فصلنامه بورس اوراق بهادار
پیاپی 54 (تابستان 1400)

The present research is the first research on Fama and French Factor model analysis using wavelet analysis approach in Tehran Stock Exchange. However, in the case of the three-factor model Rostami et al. (1396) in a research entitled "Multi-scale pricing model with wavelet analysis approach and three Fama-French factors and non-liquidity in Tehran Stock Exchange", a three-factor Fama and French model with a three-factor approach Wavelet decomposition. The relationship between stock returns with beta, book value to market value and firm size in the medium term are significant. The relationship between stock returns and size in the short run is significant. The regression analysis of the time scale of the Fama and French model of the five-factor model using the wavelet analysis in MATLAB software shows that in the short run (2-4 months), variables of size, risk and profitability have a positive and significant effect on returns. . In the medium term (4 to 8 quarterly periods), size, risk, value, and long-term (8 to 16 quarterly periods), risk and investment have a positive and significant effect on returns. Wavelet analysis and Famafrnch model analysis at different time scales show that investors in different time horizons should consider different factors in shaping their expectations of a portfolio. The proposed methodology suggests that investors choose investment opportunities with dynamic portfolio management strategies and take multi-dimensional risk and returns.

During the currency crises of the 2010s (Jalali 1390s), one of the government’s effort to reduce the escalating rate of exchange rate was to set a fixed price for the currency. To this end, the government had to make supportive decisions on this rate such as export bans and commanding sale of commodities in the stock exchange. Reviewing the legal and jurisprudential bases of such decisions requires that the government civil liability against the exporting companies shall be considered both in “faults due to approval of regulations against rules” and “civil liability - regardless of fault - due to the principle of equity and legitimate expectations rooted in economic security”. The present research is a library research, which analyzes the above case based on a descriptive-analytical method. It is concluded that firstly Imamieh Jurisprudence has refrained from defining the commanding price in economic tough situations such as shortage of commodities due to the hoarding by the Islamic government in spite of preventing the owners of the same. Secondly, from the legal point of view, preventing exportation of commodities is against Article 23 of the perpetual orders of the State Development Plan ratified in 1395 (2016) as well as Article 18 of the Law on Developing the New Instruments and Financial Institutions in line with Facilitating Implementation of General Policies of Principle 44 of the Constitution. The said principle makes the government bound to exclude the commodities registered in the stock exchange from the pricing system.

One of the main challenges of the current money market is the failure to identify, identify and disclose the credit risks of banks. Rating agencies require different rating patterns for a variety of institutions. In this research, we have tried to provide a model for credit rating of banks accepted in the country's capital market by examining the models used by major rating agencies and reviewing various researches and theoretical literature related to this subject and considering the indigenous conditions. This research is mainly descriptive and comparative in terms of the purpose of the study as it attempts to define the credit ratings pattern of banks. The first step in presenting this model is to identify the dimensions and components and ranking indices that were asked after expert theoretical foundations in the form of questions and their opinions were evaluated using Delphi technique with the aim of reaching consensus .Finally, the final model obtained consists of 5 dimensions as follows: Independent credit rating with 6 components of asset quality, financing and liquidity status, profitability and capital status, competitive status, risk and management status, and 60 indicators, then other qualitative features with The 10 indicators are the institutional support rating with 4 indicators, the government support rating with 4 indicators and the country credit rating with two indicators.

As the capital market becomes more competitive, one of the topics that has attracted the attention of many financial researchers in recent years, is the liquidity of corporate stocks that because of the dynamics it can create in corporate financing, it is of strategic importance. The Purpose of this research is designing a Model of Comprehensive interpretive/structural Mechanism of Effectiveness of Stock Liquidity Tehran Stock Exchange Companies. The one-year study period 2018-2019 in both qualitative analysis and quantitative analysis was conducted with the participation of two members of the panel. In the qualitative analysis section, this research identified through the combination of Delphi and the analysis of three components of the operational mechanism, the structural/governance mechanism, and the investor/mechanism of trading mechanism in the form of the effective statement on stock liquidity. And in the Comprehensive Interpretive / Structural Analysis section, with the participation of four Stock Exchange brokers, members of the panel presented a model based on a spectrum of the most influential statements to the least effective stock liquidity statements. The results show that the Delphi analysis of 25 indicators identified early in the meta-synthesis, 7 Index Remove and 2 indicators have been merged for a total of 16 statements were approved. In the quantitative section, based on a comprehensive interpretive / structural analysis, it was identified that the increase in the number of trading transactions as the component of operational mechanisms was identified as the most influential factor in stock liquidity.

The legislator of our country, under Article 36 of the Securities Market Act of 2005, has put the jurisdiction of the arbitration committee to deal with disputes between capital market actors if they fail to reach agreement in the relevant committees Which, pursuant to Article 37 of the same three-member law, which one member was elected by the President of the Judiciary and two other upon the recommendation of the Organization and approved by the Council, was not based on the consent of the parties, contrary to common law and common law. This is mandatory jurisdiction. Therefore, the parties do not have the right to agree to the contrary and to file a lawsuit with the judicial authorities and, if so, the requested authority will be disqualified. These disputes, which are subject to the mandatory jurisdiction of the arbitral tribunal, merely involve civil litigation (not disciplinary offenses) and Apart from Article 36 of the Market Law, which expresses the core competence of the Arbitration Panel, the provisions of the 43 recent laws and the 15 instruments of law development are also worth noting. In spite of the legislator's silence on the rules governing the formulation and adjudication of a stock exchange arbitration panel, compliance with the general rules of civil procedure is recommended On the basis of which the Board has examined and issued the order That, notwithstanding Note 5 of Article 37 of the Market Code, definitive and enforceable and enforced by the enforcement and enforcement of court rulings.

The purpose of this study was to design an optimal model of venture capital development in Iran using grounded theory. The research method was mixed qualitative and quantitative. For this purpose, firstly, the qualitative approach underlying the paradigmatic model of research including causal conditions, interventionist conditions, contextual conditions, strategies, outcomes, and pivotal categories of venture capital has been extracted. Data were collected through qualitative interviews. The statistical population of the qualitative sector includes venture capital experts who were selected by theoretical sampling method for 20 interviews. At the quantitative stage, each of the extracted categories has been verified using confirmatory factor analysis. The data collection tool in this section was a researcher-made questionnaire that was designed based on qualitative extraction concepts. This questionnaire was distributed among the sample members after determining the validity and reliability. The statistical population of the quantitative section consisted of managers of stock companies. The sample size of this section is based on the recommendations of 210 confirmatory models. The qualitative results showed 67 concepts in the form of 15 sub-categories and six main categories to develop venture capital. The results of the quantitative section also showed that each of the main and sub-categories extracted from the research experts can be generalized to the managers of the stock companies.

Securities and Exchange Organization in November 2018 communicated a directive called “the Corporate Governance Directive for the Listed Companies of the Tehran Stock Exchange and Iran Fara Bourse,” which eventually all of its provisions became effective in September 2019. A critical examination of the provisions of the third chapter of this directive about the board of directors and chief executive officer is the subject of this essay. We criticize requirements like that all companies must separate the office of the chairman of the board of directors and chief executive officer, and believe it should have contained provisions with the purpose of more serious protection of minority shareholders. This paper also questions the efficiency of mandating the one-size-fits-all approach of the directive to all companies, large or small. Furthermore, we have noticed that there is no provision in the directive about the issue of diversity on the board. Our comparative study came to this conclusion that most of the good or bad corporate governance practices have not been proven to have definitive effects, and investors should keep this point in mind that corporate governance practices are just one of the many pieces of information about the firm’s quality.

The main purpose of this study was to investigate the effect of transactions with individuals related to the auditor's inability to detect corporate fraud using the analysis of auditors in companies listed on the Tehran Stock Exchange. In order to collect research literature, library method and taking notes were used. The method of this research was descriptive and based on composite data and regression statistical method was used to examine the relationship between independent and dependent variables. The statistical population of this study was the companies listed on the Tehran Stock Exchange in the period from 2009 to 2018. Using elimination screening sampling method, 97 companies were studied as a statistical sample size.Data were analyzed and processed using Eviews9 software and statistical tests (logistic regression). The findings of this study showed that in companies with high transactions with affiliates, the probability of fines (inability) of the auditor is high. In other words, transactions with related parties increase the likelihood of the auditor's inability (audit failure due to fraud in the company).