فصلنامه بورس اوراق بهادار
پیاپی 51 (پاییز 1399)

Due to markets growth, financial instruments, complexity of financial markets and advancements in category of investments, investors and workers at financial market are in need of tools, methods and models which help them in selecting the most appropriate portfolio. Due to this need, various theories, models and methods were suggested to price the financial assets and calculate the rate of stock returns and they are developing everyday. One of these models is the three factor model of Fama and French which has been under the focus of researchers during the last two decades. Five factor model of Fama and French has the factors of three model factor of Fama and French and it also includes profitability factor and investing factor. Recently (2014), the two researcher developed their previous model and suggested a new model. The aim of this study is to evaluate and explain the five factor model of Fama and French stocks returns. In order to achieve the goal of this study, 5 hypotheses have been considered. A systematic elimination method has been used to sample and the total of 182 companies have been selected in Tehran stock exchange between 1387 to 1393. To examine the hypotheses, regression panel has been used. The results of the studies shows that market factors, firm size and profitability have positive and meaningful effect on stock returns, but the factor of value (ratio of B/M) has a significant negative impact on returns.

In efficient markets, the release of announcements and news is effective in stock prices and the price is valuable information. Hayek has defined price as the point where information has been gathered for decision or access to knowledge associated with the decision-making problem through the price. Based on this view, the hypothesis of efficient markets has been raised that it, flow of information from inside to outside company affects shareholders' decision making, but based on managerial learning hypothesis there are flow of information from outside to Inside Company, where managers learn about price information and this learning affects decision making and company management activities. In this paper, the effect of the price on the behavior of earnings management was investigated by reviewing 623 data from 89 firms listed in Stock Exchange for the period of 7 years from 2009 to 2015. The results show that the price is effective on the behavior of earning management and Its relation with profit management based on accruals is significant and  negative And with earnings management based on actual activities, significant and positive. Also, each per share, size, percentage of institutional stakeholder's concentration, asset returns and leverage ratio have been effective on the behavior of earning management.

The emergence of financial crises and their long-term consequences on the real sectors of economies has further highlighted the importance of examining financial stability in financial markets. So today, governments are seeking to design tools and indicators to assess the financial market stability situation in financial markets such as the money, capital and currency markets to ensure that there are no signs of a financial crisis. Therefore, the design of appropriate indicators for checking the stability of financial markets is one of the main concerns of financial researchers. Therefore, in this research, it has been attempted to present the appropriate indicators to examine the stability of financial markets in Iran. In this regard, to achieve this goal, six variables from the financial system and four variables from macroeconomics have been collected monthly from 2010 to 2017. Then, to generate financial stability indicators, various econometric techniques such as GARCH model, weighted method with equal variance, weighted average and Vector Vector Autoregression (VAR) were used. Finally, the ability to predict financial sustainability indicators was examined using the ARDL Autoregressive Model. The results of the research showed that financial markets of Iran were unstable in different periods of time.The matching of empirical evidence and the results of the research show that the financial stress index for the stock market and the foreign exchange market reflects well the financial tensions, but in the banking market this index has weak performance and the selected variables do not cover the main components of the market.

Measuring and estimating the risk is a problem that has long been of concern to the researchers. Various approaches have been proposed in this regard. These approaches can be categorized based on statistical techniques used in three categories: parametric, semi-parametric, and nonparametric approaches, so that risk-based measures often measure and estimate risk. Among the various risk measures, the extreme value is emerging gauges. The purpose of this study is to compare the etreme method with the conventional method in 10 banks accepted in Tehran Stock Exchange which has been investigated in the period of seven years from 2011-2017. To do this, Garch and EGarch have been used to estimate the risk. The results of the study showed that the accuracy of risk estimation with extreme value method and GARCH estimation was higher than conventional risk method. While the accuracy of risk estimation with a extreme method and an estimation of the EGarch is less than that of conventional.

The objective of this study is to identify and ranking of factors affecting detecting the financial statement frauds using the judgment technique based on the Analytic Hierarchy Process and data mining techniques techniques. The population of the study comprised of senior auditors, supervisors, senior supervisors, audit manager and partner of the audit institute employed in audit institutes member and also companies listed in the Tehran Stock Exchange. In order to the research goal, 56 questionnaires and 109 Listed for the year 2012-2017 and analyzed. Based on the technique of judgment, the pressure dimension of the first priority, opportunity, second factor and rationalization are ranked as the third effective factor on the detection of fraud. These results are different with other techniques. Empirically, the ANNs and CART approaches work with the training and testing samples in a correct classification rate of 98/65% (ANNs) & 91.5% (CART) and 69/79% (ANNs) & 69.10% (CART), respectively, which is more accurate than the logistic model that only reaches 72.32% and 88.10% of the correct classification in assessing the fraud presence. In addition, type II error of CART drops significantly to 58.18% from 72.7% and 55.6% compared to the ones using ANNs and logistic models. According to the accuracy index, the decision tree model is more efficient than other models; therefore, among the data mining techniques, the weight of each of the input variables of the decision tree is the basis for the final ranking of the research variables

Although economic crimes have not been defined exactly, what have been studied by the legal theorist are their criminal features and criteria for recognition. The multiplicity of subject, the low-visibility crimes, strength and flexibility are the most important feature of economic crimes, and these features result in differences between economic and financial crimes. In addition to have special features, stock crimes have characteristics and features of economic crimes. Stock crimes inevitably lead to economic security disorder, public confidence disturbing and also infringement in the information transparency. These characteristics give rise to the lack of investors' motivations and properties go to unsafe markets, so stock crimes have negative impacts on the macroeconomic. Therefore we can name this kind of crimes as one of the most kind of economic crimes. Acting in differential penal policy in the area of stock crimes is the most important result of treating stock crimes as economic crimes. This article (with library studding) sets out to prove that stock crimes are the kind of economic crimes and we need to acting differential penal policy in the area of stock crimes.

This research investigates the relationship Managerial ability and fraudulent financial reporting regard to the moderating effect of government affiliates corporate and auditor's class, using data from 105 listed companies in the period from 1387 to 1396. In this research, the fraudulent financial reporting variable is a dependent variable that is calculated using the profit management model and also the variable of managerial ability as an independent variable, the dependency variables of the state and the auditor's class as the moderating variables and the variables of stock price fluctuations, firm size, rate of return on assets, ratio of book value to market value, company's age and corporate leverage as variables Control has been used. In addition, to test the hypothesis of the research, panel models and Eviews and Stata software have been used. The results of hypothesis testing indicate that the ability to manage alone has a positive and significant effect on fraudulent financial reporting. Also, the results of the research indicate that the dependencies between the government and the auditor's class do not have a moderating role on the relationship between the ability to manage and fraudulent financial reporting.

The purpose of the this applied research is to investigate the effect of mental accounting on the tax adjustment of self-employed auditors in the presence of financial literacy factors, work conscience, tax incentives and tax evasion. In this study, Olsen et al. (2018) standard questionnaire with the of Cronbach’s alpha reliability (0.93) was completed by 150 self-employed auditors who are active in the Iranian Audit Association. The obtained data were also analyzed using smart PLS software. The results showed that the effect of mental accounting on VAT and income tax payments is 78 and 45 percent, respectively. The effect of financial literacy, work conscience, tax incentives and tax evasion on VAT payments and income taxes can be predicted at 44% and 69%, respectively. The intensity of the relationship between audit and payment of value added tax was 0.289. Also, the intensity of the relationship between mental accounting and income tax payment was 0.192.