مجله مدیریت دارایی و تامین مالی
سال هفتم شماره 2 (پیاپی 25، تابستان 1398)

Recently, the area of Enterprise Risk Management (ERM) has received considerable attention both from the academic and professional communities. The empirical evidence seems to support the enabling role of the ERM in improving firms’ operating and financial performance, focusing on metrics such as equity values, cost of capital, and debt ratings. However, companies are still struggling with the development, implementation, and evaluation of ERM-based processes. In particular, this problem has been significantly more challenging for companies in emerging economies.

In this paper, we provide a clinical study detailing the institutional and functional risk management steps (identification, assessment, mitigation, implementation, and review) and processes undertaken to develop and implement ERM for a major investment banking company in Iran.

Overall, we found that the company has been exposed to fourteen categories of top risk sources including competition, political, human resource, market, liquidity, regulations, credit, reputation, and corporate governance. Furthermore, we have chosen a subset of more quantifiable categories of risk and recommended mitigation strategies and developed metrics to evaluate their performance.

The purpose of this research is to compare the performance of investors who are actively involved in stock transactions with other investors’. For this purpose, examining the portfolio statement of investors in Tehran Stock Exchange during the five-year period from 2012 to 2016, we have also adopted two analytical approaches. First, through the Portfolio Study Method, the monthly returns of investors with a high portfolio turnover rate (active investors) have been compared with that of investors with low portfolio turnover rate (passive investors). Second, using a complementary approach (called Own-Benchmark Abnormal Return), we have examined investors’ monthly returns in two different modes: 1.changing the composition of the portfolio; 2.maintaining the primary composition of the portfolio. The results show investors with a higher trading frequency, both before and after the deduction of transaction costs, have a better performance than other investors. Also, the performance of investors in the first mode is better than in the second mode.

In this study, we examined the effect of accounting variables and characteristics of peer firms on investment management strategy and we suppose that firm’s financial strategies are dependent to financial strategies of peer firms. Also, financial strategies of peer firms are dependent to their accounting variables and characteristics of peer firms. Therefore there is a relation between investment management, accounting variables and characteristics pbt.
In order to carry out the investigation on the hierarchical model and Markov chain Monte Carlo simulation is used. The sample of this research is listed companies in Tehran Stock Exchange during the years 2009-2015. Accounting variables are included the structure of assets and average of the companies' profitability. It also characteristics of peer firms are included the average of stock return and expected growth rate.
The results show that the average of the peer firms' expected growth rate has a significant relationship with investment management strategy. Also the result shows that Student's t-distribution has the minimum Standard deviation.

The Financial Crisis of 2007–2009 has created a renewed interest in systemic risk. The systemic risk is the result of a systemic relationship among financial institutions (Banks, Brokers, and Insurers). Recognition of systemic relationships among financial sub-systems of each country is an indispensable necessity for the purpose of preventing systematic failure. The present study seeks to assess the relationship among the financial sub-systems in Iran, including banks, investment, and insurance companies during 2011-2017, using the Principal Components Analysis method. Then, the causal relationship between them is explained, applying the nonlinear Granger method. According to the results, banking and insurance sectors have the highest and lowest systemic risk, respectively. It is also found that the systemic relationship alters from one financial institution to another over time. The results of this study can be useful for both regulatory bodies in order to optimize the regulation of the financial system and, on the other hand, for investors to effectively manage the portfolio risk.

According to the prior studies it is posited that after Sarbanes-Oxley Act of 2002 in US and at the same time Iran’s Corporate Governance Regulation, managers shift from accrual earnings management to real earnings management. So, it can say that deviation from real operation’s predictive power for crash risk strengthens substantially, while discretionary accrual’s predictive power essentially dissipates.
Goal: The goal of this research is to evaluate the distinct impact of abnormal real operations and real earnings management on the subsequent crash risk in stock prices. Computed based on real earnings management (REM) models, firms' deviation in real operations from industry norms (DRO) is shown to be positively associated with their future crash risk. This study follow the Gunny (2010), and Roychowdhury (2006) suspect firm – years approach to address firms’ use of deviation from real operating  for real earnings management purposes.
This analysis shows that REM-firms experience a significant increase in crash risk in the following year.

Every banking system, whether Islamic or conventional, faces a wide range of risks, among which liquidity risk seems to be one of the most substantial. It is also noticeable that liquidity management in the Islamic banking is more complicated than in the conventional banking because the traditional instruments used in liquidity management are based on interest and their use in the Islamic banking system is not permissible. However, it has been proclaimed that, especially after the 2008 financial crisis, in terms of liquidity risk management, the Islamic banking system has acted more persuasive than the conventional banking system. Applying PCSE and FGLS panels methods for 72 Islamic, and 51 conventional banks, this research has examined the relationship between liquidity risk, asset quality, and financing in the two banking systems during the period 2011-2016. The results show that, in Islamic banking, while liquidity risk has a significant positive relationship with financing, the former indicates a negative relationship with asset quality. However, in conventional banking, the effect of financing and the size of liquidity risk is positive and significant, but the effect of asset quality is not significant.

Optimal leverage is one of the anchors of capital structure studies. These studies have used a wide range of debt ratios as the optimal ratio; however, the choice of the proxy can influence the results of the studies.

This paper aims to scrutinize the best optimal leverage between the firm’s mean leverage, moving average leverage, industry mean leverage and predicted leverage ratio based on regressions. Choice of the best proxy is based on the speed of adjustment, financing decisions and firm’s market value.

The results show that the change in market value is similar for all proxies when leverage deviates away from its optimum. It means as the firm's leverage ratio deviates away from its optimum, its market value declines in the firms whose leverage ratio is above the proxy. But the study of the speed of adjustment and financial decision shows that these alternative proxies yield results that are significantly different from each other. In other words, the conclusions drawn from the findings are sensitive to the model's proxy. Of the proxies in this study, the moving average debt measure exhibits characteristics that are most consistent with the theoretical optimal leverage ratio.