverage, liquidity and size of firm affected The historical beta, and the historical beta, despite easiness in calculation, has a better performance than fundamental beta

The various studies results Illustrate about the presence of time-varying risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil spot price using data for period 1986-2016. The research method in present research is in term of purpose applied, in term of method descriptive-correlation and in term of data nature quantitative. For insight to goals, the paper use from GARCH method, Co-integration test and Vector Error Correction model (VECM). The results of estimations point to risk premium fixed in period 1986-2016, but risk premium is time varying in short period (2004-2016). Also, the results of Co-integration test and vector error correction model indicate to coefficient of risk premium be negative in the period 1986-2016, whereas this coefficient is positive in the period 2004-2016. The coefficients show to oil market estate in Contango position in the period 1986-2016 and normal backwardation in the period 2004-2016

Markowitz’s return–risk model for stock portfolio selection it is criticized. Many factors directly or indirectly influence stock markets and make movements of asset prices very uncertain and unpredictable.The purpose of this study was to investigate the selection of stock portfolios from companies admitted to Tehran Stock Exchange using the theory of Damsper-Schaffer. This research is descriptive-correlative method and is of applied research type. The statistical population of the study consisted of all companies listed on the Tehran Stock Exchange between 2010 and 2015, which has been studied and studied by 108 companies throughout the period of research in the stock exchange. The research data were extracted from financial statements of companies and analyzed using regression models using combination data. The findings of the research showed that the results of the hypothesis test showed that the EPS variables, income / price ratio (P / E), ratio of payment (PR), price to sales ratio (P / S), debt Long-term equity traders (LTDER), price / cash flow ratios (P / CF), and margin squeeze (PM) in the Demerster-Schaeffer theory model

the growth and development of financial markets and instruments, the complexity of financial markets and the specialization of investment, investors and financial market professionals need tools, methods and models that help them choose the best investment and the most appropriate portfolios. This has led to a variety of theories, models, and methods for pricing asset holdings and the calculation of stock market outlook predictions, which are developing and changing every day. The aim of this research a scheme of CAPM models considering momentum premium. For this purpose, the researcher uses factor analysis method and structural equation method in order to more accurately analyze the data and measure the variables of the model. The results of 90 companies during the period from 2006 to 2016 in the Tehran Stock Exchange show that adding a factor to the momentum increases the explanatory power of the new model of capital asset valuation. Also, the return on a portfolio consisting of a losing company is less than the return on a portfolio of winning shares