نشریه مهندسی مالی و مدیریت اوراق بهادار
پیاپی 61 (زمستان 1403)

Since it is not possible to accurately predict the future, most investment decisions are made with uncertain results. Recent advances in neuroscience and endocrinology have helped to reveal a biological mechanism related to economic decisions and thus potential factors related to individual differences in decision making. The data in this research was collected in the field and in the library through questionnaires and clinical tests, an invasive (serum) blood test method was used to measure hormones. The research samples include 77 people from known investors. The information has been processed and analyzed with Samart pls statistical software.The studied hormones include Testosterone, Cortisol 8 A.M., Free Testosterone and Thyroid (T3, T4 and TSH). The analyzes show that Testosterone is the only hormone that has a direct effect on optimism, decoy and risk-taking, and Free Testosterone hormone on risk-taking and decoy, T4 hormone on optimism and risk-taking, and T3 hormone on risk-taking have an inverse and significant effect on investors' behavior and the level of cortisol and TSH hormones has no significant effect on investors' behavior.

In today's competitive era, in order to achieve an acceptable financial performance and improve the company's value, companies are forced to pay special attention to the interests of stakeholders and environmental issues in addition to financial indicators. This research aims to explain the impact of stakeholder pressure and green production on financial performance with the mediating role of firm reputation and environmental performance in petrochemical industry companies of Tehran Stock Exchange. The research method is based on the objective, applied, and in terms of the method of doing the work, descriptive survey and the statistical population includes employees and managers of petrochemical industry companies in the Tehran Stock Exchange, with a sample size of 384 people. Structural equation modeling was used to collect information from the questionnaire and to examine the research hypotheses. The results indicate that the pressure of organizational stakeholders and green production have an effect on financial performance with the mediating role of firm reputation and environmental performance in petrochemical industry companies of Tehran Stock Exchange.

One of the widely used tools in risk management and portfolio optimization is derivatives. Future contracts are one of the most important derivative instruments that are used by investors and risk hedgers.In recent years, with the increase in the volume and value of the futures market transactions, the attractiveness of this market for economic operators has increased significantly.The purpose of this research is the valuation of the futures contract based on stochastic interest rate models and compare their performance with the valuation model under non-stochastic interest rate in Iran Mercantile Exchange.In this research, using the stochastic interest rate models of Vasicek (1977) and Cox, Ingersoll and Ross (1985), we value future contracts in the Iran Mercantile Exchange from the March 2021 to the August 2022. The data of futures contracts are divided into short-term and long-term groups based on the remaining time to maturity; As a result, based on the RMSE criterion and then the variance analysis test of the valuation results, it was found that there is no significant difference between the valuation models in the valuation of short-term contracts, while the valuation under the Vasicek model of long-term contracts and all contracts, performed better than other models.

This research has investigated the effect of managers' overconfidence on the relationship between managerial ability and the risk of falling stock prices of rail transport companies in the Tehran Stock Exchange. The method of conducting the causal research was of post-event type and the research sample includes 5 railway transportation companies in the Tehran Stock Exchange for the period of 1396 to 1400. To test the hypotheses of the research, the regression model was used. A line is used in the form of linear regression. The results of the analysis of the experimental model of the research showed that managerial ability has a negative and significant effect on the risk of falling stock prices. The results obtained from the second hypothesis of the research showed that the overconfidence of managers has a relationship between managerial ability. and weakens the risk of falling stock prices. Managers over-estimate the future returns of business unit projects due to false self-confidence; Therefore, they may overestimate the probability of occurrence and impact of positive shocks of future cash flows resulting from these projects and, on the other hand, have a lower estimate of negative shocks.

The purpose of the research is to investigate the philosophical attitude of analysts in valuing IPO stocks with the winner's curse approach. The statistical population in the discussion of investors' behavior includes professors, capital market analysts and graduate students, and 100 people have been selected as a sample using a targeted method. To check the valuation of the companies, the statistical population includes all the companies that have made an initial offering in 2021, and the food industry, agriculture, chemical products and basic metals were selected as samples. With Smart PLS software, in the analysis of hypotheses, we found that analysts with a high philosophical attitude have a positive effect on the valuation of companies and do not suffer from the phenomenon of the winner's curse, and the dimensions of flexibility and reflection were confirmed, but then comprehensiveness was not confirmed statistically. A high philosophical attitude in financial analysts results in obtaining better returns in investment, when the dimensions of flexibility and contemplation are confirmed and comprehensive. A high philosophical attitude in financial analysts leads to the formation of a better investment portfolio, and the aspects of flexibility and contemplation were confirmed, but the aspect of comprehensiveness was statistically rejected.

The choice of the stock portfolio is one of the most important and vital decisions of legal investors in Tehran Stock Exchange, which has been one of the most important issues discussed in the past and present, and with the research that has been conducted in this field, there are models for determining the portfolio. It is presented that over time the defects of each one have been identified and another model has replaced it. Based on this, in the present research, the issue of portfolio selection has been investigated using the multi-criteria fuzzy method using the tripartite decision-making approach and cumulative perspective theory. For this purpose, the data of 30 selected companies admitted to the Tehran Stock Exchange during the period 2014 to 2022 have been used. In order to investigate the issue of portfolio selection, the multi-criteria fuzzy method was used using the tripartite decision-making approach and cumulative perspective theory through the creation of superiority relationships. The findings of the research showed that the multi-criteria fuzzy portfolio selection model using the tripartite decision-making approach and cumulative perspective theory has a better performance than the classical two-way decision-making approach and the expected utility theory in stock portfolio selection.

According to Iran's economic conditions, the investigation of Iran's capital market and the variables affecting it in order to develop and advance economic goals is of particular importance. One of the variables affecting the capital market is the exchange rate. Therefore, the main goal of this research is to investigate the effect of currency market events in the form of two concepts of exchange rate pass-through and exchange rate uncertainty on Iran's capital market index. In this research, after proving the existence of exchange rate pass-through in Iran and examining exchange rate uncertainty using the EGARCH method, ARDL and VAR methods have been used to investigate the effect of exchange rate pass-through and foreign exchange market uncertainty on Iran's capital market index during the years 1370-1399. The results show that exchange rate pass-through have a positive and significant effect on Iran's capital market index, while there is no significant relationship between exchange rate uncertainty and capital market index. Considering that the foreign exchange market is always the focus of every economy, it is necessary to pay attention to its events, including exchange rate pass-through and exchange rate uncertainty, as an important factor for policy makers and capital market analysts.

Predicting capital market behavior has always been one of the challenges for market participants. Over the years, trends forecasting methods have evolved and knowledge of predicting behavior and stock prices is still evolving. It is important to analyze the past behavior of stock prices based on technical methods. The technical method is often focused on price changes, moving averages and trading volume. In this research, we have tried to study the trading ratios based on table reading and analyze the past behavior and movements of real traders in the form of Lasso linear regression.Over the years, trends forecasting methods have evolved and knowledge of predicting behavior and stock prices is still evolving. It is important to analyze the past behavior of stock prices based on technical methods. The technical method is often focused on price changes, moving averages and trading volume. In this research, we have tried to study the trading ratios based on table reading and analyze the past behavior and movements of real traders in the form of Lasso linear regression.

In this paper the price bubble contagion in two currency market and the stocks market in a six year period (2015-2021) is investigated. For this purpose, the price bubble of both markets was examined and the dates of their formation and collapse were determined by using (RADF), (SADF),(GSADF) test. Then the contagion of the bubble in the financial market of Iran was investigated using a regression model. The findings of this research showed that there was a bubble in the foreign exchange market during five periods of 2016:10:31-2017:01:21, 2017:10:03-2018:12:16,2018:12:23-2019:07:14, 2020:02:22-2021:01:17 and 2021:01:23-2021:03:19.There were four bubble periods in the stock exchange for the total price index in periods 2016:02:06-2016:04:28,2017:09:04-2017:10:10,2017:10:17-2018:04:19 and 2018:06:10-2021:03:19. Also, the results indicate that the contagion of the price bubble from the currency market to the stock exchange market is statistically significant and the contagion of the bubble has occurred between the currency market and the stock exchange market .

The purpose of the present study was the role of emotional intelligence and financial intelligence with the mediation of risk taking in predicting the willingness to invest in Tehran Stock Exchange. The statistical population was formed by all the investors in Tehran Stock Exchange, living in Shiraz city in 1401. The sample size was 384 people and they were selected in the accessible way. The data required for the research were collected using the emotional intelligence questionnaire (Bar-On, 1980), the financial intelligence questionnaire (Popovis et al., 2012), the willingness to invest questionnaire (Zarei, 2013) and the standard investment risk questionnaire (Diacon, 2014). The research hypotheses were analyzed using structural equations-path analysis method and significance level (0.05). Findings showed that financial intelligence (p<0.05, β=0.502) and emotional intelligence (p<0.05, β=0.308) have a direct effect on the willingness to invest. Emotional intelligence with the mediation of risk aversion (Soble=4.409 p<0.01) and financial intelligence with the mediation of risk taking (Soble=0.01 p<0.4) have an indirect effect on the willingness to invest. Results support the role of mediation in the structural relationship between emotional intelligence and financial intelligence with investment.