فهرست مطالب

Finance - Volume:8 Issue: 1, Winter 2024

Iranian Journal of Finance
Volume:8 Issue: 1, Winter 2024

  • تاریخ انتشار: 1402/12/11
  • تعداد عناوین: 6
|
  • MohammadReza Ranjbarfallah *, Yeganeh Mosavi Jahromi, Asgr Abolhasani, Abbas Johari Pages 1-25

    This paper primarily aims to introduce a model to enhance the performance of the stock market portfolio of the Iran Social Security Organization. Performance indices were measured using documentary-based research and expert interviews based on theoretical saturation to evaluate the stock portfolio performance of the Iran Social Security Organization relative to companies listed on the Tehran Stock Exchange (T.S.E.) during 2016-2020. The Delphi technique was employed to ensure the validity of the indices. Drawing on the analytical hierarchy process (A.H.P.), the indices were prioritized and ranked based on the weight vector. The Iran Social Security Organization was found to have poor stock portfolio performance based on risk, return, liquidity, Sharpe ratio, and T.O.P.S.I.S. Hence, several solutions were identified based on expert interviews through thematic analysis to improve the stock portfolio performance of the Iran Social Security Organization. The solutions were validated through the Delphi technique, prioritizing and quantifying the performance improvement indices using the A.H.P. Based on expert views and T.O.P.S.I.S., a stock portfolio performance improvement model was proposed for the Iran Social Security Organization. Handling the non-profitable, low-return, and out-of-strategy companies is the optimal solution for the portfolio performance improvement of the I.S.S.O., with portfolio modification based on liquidity, effective stock market-making, return-based stock risk management, synergy between the portfolio and value chain completion, and value-added creation approach to stock management and exchange having the second-fifth ranks, respectively.

    Keywords: social security organization, Stock market investment portfolio, Performance Indicators, model
  • Mostafa Hashemi Tilehnouei *, Javad Nikkar Pages 26-46
    Cash flow forecasting has significantly increased since 2000 due to more attention paid by investors and financial analysts than before. If cash flows can be predicted appropriately, a significant part of the informational needs associated with cash flows will be provided. In this regard, this study aims to examine the impact of firm characteristics on predictable future cash flows from operating activities by employing present operating cash flow and profitability. Eight hypotheses were developed, and the information was analyzed for 127 firms listed on the Tehran Stock Exchange between 2011 and 2020. The regression model was tested with a fixed effect model using panel data. The study's findings showed that firm characteristics like size, level of competition, and level of supervision positively impact the predicting power of present operating cash flow and profitability in anticipating future operating cash flow. By contrast, the outcomes disclose that characteristics such as the company's life will not significantly affect the predicted strength of present operating cash flow and present profitability to forecast future cash flow from operating activities.
    Keywords: Firm Characteristics, Cash Flow from Operating Activities, Profitability
  • Mahdi Goldani * Pages 47-70

    The accurate imputation of missing values in time series data is paramount for maintaining the integrity and reliability of analyses and predictions. This article investigates the effica-cy of various missing values imputation methods, encom-passing well-known machine learning and statistical tech-niques. Moreover, for a better understanding, they imple-mented two financial data time series: S&P 500 and Bitcoin markets spanning from 2016 to 2023 on a daily frequency. Initially utilizing complete datasets, controlled missingness was introduced by randomly removing 45 data points. Then, these methods applied multiple imputation strategies for estimating and substituting these missing values. Experi-mental evaluation yielded insightful findings regarding the performance of the different methods. The examined ma-chine learning methods, including k-Nearest Neighbors (k-NN), Random Forest, Deep Learning, and Decision Trees, consistently outperformed their statistical counterparts, such as Mean Imputation, Regression Imputation, Hot-Deck Im-putation, and Expectation-Maximization Imputation. Nota-bly, Random Forest emerged as the most effective method, showcasing superior performance in terms of accuracy and robustness. Conversely, the Mean Imputation method exhibited com-paratively inferior outcomes, suggesting its limited suitabil-ity for financial time series data. This research contributes to the ongoing discourse on data integrity within finance ana-lytics and serves as a comprehensive guide for practitioners seeking optimal missing values imputation methods. The empirical evidence provided herein advances the under-standing of imputation techniques' relative performance and their application in financial data, facilitating enhanced de-cision-making processes and yielding more reliable predic-tions.

    Keywords: Missing values Imputation, Machine Learning, Statistical methods, Finance Data, S&P 500, bitcoin, time series analysis
  • Mohsen Rahmani, Majid Ashrafi *, Parviz Sayeedi, Jamadori Gorganli Davaji Pages 71-97
    The flow of information in the capital market is strategically important because it determines the path of investors' decisions. In this decision-making process, the managers of the companies can disclose timely and reliable information based on their cognitive and perceptual characteristics of capital market situations. This article aims to contribute to the capital market knowledge literature by presenting the framework of managers' inertia drivers in response to reliable disclosure of information. This study adopted mixed, both inductive and deductive approaches to develop an integrated framework, validate its practicability, and verify its effectiveness in selected firms listed on the Tehran Stock Exchange, respectively. In developing the framework and implementation procedure, the study employed a systematic screening data collection (qualitative) approach to review the managers' inertia drivers. Then, in this study's second phase, the Interpretive Rating Process (IRP) and Fuzzy Reference System are used to develop the framework of managers' inertia drivers in response to reliable disclosure of information. The study's results in the qualitative part indicate the determination of 8 driving areas of managers' inertia in the reliable disclosure of information. On the other hand, the quantitative section results showed that managers' overconfidence and excitability are the most influential fields in stimulating managers' inertia in the timely disclosure of information. Based on the results, it was determined that the excitability of managers' overconfidence in creating inertia causes managers' subjective estimates to cause exclusivity in information disclosure.
    Keywords: Managers' Inertia, Reliable Information Disclosure, Interpretive Rating Process (IRP)
  • Zahra Nemati, Ali Mohammadi *, Ali Bayat, Abbas Mirzaei Pages 98-130
    Financial statements are critical to users, as the increasing fraud cases have left behind irreversible impacts. Hence, this study aims to identify the appropriate financial ratios for fraud risk prediction in the financial statements of companies listed on the Tehran Stock Exchange within the 2014–2021 period. The study is based on data from 180 companies listed on the Tehran Stock Exchange, encompassing a total of 1440 financial statements. To select the most appropriate ratios for fraud risk prediction, all financial ratios were tested by three metaheuristic algorithms, i.e., genetic algorithm, grey wolf optimization, and particle swarm optimization. Metaheuristic and data mining methods were employed for data analysis, and these analyses were conducted using MATLAB R2020a (MATLAB 9.8). According to the research results, the fitness function yielded 0.2708 in particle swarm optimization (PSO). With an accuracy of 72.92% after 19 iterations, PSO was more accurate and converged faster than the other algorithms. It also extracted 11 financial ratios: total debts to total assets, working capital to total assets, stock to current asset, accounts receivables to sales, accounts receivables to total assets, gross income to total assets, net income to gross income, current assets to current debt, cash balance to current debt, retained earnings and loss to equity, and long-term debt to equity. The support vector machine (SVM) classifier was then employed for fraud risk detection at companies through the ratios extracted by the proposed algorithms. The accuracy and precision of financial ratios extracted by PSO and SVM were reported at 80,60% and 71,20%, respectively, which indicates the superiority of the proposed model to other models. Considering that the results obtained from the performance evaluation of financial ratios provided by PSO-SVM demonstrate the capability of this method in predicting the likelihood of fraud in financial statements, it can assist financial statement users. By incorporating these ratios about the performance of the target companies and comparing them with those of other companies, users can make more informed decisions in economic decision-making, investments, credit assessments, and more, ultimately minimizing potential losses and risks.
    Keywords: Financial Ratios, Metaheuristic Algorithm, Particle Swarm Optimization, and Support vector machine
  • Najibeh Najafi Kangarloui, Farkhondeh Jebel Ameli *, Mohsen Mehrara, MirBehnam Fatehi Pages 131-145

    Sanctions increase managers' motivations to manage profits and the accumulation of bad news due to their negative impact on corporate profitability and cash flow. According to Jin and Myers (2006), this issue increases companies' stock price crash risk. The higher probability of stock price crashes indicates a stock price overvaluation. As a result, the expected return on such shares will be low. The current paper used the softmax model to calculate the probability of stock price crashes and the expected return calculated by the Fama-French three-factor model. The sample used in this paper includes 80 import- and export-oriented exchange companies from 2008-2021. The results of this paper indicate a positive and significant relationship between the sanctions variables and the probability of stock crashes. So, sanctions cause an increase in the accumulation of bad news and information asymmetry between managers and investors. The second part of the paper's results indicates a negative relationship between the probability of stock crashes and the expected return on the stocks in the Iranian capital market. Therefore, investors have relatively good analytical skills in the Iranian capital market due to its shallow depth and infrastructure problems. The results of this paper can be used in portfolio management to select stocks with a lower probability of crash and higher return.

    Keywords: Crash risk, Expected Return, Sanction, Softmax