مجله مدیریت دارایی و تامین مالی
سال دوم شماره 2 (پیاپی 5، تابستان 1393)

Understanding stock price behavior and price forecasting are one of the most challenging issues that speculators، traders and brokers are faced with. Since stock market was established in the nineteenth century، many researchers have focused on investigating the stock price forecasting model. At the outset some of the models such as Autoregressive، ARMA، ARIMA، ARCH and GARCH were widely applied. Although some of these models were better than others in performance، but none of them had satisfactory result. Recently a number of researchers have been considering the stock market as a dynamic nonlinear system. On the other hand، artificial intelligence techniques including neural networks، genetic algorithms and fuzzy logic have produced successful results in solving complex problems. In this study we tried to use wavelet transform and neural network to present a model that more accurately predict the return on stock market index. In this hybrid model، the smoothing property of wavelet transform is used to reduce the noise level of data then a neural network model is used for forecasting. Comparison of forecast error in ARIMA models، neural network and wavelet neural network indicates that noise reduction improves forecasting of the index returns.

The purpose of this study was to assess the impact of working capital management on the agency costs of listed companies in Tehran Stock Exchange. The question is: Do different types of working capital management company representing the amount of money they have in Impact What are the Types of Working Capital Management at less cost effective representation? Agency costs may adversely affect the company''s value. In the present investigation agency costs as a function of the interaction between the company''s growth opportunities and free cash flow definition and the index of Tobin Q as a measure has been used to measure growth opportunities. For this purpose، the data of 127 firms listed in Tehran Stock Exchange during the period 1391-1386 has been adopted. Research hypotheses using multiple regression analysis and correlation has been studied. Our findings suggest that the costs of debt collection agency، there is no statistically significant relationship between the payment of debts and expenses represent a significant direct relationship is established.

Trading strategies such as short sale and margin trading have an important and undeniable role in the development of capital markets in different countries. However، due to the structure of these contracts and existence of non-religious factors، using these trading strategies in Islamic stock markets has some difficulties. For this reason، financial researchers in these countries، along with Islamic scholars and by implementation of juridical trading strategies، have tried to benefit from aforementioned instruments for the development of capital markets. One of trading strategies that significantly contributes to market liquidity growth is short sale. However، contradiction of using this trading strategy with some principles of Islam has caused the Islamic finance scholars to design a suitable legal mechanism using Islamic contracts. In this paper، we first explain short selling and its benefits and damages. Then، using experts’ opinions and TOPSIS method as well as regarding to legal، financial and juridical criteria adopted، we evaluate and prioritize Islamic alternatives to short selling and finally، we introduce the most proper approach for implementing it in Iran’s stock market.

The purpose of this study is to investigate the big shareholders’ perspective on block divestiture of shares in business financing through propensity score matching method in Tehran stock exchange. The statistical population of this study includes all of listed companies in Tehran stock exchange. 102 companies were examined from 2003 to 2012 and their data was collected through website of Tehran stock exchange and software of Novin Rahavard. In order to test the hypotheses، Logistic regression and matching based on the attitude score methods were used. The results of this study revealed that attitudes of big shareholders toward divestiture influence business policies negatively. As a result، shareholders seek to eliminate obstacles of appropriate divestiture opportunities.

In recent years، the relationship between performance and firm diversification become as an important empirical matter. The diversity strategies in company’s business are able to affect the competitive balance of an industry. The aim of this study، investigate the effect of business diversification on performance and value of accepted firms in Tehran’s Stock Exchange. To achieve this goal، the Herfindahl-Hryshmn index and TobinQ index were used to assess the business diversification and the company’s value from the market value in each year، respectively. This sample includes 125 accepted firms in Tehran’s stock exchange within 7 industries، in the periods of 1381-1390. In order to verify the hypothesis، a multiple regression based on panel data by Estimated Generalized Least Square (EGLS) was used. The results from the study hypothesis indicate that there is significant and direst relationship between Herfindahl _ Hryshmn index and the performance of studied firms in comparative industries، in semi concentrated industries، there is a negative relationship between Herfindahl _ Hryshmn index and the performance of studied firms، but not significant. Also there is a negative relationship between Herfindahl _ Hryshmn index and the value of studied firms in competitive، concentrated and semi-concentrated industries، but are not significant. In conclusion we can say that the business diversification have an significant and positive effect of performance and have non-significant and negative effects on value of studied firms.

Holding cash surplus to requirements of a firm، will lead to misuse of the funds. Therefore the amount of cash holding in the firm must be optimized at the level it’s needed in the firm. Also result of managers’ performance must be disclosed in order to prevent misuse. This paper examines the impact of disclosure quality on the relationship between free cash flow and firm value. For this purpose، a sample of 70 firms listed in Tehran Stock Exchange during the years 1383 to 1389 were studied. The multivariate regression model was used to test the research hypotheses. The findings suggest that when the disclosure quality is high in a firm، and it has high growth opportunities، free cash flows have a strong and positive effect on the firm value.

One of the most important principles of corporate governance، the CEO of the Company on the Company''s operations and results could be the different ways it affects. One of the current discussions on the theme of the CEO، focused on the issue of the CEO reputation. The goal of this research is evaluating the effect of CEO reputation on relationship between agency costs and cumulative abnormal returns in firms over (under) investment. In this research، information was collected from company listed in TSE during 1383 -1391. capital investment ratio as the indicator of measuring over (under) investment، free cash flow and interaction between growth opportunities and free cash flow as the indicators of agency costs. research method was descriptive correlation and for hypothesis test of method pooled Least Squares. the research finding show the negative and significant relationship between agency costs and cumulative abnormal returns and effect CEO reputation and factors (CEO Tenure، CEO outsider،CEO perform) on the relationship are positive and significant.