مجله راهبرد مدیریت مالی
سال هشتم شماره 3 (پیاپی 30، پاییز 1399)

The purpose of this paper is to examine the policy of dividing under the conditions of liquidity uncertainty with the use of natural options. Dividend policy is one of the most important issues of financial management, which is in fact the basis for valuing companies. The value of all companies is equal to the total present value of their future cash flows. Investors will receive two types of returns in return for accepting investment risk in the company, including cash benefits and capital gains (due to changes in stock value). Stock profits are the most important source of cash payments to shareholders and therefore of great importance. In this paper, after introducing the method of real discretion and its variants, the introduction of the randomization optimization problem has been discussed. In this study, Monte Carlo simulation method was used to solve numerical problems. The results indicate that earnings and growth opportunities have a positive effect on the value of the company. Finally, the results indicate that the mutual effects of equity and debt income form a U-shaped relationship in the company's value. Based on the results, it was found that the relationship between accumulated profits and external financing costs is negative.

The main purpose of this article is to examine performance of the accruals trading strategy. According to Accruals trading strategy, investor is taking a long position in firms with relative low accruals level and is taking a short position in firms with relative high accruals level. Specifically the study examines the possibility of earning excess return and excess risk adjusted return implementing the traditional accruals strategy and percent accruals strategy. For this purpose, we collect monthly data of 236 companies listed in Tehran Stock Exchange for the years 2011-2018. The hypotheses were tested using hedge portfolio method and t-student test. The findings show that implementing the percent accruals strategy, results in earning excess return and excess risk adjusted return. Furthermore implementing the traditional accruals strategy, results in earning excess return. But earning excess risk adjusted return implementing the traditional accruals strategy, was not verified. Since earning excess return in the efficient market that has no anomalies, is not possible, so the findings show that there is accruals anomaly in Tehran Stock Exchange. Furthermore the results show that percent accruals strategy is more productive than traditional accruals strategy.

One of the main concerns of investors is the Stock price crash risk in the market and research in this field may be so important for the Capital. Increasing stock price crash risk makes investors pessimistic about investing in the securities exchange and this may cause them to go out of the capital market. This research studied the effect of the firm’s operation and the future risk of price fall of the equities in the firms accepted by the securities exchange of Tehran between 2012-2016. The sample includes 500 observation. The independent variables consist of rate of the return of the assets, ratio of market value to office value of the firm and Toobin’s Q index and the profit of each equity and the depended value is the future stock price crash risk. The findings suggested that there is negative significant relation between the firm’s operation (the rate of return of the assets, the ratio of the market value to office value of the firm, the Toobin’s Q index and the profit of each equity) and future stock price crash risk in the firms accepted by the securities exchange of Tehran. In other words we can anticipate the future mutation or stock price crash risk with looking at the firm’s operation and take action to buy or sell that firm’s equities.

According to the transaction cost theory, active management leads to a reduction in transaction costs and thus reduces the distance between the bids and ask gap. Also, on the contrary, based on the adverse selection hypothesis, when a group of shareholders has the advantage of information over another, there is an information asymmetric that will reduce liquidity. This study is primarily aimed at testing the mentioned theories. Using a panel smooth transition regression model, as a new econometric technique, we examined the data to explore the asymmetric impact of blockholders ownership on liquidity in the 148 firms for the period 2009 to 2018 from TSE. Our empirical results strongly rejected the null hypothesis of linearity, and the test for no remaining nonlinearity indicated a model with one transition function and two threshold parameters. The first regime (levels of blockholders ownership below 36.1 percent) showed that liquidity increases with institutional ownership while the trend was reversed in the second regime (levels of blockholders ownership above 36.1 percent). Blockholders are inherently good or bad for the capital market because their impact varies from diet to regimen, and it seems to be dependent on the percentage of ownership of blockholders and corporate characteristics.

Based on theories, it is expected investors to be informed about profitability, make the decisions rationality without any emotional behaviors. The role of managers in strengthening the mechanisms of the company can increase the reliability of the profitability which is itself a factor affecting the investor sentiment. Therefore, the purpose of this study is to investigate the Effect of Board's Characteristics on Earnings Informativeness by Considering the Moderating Role of Investor Sentiment.This research is a library and analytical-scientific study and is based on the analysis of panel data (data panel). In this study, financial information of 136 companies listed in Tehran Stock Exchange during the 2010-2017 (952 companies-years) was investigated. Eviews software was used to analyze the results of the research.Based on the findings of this research, there is a negative and significant relationship between the Earnings informativeness and investor sentiment, as well as board's characteristics, including the independence, size and duration (experience) of the board, have a significant and direct effect. In this examination of the relationship between Earnings informativeness and the investor sentiment, it became clear that the independence, size and experience of the board would strengthen the negative relationship between them. In other words, these attributes contribute to the informativeness raising, as a result, less investor sentiment.

The cost of capital is one of the most significant criteria in making financial decisions as well as evaluating the financial performance of management. This criterion affects the internal variables of the company and at the same time, it is affected by the environmental factors of the company, especially the macroeconomic variables. Considering the recent major changes of macroeconomic variables in our country, the aim of this study was to investigate the long-term and short-term effects of macroeconomic variables on the cost of capital. Using data from 219 companies listed in Tehran Stock Exchange from 2006 to 2016, five research hypotheses were tested and analyzed by using Autoregressive Distributed Lag (ARDL) method. The findings of the study based on the results of long-run relationship estimation show that interest rate coefficients, inflation rate, and oil price change rate are significant as expected and these variables have a positive and significant effect on company capital cost. So, in the long run, by increasingthe amount of these variables, the corporation cost of capital increases, and by reducing them, the cost of capital can be reduced. Likewise, in the short run, interest rate variable with one period delay, inflation rate variable with three periods delay, exchange rate variable with four periods delay, liquidity variable with four periods delay, and oil price variable with two periods delay have shown their impact on corporate capital cost. Therefore, although the period of impact of these variables is not the same, they have a positive and significant impact on corporate capital cost.

The money market has an undeniable role in the economy of Iran. The financial distress in this market can effect whole countries economic system. Anticipation of this situation for confronting and reducing the impact of the banking crises is required. So, the aim of this study is to investigate the relationship between capital and liquidity measures and probability of financial distress and possibility of its anticipation in banking sector. For doing this study, we used of capital and liquidity measures defined by Basel Committee as capital and liquidity indexes and of altman Z score as criterion of the financial distress. A sample of 16 banks listed on Tehran stock exchange and Iran OTC was chosen. Their data was examined for the period from 2012 to 2017 by logit regression model. The results of study showed that it is a negative relationship between capital measures and probability of financial distress, but we did not find relationship between liquidity measures and probability of financial distress.

One of the challenges faced by investment managers is to answer the question that the total value added of each of the constituent groups of assets (deposits, fixed income securities and equity) portfolios of mixed investment funds and stock exchanges, from which one of the decisions Dual selection of asset groups and weighting to each of these groups (asset allocation). Considering that, generally, regardless of the effect of each selection decision on securities and weighting them, in order to measure the performance and, as a result, the assessment of managers' skills, the total value added is used, and in response to the above question and the extension of methods Traditionally, in this paper, with the presentation of the framework, the value added of each portfolios of asset portfolios of the above-mentioned investment funds is divided into value added from the allocation of assets (weighing) and selection of securities, and thus the skills of the managers of each of these funds In these two decisions, it has been measured. Given the novice of such funds in the Iranian stock exchange and limited information, the results of this paper show that managers of these funds have no sustainability skills in either of these two dimensions. It is worth noting, however, that by increasing the operating time of these funds as well as using more sophisticated models in which returns and risks are simultaneously investigated, we can provide a sustainability framework for full assessment of managers' skills

“Bubble,” when used in financial markets, refers to higher public expectations of rising prices in the future that leads to a temporary increase in prices. One of the most important risks affecting stock returns is the risk of bubbling stock prices. This study aimed to investigate the effect of pricing bubble formation risk on the stock return. A five-factor pricing model was used for the data gathered from 274 companies within six months for monthly portfolios during the eight years including the period of 2010-2017. Stock returns were used to measure asset pricing. The research is applied and correlated in terms of objective and post-event research in terms of collecting the research data. Panel data model estimation showed that price bubble factor and size factor had a negative and significant relationship with stock return rate and momentum market factor, value factor with stock return rate had a positive and significant relationship. Based on the research findings, it can be said that shareholders can use the price bubble factor to predict the rate of return on stocks and determine the price and value of their stocks and assets.

One of the challenging decisions that business unit managers always face is how to choose investment projects. Capital budgeting is a process that use to evaluation and select the various investment opportunities by the manager. On the other hand, research and development spending is expected to be a factor in influencing decisions related to the budgeting of capital. Therefore, the purpose of this research is to investigate the relationship between R&D expenditures and capital budgeting methods, including net present value, payback period, return on investment and capital cost. For this purpose, 97 companies survey in Tehran Stock Exchange between 1391 and 1395. The results of the hypotheses were that research and development expenditures were significantly associated with capital budgeting methods, with the exception of the cost of capital. In general, the results indicate that research and development expenditures have affected the capital budgeting methods, which could be considered by managers in the field of management accounting.