فصلنامه دانش مالی تحلیل اوراق بهادار
سال ششم شماره 18 (تابستان 1392)

This study is to show that the financial development in the MENA region is an important prerequisite for the impact of FDI on economic growth. For this purpose, the financial impact of FDI on economic growth for 15 countries in the region (Jordan, Algeria, United Arabic Emirates, Iran, Bahrain, Tunisia, Oman, Morocco, Egypt, Yemen, Turkey, Libya, Qatar Malta and Saudi Arabia) between 2001 and 2010 by the dynamic and static panel data models and generalized moments estimator (GMM) is evaluated. The results of this study show that, In the MENA region, the impact of FDI on economic growth through the development of financial markets is positive and significant.

Capital optimal structure and mering debt optimization and the equity of shareholders needs choosing the best financing method and choosing the best appropriate time of financing. Companies are not equipped with the essential stability for financing and due to different economic reasons they have financial resources limitation. Therefore it is necessary to study financing behavior. The aim of this study is to classify sample statistatical companies in terms of the level of their financial limitation and to survey their relation with stock future return. The applied criterion to measure companies financial limitation level is kz index. Research statistical sample involves 109 companies in the Tehran stock exchange in 1384-1388 and has been analyzed statistically. The results indicates that there is ameaningful relation between stock future return and statistical sample companies financial limitations level.based on the results, the stock future return of companies withlower financial limitations level has been higher.

Financial reporting is the basis for economic decisions that affect the interests of the organization and the owners; however, there is a lack of research regarding the factors affecting the quality of financial information. Due to the importance of information, this study investigates the impact of intellectual capital on the financial information quality. Because in today's knowledge-based economy, intellectual capital accepted as major factor of generating sustainable competitive advantage and superior financial performance. Data of intellectual capital and quality of financial information (QFI) was gathered for 94 firms in the Tehran stock exchange, over ten year period of 1380 to 1390. Structural equation modeling, PLS (Partial least square), was used to test the relationships hypothesized. The result show that intellectual capital has significant effect on QFI and intellectual capital's components could explain 50% changes on QFI. Among of these components, structural capital efficiency has more effect on QFI. Human capital and physical capital classified in later degree. Furthermore organizations should pay more attention to intellectual capital that one of the powerful resource to improve their business performance, because prepare qualified financial reports lead to better decision made by users.

In capital markets and behavioral finance literature, according to the different reaction of investors and in order to increase the return of capital and earn returns in excess of the expected return, different investment strategies are presented. Contrarian Investment Strategy is one of these strategies, this strategy is based on the hypothesis of investor's overreaction. However, knowing how to use contrarian investment strategy can help investors to choose the appropriate stock in order to achieve maximum return. This research examines gain return by using contrarian investment strategy and analyzes Sensitivity of Financial indicators in Tehran Stock Exchange. In order to conduct research, first the period of research was divided into 16 establishment and test periods and in establishment period, based on 11 research variables (Sale, Operating profit, Operating Cash Flow, Stock returns, the ratio of Sales to assets ratio, the ratio of operating profit to investment, the ratio of operating cash flow to investment, Return on assets, Return on equity, Earnings per share and The ratio of net profit to sales), the companies divided to two portfolio winners and losers, and then in test period, the winner and loser portfolio return was calculated and compared. The results of research hypotheses Show that by using Contrarian Investment Strategy, additional return can begained in Tehran Stock Exchange and also investors in each different period of establishment and test, show overreaction towards certain variables.

This research provides a model for pricing of controlling stock blocks and determinants of control premium. Pricing of 64 stock blocks of Tehran Stock Exchange listed companies with size of 16.67 and more are reviewed. These blocks mostly were priced at substantial premium to the exchange price. In this research by reviewing literature and surveying financial and investment professionals determinants of pricing and control premium are find out and then by using multivariate regression significant factors are determined and at the end the estimated block prices are compared with the real price of blocks. Results show that significant factors in pricing controlling stock blocks and determining control premium are block size, firm size, leverage, profitability and previous performance, previous ownership of buyer and deadline to pay cash payment.

So far different models have been proposed for prediction of customers’ credit risk. However, use of a model which without relying on historical data employs market data as a warning about the customer’s current state and even about the expectations regarding the customer’s future state seems necessary. In this research, the relationship between components of capital structure and probability on default of the listed companies on Tehran Stock Exchange (TSE) has been investigated. Research data were extracted from a sample consisted of 40 joint-stock companies receiving facilities from Iranian banks for the period 2004-2010. First, using KMV model the firms default probability was calculated. Next, using Panel Data method a regression was performed to examine the relationship between capital structure components as the independent variable (firm size, B/M, leverage, fluctuation of return on asset, share return, and sensitivity coefficient) and probability of default as the dependent variable and then regression tests were conducted. Research results indicate a significant relationship between capital structure and probability on firms default.

When past observations have a high correlation with future and it cannot be ignored, studied time series has long memory. Examining of existing of long memory in time series has a lot of application in finance and lots of ways have been created to examine it but they have lots of mistakes. Bootstrap Approach has been used in this paper for give us a good proxy of sampling distribution in order to estimate of memory parameters. This approach has less limitation than others and can deal with most of difficult problem. In this research we use the data of price index of Tehran Stock Exchange for duration of December of 2006 till June of 2010 for estimating parameter of long memory, finally the results show the estimation of parameter of long memory has improved.

Researches about the relation between Return and EPS since 30 years ago, mention that Return is affected by Earning and information related to it. Several researches have studied the relationship between return (as dependent variable) and earning (as independent variable), using regression model. Some researchers have reported a distinct coefficient in regression analysis when they studied the effect of unexpected annual earning as independent variable on abnormal return as related variable. In this research, the effect of DPS on return is considered and measured, in high and low return companies in Tehran Stock Exchange, in 2006&2010. Our evaluations through 5 hypothesis showed that the market didnt have any over orunder reaction versus good or bad news. In the other hand, market reaction was not emotional. The results of this research detected a considerable difference between ERCs in high-return and low-return companies. But they didnt approve any significant relationship between news and market reaction; except for relationship between bad news and market reaction just in low return companies. It means that the market under reacted only versus bad news related to lowreturn companies.

The objective of this study is to investigate the influence of the oil shocks caused by crude oil supply and demand on stock returns of Tehran Stock Exchange (TSE). For this purpose, a Structural Vector Autoregressive model (SVAR) has been estimated based on the monthly data (1991 to 2010) including world crude oil supply, world demand for industrial products, real price of the crude oil and real stock returns in TSE variables. Fluctuations of the real price of the crude oil are attributed to three structural shocks: World crude oil supply shocks, world crude oil demand shocks and world industrial products demand shocks. Furthermore, effects of these shocks on the real stock returns of TSE have been studied in this study. The results show that the oil supply shock has no significant impact on the stock returns, but the global demand shock and the oil specific demand shock have a significantly positive impact on the Stock Returns of Tehran Stock Exchange (TSE).