فصلنامه بورس اوراق بهادار
پیاپی 11 (پاییز 1389)

The purpose of this article is creating the suitable model for investment. First, according to the literature review, we extract the effective criteria for portfolio selection. Then we use expert's opinions about the importance of each criterion to find criteria pair wise comparisons. In this stage, because of interrelationship among the criteria, ANP is used as the most appropriate technique for this analysis. At the next step, we use TOPSIS technique for ranking the population members, including companies of seven industries (cement, main mineral, petrochemicals, medicines, real estate, automobile). Real data average of three years – from 2007 to 2009 – is used as input for TOPSIS technique. After determining the companies ranking, the selected portfolio includes 40 top companies. In order to confirm the selected portfolio, the three years return of the selected companies is compared with non selected companies. After benchmarking portfolio based on Sharp and Treynor criteria, we use Memetic algorithm to optimize the selected portfolio.

This paper investigates the relation between stock liquidity and firm performance. Many researches have been done over this issue in the countries in which the capital market is a main source of financing for the firms but in spite of fast growing of capital market in Iran, few studies have been done in this regard. The empirical analysis uses a panel data of 154 companies listed in Tehran Stock Exchange from 2001 to 2009. For the first time in Iran, we compared the relation between two criteria of performance (ROA and Tobin’s Q) and liquidity from the Agency and Feedback Theory point of view with the use of multivariate regressions. We found a significant relationship between liquidity and firm performance. After making a comparison between ROA and Tobin’s Q ratios, the study shows that, because of the use of the market values in measuring of performance, Tobin’s Q ratio is a better criterion.

The aim of this paper is to investigate the relationship between volatility real exchange rate and TEDPIX in Tehran Stock Exchange. In order to do this, Generalized Auto Regressive Conditional Heteroscedasticity models (GARCH) that provides the estimation of variable volatility in addition to the effect of volatility on that variable, are used. However, the monthly data of real exchange rate and dividend and price index between 2006 and 2008 have been used. It is concluded that there is a direct and positive relationship between “volatility of real exchange rate” and “dividend and price index”. In other words, increasing of volatility of real exchange rate results in dividend and price index increase

A great number of economists believe that financial development is the main reason of economic growth. Their witness is the industrial revolution which marks a major turning point in human history. One of the aspects of economic growth and being industrialized is the development of financial systems as a group of specialized institutions and organizations dealing with transfer of funds and acting as deposit and investment intermediaries. However, although all countries have established such a specialized system, the comparative study of these systems shows a remarkable diversity in structures. The most important difference is that they are bank-based or market-based. Here, we study the structure of financial systems and the way the degree of development of financial system influences the economic growth of the developed countries as well as the developing one. Results show that the financial system structure in developed countries is market-based while in developing countries it is as what is seen in a financial services approach.

The main goal of this study is the investigation of the relationship between the earnings management of group (consolidated) companies and the stock return of the listed parent company in TSE. On the other hand, this study answers this question that whether investors, analysts and other users of accounting information understand earnings management of group (consolidated) companies and use it for their decision or not. As regards, capital market reaction to the published information will ultimately be reflected in the stocks yield, so the relationship between earnings management of group (consolidated) companies and the stock return of parent company for 45 statistical samples during the period 2004 to 2010 were investigated and to measure of the earnings management of group (consolidated) companies we used adjusted Jones model (1995). Total accrual contains discretionary & nondiscretionary accruals and the stock return of the parent company are used as research variables. Research hypotheses were analyzed by using of correlation and determination coefficient. Findings show that there is a weak inverse relationship (-0.291) but significant between earnings management of group (consolidated) companies and the stock return of the listed parent company in TSE.

In this article, the relationship of the quality of accrual elements and the decline of information asymmetry among the listed companies of Tehran Stock Exchange has been investigated. The purpose and objective of this research is to determine whether the quality of accrual elements has any important and significant effect on the information asymmetry of companies. So, 346 cases of declared profitability by the companies during 1381-1387 have been taken into account. The quality of accrual elements as independent variable and suggested price difference of buying and selling of shares as dependant variable have been considered. For the purpose of testing the concept, statistical methods of "Pearson" correlation coefficient and pair" t" test have been used. The findings indicate that the quality of accrual elements for the listed companies in Tehran Stock Exchange has no impact on the rate of information asymmetry.

Disclosure quality is very important to the listed companies and capital market. There has been considerable number of researches in respect of voluntary disclosure by companies and factors that may explain such disclosure but information disclosure status of listed companies is hard to be evaluated by investors. For more informed decision, Tehran Stock Exchange (TSE) announces the ranking of companies due to their information disclosure every year. But understanding the most important factors affecting the companie's information disclosure is impossible. The aim of this research is to explore the hidden knowledge of information disclosure status among the TSE listed companies. For this reason, the most important national and international papers have been survived and factors influencing disclosure were collected. With applying of data mining approach, particularly the “C5.0 decision tree algorithm”, the most important factors are extracted and the rules are sorted by ACS (Antecedent Size-Confidence-Support) method. It is worth noting that the resulting rule set is attributable as an expert system.