نشریه چشم انداز مدیریت مالی
پیاپی 40 (زمستان 1401)

We investigate the impacts of the order book events on the prices of the 30 largest stocks in the Tehran Stock Exchange in the year 2020. The purpose of this article is to measure the price sensitivity to changes in supply and demand volumes and identify the factors affecting this sensitivity. Similar to the method proposed by Cont et al. (2014), by performing about thirty thousands of OLS regressions, we show that in a low-depth market, the mid-price returns are explained significantly by the order flow imbalance that represents the net change in demand, namely the difference between the volumes of events on two sides of the order book [7]. We also show that the use of the Order Flow Imbalance in the first three levels of the order book can increase the explanatory power of the model for stock mid-price changes, indicating that higher levels of the order book also affect stock price changes significantly. Moreover, the results confirm that the market depth has a negative effect on the power of events to move the stock price. In addition, we show that our results are robust to changes in months or stocks.

With the expansion of the capital market in Iran, it is important to pay attention to the factors that have an effect on the decision-making of market participants and during recent years, stock price crash risk as in affective risks on companies been noted by shareholders and researchers. In this research, the effect of free cash flows on stock crash risk with focused on the role of earnings smoothing was investigated. In internal research, there have been many kinds of research emphasizing the relationship between earnings smoothing and stock price crash risk, but the relationship between cash flows and stock price crash risk is missing in internal research. Also, the moderating role of earnings management on this relationship has not been explained in the Iranian capital market so far. Therefore, based on the research literature in this field, it seems that the issue of the relationship between free cash flows and the stock price crash risk and the explanation of this relationship in the Iranian capital market is significant. The sample includes 161 companies listed on the Tehran Stock Exchange during the years 1394 to 1399. To quantify stock price crash risk, two criteria of negative stock skewness and up-down volatility were used. The results indicate that free cash flows have a positive and significant effect on stock price crash risk and earning smoothing also moderates this relationship negatively and significantly.

There have been many researches in the world about Post Earning Announcement Drift (PEAD). Most of the findings support the existence of excess abnormal returns in case of benefit from PEAD. In this research, the existence of PEAD in Tehran Stock Exchange companies during the period from 2009 to 2021 was investigated, and for the first time, the role of the herding behavior of institutional investors in the formation and intensification of PEAD was investigated. Different percentages of earning adjustment were divided into 6 groups, 3 groups were related to negative adjustment and 3 groups were related to positive earning adjustment. Also, the type of institutional behavior after adjusting earning was divided into four categories: strong herding behavior of selling, weak herding behavior of selling, strong herding behavior to buying and weak herding behavior of buying. The significance of the results was assessed using the Newey-West t test, and the results are as follows: PEAD exists for a short period on the Tehran Stock Exchange. Also, when the institutional investors are the buyer for positive earning adjustment and and sellers for negative earning adjustment, especially for groups of negative 40% to positive 40% earning adjustment, the possibility of obtaining positive abnormal returns is strengthened.

Financial reports are an important source for capital market participants to make decisions. In the last two decades, the development and acceptance of international financial reporting standards (IFRS) has caused extensive changes in financial reports. Therefore, the purpose of this article is to examine the financial and economic effects of implementing IFRS in Iranian companies, specifically, the quantitative impact of IFRS implementation on financial performance measure based on accounting information has been investigated in this study. The financial measures have been extracted by adapting Stewart's model from the available financial statements of 10 listed companies during the years 2017, 2018, 2019 and 2020 according to IFRS and Iranian Accounting Standards. Due to the small number of samples, non-parametric t-tests with bootstrapping and Wilcoxon tests were used to check the hypotheses. The findings show that the implementation of IFRS has caused a significant difference in profitability measure including return on assets, return on equity, earning per share and book value of shares and financial leverage criteria including long-term debt ratio, debt coverage ratio and equity ratio. But there is no significant difference between liquidity and asset management measure. Considering the significant differences in the values of financial measure after the implementation of IFRS, it is necessary for investors and financial analysts to consider the possible effects of the public release of financial reports of Iranian companies based on IFRS in their predictions and decision making.

The bank credit system is limited and the bond issuance process is complex. Most firms issue new shares to raise the funds they need to develop their activities and implement their plans.This article details an investigation of the impact of investor sentiment and using market timing at the time of SEO, the short and long-run stock price performance subsequent to SEOs and the cross-sectional and time-series effects of investor sentiments on both short and long-run stock price performance subsequent to SEO events.We used the Baker and Wurgler(2007) model to estimate the sentiment index in the TSE. Next We categorize all sample SEOs into high and low sentiment, according to the level of the sentiment index in the month when the SEO is conducted. we use cumulative abnormal-returns(CARs) to investigate short-run stock price performance and the buy-and-hold returns (BHAR) to examine long-run stock price performance. The data were compiled of 101 firms from different industries of TSE in the period of 1391-1398. Firms conducting SEOs during high sentiment periods experience less severe short-run price drops around the issuance and this effect are stronger for small, young, and high market-to-book ratio firms. firms conducting SEOs during high sentiment periods experience more severe post-issue long-run underperformance and this effect of investor sentiment are stronger for big, older, and low market-to-book ratio firms. By considering sentiment index level around SEOs and the firm's characteristics, investors can adopt the investment policy of selling,-buying or holding shares after the SEO.

Investing in the stock market undoubtedly is a vital part of the economy of the whole country, and the national economy is heavily influenced by stock market performance. Therefore, it is very important to study and identify the factors affecting stock returns for managers and investors. This study was conducted aimed to examine the information content of announcing the news on the coronavirus disease (COVID-19) outbreak in the Tehran's stock market. This study is considered as an applied research in terms of purpose and event study in terms of nature. In this study, the data was collected through the CODAL and TSETMC websites and the statistical sample includes all companies listed in the Tehran Stock Exchange in 2019. Temporal scope of the research was a week before and after the announcement of the coronavirus disease (COVID-19) outbreak in the world and a week before and after announcing the news on the coronavirus disease (COVID-19) outbreak in Iran. Sampling was done systematically and the sample size for two time periods was considered 407 and 375 companies, respectively. Data were analyzed by Means-test. According to the results, the announcing the news on the coronavirus disease (COVID-19) outbreak in the world and Iran did not have abnormal returns among sample companies, nor was there a significant difference between the returns of large and small companies.

The change in stock price is not only affected by the intrinsic value provided by accounting information, but also by the behavior of investors, which is referred to as investor sentiment. If the investor's feelings originate from false mental beliefs and irrelevant information, it may cause wrong predictions and market price fluctuations; Therefore, investors' feelings can affect the stock market and its events, because investors usually invest with an optimistic or pessimistic attitude towards the future. This study aims to develop and evaluate a model that looks for the impact of investors' emotions on financial decisions and stock returns and economic fluctuations in companies listed on the Tehran Stock Exchange. This research is based on the purpose of basic research. To test the hypotheses, a multivariate regression model was used and then they were analyzed using EViews and Stata software. It is a statistic that the sample size is equal to 105 companies according to the screening method and after removing outlier observations. In this research, panel data with fixed effects have been used. The results of this research show that personality traits have an effect on people's transactional behavior and investors' performance and their investment performance, and there is a significant positive relationship between investor's feelings in financial decisions and stock returns. Also, other results of the research show that more transactions are done in the stock exchange in periods when investor sentiment is optimistic and the market is in recession