نشریه تحقیقات مالی
پیاپی 39 (بهار و تابستان 1394)

This paper examined intertemporal capital asset pricing model in Iran’s Stock Market. We used dynamic conditional correlation to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Result revealed risk aversion coefficients were between 0. 013 and 0. 28 and average was 0. 20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed assets with high correlation with market conditional volatilities have low expected returns in next transaction period. In addition، assets with high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in next transaction period

In this study trading patterns and constituents of trading performances of individual and institutional investors have been investigated weekly، using an Auto Regressive model and a Grinblatt & Titman portfolio performance measure during 2008 to the end of 2012. The results show that while individual investors have a herding behavior، institutional investors take contrarian trading strategies. Evidences suggest that adopting the contrarian trading strategy by institutional investors resulted in better trading performance during most trading intervals، and the total net cash gains of this group has been achieved through a scheduled market timing. However، a poor stock selection has influenced part of the cash gain. On the other hand، adhering to the herding behavior by individual investors has resulted to a poor trading performance. Also، unsatisfactory market timing has undone the cash gains of a clever stock selection.

This paper examine the effects of Corporate Governance (Board structure and ownership structure) And some financial variables on financial statement restatements. A group comprising firms (48firms) that have maximum amount of the annual adjustment (More than 5% of EBIT). Another group is control group (46 firms)، comprising firms that have minimum amount of the annual adjustment. subsequently analyzed using a t-test and logistic regression. The results show that there is a positive relationship between CEO duality and financial statement restatement، and there is a positive relationship between board size and financial statement restatement. Other independent variables have been studied، We have not achieved meaningful relationship. And in between financial variables، Gearing ratio have a positive relationship whit financial statement restatement and bankruptcy probability have a negative relationship whit financial statement restatement

Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons، measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk، VaR measure with a new approach Provides for the calculation of market risk. Common approaches to risk measurement Due to the complex nature; Nonlinear and changing risk the have explanatory power of Weak and limited functionality. Thus، the study A new paradigm of semi-parametric Combining wavelet analysis and GARCH models are Using wavelet analysis Deals with the properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper Compared to traditional approaches. So that this method leads a higher degree of reliability and accuracy of the estimates of the value at risk.

The purpose of this study is review of cross sectional variation in cash flow asymmetric timeliness and its effect on conditional conservatism. In this study data from 120 firms in Tehran Stock Exchange for the period between the years 1384 to 1390 were examined. Regression model that used in this research is panel data method with fixed effects approach. The most common measure of conditional conservatism in accounting is asymmetry Timeliness in recognizing Profits and losses. Nevertheless، this measure combines both asymmetry timeliness of accruals and cash flows from operation. With respect to this that asymmetry timeliness of operating cash flow is not belong to the domain of profits and losses، Cause variation in the test of conservative. In this research and with respect to good and bad news show that asymmetry timeliness of operating cash flow cross sectionally is different with lifecycle variable of company (Size، age، growth and capital expenditure). The results show that conservatism is higher in the early stages of the company lifecycle.

On of the important elements in decisions of investor، is the unexpected economical and political events wich in time of stock transactions will effect on decision making and will change the stock price in desirable or undesirable way. The aim of this study، reviews on the reaction of investors on unexpected events in Tehrans stock exchange market. For this purpose، the daily returns of year 1386-1391 has been reviewed as a sample of the behaviors of investors according to the uncertain information hypothesis. Discoveries indicate that with occurrence of unexpected events، will increase the returnsoscillation. Also، results show that about the desirable news، the reaction of investors is according prediction of uncertain information hypothesis or unusual revenues of stocks after desirable information is positive، but would not verify the hypothesis of the prediction of undesirable news. Another word، behavior، after the desirable will follow the uncertaininformationhypothesis، but after the bad news would not follow this hypothesis. Also، for both، desirable and undesirable events، moderating and adjusting the stock price has gone downward.

In the securitization process، by selling the mortgage loans to risk-lover investors، originator can allocates the mortgage loans risk with them. In this case، originator may not have an incentive to screen out borrowers، resulting in the moral hazard problem. This paper، in the principal-agent framework، analysis this agency problem. Investor، to reduce asymmetric information، uses compensation scheme for giving incentives to the originator and by using the Bayesʼ rule، deals with inferring various dimensions of implemented effort؛ and incorporates her joint posterior beliefs of the pooled loans’ credit position data and inferred various dimensions of effort، in to the designing contract problem. The results indicate that the shape of optimal contract is a function of the information content of investors’ observations and inferred knowledge about efforts، which suggests that using additional information to avoid originator’s opportunism، the originator more likely performs the obligated tasks when lending the loans to the applicants.

The Markowitz issue of optimization can’t be solved by precise mathematical methods such as، second order schematization، when real world condition and limitations are considered. On the other hand، most managers prefer to manage a small Portfolio of available assets in place of a huge Portfolio. It can bed analogize to cardinal constrains، that is constrains regarding to minimum and maximum current assets on Portfolios. This study’s aim is to solve the problem of optimizing Portfolios with cardinality constrains، using simulated annealing algorithm. Therefore، by using the information of 50 companies which have been more active in Tehran’s exchange stock from April 2010 till April 2012، Portfolios’ efficient frontier has been drawn from 10 to 50. Results shows that first، simulated annealing algorithm has been successful in solving the above problem، and second، by selecting shares appropriately and determining suitable weights from it، smaller Portfolios with more suitable performances can be selected.

Market crash is a phenomenon which occurs in stock markets occasionally and leads to loss of the investors’ wealth and assets in a relatively short period of time. Therefore، attempts for prediction of this phenomenon are of much importance for the investors، financial institutions and government. To this date، numerous and varied studies have been carried out for prediction and modeling of stock markets and their crash. Each of these studies has tried to fulfill this important task more precisely from a different point of view. A brief review of the theories and models presented for prediction of stock market crash indicates that there is not any agreement among the researchers in relation to the observed patterns of variables such as trading volume، returns، volatility، fundamental factors، behavioral indicators، etc. in the stock markets in the pre-crash period. One of the very suitable methods proposed for finding the existing patterns in the data is the self-organizing map neural networks method which is considered as a non-parametric and non-linear method. In this study، a method is proposed for prediction of the crash in the Iranian stock market using the self-organizing map neural networks. The results of implementation of the model and out-of-sample prediction indicate that the model has a relatively acceptable performance in prediction of the pre-crash periods in the stock market.

The purpose of this research is to study the effects of board of director structure on financing constraints companies listed on Tehran Stock Exchange (TSE). In our research from Kaplan and Zingales (KZ) index indigenoused has been used as a proxy for financing constraints. Research statistical population consists of 56 companies of TSE during 2007 to 2013 and the multivariate logistic regression is used. The results suggest that there is no significant relationship between board structure (includes independence، size، degree، changes in the membership and CEO duality) and financing constraints. In addition، the results of research concerning control variables show that there is a significant negative relationship between firm size and financing constraints، however، there is a significant positive relationship between firms age and their financing constraints.