فصلنامه دانش سرمایه گذاری
پیاپی 43 (پاییز 1401)

In this study, in order to measure the liquidity risk in interbank payment systems, the time series of daily data balances of an Iranian bank's payment systems from 01/01/94 to 31/5/98 and then We examined stationary time series with Dickey Fuller and Philips Peron tests and compared the expected value and risk value of payment systems data with the historical method and compared with the Pareto method. The results of the Kopik and Christofferson tests showed that Pareto's generalized approach to better manage banks' liquidity risk is better than historical method based on daily data of payment systems. The bank can then provide liquidity management operations to manage the liquidity risk in the payment system

The aim of this study was to evaluate the effect of behavioral biases of investors on their decision in investing at stocks, exchange and fixed income securities. This study was a descriptive-correlation based on gathering information and an applied research based on its porpuse. The statistical population of research consists of all investors in stock market, exchange market and fixed premium sheets and bank deposits investors in an undefined number. Referring to Cochran sampling formula a number of 513 individuals were selected in a random way and validated questionnaires of study distributed among them. Data of research was analyzed by structural equation models. Findings showed that cognitive and emotional biases have direct and significant effect on the investor’s attitude to investment in each of stocks, exchange and fixed premium sheets and bank deposits assets. The results showed that investor’s attitude to investment in risky assets such as stocks and exchange, is more affected by their emotional biases, while investment in non risky assets such as fixed income securities is more affected by investor’s cognitive biases.

In this study, the impact of corporate venturing on the financial performance of companies listed in Tehran Stock Exchange was investigated. In order to measure corporate venturing, two components of investing in new product lines as a proxy internal corporate venturing and partnering with business partners in venture creation as a proxy for external venturing and asset return ratio as a proxy for measuring financial performance were used in this study. The results of hypothesis testing using regression analysis show that both internal and external venturing positively impact financial performance, and hence financial performance can be enhanced through venturing activities.

This study aimed at investigating the effect of new liquidity criteria on microstructure disturbance in high frequency prices in companies listed in Tehran Stock Exchange. The locative domain of this research is the companies listed in the Tehran Stock Exchange and was during 2012-2017. The current research is among applied researches, and if the classification of types of researches be considered based on the nature and method, the method of the present study is essentially descriptive in terms of the nature, and in terms of the method is considered in correlation researches category. In this study, library method was used to collect data. Based on the Cochran sampling method, 126 companies were selected as the statistical sample. In order to describe and summarize the data collected, the descriptive and inferential statistics are used. In order to analyze the data, variance heterogeneity pre-test, F Limer test, Hausman test and Jarque-Bera test and then multivariate regression test were used to confirm and reject the research hypotheses . The results showed that new liquidity criteria, including price gap, effective gap, and undesirable selective component affect the micro structure disturbance in high frequency prices.

It has a significant negative impact on economic growth.One of the warning signs of the financial crisis is the increasing stress that is occurring in the financial markets, leading to increased uncertainty and instability in the economy. Therefore, the main purpose of this study is to calculate financial stress index in Iranian financial markets and identify its effects on economic growth.This paper deals with the relationship between financial stress and recession and economic prosperity in three stages. at first, the effect of financial variables on financial stress has been measured by panel data using random data and random effects.Then by constructing a composite index of financial stress uncertainty using Arch & Garch model we are able to investigate the relationship between economic growth and financial stress uncertainty index. In the second the effect of financial stress on economic growth and recession by multilayer perceptron method shows that it is predicted that the economy will continue to be in recession from the year 1397 to the first quarter of 1399 and with the beginning of the second season of 1399 we will see economic prosperity.Finally, the effect of financial stress along with other variables of production function on economic growth were measured using Markov switching self-regression model. Based on the results, the index has a significant negative effect on economic growth in the long run and short run models.

Despite the high importance of the impact of the freight road transport industry on the development of the country's economy, statistical data indicate a low level of large public and private sector investment in this industry in proportion to the unique capacities and geostrategic position of Iran. Therefore, the study is going to identify the strategic factors affecting macro-investment in the road freight industry in Iran. This research is of exploratory-applied nature, interpretive-structural paradigm and mixed approach (quality-commercial). Data collection sources in the qualitative phase of articles are upstream documents, interviews and in the quantitative phase are questionnaires; method of data analysis in the qualitative data phase of the article is data-based and systematic using Max QD software and in the quantitative phase is structural equations using LISREL software. Elites and experts in the field of Commodity road transport were identified and selected by snowball method. According to the findings of this study, the most important strategies in the Commodity road transport industry are:1. Improve business climate;2. Do market research;3. Smart making;4. Improving Behavioral Patterns;5. Use of modern technology and equipment;6. Infrastructure development.

One of the major concerns of researchers and policy makers in recent years is the nature and magnitude of the correlation between financial markets and the oil market. The focus is on the role that both markets play in developing countries. The relationship between oil prices and the stock market has been studied in many studies. The methods used to study this issue have been used in the GARCH approach. In this study, using the BMSV model of the multivariate econometric Volatility model introduced by Harvey and others (1994), a survey of the spillover of energy market Volatility (OPEC oil yield) in the Iranian stock market was presented. In the results, BMSV for stock returns-oil returns showed a positive Volatility spillover (0.838) in these two markets. The results of this survey are of great importance to investors in the stock market. In particular, it was found that the amount of Volatility spillover is highly correlated with oil yield. Therefore, the energy market news is a key factor in making decisions on investing in the stock market. Because the use of this information minimizes the risk of investing in the stock market.

The capital market plays an important role in the economy of any country and can contribute to economic growth and development by financing the capital needed by manufacturing firms. Given the importance of the capital market, stock prices as the most important component of this market must be closely monitored, as a steady and dramatic decline in stock prices can lead to a crisis in the capital market. One of the key tools of capital market surveillance is an early warning system that can give policymakers pre-crisis warnings to minimize the negative effects of this phenomenon by making timely and accurate decisions. The purpose of this study is to investigate the role of risk preferences in the occurrence of crises in the Tehran Stock Exchange. For this purpose, in this study, firstly, using monthly data from April 2007 to July 2019, investors' risk aversion index was estimated and then this variable, along with other control variables, was used to modeling the capital market crisis. The results showed that the research model is able to predict approximately 78% of crisis situations and 95% of non-crisis situations. Empirical evidence suggests that the key role of investors' preferences for risk in the event of a capital market crisis.

The main objective of this research is to examine the Mentally and Objective stability of profit components, investor pricing over an 11-year period from 2007 to 2017 with 352 views in 32 suspected fraudulent drug companies admitted to Tehran Stock Exchange. In this research, the method of M Banish score model has been used to identify suspected fraudulent companies. In order to analyze the data and test the hypotheses, the simulation model of Mishkin (1983) has been used with combined data approach and multivariate regression model using Eviews version 10 software. The research findings indicate that the sustainability of the cash component of profit is significantly higher than the accruals component of the earnings and investors predict less and better the components of the financial sustainability of the cash component and the earnings accrual respectively. The results also show that the mental sustainability of the cash component and the earnings accrual is higher than their objective being. In other words, investors value the profitability of suspected drug fraud companies incorrectly, and the capital market does not work well with the components of profit information.

Fair distribution of income is one of the concerns of policymakers in developing and developed countries, and despite the economic growth of world countries and the implementation of various policies to combat it, remains one of the most important goals of economic policymakers in the world. One of the important and influential factors in any society for econoears. Capital market liquidity enables long-term investment by raising small and large funds and providing them to business owners, so stock market liquidity can be a good platform for attracting micro and large capital by reducing the risk of liquidity.According to macroeconomic theories, capital accumulation resulting from capital market liquidity is one of the conditions for economic growth, thereby increasing the income of those who are risk averse and more willing to invest in the stock market and those who are risk averse. And it relies solely on wages and salaries from work The results show that liquidity of the stock market as a financial market increases income inequality and in developed countries and decreases income inequality and increases in developing countries.

Corporate Risk Management promotes traditional risk management by adopting a holistic approach to all corporate risks in relation to a set and partial perspective. , and thus ensures that strategic and operational profitability opportunities (in relation to the risk accepted) are used. Corporate risk management has a strong impact on fostering a strong and consistent risk culture in the organization, with clear responsibility for corporate risks, including bankruptcy risk. Risk management operations have shifted from a control role to a change agent and coordinator of risk management activities so that risks are explicitly accepted by those responsible for risk decision-making.Therefore, in this study, we evaluated the impact of Corporate Risk Management (ERM) on bankruptcy risk using weed and particle mass optimization algorithms. For this research, a sample of 107 companies was selected from the companies listed in Tehran Stock Exchange using sampling method. This research was conducted in the Tehran Stock Exchange for the period 2013-2014. The statistical method used in this research is multivariate regression method using panel data and optimized algorithm. The results showed that: Corporate Risk Management Implementation, Strategic Risk Management Implementation, Operational Risk Management Implementation, Reporting Risk Management Implementation, and Non-Compliance Risk Management Implementation affect bankruptcy risk. Weed optimization algorithm and particle mass optimization algorithm can predict bankruptcy risk using Corporate Risk Management (ERM) components. And it is more capable of weed optimization algorithm than particle mass optimization algorithm for predicting companies' bankruptcy risk by using corporate risk management (ERM) variables.

Investment has an undeniable role in creating job opportunities and GDP growth. In this study, the effective components on the distribution of capital in the agricultural sector in Khuzestan province have been identified and prioritized using the fuzzy conceptual model (FAHP) and include reviewing previous research and documentation, interviewing agricultural experts and using MAXQDA software. 2018 is for interview analysis.The reliability of the researcher-made questionnaire was obtained with Cronbach's alpha coefficient of 0.855. The statistical population includes 62 people. The results of using MATLAB software indicate that 4 main criteria (technical-economic, political, structural and cultural-social) and 8 sub-criteria were identified and the highest weight belongs to the technical-economic criterion (0.555) and the lowest weight belongs to It is a socio-cultural criterion (in the amount of 0.031).

The survey on the Relationship between Investor Characteristics and their Loss Aversion Coefficient in Tehran Stock ExchangeAbstractThe present study, after calculating the Loss aversion coefficient of active investors in Tehran Stock Exchange, investigated the relationship between variables of gender, analysis tools, age, marriage, experience and education with Loss Aversion Coefficient by pooling regression method. The sample included 403 investors who responded twice to research questions within 6 months.The results showed that there is a significant relationship between gender, type of analysis and education with investors Loss Aversion Coefficient, these variables are inversely correlated with the Loss Aversion Coefficient in Tehran Stock Exchange, in other words, females are statistically more loss averse than males, also loss aversion decrease with increasing education more over fundamental analysts are more loss averse than technical analysts.

The present study aims to provide a model of managers' investment ethics in the financial crisis with a qualitative approach. This research is applied in terms of purpose and has been done with an exploratory approach and a qualitative research design. Participants consisted of 9 academic experts and financial experts who were selected using a purposive method. Data were collected using semi-structured interviews that continued until theoretical saturation. The interviews were analyzed using the theme analysis method and using Maxiquida software. The results showed that 5 main categories, 31 sub-categories and 74 open codes were obtained from the interview. According to the findings, the model of investment ethics of managers in the financial crisis includes five main categories of ethical personality, ethical market, ethical norms, ethical motivations and ethical requirements in investing. It was also found that the category of the existence of rules (subcategory of ethical requirements) had the most repetition in interviews. Also, the categories of society values and social norms (sub-categories of moral norms) were the most frequent in the interviews.

The aim of this study is to investigate the effect of Economic Uncertainty on Earnings Response Coefficient of listed Companies in Tehran Stock Exchange. These Four dimensions of Economic Uncertainty in our tests: GDP growth, Inflation rate, Exchange rate and Interest rate. Using ARCH and GARCH for this purpose one hypothesis developed and data on the 142 companies in Tehran Stock Exchange for the period of 1387 to 1396 were analyzed. The regression model using two-factor Fama and McBeth reviews has been tested.The results showed that the concentration of Economic Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) has significant negative impact on Earnings Response Coefficient.

Tensions between the rights of individuals and organizations have been fundamental problems in societies.Financial markets and powerful corporations are growing dramatically around the world.In the face of this growth, there must be targeted legal and regulatory tools for corporate accountability.Corporate governance is designed in the same framework.Corporate governance system is a reaction to the issue of representation and to the separation of ownership from management or, more commonly, the separation of ownership from control of companies, and is itself the result of two main causes;First, each participant has different goals and preferences.Second, each does not have complete information about the other's actions, knowledge, and preferences.Obviously, this separation, assuming effective executive mechanisms of corporate governance, creates the potential for managers to make decisions that are in line with their own interests and the opposite of the interests of shareholders.Gradually, as the authority to exercise direct sovereignty over the owners diminishes, control is transferred to other groups, such as boards and directors.It can be said that any change in the implementation of the governance structure has a great impact on the change of leadership and their performance.The relationship between corporate governance and corporate performance is an important issue in financial matters. Corporate governance aims to strengthen the atmosphere of transparency, honesty and accountability in the management of the organization. Evaluating the performance of corporate governance and examining its mechanisms is very important and has a great impact on economic decisions of companies.

The main purpose of this study is to investigate the relationship between idiosyncratic risk and cash holding of companies listed on the Tehran Stock Exchange. A total of 143 companies (1144 firm - year) have been studied during eight-year period of 2012-2019. The company's idiosyncratic risk is an important source of agency costs. Idiosyncratic risk is expected to indicate low management risk. Therefore, agency costs affect the discretionary idiosyncratic risk of the company's cash holding and allocating cash. Companies with discretionary idiosyncratic risk have more cash, and companies with high discretionary idiosyncratic risk have less cash reserves. The findings of the present study show that in general, there is a positive and significant relationship between special risk and cash holding.

The main purpose of this study is to provide a model to explain the factors affecting the amount of bank deposits with respect to internal and external factors. The research is of applied type and is performed qualitatively with grounded theory technique. Data were collected through semi-structured interviews. Theoretical sampling continued until the categories were saturated. And ten depositors were interviewed. Then, based on the systematic approach of Strauss and Corbin theories in three main steps of open coding, axial coding and selective coding, the bank deposit forecasting model with emphasis on behavioral accounting and money market was presented. Finally, the validity of the developed theory was examined. The results show that the central category of the model is the behavior of depositors. Preservation of the value of money, security of capital, banking services, ease of access, social effects are called causal conditions. The role of parallel markets and customer characteristics are considered as conditions involved. The conditions of the Islamic society, the role of the government and the economic structure of the country are the background conditions.

This Study Introduces psychometric and psychological tools and their application in assessing individual decisions. In the following, the ability of the BART, Balloon Analogue Risk Task, in predicting the financial risk-taking level is measured. To support this claim, active investors in Tehran Stock Exchange has taken the BART test and their risk-taking level is measured by the test variables. Accordingly, the activity of these tested examiners will be observed during the next year in the Tehran Stock Exchange. Assuming the Beta stability, the participants' portfolio Beta will be the indicators of their financial risk-taking and their investment decisions.The outcome of the Study shows a meaningful relationship between the gained scores of the BART test as a general risk-taking indicator and the examiners' portfolio Beta as a risk-taking indicator. These results show that we can rely on this test (BART) as a tool to predict the investors' behavior.

today , herding behavior , which is one of the most important behavioral biases among investors , managers and investors , therefore plays an important role in risk acceptance , stock return and investment portfoliothe purpose of this study is to provide a model for assessment of overconfidence , risk priority , aggregate behavior and inefficient investors based on game theory . to achieve this goal , data were gathered based on statistical data and questionnaire and the number of questionnaires were collected and the hypotheses were analyzed by pls and lingo . the results show that overconfidence , risk priority and aggregate behavior have a significant relationship with inefficient investment . overconfidence affects the relationship between aggregate behavior and inefficient investment . overconfidence affects the relationship between risk priority and inefficient investment . the findings of this research may provide the benefits of all parties competing in economic evaluation of investment alternatives and bring them to balance in the interests that all parties feel satisfied and satisfied .

The main purpose of this study is to investigate the effect of psychological variables on investors’ decision-making in companies listed on the stock exchange. For this purpose, using Cochran formula and selected 193 shareholders of companies listed in Tehran Stock Exchange during 1398. The purpose of the study is causality. The data collection tool was a questionnaire that a researcher-made questionnaire was used in this study. Its 36 questions assess 12 psychological variables (behavioral biases) and 10 questions analyze investor behavior (CANSLIM -Financial Analysis). The validity and reliability of the questionnaires were evaluated. Confirmatory factor analysis, construct validity and Cronbach's alpha coefficients confirmed the reliability of the variables. The results of structural equations showed that the trust, adaptability, representation, self-attribution, imaginability, latency and ambiguity, and eventivism had a significant effect on the investors using CANSLIM Analysis. Trust, reliance, adjustment, familiarity, imagination, ambiguity and eventivism have a significant impact on investors using financial analysis. Structural equation results also showed that 12 behavioral bias accounts for 75% of the variance in investor behavior of consumer analysis and 68% of the variance of investor behavior on financial analysis. As a result, it can be said that behavioral biases affect investor behavior.

The purpose of this study is to investigate the possibility of combining the ranking period and the maintenance period of classical momentum and contrarian strategies and evaluate the performance of portfolios resulting from hybrid strategies in comparison with classical strategies. For this purpose, using the information of 120 companies in the period 2011 to 2020, the amount of excess return, the explanatory power of excess return by the risk factors of the seven-factor model Fama and French and the explanatory power of future return by excess return of hybid strategy and classical strategy are evaluated and compared.The results show that contratum (contractionary hybrid) strategy, which rank like contrarian strategies in the long run but are maintained in the medium term like momentum strategies, perform better than momentum and contrarin strategies. In addition, even after controlling risk factors (Fama and French seven-factor model), contratum, contrarian and momentum investment strategies in the Iranian capital market are profitable. Finally, the results of the present study support the explanatory power and more predictive power of the excess return of the contratum strategy than the classical strategies for future returns. Therefore, the contribution of the present study is to provide evidence of excess return and performance of the new hybrid strategy is much higher than the classic investment strategies proven in the Iran capital market.

Business can be a viewed as an architecture for product, service and flow of information that includes a description of different business elements, their role, the potential advantages of each of these agents and their sources of income. Election is an important socio-political phenomenon that is discussed from a business and a marketing perspective. The purpose of the present study is to design a political marketing model with emphasis on the 8th and 9th parliamentary elections. The research is descriptive; and in terms of purpose, it is applied. The statistical population in the qualitative section, includes policy experts, representatives of the Parliament, and in the quantitative section, includes students in political and social sciences and business management. The data collection tool in the qualitative part is interview, and in the quantitative part is questionnaire. SEM-PLS method is used for data analysis by Smart PLS3. The findings indicate that two factors influence political marketing strategies: the requirements for effective political orientation in the election competition and identifying the need of voting market. The outcomes of implementing it include designing the right product in accordance with core demands of the voting market, selling ideas/candidates and achieving votes and it is affected by considering the conditions and elements involved in the effective presence of political orientations in elections and assessment of target market needs. These lead to achieving proper vote rating and main goals in the voting market, through continuous monitoring of the environment and having influential marketing and publicity.

This study evaluates investment strategies, light or heavy assets and debt multiplication based on consistent decisions in industry group companies. For this research, a sample of 104 companies listed on the Tehran Stock Exchange was selected.In this study, investment strategies, light or heavy assets and debt multiplication were measured based on consistent decisions in companies in the industry group for the period 1394 to 1399, which is a total of 624 observations available for research. In this study, variables were first identified using interviews with experts. The statistical method used in this research is multivariate regression method using data panel method. The results of the research hypotheses show that the company's investment strategies, heavy asset strategy, light asset strategy, debt multiplication strategy of each company are significantly influenced by similar strategies of companies in their industry.