Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
Investigating the relationship between privatization and information efficiency, regime switch and structural failure in the Iranian economy
7
28
EN
Hassan
Galibaf Asl
Faculty Member of Al-Zahra University
ghalibafasl@yahoo.com
Masoomeh
Torkaman Ahmadi
PHD in Economics,
ahmadi1364-m@yahoo.com
10.22034/ijf.2017.58433
<em>Increased government revenues and improved economic efficiency are the main goals of implementing privatization and regime switch in Iran. Information efficiency in the capital market can also be considered as a milestone for increased government revenues and improved economic efficiency. In this study, according to the results of regime switching GARCH models, it is determined that stock returns have had different regimes during the study period (2000-2015). According to the results of the estimation of the three-regime GARCH model, the most important events of the Article 44 of the Constitution in the direction of privatization in Iran's economy and its implementation during the study period have been effective in switching the regimes of the fluctuating process of efficiency. Market risk has also been identified as a factor affecting regime switching in the stock return process, which is due to the behavior of stockholders in low-fluctuation regimes compared to high-fluctuation regimes and liquidity. Also, according to the Kalman filter model, poor performance has been established in Tehran Stock Exchange, which indicates that privatization policy has been effective in improving the efficiency of this marketplace. Using the technique related to the detection of structural failure in the liquidity variable as one of the signs of the stock market depth, the failure of this series was detected by virtue of the implementation of privatization, and it was discovered that privatization increased market liquidity as one of the principles of market development.</em>
Privatization,Efficiency,liquidity,risk,MRS-GARCH model
https://www.ijfifsa.ir/article_58433.html
https://www.ijfifsa.ir/article_58433_c59dd54c74a8f49ca36c990ab68c28ca.pdf
Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
29
46
EN
Maysam
Ahmadvand
Allameh Tabatabaei University
maysam.21989@gmail.com
Seyedeh Mahboobeh
Jafari
Islamic Azad University, South Tehran Branch
majafari22@gmail.com
Hamidreza
Kordlouie
0000-0002-8131-6829
Islamic Azad University, Islamshahr Branch
hamidreza.kordlouie@gmail.com
10.22034/ijf.2017.58445
<em>The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period to be 6 months, and the holding period to be 3,6, or 12 months, we firstlyexamined the profitability of short term (3/6), midterm (6/6), and long term (12/6) momentum strategies and found that during 2010-2015 time period, only midterm momentum strategy is profitable.Then,we showedthere is no relationship between default risk andmomentum effect.</em>
Momentum effect,Default risk,Asset valuation,Tehran Stock Exchange
https://www.ijfifsa.ir/article_58445.html
https://www.ijfifsa.ir/article_58445_43a6857481220089aa57b1dd20c0de2c.pdf
Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
Relations between Earnings Management, Pricing Power and Competition Of Industries
47
71
EN
Saeed
Abdolrahimi
Imam Khomeini International University
saeed.abdolrahimi@eypars.net
Mohammad Amin
Khanlarkhani
University of Allameh Tabatabayi
aminkhanlarkhani@yahoo.com
Mohammad Mehdi
Momenzadeh
University of Allameh Tabatabayi
momenzadeh2000@yahoo.com
10.22034/ijf.2017.58447
Earnings management has a negative effect on earnings quality and it may weaken validity of financial reports. The main focus of researches about earnings management is why companies manipulate earnings. Pricing power of companies can potentially affect earnings management. Since the relation between product pricing power and earnings management has not been studied in Tehran Stock Exchange, this research tries to find a relation between product pricing power and earnings management and a relation between existing competition in industries and earnings management in Tehran Stock Exchange. <br />The results show that there is not a significant relation between pricing power and earnings management. This is due to the mandatory nature of rules and regulations of product pricing in many internal industries. Also, those companies in more competitive industries may manage earnings in order to limit their competitors in obtaining precise information. The results of the present research show that there is a significant relation between existing competition of industries and earnings management in industries such as vehicle & parts, cement, gypsum & lime, chemicals, main metals, tile & ceramic, machinery & equipment, and pharmaceuticals. On the other hand, the results from the research model indicate no direct relation between the competitive pressure and earnings management.
Earnings Management,pricing power,Competition
https://www.ijfifsa.ir/article_58447.html
https://www.ijfifsa.ir/article_58447_42628cb0ee150f4d24e45ad1cfc2e901.pdf
Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
Stock Market Returns before and after Brokerage Firms' Fiscal Year-End: The case of Tehran Stock Exchange
73
84
EN
Mahmood
Pakbaz
Faculty of Financial Sciences, Kharazmi University
Shahin
Ahmadi
AllamahTabatabaie University
shahin.ahmadi1@yahoo.com
Majid
Feshari
Faculty Member of Faculty of Economics, Kharazmi University
10.22034/ijf.2017.58457
Market efficiency paradigm and time patterns concerned, as "calendar anomalies" is a contradictory issue for researches. TSE's market participants have a negative understanding of the 6<sup>th</sup> and 12<sup>th</sup> month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry at the year-end. The purpose of this study is to investigate the TSE's total return before and after brokerage firms' year-end. Using GARCH-PQ, and data of market index in periods between 1390 and 1396, we concluded that periods of1<sup>st</sup> to 22<sup>nd</sup>of 6<sup>th</sup>and 12<sup>th</sup> months,and 22<sup>nd</sup> to the end of 6<sup>th</sup> and 12<sup>th</sup> months, have respectivelynegative and positive effectson TSE's stock index.
Tehran Stock Exchange,credit settlement,calendar anomalies
https://www.ijfifsa.ir/article_58457.html
https://www.ijfifsa.ir/article_58457_e0ec8bea61d3f52de27f90fb0f5de6d8.pdf
Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
The Relationship between Stock Market Liquidity, Firm Characteristics and Dividend Payout: Evidence from Tehran Stock Exchange
85
97
EN
Seyed Ali
Seyed Khosroshahi
University of Tehran
s.a.khosroshahi@gmail.com
Parisa
Vatankhah
University of Tehran
10.22034/ijf.2017.58461
Firms have two choices about earning: paying it out as a dividend, or its reinvestment as a retained earning. In a market without any restrictions on trading, rational investors with liquidity needs can choose between dividend and selling stocks at no cost. In this article, the relationship between trading volume, considering free float as liquidity criterion, and the amount of dividend payout is investigated and the firm characteristics including size, profitability and growth opportunities are controlled.The research sample includes 145 firms thatlisted in Tehran Stock Exchange from 2005 to 2011. The result of the linear regression model shows that the investors in Tehran Stoc<br />k Exchange (TSE) do not consider stock turnover rate as a variable which explains the amount of dividend. Also, the relationship between size and growth opportunities with dividend has not been confirmed; but profitability has a positive significant relationship with dividend. On the other hand, investors in TSE use the profitability as a criterion to determine the dividend.
Dividend Payout,Trading Volume,Free Float Stock,Firm Characteristics
https://www.ijfifsa.ir/article_58461.html
https://www.ijfifsa.ir/article_58461_69a83c5804be4bc4bd1885f9bb0d3edd.pdf
Iran Finance Association
Iranian Journal of Finance
2676-6337
2676-6345
1
1
1999
12
23
Identification of Factors Affecting the Returns and Performance of Financial and Insurance Companies Listed in the Tehran Stock Exchange
99
116
EN
farzad
rahimzadeh
Assistant Professor, Department of Economics and Accounting, Faculty of Humanities, University of Guilan, Rasht, Iran
f.rahimzadeh@guilan.ac.ir
Esmaeil
Dargahi
Mazandaran University
dargahi.2001@gmail.com
10.22034/ijf.2017.58462
Banking and insurance industries are the strategic pillars of every country's economy and play a key role in the economy of countries. Without financial and insurance institutions, the financial sector of the country will be no longer effective. Therefore, determining the factors affecting the returns and performance of these institutions seems necessary. So, in this research, the efficiency and effectiveness of financial and insurance institutions and their influential factors in 18 banks and listed insurance companies in Tehran Stock Exchange were studied. To do this, the data of selected financial and insurance institutions during the period of 2009-2016 were extracted using Rahavard Novin softwareand the model was estimated using the data panel method and Eviews9.0. Before estimating the model, using the unitroot test of the Dickey Fuller, the variables stationary property were checked and confirmed,and the Jarque-Bera testwas approved for the normal distribution of variables.<br />The results of the model estimation showed that at a significant level of 5%, the size of financial and insurance institutions, financial leverage, and the concentration ratio on their performance and returns had a positive effect, and this effect was statistically significant at 5% significancy. Also, credit risk has a negative effect on the performance and returns of these institutions and this effect is statistically significant at 5% significancy. The effect of the volume of state ownership on the performance and returns of financial and insurance institutions is negative, but this effect is not statistically significant for the returns of these institutions.
performance,Returns,Financial and Insurance Institutions,data panel
https://www.ijfifsa.ir/article_58462.html
https://www.ijfifsa.ir/article_58462_3750c686fbf93f07fb090e1976640408.pdf