مجله مدیریت دارایی و تامین مالی
سال دهم شماره 1 (پیاپی 36، بهار 1401)

In risky situations, people's behavioral biases may lead them to deviate from rational decisions  leading to a negative relationship anomaly between risk and return. Investors underreact the stock with a recently negative return (exposed to downside risk) resulting in a negative return momentum or the persistence of downside risk in future. In the present study, the negative relationship anomaly between the downside risk and the expected excess return is investigated. Also, the exploration of the relation of firm-specific characteristics and other risk measures with downside risk is investigated for the accurate explanation of the anomaly. In addition, the persistence of downside risk and the relationship between the amount of downside risk and persistence severity are investigated.

Capital market plays an important role in attracting and circulating market liquidity and directing it to efficient economic sectors. Management forecast is one of the most important sources of information in the stock market, while its misrepresentation leads to more idiosyncratic risks and consequently inappropriate investment decisions by investors. In this study, management forecast errors were considered as a proxy for disclosure quality to investigate the relationship between information disclosure quality and idiosyncratic risk, as well as the effects of Information environment on these two variables in Tehran Stock Exchange (TSE). To this goal, a sample of 160 listed firms in TSE was examined from 2009 to 2017. The results indicated that the management forecast errors were positively related to idiosyncratic risks, while they were less positively related in a good information environment.

This paper used a factor-augmented vector autoregressive model with time-varying coefficients to construct a financial conditions index. Time variation in the model’s parameters allowed the weights to be attached to each variable in the index to evolve and evaluate dynamics across time. The ability of the constructed index to predict various variables was also evaluated. The Financial Condition Index (FCI) was estimated by using the TVP-FAVAR method based on the quarterly data of the period of 1989-2019. The variables used included interest rate, exchange rate growth, inflation rate, consumption growth, banking facility growth, total stock market index growth, money supply growth, oil revenue growth, and gross domestic product growth rate. The findings indicated significant volatilities in the model’s parameters. The shock from improving the FCI led to a positive response to the stock market index. According to the findings, the constructed FCI had high predictability.

The purpose of this research was to investigate the effects of financial restatement on various investment inefficiencies with emphasis on the role of financial constraints. In this study, Richardson (2006)'s model of investing expectations was used to measure investment inefficiencies and categorize the sample member firms into over-invested or under-invested corporates. Also, the index defined by Kaplan-Zingales (1997) was utilized to examine the financial constraints. The sample included 174 companies that were active over 6 years (2012-2017) in the Tehran Stock Exchange. The results indicated that financial restatement could reduce the over-investment, while it exacerbated the under-investment ones. On the other hand, the companies with over-investment might experience greater financing constraints after financial restatement. This relationship was not significant for under-invested companies. Finally, the argument that financial restatement could affect investment inefficiencies by indirectly affecting financing constraints was also not approved by any groups of the compaines.

This study aimed to examine the effects of managers' optimistic and myopic behaviors on the asymmetry of cost behavior and various companies’ strategies in the firms listed on Tehran Stock Exchange (TSE). For this purpose, 8 hypotheses were developed and the data from 174 companies listed on TSE were analyzed for the period of 2008-2018. In this research, 3 strategies, including firm competitive strategy, corporate finance strategy, and corporate investment strategy, were used as proxies for the companies’ different strategies. To test the hypotheses, the panel data and fixed effects regression models were tested. The results showed that there was an asymmetric cost behavior phenomenon in the firms listed on TSE and the managers’ optimistic behaviors increased the severity of asymmetric cost behavior, but the myopic behavior did not have a significant effect on the asymmetric cost behavior. Also, the findings confirmed that the managers' optimistic behaviors affected the companies' competitive strategies and investments, but the managers' myopic behaviors had no effects on the companies' competitive strategies and investments. On the other hand, the findings indicated that the managers’ optimistic and myopic behaviors affected the companies' financing strategies. The results showed that the managers’ behavioral characteristics affected management of cost behavior and the companies’ different strategies.

Economic studies since 2000 have been more inclined to identify factors that affect the stability of banks, such as global financial crises, oil fluctuations, and exchange rate fluctuations. Due to the strong dependence of the country's economy on the banking system, the banking system’s stability is doubly important and it is significant to study the factors that disrupt this stability. This study examined the financial stability of the state banking system of Iran's economy by using the Markov switching regime econometric model and the overshooting Dornbusch Model during the years of 1984-2018. Also, the global financial crisis was taken into account based on the impact of exchange rate jumps. Based on the results, the amounts of width from the origin in the first and second regimes were 0.03 and -4.05 and the variance of the disturbance components related to the first and second regimes were equal to 0.73 and 3.51, respectively. The results showed that with the occurrence of negative oil shocks, foreign exchange earnings of Iran's economy decreased and despite currency price jumps, financial crises, and increasing credit risk, banking stability decreased due to high risk of banking activity (credit risk) and transfer. It is often said that for price stability and even economic stability, instability and liquidity flows should be avoided because if the growth of liquidity is much greater than the growth of production, according to the simple implication of some money theory, this will lead to inflation and price growth. However, it should be noted that the level of liquidity and money creation in the economy and the optimal ratio of liquidity to GDP depend on the structure of each economy, the technological complexities of goods and services, and the number of stages of their construction. Therefore, for each economy, a certain level of liquidity and money creation cannot be justified as a general rule, but the quantity of liquidity and money creation in each economy depends on the structural, technical conditions of the economy and commodities, speculative attacks, and foreign exchange market pressure. Therefore, expansionary monetary policies need to be adjusted in terms of whether or not the exchange rate is stabilized.