مجله مدیریت دارایی و تامین مالی
سال هفتم شماره 3 (پیاپی 26، پاییز 1398)

Modelling dynamic nature of covariance of assets return almost always is a challenging area of finance. Econometrics models just pay attention to variance behavior longitudinally, however, core of numerous finance models need the analysis of the total covariance structure of returns.

Among the first models that analyze covariance behavior are multivariate GARCH models which were criticized for the need to estimate a large number of parameters. This paper is aimed to investigate the effect of stock return dynamic correlation structure on systematic risk, idiosyncratic risk and average stock return. To this end, a sample of 148 listed companies in Tehran Stock Exchange is examined during 2003 to 2014. GARCH framework is used for testing this claim.

According to the results, securities that were highly correlated with market wide risk factors in the past are likely to have low systematic risk, idiosyncratic risk and average return at present. It can be expected there is significant relationship between idiosyncrstic risk and correlation for lower turnover stock (information transparency proxy) although there is no relationship for smaller firms.

Cost and expense stickiness is an important issue in accounting and economics research, and the literature has shown that cost stickiness cannot be separated from managers’ motivations. This study examines the relationship between managerial short-termism and Cost Stickiness. To measure managerial short-termism were used three criteria discretionary accruals and the actual items (through manipulation of sales and a reduction in discretionary spending) and also other control variables affecting cost stickiness such as the number of the staff, the amount of assets, and sales decline continuous, natural logarithm 1 in addition to the yield of initial annual share, free cash flow, constant payment to managers. Sampling population of the present study includes 95 accepted companies at Tehran stock exchange and manufacturing parts in the time period of 2005-2014. Based on the findings the effects of earnings management based on actual items through reduction in discretionary spending on cost Stickiness is confirmed and can say managerial short-termism has a negative and meaningful relationship with cost stickiness.

Given some failures of the Capital Asset Pricing Model in explaining the default risk anomaly, some researchers have claimed the two-beta model, established by Campbell and Vulteenaho (2004), is functionally able to explain this peculiarity. Originated primarily from CAPM, two-beta model decomposes the market beta to the discount-rate beta and the cash-flow beta. In other words, the two beta model decomposes the systematic risk to the discount-rate and cash-flow risk.
In an attempt to test the ability of the model to explain the anomaly in the Tehran Sthock Exchange, we firstly ranked firms based on their default risks, measured by Ohlson’s (1980) model, and then employed the two-beta model to decompose the market beta to discount-rate beta and cash-flow beta. We, ultimately, applied a simple regression model to extract the discount-rate risk premium and cash-flow risk premium.
Our results reveal that as the default risk increases, the discount-rate beta increases and the cash-flow beta decreases. Furthermore, the cash-flow risk premium is significantly more than the discount-rate risk premium. Therefore, the two-beta model can explain the anomalous default risk existing in the Tehran Exchange Security.

Users of financial statements mainly apply announced earnings as the basis for making economic decisions. However, in order to being useful for making sound decisions, the announced earnings must have some features such as timeliness. On the other hand, corporate governance mechanisms can minimize the agency problems through transparent disclosure of financial information. The purpose of this research is analyzing the effect of corporate governance mechanisms on the timeliness of announced earnings for listed companies in Tehran Stock Exchange.
In thin study, corporate ownership (concentrated ownership and state ownership) and independence of board of directors are considered as corporate governance mechanisms. We Used panel data of 76 listed companies in Tehran Stock Exchange from 2006 to 2014.
The results show that concentrated ownership has positive and meaningful effect on timeliness of earnings. In the other word, the higher the concentrated ownership, the more timeliness of earnings. On the other hand, state ownership have negative and meaningful effect on timeliness of earning and independence of board of directors have no effect on this relationship.

Business units are looking for new ways to improve their financial performance and reduce their risk level while financing. Considering previous studies focusing on the role of working capital efficiency on companies finance, we aim to examine the relationship between working capital efficiency and deviation from the optimal level of capital structure.

In this research, two main hypotheses are proposed; firstly, to examine the previously mentioned relationship, and secondly, to measure the difference between the efficiency of working capital and the capital structure in terms of over-leveraged and under-leveraged companies. The data sample is restricted to 179 Firms listed in Tehran Stock Exchange during 2006-2017.

The results demonstrate that with increasing working capital efficiency, the amount of capital structure deviation from the optimal level can be reduced. In addition, the relationship between the efficiency of working capital and the deviation from the optimal level of capital structure in over-leveraged firms is significantly higher than under-leveraged firms.

The results of recent studies propound the view that employees play a pivotal role in the corporate operations as it is assumed that highly educated employees provide managers with more informative information; which in turn, the increased quality of the managers' information will lead to an improved earnings prediction. The present study sets out to investigate the association between the employee quality and the quality of the managers` earnings forecast in the firms listed in Tehran Stock Exchange, during the period 2013-2017.

In doing so, the education level is adopted as the proxy for employee quality. Besides, the management earnings forecast errors and accuracy indices are employed to measure the quality of managers` earnings forecast. The research hypotheses are built upon a sample of 84 listed firms and then tested using the multivariate regression model, based on panel data.

The findings reveal that there is a significant negative correlation between employee quality and earnings forecast error. Furthermore, there is a significant positive correlation between employee quality and earnings prediction accuracy. In other words, the quality of the company's employee improves the quality of the managers` earnings forecast.

It seems there is question mark over the claim “negative consequences of the accruals depend on the operating cash flows”; and therefore, the goal of this research is to determine the effect of operating cash flows on abnormal accruals in the companies listed in the Tehran Stock Exchange with an emphasis on the type of the industry.

In this research, we have used the modified Jones model to calculate the abnormal accruals. This research’s hypotheses on the data of 118 companies during the six-year period (2011 to 2016) were tested and analyzed, using the multivariate regression model and the panel data method.

The findings indicated that there is a significant inverse relationship between the operating cash flows and abnormal accruals. Furthermore, the results suggested that there is a significant inverse relationship between the operating cash flows in the automotive and parts industry, pharmaceutical industry, and the cement, lime and plaster industry with the abnormal accruals. In other words, with the reduction in the operating cash flows, the abnormal accruals will increase. In general, the findings show that the negative consequences of the accruals depend on the amount of operating cash flows and companies whose operating cash flows are negative could mat distort the results of testing abnormal accruals.