مجله راهبرد مدیریت مالی
سال دهم شماره 2 (پیاپی 37، تابستان 1401)

The estimation of an accurate measure of the Value-at-Risk is still a topic of interest in financial research and among risk management practitioners Despite the simple concept of VaR, measuring it is a very challenging statistical problem; because of normal distribution assumption, time-varying conditional quantiles, and the main limit of this approach consists into considering linearly conditioned quantiles. CAViaR model and its extent to the multivariate CAViaR approach (MCAViaR) have solved some of these shortcomings. To this end, Copula functions were introduced. This approach provides a flexible non-linear multivariate representation among quantiles. An important parameter of Copula functions is the degree of dependency between tail distributions, the incorrect estimation of which also leads to inaccurate interpretation. One way to estimate the dependency parameter is to use the optimization process; such as meta-heuristic algorithms due to their very high accuracy. Among the meta-heuristic algorithms, the Particle Swarm Optimization (PSO) algorithm is widely used in optimization research due to its high convergence speed. In this study, the MCAViaR model and the Clayton and student’s-t-type hybrid Copula model are used to estimate VaR dynamics in 10 large and active companies of the Tehran Stock Exchange from April 2009 to March 2020. The results showed that the tail dependency coefficients of the MCAViaR model for the studied stocks are zero, and therefore this model can be divided into two independent CAViaR equations. The results of estimating time-varying quantiles, which indicate the dynamics of value at risk, indicate that the time series of quantiles derived from the hybrid Copula model shows the dynamics well due to the higher time-frequency than the MCAViaR model. The results of the Kupiec back-test also confirm the better performance of the hybrid Copula model than the MCAViaR model.

The aim of this research is investigating the impact of Supply Chain Finance (SCF) and financial development on profitability of properties firms registered in Tehran Stock Exchange and Iran Farabourse (2009-2016). The Supply Chain Finance (SCF) leads to optimization in company’s working capital, and the financial development is a factor which improves the distribution of resources. These independent variables investigate the effect of micro and macro factors.This research is empirical and uses post phenomenon approach. The way in which the impact of the independent variables on the profitability of companies has been examined is regression analysis by multi-varied linear regression.The results of this research show that cash conversion cycle, as representative of SFC, affects on profitability of real estate firms. This effect is indirect. Also, the proportion of awarded credits to private sector to Gross Domestic Production (GDP), as representative of financial development, has indirect effect on the dependent variable of this research.In this study, after reviewing the theoretical fundations previous studies will be examined. Then the relevant methodology will be presented. Finally, after analyzing the results a brief discussion on the findings of the research will be explained.

Stock liquidity is one of the main factors that affect firm value, which can be due to the behavior of major shareholders and the composition of the ownership structure of the company. this is the main motivation for this study. The research hypotheses were tested based on a statistical sample consisting of 125 companies during a 7-year period from 2014 to 2020 using multiple regression models. The results of hypothesis testing showed that there is a significant nonlinear (U-shaped) relationship between stock liquidity and corporate value. In other words, at the basic levels of liquidity (before the threshold point of 2.194), there is a negative and significant relationship between liquidity and the value of companies. However, at levels above the baseline level of liquidity, there is a positive and significant relationship between liquidity and the value of companies. Also, stocks with higher institutional owners, higher real owners, and shares of the largest shareholder should have a relatively lower level of liquidity (before the threshold point of 3.176 for institutional owners, 3.662 for real owners, and 2.988 for the largest shareholder) to trade to increase the value of the company.

In this research, the effects of product market competition on labor investment efficiency with emphasis the role of financing constraints are examined. The methodology of this study is a quantitative and ex-post. The sample of this research is consist of 122 companies on Tehran Stock Exchange (TSE) from 2012 to 2020. The results of research regression analysis showed that there is a positive and significant relationship between product market competition and firms’ labor investment efficiency. The relationship between financial constraints and firms’ labor investment efficiency is also negative and significant. Also, the evidence showed that the relationship between product market competition and over- or under-investment in labor is negative and significant. In addition, the intensity of the positive (negative) relationship between product market competition and labor investment efficiency (over- or under-investment in labor) in companies with financial constraints is less. These findings have important political implications for businesses and employment policymakers.

Investors' emotions can lead to emotional and sometimes irrational decisions and as a result, it can cause anomalies such as sharp price fluctuations and even a crisis in the stock markets. Accordingly, this study intends to investigate the influence of Investors' Sentiment and other economic variables on the occurrence of crisis in the Tehran Stock Exchange. This research has been conducted for a period of 15 years, from April 2006 to March 2017 on 179 companies listed on the Tehran Stock Exchange. The stock market crisis as a dependent variable using Patel and Sarker model (1998) and investor sentiment as an independent variable was measured using the Bandopadhyaya and Jonse (2006) Model. we tests hypotheses by maximum likelihood or logistic regression. We found that nominal interest rates, inflation rates, GDP, P/E, ROA, can predict the occurrence of a crisis in tehran stock market. Our findings also show that investors' sentiment alone and by considering economic variables as control variables can predict the occurrence of a crisis in stock market. In general, our findings show the role of emotions in investors' decisions is significant in Tehran Stock Exchange and is one of the main causes in this market.

The capital market in a country is a major source of financing for companies and governments and is recognized as a good place for investors in all countries of the world. One of the things that is attractive to stock market investors is the awareness of the factors affecting stock liquidity. The purpose of this study was to investigate the effect of firm size on stock liquidity with respect to firm life cycle in listed companies in Tehran Stock Exchange. The statistical population of this study was composed of listed companies of securities exchange. The sampling method was systematic elimination and statistical sampling of 115 companies. The research period is 11 years from 2008 to 2018. The hypotheses were tested using multiple regression models and mixed trials. The results showed that as the size of the stock liquidity company increased, it increased. The size of the company also increases liquidity in three periods of growth, maturity and decline.

This research is based on an eight-factor model consisting of the Fama and French five-factor model plus the variables of market stress, market fragility, and market liquidity risk in order to investigate the explanatory power of this model in Tehran securities market during the years 2009 to 2018 for 117 companies on a monthly basis. The results of the research indicated that the explanatory capability of the eight factor model is better than the Fama and Farnach five-factor model in the Iranian capital market.The results show that fragility has a significant negative relationship with stock returns. The results also show that stress has a significant negative relationship with stock returns and but liquidity risk has a significant positive relationship with stock returns. This result can be of interest to policymakers in the field of finance and investment and other stakeholders.Keywords: Liquidity Risk, Fragility, Market Stress, Fama and French Five-Factor Model, Stock Return

Maintaining and protecting the interests of shareholders is considered as one of the main pillars of each capital market, which, while increasing the level of financial transparency, reduces stock crash risk. Under these circumstances, companies are always trying to strengthen shareholders 'trust and confidence by enhancing the level of protection of shareholders' rights through effective ways such as raising the level of incentives for managers, while reducing the cost of representation. The purpose of this research is Investigating the Effectiveness of Operant Conditioning Behavior Theory on the Effect of Investor protection on stock crash risk in Companies listed in the Tehran Stock Exchange. In this study, 96 companies were surveyed during the period 2014 to 2018. In this research, in order to measure Investor protection of rights, the criteria used such as the quality of accounting information, the effectiveness of internal controls, the voting rights of shareholders, the index of ownership concentration and corporate governance index based on the multi-criteria decision making model by topsis and weight method entropy. Also, for measuring the stock crash risk, two criteria for negative stock skewness (NCSKEW) and (DUVOL) were used. To assess the behavior of the behavior of the actor (stimulus-response), we used the competitive motivation of managers using the managers' compensation gap. The results of the research showed that Investor protection of rights has a negative and significant effect on the stock crash risk. It was also found that competitive incentives negatively impacted the Investor protection of rights on stock crash risk.