فصلنامه بورس اوراق بهادار
پیاپی 16 (زمستان 1390)

Market efficiency has always been one the main assumptions of the researches theories for improving the investment Procedures. However, due to insufficiency of these theories in the past, new theories have been raised to explain the excess returns that make doubt in markets efficiency. In this article, the performance of Sharpe single-index model optimal portfolio, as a method of selection of investment portfolio that is called the modern financial theory, is measured in comparison with market portfolio performance for the period of September 2003 to September 2008, to evaluate the performance of the new methods. Also, the hypothesis of usefulness of using predictor variable fluctuations in prices for medium-term period was examined. In accordance with the findings of the research, there is not a significant difference between the average of market portfolio returns and the single-index portfolio. Also, the effectiveness of using predictor variable fluctuations in prices for increasing the return of single-index model optimal portfolio, was not approved. Evidences of the research refers to the weak level of information efficiency and more emphasis and attention on risk and return for medium-term period.

In this study, CAPM model with the approach of multi factorial and in up and down conditions has been tested in association with return. The current research, using cross-sectional regression model, examines the ability of return to explain by beta, size, and ratio of book value to market value and leverage variables in up and down conditions of capital market in Iran (a conditional relationship). In this study, the method of the research is descriptive- regression and theoretical method of collecting the data is librarian and the data are obtained from the Exchange and reports of the companies. The results of research conducted indicate, under non-conditional situations of the market, significant relationship exists between stock returns and beta and size. But in the down market, the relationship exists between stock returns and beta, size and ratio of book value to market value. In the up market, this relationship exists between stock returns and beta, ratio of book value to market value and market leverage.

The main objective of this study is to investigate the relationship between management earnings forecast errors and total accruals. Also, examining the influence of high uncertainty in business environments on the relationship between management earnings forecast errors and total accruals is another goal of this study. To this end, two main hypotheses and three sub-hypotheses were developed. Data were collected from 112 companies having features proposed in this survey during 2003-2008. The results of statistical analyses indicated that there is a significant relationship between management earnings forecast errors and total accruals. However, results showed that the second hypotheses, the correlation between management earnings forecast errors and total accruals in business environments with high uncertainty, is rejected.

In this research, the effect of ownership structure variables (Institutional ownership, block holder, free float) and interactive effects of these variables on dividend policy in various industries have been investigated. Cash to earning per share ratio was a proxy for dividend policy. Test of hypothesis was carried out by multiple regression analysis by generalized least square (GLS) and pooled (panel) least squared (PLS) methods. In the present study, the effect of the variables other than dividend policy were assessed by (PLS) the interactive effect of ownership structure variables by industry type as dummy variable on dividend policy assessed by (GLS). Statistical population reviewed are all companies listed in Tehran Stock Exchange during 2004-2008 excluding investment companies and financial intermediary. Finally 65 companies that all required information were examined. The result showed that among ownership structure variables, institutional ownership and free float variables have significant relationship with dividend policy. The interactive effect of institutional ownership on dividend policy in different industries were significant and different, hence the type of industry variable can be a damper effect on the relationship between institutional ownership variables and dividend policy.

Different factors affect the firm’s dividend payout policy. A valuable amount of research has been conducted to investigate this effect by applying different variables such as firm’s size, profitability, growth opportunities and liquidity. The current study aims to examine how dividend payout policy is influenced by investment opportunities, financial resources and tax in Listed Companies in Tehran Stock Exchange during 2002 - 2009.The sample includes 123 companies and analyzed via panel data approach. The results show that there is significant and negative correlation between investment opportunities and dividend payout policy. In addition, there is a negative relationship between the financial leverage and external financing with dividend payout policy and a positive relationship between debt maturity dividend payout policies. The results are not the same in different industries.

This study investigates whether conservatism in financial reporting has the ability to predict stock price crash risk. The statistical population of the study is the companies listed in Tehran Stock Exchange (TSE). Using a sample of 580 firm–years over the period of 2006-2010, we find that accounting conservatism, as measured by the Givoly and Hayn (2007) CSCORE, reduces the likelihood of a firm experiencing stock price crashes. Generally, our results are consistent with the notion that accounting conservatism effectively curbs managerial incentives to withhold bad news and/or delay its release to outside investors, and thus deters negative information stockpiling up to a tipping point, thereby reducing stock price crash risk.

Regarding the importance of the accounting income in investor's assessments, this study examines the relation between components of accruals quality) and price synchronicity (a measure of the relative amount of firm-specific information reflected in price) in Tehran Stock Exchange. The purpose and objective of this research is to determine whether the component of accruals quality has any important and significant effect on the price synchronicity of companies or not. In this study, the components of accruals quality as a independent variable and price synchronicity as dependant variable have been considered. Price synchronicity is defined as "the extent to which market and industry returns explain variation in firm-level stock returns". However, we selected a list of, 318 Tehran Stock Exchange companies during and for the purpose of testing the concept, statistical method of "Pearson" correlation coefficient have been used. This study shows that the innate accruals quality has no relation with price synchronicity and discretionary accruals quality for Tehran Stock Exchange Companies is positively related to price synchronicity.

This study analyzes and compares a general class of Autoregressive Conditional Heteroscedasticity (G) ARCH models during 126 month in Tehran Stock Exchange index (TEDPIX). The results of models confirmed the clustering volatility, asymmetric relation and nonlinearity property in market returns time series. Then the (G) ARCH models enhanced by artificial neural networks. Results suggest that ANN-PGARCH-M, ANN-EGARCH-M and ANN-GJR-GARCH have the least forecasting errors and the volatility direction comparison demonstrates that hybrid models are more excellent than basic (G) ARCH models. According to the results, ANN-APGARCH, ANN-EGARCH-M and ANN-PGARCH-M provide significant improvement in forecasting.

Herding behavior or acting as others act, is a behavioral bias among investors and is a key factor in capital markets. Since people want to be accepted and respected in the society, match their behavior with group. However, following the group to be accepted is a good idea, but can have some harmful side effects and this is being irrational. Besides, there is a common sense that the probability that a large group of people make mistake is very little, so a large group of people can be followed. Unfortunately, in practice, a large group of people also make mistakes and following them is continued. Herding behavior among investors in Tehran Stock Exchange is surveyed in this research by Hwang and Salmon (2006) model. In this model, herding is defined as the behavior of investors who simply follow the performance of specific factors such as the market portfolio itself, and hence buy or sell individual assets at the same time disregarding the long-run risk-return relationship. This research, consider total market return as a specific factor and use beta herding as a tool of herding diagnosis. Beta herding is calculated by rolling windows regression with 24 month windows. Herding is measured from 2003 to 2007 and existence of herding is confirmed. We also tested stability and cointegration of beta herding, total market return, trading volume, trading value and inflation rate as a special macroeconomic variable. As a result, Angel-granger test for cointegration is confirmed and significant long-term relation and convergence among them is approved.

Since the current capital market transactions has an effective role in attracting people and public capital and reinforcing the financial power and investment of great economic firms and consequently in economic development, it is subject to specific regulations. General rules of contract and also performs traditional sanctions, established in Civil Code such as invalidity, termination, and compensation do not suffice for the administration of capital market transactions. The Securities Market Act of the Islamic Republic of Iran enacted in 2005 and its regulations and instructions have specified the mechanism of transaction realization and its sanctions, differently from traditional trades with an innovation that is proportional to capital market transactions. Capital market has usually used sanctions such as verification, suspension of trading symbol and stop trading symbol in addition to traditional sanctions. This article has reviewed and analyzed the and capital market regulations with comparative study with other countries.

This study examines the association between auditor type (public versus private) and earnings quality as measured by the levels of discretionary accruals in Iran. This study hypothesize that there is no significant difference in discretionary accruals between public and private sector audit firms when there is low incentives for auditors to provide high-quality audits in Iran. Using a sample of listed firms in the Tehran Stock Exchange from 1998-2003 (1378-1383), this study finds that there is no significant difference between discretionary accruals of firms with a public sector auditor and firms with a private sector auditor. This result implies that there may be no significant difference in audit quality between public and private sector audits. Partitioning the sample into sub-periods to examine the effect of increased competition, as a result of establishing the Iranian Certified Public Accountants (ICPA) in 2001(1381), on audit quality, this study finds some evidences of an increase in the levels of discretionary accruals of firms with a public sector auditor. This is consistent with the argument that increased competition in the audit market which may reduce the quality of audits.