فصلنامه دانش مالی تحلیل اوراق بهادار
سال چهاردهم شماره 49 (بهار 1400)

The purpose of this study is to investigate the relationship between conservatism and stock price crash risk with emphasis on debt maturity in the life cycle of companies listed in Tehran Stock Exchange. For this purpose, the financial statements of 106 companies were collected during the period 2011-2017. Multivariate regression with combined data was used to test the hypotheses. The Givoly & Hayn criteria were used for conservatism and the negative skewness criterion was used to stock price crash risk. The findings of the first hypothesis test suggest that there is a relationship between accounting conservatism and the stock price crash risk. In other words, conservative practices will reduce the stock price crash risk. The findings of the second hypothesis test also suggest that debt maturity has a moderating role on the relationship between accounting conservatism and stock price crash risk. In the life cycle stages, the above hypotheses were confirmed in the maturity and growth stages. In other words, conservatism reduces the likelihood of bad news coming into the market, thereby reducing the stock price crash risk. Debt maturity also increases the ability of conservatism to reduce the stock price crash risk.

The main purpose of this study is to investigate moderating effect of investor's attention and investor's participation on the relationship between initial returns and divergence of investor's opinion in companies with initial public offering. The total of 124 IPO companies during 2006 to 2018 at Tehran Stock Exchange was analyzed. This is an applied research in terms of purpose and descriptive-post-event research regarding data collecting method. The research hypotheses are examined using Eviews8 software. The findings indicate investors' attention has a negative and significant effect on the relationship between initial returns and divergence of IPO investor’s opinions. Moreover, the micro investor's participation has a positive and significant effect on the relationship between initial returns and the divergence of IPO investor's opinions. The finding is consistent with the view that the level of individual investors’ participation has an implication on behavioral bias, which affects divergence of investor's opinion in the after-market.

By the fact that most of the public and private sector financing comes from the country's banking sector, It is important to maintain stability and prevent a crisis in the banking system. The purpose of this study is to identify the banking crisis using the Banking Stress Index in the Iranian economy for the period of 1398-1388. The Banking Stress Index is the best benchmark for assessing the banking crisis that reflects uncertainty, instability and financial friction in the banking system. In this study, the design of a bank stress index was performed using a dynamic factor model. This model is estimated by the maximum likelihood method and the stochastic pattern of missing data. Using six variables determining the banking crisis in the country, two banking stress indices with two different natures have been estimated in time series to examine the stability of the banking system. Finally, both indices of stress showed estimation; there is a precise timing of the coincidence between the greatest amounts of bank stress and the shocks to the Iranian economy. It was also concluded that bank stress indicators reflect the effects of external factors, including sanctions on the banking system fundamental weaknesses of the banking system, as well as being able to predict banking crises

Each set of wavelet coefficients contains part of the time series at different time scales. Implementing wavelet transforms by utilizing the best wavelets at the right levels will have a significant impact on financial analysis results. Therefore, the present study seeks to present a proposed model for measuring firm financial sustainability by using an economophysical method using a sample of 86 companies listed in Tehran Stock Exchange during 2015-2019. The results of the research hypothesis show that the prediction of financial sustainability based on the economophysical method can provide better results. According to the findings of the study, it can be stated that the dendrogram observed in the Dabshiz wavelet is more accurate in decoupling and consequently clustering.

The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries return index, dollar rate, Bahar Azadi coin price (representative of gold market), Iranian crude oil price and housing price from mid-December 2008 to March 2019 were prepared with daily frequency and using conditional heterogeneity variance method and state space approach and Kalman filter, conditional standard deviation of returns is considered as a measure of fluctuations. Then, using the ARDL method, how the fluctuations in the price of physical assets are transmitted to the index of returns of selected industries is described. The results show that the chemical industry from the fluctuations of the foreign exchange market, housing and gold, the pharmaceutical industry from the fluctuations of the oil, foreign exchange and housing markets, the construction materials industry from the fluctuations of the foreign exchange market, the food industry from the fluctuations of the oil market and the basic metals industry from the market fluctuations gold has a contagious linear system that provides evidence of information inefficiency in the Tehran Stock Exchange industry.