فصلنامه دانش سرمایه گذاری
پیاپی 35 (پاییز 1399)

The purpose of this study is to investigate the clustering of fluctuations and its asymmetry in Tehran Stock Exchange. Large changes in prices tend to be large changes and small changes tend to be small changes that are called clustering of fluctuations. On the other hand, higher volatility fluctuations, They tend to form more clusters than small fluctuations, which are referred to as clustering oscillations of oscillations. The volatility of return on assets can directly affect the price of transaction options and the risk of stocks and portfolios. This research is a practical and quantitative research. The statistical society of the time series of the index of Tehran Stock Exchange and the sample used in the time series of return on the total index in the period from the beginning of 2008 to August 2012 is. The index values are extracted from the new rational software and then the logarithmic yield is calculated and analyzed with the Eviews software. Based on the Box and Jenkins approach, the mean ARMA equation was obtained and ARCH test confirmed the existence of clustering fluctuations. The TGARCH model showed asymmetry in volatility and leverage effect. According to the AKIC statistic, the best GARCH model was used for extraction of fluctuations, ETGARCH was introduced.

The objective of this paper is to analyze the network topology of the Iranian overnight money market through methods of statistical mechanics applied to complex networks in order to assessing systemic risk. We investigate differences in the activities of 33 Iranian banks dividing into different four types between 2010-2015 by analyzing 66 montly adjacency matrixs. Using degree distribution analysis of the networks, we find that that Iranian interbank market network is scale-free network and cumulative degree, in-degree and out-degree follows the power-law distribution. In terms of the criterion of assortativity, the interbank market network of Iran is assortative and core-periphery with one or more banks as the money center. The results show that the Iranian interbank network is vulnerable to shocks and has high level of systemic risk. Also, in the event of failure, the most vulnerable group is to privatized and specialist governmental banks, and the private banks, due to the high volume of exchanges and net negative flows, can put a considerable systemic risk to the interbank market network.

In this study, we examine the effect of customer leverage ratios on credit risk of banks in Iran using a mixed (fixed and random effects) model. To estimate credit risk of legal customers in Iran banking system, we use mixed effect logistic regression. Total observations would be 5925 records of legal companies which have been received loan from Iranian banks. Considering the results of the estimated model in order to estimate the credit risk of the legal customers of the banking system of the country, it can be seen that among the 40 qualitative and quantitative variables studied, only 10 variables influenced the credit risk of legal customers, among which The effect of customer leverage ratios on credit risk has been positive so that by increasing one unit in the ratio of current debt ratio, credit risk is increased by 0.05 percent. Also, with a one-unit increase in the Long-term debt ratio, credit risk increases by 0.03 percent.

Nowadays in the world of business, one of the issues that companies are facing is making decision about capital structure. After the Industrial Revolution, separation of owners and management in the companies was raised. This issue reflects the importance of managerial power as the source of important decisions in choosing the appropriate capital structure. This paper investigates the nonlinear power of CEO and capital structure of 100 companies accepted in Tehran Stock Exchange during the period of 2011-2011 based on the agency theory. The power index of the CEO has been constructed through the principle component analysis. The three dimensions of CEO power (Expert Power, Ownership Power and Referent Power) are considered as constructing the variable of executive power. We used econometric approach and panel data models in testing the hypothesis. The result of this paper showed that there is a parabola- shape association between CEO power and leverage; meaning that there is a nonlinearity relationship between these two variables.

One of the most important issues in the field of financial management is how the investors distinguish between favorable investment opportunities and undesirable ones. One of the ways to help investors is to provide financial distress prediction models. According to the various studies have been made to develop these type of models, in this study the combination of artificial neural networks (ANN) and genetic algorithm (GA) techniques based on Zimensky prediction ratios is used for modeling financial distress. The research statistical population includes public companies in Tehran stock exchange which admitted between October 2013 to October 2015 and among them 66 distressed and 150 going concern companies were selected as the research sample using screening method. The results indicate that the power of both artificial neural network and genetic algorithm models in financial distress prediction are equal (95 percent), however, the prediction error of neural network is relatively low compared to genetic algorithm.

This Study examines the impact of structural changes in the banking industry on firms investment listed on the Tehran Stock Exchange. For this purpose, data from 258 firms during the period from 2005 to 2014 and the dynamic generalized method of moments were utilized to put forward an investment model with financial constraints. The results of the study showed that these firms faced a financial constraints on investment and Concentration in the banking industry has affected the investment of the firms by reducing the financial constraints. The results also revealed that small firms have experienced greater financial constraints in comparison with larger firms and Larger firms have gained more benefits from concentration in the banking industry.

Sentiment and cognitive errors affect in decisions of investors when buying and selling stock.Cognitive Errors are kind of cognitive vulnerability in information processing.Factors such as culture cause bias in the decision-making process.The aim of this study is survey investors' behavioral biases including Over Confidence, Regret Aversion and Conservatism with an emphasis on culture factor.Questionnaires were collecting data from random investors of Tehran, Ahvaz, Tabriz, Isfahan, and Mashhad cities. Data were analyzed by SPSS software. Validity and Cronbach's Alpha also showed the credibility of the questionnaire. Our study showed, there is a significant correlation between culture and Over Confidence bias and relationship does not exit between Regret Aversion bias, Conservatism and culture.

The purpose of this research is to investigate the relationship between managers' overconfidence, uncertainty about inflation and overinvestment. In order to achieve this goal, 136 companies from the research community were selected as the sample using a screening method and examined during the period of 1390-1394. In order to measure the managers' excessive trust in the excessive managerial trust index, for uncertainty about inflation the future changes in the general level of prices and for the overinvestment than the difference (as the remainder of the regression) between the real level of investment and the estimated level of investment are used. The hypotheses of the research were based on multiple regressions using the compiled data. The results indicate that there is significant relationship between managers' overconfidence, uncertainty about inflation and over investment

Due to the advancement of technology, financial services and banking are changing as in other industries, and the impact of new technologies in a way that, while increasing the profitability of banks and financial and credit institutions, increases the speed of service delivery and customer satisfaction. The banking industry has progressed in the country, but significant changes have not yet occurred in the business platform. Therefore, the regulators and senior executives of the banking system need to have a different attitude towards the new financial technologies, as a platform for the development of the platform. Consider the new banking business. New Financing Techniques, Fin Mon and Digital Currencies. In this paper, the paper attempts to present a general framework of these technologies, review commonly used supervisory practices in other countries, and make suggestions for monitors and digital currencies. Fincuts and digital currencies can be the starting point for the new era of financial-based technology that, with the support of the country's banks and the establishment of laws and regulations and its regulatory framework by the Central Bank, has the potential and capacity to change the banking ecosystem for the benefit of customers

Adoption of suitable investment decisions depends on the long-term investment policy selected. Asset allocation has the most important role on investment return achieved during investment horizen. Considering the effect of investment policy, long-term optimal investment decisions in personal account plan has been investigated in this research. Providing suitable retirement income is the goal of such plan. Two functions including terminal wealth objective function and retirement income objective function are applied to investigate these decisions. According to the complexity of modeling in the aforementioned functions, the Metaheuristic Genetic algorithm has been used. The results are indicative of the importance of objective formulation selection. The retirement income objective function has the nature of more wealth accumulation and more control over economic and market turbulences through higher cooperation in investment and as a result it has been recommended as the optimal function.

Index tracking -one of the most popular methods of passive portfolio management- tries to construct a portfolio with same return as a financial market index. This research investigates the application of a binary programming model in time series clustering for index tracking. Various similarity measurements –Pearson, Kendall, Spearman, Erdem and Dynamic Time Wrapping based distance- have been applied in this research. Out of Sample test on Market Ratio and Tracking error of portfolios based on 50 more active companies index of Tehran Stock Exchange in second, third and fourth season of 1396 and first season of 1397 shows that all portfolios successfully replicate the performance of index and the tracking error of Pearson correlation based portfolio in lower than Others. Paired comparison test on Tracking Error of portfolios shows that tracking Error of Pearson Correlation based portfolio is significantly (99% confidence level) lower than other portfolios.

In this research, 126 companies as a sample of listed companies in Tehran Stock Exchange during the period of 2009-2010 were surveyed to investigate the effect of managers’ over confidence bias(as one of the behavioral biases) on two variables including the voluntary disclosure of information and social responsibility. The results of using the random effects model for both models showed that the sign of all the coefficients of the model variables were in agreement with the expected theoretical basis and all the estimated coefficients were statistically significant. R-squared of the voluntary disclosure model was 99% and in the social responsibility model 93%, which shows the good explanatory power of the patterns. Thus, it can be stated that there is a meaningful relationship between the more over confidence of managers and the amount of disclosure of information voluntarily and social responsibility.

In this study, the effect of exchange rate fluctuations on abnormal returns of companies listed on the Stock Exchange were studied. In this study, Auto Regressive Distributed Lag model due to its ability to explain this connection was used for short-term and long-term. To evaluate the effect of exchange rate fluctuations , the banks' legal deposit at the central bank, GDP, inflation, current account and capital account on the stock market according to the designated filters, exporting companies that gained the research conditions, were determined. In this study, the company's export price index was calculated at the end of each quarter and abnormal returns were calculated for the group of companies. After calculating abnormal returns of firms, independent and control variables in the ARDL model imported and the effects of the explanatory variables investigation revealed abnormal returns. The results show that the exchange rate fluctuations variable has a positive and significant impact on exporting companies are abnormal returns.

In this research, a new method based on quantitative variables, instead of price and return variables, has been presented to evaluate and prioritize capital asset pricing models. The present study, using capital inflows (outflows) of mutual funds (quantitative variable), has determined the model of capital asset pricing models (CAPM, F-F, F-F-C, CCAPM) that is mostly used by investors to decide on a allocation of capital. This study uses the data of mutual funds in the capital market of Iran during the period 1392 to 1396, and with the implementation of ordinary least squares regression (OLS) this method has been presented.

Rate of stock return is the minimum rate that an investor should earn to get a sufficient return. There are various criterion to assess companies and investors expected return that using by investors and creditors. The purpose of this study is to comparison explanatory power of assessing stock rate of return models in Iran during 1391 to 1395 at seasonal basis. At this study Eviews software was used for statistics and data was combinatorial. Results shows that using dual conditional beta increase Carhart model explanatory power and therefore it is a better model for decision makers. Also at the basic format, HXZ model has better explanatory power than Carhart model and it is more useful for investment decision making.

Abstract SME's are one of the most prominent symbols of entrepreneurship in countries. Given the constructive role of this sector in the development of the economy of any country, the focus is on the success and failure of small and medium-sized businesses for governments. Therefore, the purpose of the present study is to examine the role of government financial support to small and medium-sized businesses. SME's companies face many difficulties in financing because of their nature and characteristics compared to large companies. This study reviews the role of government support for SME's disrupted by financial crises, and finally offers suggestions for government fiscal policies in support of this section is presented.

This research investigates the effect of Individual Differences Based on Cognition (Metacognition and Cognitive Failures) on investors judgment and decision making, with the moderating role of Information Overload. The present research was carried out using a test method based on a staged method of Medium and high volume (Overload) accounting information in the Google Forms software and 98 acceptable quiz of the investors were randomly selected and analyzed in 2017. In order to test the hypothesis, structural equation model was used in SMART-PLS software, and In order to test for the moderating role of Information Overload, was used the Effect Size Index Cohen (1988). The results in Medium volume accounting information showed: Metacognition have a significant effect on investors judgment, but cognitive failures don't have a significant effect on investors judgment. Metacognition and cognitive failures by mediating judgment have a significant effect on investors' decision making. With the moderating role of the Information Overload, Metacognition and cognitive failures, there is a significant effect on investors judgment. With the moderating role of Information Overload, Metacognition and cognitive failures through mediation of judgment, there is a significant effect on investors' decision making. Also, the results showed that the moderating role of the information overload is negative, and the effect size is weak.

Behavioral finance theory, which is generally interpreted as the application of psychology in financial science, has challenged the fundamental principle of neoclassical economics and tries to identify the human psychological phenomena in the whole market and at the personal level. The aim of the current research is to extract behavioral finance model of customers in development banks of Iran using multi-group modeling technique in Bank of Industry and Mine. To this purpose, the current research was conducted in two stages. In the first stage, or qualitative part, a total of 20 persons of experts were selected to identify research variables. In the second stage, or qualitative part, the statistical data in two periods of time: 2012-2014 and 2015-2017 were collected and assessed using multi-group modeling technique. The obtained results showed that bank factors and customer factors in different periods may not have significant effect on financial behaviors of customers, but intervening variable (environmental factors), highly affect the financial behavior of customers, indicating that the financial behavior of customers in Iran is more under the influence of macroeconomics and its policies. Based on the results of this study, customers pay more attention to the key factors such as economic growth rate, per capita income and interest rate in order to interact more with the development bank which is receiving and paying the facilities and credits. Thus, this banks should look for some methods to increase the attraction of resources and decrease the credit risk under the conditions of economic fluctuations.

The increasing competition of firms has limited the profit gains and increased the likelihood of a corporate financial crisis. One of the main concerns of investors is the recognition of profitable companies from financially corrupt companies through their financial characteristics. On the other hand, accounting conservatism has a long history in accounting and financial management. For a long time conservatism has penetrated accounting practices and this influence has been important. Therefore, it is necessary and necessary to study the relationship between accounting conservatism and corporate financial crisis. To test the hypotheses of the research, two different statistical methods such as logistic regression and mean equality test have been used. Sample size includes 48 companies with financial crisis and 57 profitable companies in Tehran Stock Exchange. The results show that accounting conservatism index has a meaningful and direct relationship with financial crisis of companies. There is also an inverse relationship between the corporate financial crisis with the size of the company and the profitability index as well as the direct relationship with the leverage ratio. The results show that sales growth has no effect on the financial crisis of companies and has the greatest impact on the probability of a financial crisis in companies, by the index of profitability or inefficiency of management in performance improvement.

Studying brand promotion factors helps financial organizations and banks to improve their marketing strategies with a proper understanding of brand issues. Although there is no dispute about the importance of this issue, but the existing research in this field is not satisfactory and more studies are needed, this issue indicates the importance of studying brand promotion factors. The main issue of this research is to present the brand promotion model of Parsian Bank. Since there is no comprehensive model in the field of brand promotion according to the local conditions of our country, the data-based theory method has been used to theorize and identify the dimensions of the model. In the paradigm model of data-based theory, the main phenomenon of this research is the same process of brand promotion, and the current contextual and intervening conditions of this main phenomenon will also be presented. The results are also presented. To build a paradigm model through in-depth interviews related to data-based theory, the statistical population of this study was selected from all prominent academic experts with a scientific background related to brand management and marketing, managers and experts of banks.

This paper examines dividend smoothing based on dependent structure of investment in listed companies on Tehran Stock Exchange (TSE). Dividend smoothing calculated using partial adjustment model of Lintner. This research is an applied research method To do so, we used a sample of 107 firms, from 1386 to 1396, to test five research hypotheses. To test hypotheses were used statistical analysis with panel data method Using software tools, Eviews and linear regression model. In this research, descriptive statistics including tables and charts, central tendencies, dispersion, distributions for describing the sample, and combined regression method were used to analyze the data related to the research aspects. The Chow test was used to determine if the combined data is more efficient to estimate the desired function, and Fisher's statistic was used to examine the significance of the regression model. The findings represent that dividend smoothing decisions in firms is influenced by factors such as dependent structure, concentration of ownership, compensation of management , debt ratio and size.