Hossein Esmaeili Komar Olia; Bahman Banimahd; Sina Kheradyar
Abstract
Tax avoidance is making use of legal loop holes to display an individual's financial situation as if it were lower than what it is in order to decrease the amount of income tax owed. Behavioral economics and taxation literature indicate that psychological factors can provide further insight on accountants' ...
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Tax avoidance is making use of legal loop holes to display an individual's financial situation as if it were lower than what it is in order to decrease the amount of income tax owed. Behavioral economics and taxation literature indicate that psychological factors can provide further insight on accountants' financial decisions. The literature claim that tax compliance can be influenced by an individual’s personality and beliefs. Therefore, in this research, the effects of psychological variables including Machiavellianism, emotional manipulation and moral foundations are examined on tax avoidance in accounting and finance professions. The aim of this study is to investigate the role of Machiavellianism and emotional manipulation as two negative attributes of human beings and moral foundations in tax avoidance in listed and unlisted firms. For this purpose, a sample consisting of 500 accountants and financial managers of listed and unlisted companies of Tehran stock exchange was selected. This study is an applied and descriptive survey. The hypotheses of the research have been analyzed by structural equation modeling using Lisrel software. The evidence of this study show that Machiavellianism has a positive and moral foundations have a negative effect on tax avoidance. But, this study doesn’t confirm any significant relation between emotional manipulation and tax avoidance. This paper also states that social and psychological variables would explain the tax avoidance phenomenon.
Arezoo Aghaei Chadegani; Khadijeh Ebrahimi Kahrizsangi
Abstract
Breakdown of reporting detected misstatements can cause serious problems because it reflects poor audit quality and can lead audit firm to failures. Due to the magnitude of the quality of auditors’ work, many studies have attempted to identify influencing factors on auditors’ intention to ...
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Breakdown of reporting detected misstatements can cause serious problems because it reflects poor audit quality and can lead audit firm to failures. Due to the magnitude of the quality of auditors’ work, many studies have attempted to identify influencing factors on auditors’ intention to act ethically. This study ascertains how external auditors decide to report the detected misstatements in terms of their individual characteristics, ethical culture and team norms according to the theory of planned behavior. Data are collected using 257 survey questionnaires which are distributed among audit seniors. Statistical analyses indicate that ethical culture and team norm moderate the influence of individual factors on auditors’ intention of reporting misstatements. In fact, the association between locus of control, personality type and auditors’ work quality moderate by audit firm ethical culture and team norms.
Zahra Kohandel; Ghodrat Allah Talebnia; Hashem Nikoomaram
Abstract
Based on the capital market’s nature, accountants and auditors’ information is provided by an effective influence of personal decisions and market results, derived systematically by information structure and market participants’ features. Auditors’ choices are influenced by perception, ...
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Based on the capital market’s nature, accountants and auditors’ information is provided by an effective influence of personal decisions and market results, derived systematically by information structure and market participants’ features. Auditors’ choices are influenced by perception, judgment and decision options processes, which may affect auditing errors. The study purpose is to investigate auditors’ different biases and decision-making factors on errors based on a cognitive approach in the capital market. The model’s objective is practical based on a descriptive-analytical methodology. The statistical population of the study includes all certified auditors of Iran's Securities and Exchange Organization (SEO), whom were provided with the researcher-made questionnaires with valid narration and reliability. The collected data were analyzed by AMOS software. The findings indicate that components of the cognitive bias are predictable by auditors’ errors based on the priority level and maximum influences, including mental accounting bias (63%), availability bias (45%), heuristic bias (60%), and ambiguity aversion bias (58%). Also, components of decision-making are predictable by auditors’ errors based on the priority level and maximum influences, including decision case (54%), job experience (57%), decision-making situation (58%) and individual features (45%).
Amir Abbas Sahebgharani; Ghasem Bolo
Abstract
The growing expansion of financing through the capital market and the introduction of guidelines for the establishment of credit rating agencies require the development of appropriate credit rating models for financial instruments, on the other hand, the capital financing market framework is centered ...
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The growing expansion of financing through the capital market and the introduction of guidelines for the establishment of credit rating agencies require the development of appropriate credit rating models for financial instruments, on the other hand, the capital financing market framework is centered around sukuk bond. According to the SEO, in the case of credit rating agencies, Sukuk rating will also be required. On the basis of the above, the present study attempted to develop a credit rating model for Ijareh Sukuk as the most important and most advanced tool in financing the capital market, on the one hand, the problems with issuing a Ijareh Sukuk, including the mandatory existence of the guarantor, and, on the other hand, the transparency of the market will provide financing and accelerate the financing process through this market. In the present study, after studying the theoretical foundations, including the rules and instructions issued by the supervisory authority of the capital market, theoretical and scientific principles regarding the rating of securities and institutions procedures in the field of credit rating Ijareh Sukuk, the basic The model of credit rating is then developed, then the dimensions, components and indexes of the model have been subjected to expert opinion using the Delphi research method. Finally, based on the received comments, the final framework of the Ijareh Sukuk rating system was developed on Iran's capital market.
Atiyeh Dadjoye Tavakoli; MohammadAli Hosseini; Mostafa Niknami; Mohammad Javad Salehi
Abstract
Optimizing the financing of Iran's higher education system faces major challenges such as smallness of the private sector, lack of a competitive market in knowledge production, the state's small role in higher education, and also the absence of new financial instruments in the capital market along with ...
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Optimizing the financing of Iran's higher education system faces major challenges such as smallness of the private sector, lack of a competitive market in knowledge production, the state's small role in higher education, and also the absence of new financial instruments in the capital market along with the development of the money market. As a result, the most important financing resources and major clients of academic research projects are state-run organizations, which also raise finance through tuition. Apparently, there are a few reasons why the higher education system should change its financing methods to achieve great goals. These reasons include intensified economic sanctions, declined capacity of the state to finance this sector, decreased power of families and firms to cover educational and research expenses through private budgets, and the necessity of making higher education expenses efficient with respect to the need to train the future workforce. The method of this study is a descriptive-qualitative, which was carried out in two stages of the library and the implementation of the Delphi method by referring to 20 experts. Aiming to introduce new instruments to make banking asset-backed securities (of facilities type) to education and research clients (families and firms), this study seeks to prove the hypothesis that the mortgage-backed securities can be employed to achieve the following goals. The first goal is to grant facilities to the students who are financially unable to pay tuition. This relieves the pressure on the Students Welfare Fund. The second goal is to grant business financing facilities to talented students. Finally, the third goal is to finance the firms that have research needs but are unable to cover the expenses through their revenues. Regarding 17 indicators, the research findings indicate that experts reached a consensus (Kendall's W= 0.702).
Ghodratollah Emamverdi; Mojtaba Karimi
Abstract
Investment is an essential factor in a country’s economic development. Meanwhile, return and risk have been effective factors in investment. Today, many financial economists have accepted Risk or Beta as a standard tool for assessing the risk involved in certain actions. This paper has been conducted ...
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Investment is an essential factor in a country’s economic development. Meanwhile, return and risk have been effective factors in investment. Today, many financial economists have accepted Risk or Beta as a standard tool for assessing the risk involved in certain actions. This paper has been conducted to find a way to obtain the risk of industries in different timescales included in the short-term and long-term. The statistical population includes a daily index of selected industries (including banks and the food, and car industries) from 2009 to 2014. The present study has measured the risk in different timescales using the wavelet analysis, and consequently, the risk time series have been expressed using a State- Space model. The direct relation between the risk of the selected industries and the market have been eventuated in which, an increase in return of the market would lead to an increase in return of industries and this has also been proven when there is a reduction in return.
Heidar Foroughnejad
Abstract
This study aims to investigate the correlation between the diversification and accruals quality (AQ) in Iran’s mutual funds considering two main hypotheses and four sub-hypotheses. This research investigates the effects of cases such as beta of the company, the company's return on assets, debt ...
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This study aims to investigate the correlation between the diversification and accruals quality (AQ) in Iran’s mutual funds considering two main hypotheses and four sub-hypotheses. This research investigates the effects of cases such as beta of the company, the company's return on assets, debt ratio of company, firm's size, and accrual quality on the company's cost of capital and considers the effect of mutual funds’ diversification on decreasing information risk calculated through accruals quality in Tehran Stock Exchange (TSE) and Iran Farabourse listed companies. This research investigates 42 mutual funds from 2009 to 2013. Furthermore, the financial data of companies is considered for 20 years up to 2013 in order to calculate the accruals quality. The research results indicate that the factors such as the company's beta, the company's return on assets, and the ratio of firm's debt have direct correlation with cost of capital and this indicates that the increased risk in the form of beta and debt ratio increases the investors' expected return. However, the firm's size is inversely correlated with the cost of capital indicating that the increased firm's size provides the possibility of borrowing and bargaining at lower costs for companies. Furthermore, diversification in mutual funds results in lowering information risk caused by low accrual quality. Accordingly, the result of this research can help the mutual funds’ managers and investment companies to better manage their investments
Mohammad Bagher Karimi; Reza Tehrani; Mohammad Hossein Ghaemi; Seyyed Mojtaba Mirlohi
Abstract
Market participants use different tools basically technical or fundamental analysis to have a higher return in constructing a well-maintained portfolio. Examining the efficiency of technical strategies in creating a portfolio is the main objective of this study. Technical analysis is based on using historical ...
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Market participants use different tools basically technical or fundamental analysis to have a higher return in constructing a well-maintained portfolio. Examining the efficiency of technical strategies in creating a portfolio is the main objective of this study. Technical analysis is based on using historical trading data to launch selling and buying rules that maximize return and still control risks of loss. We use the adjusted trading data of 50 active stocks in the Tehran Stock Exchange as our sample which includes daily trading data from 2008 to 2019. We construct two types of portfolio; strategy-based portfolio versus random one. Then we calculate abnormal returns of each type of portfolio, applying the Monte-Carlo technique. Using Independent-Samples T-Test to compare means of the abnormal returns, our findings show that there is a significant positive abnormal return for both strategies applied in constructing a portfolio (0.057 and 0.062 mean difference for the first and second strategy, respectively), confirming the higher efficiency of applying technical strategies in portfolio management. Therefore, it is suggested to have and apply a strategy or combination of strategies for trading as an active participant, instead of constructing, rebalancing and maintaining one’s portfolio only by chance, since there will be undesirable results in the long-run.
Ahmad Zandi; Mehrdad Ghanbari; Babak Jamshidi Navid; Alireza Moradi
Abstract
Information is like a strategic decision-making tool in which the quality of decisions will merely depend on the information used at the time of making those decisions. The purpose of this research is to assist individual investors in Tehran Stock Exchange by providing them a logistic model enabling ...
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Information is like a strategic decision-making tool in which the quality of decisions will merely depend on the information used at the time of making those decisions. The purpose of this research is to assist individual investors in Tehran Stock Exchange by providing them a logistic model enabling them to predict their trading behavior. The data in this research has been collected from the statistical population of the study through variables, believed to have effects on the investors' process of decision making. Therefore, in order to achieve the statistical data, 2400 transactions in the form of 100 transactions, including buy and sell of stock shares from March 2017 until February 2019 have respectively been collected as samples. Based on the results of the logistic regression test, the behavior of institutional investors, as well as the volume of stocks traded have a significant positive impact on the behavior of individual investors (the probability of buying shares by them) versus the Beta, earnings per share, and dividends per share that have a negative effect on the probability of purchasing shares by individual investors. The analysis of the results suggests that individual investors are mainly subject to collective behavior which in particular is the same behavior of institutional investors. On the other hand, they tend to invest in stocks with low beta (defensive stocks) along with factors such as earnings per share and dividends per share which have less impact on the probability of stock purchases by individual investors.
Mahmood Pakbaz; Shahin Ahmadi; Majid Feshari
Abstract
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 6th and 12th month of the fiscal year and this issue is rooted in the obliged credit settlement of the brokerage industry ...
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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 6th and 12th 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 of1st to 22ndof 6thand 12th months,and 22nd to the end of 6th and 12th months, have respectivelynegative and positive effectson TSE's stock index.
Ali Namaki; Reza Raei; Nazanin Asadi; Ahmad Hajihasani
Abstract
Networks are useful tools for presenting the relationships between financial institutions. During the previous years, many scholars have found that using single-layer networks cannot properly characterize and explain complex systems. The purpose of this research is to introduce a multiplex network in ...
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Networks are useful tools for presenting the relationships between financial institutions. During the previous years, many scholars have found that using single-layer networks cannot properly characterize and explain complex systems. The purpose of this research is to introduce a multiplex network in order to analyze, as accurately as possible, all aspects of communication between banks in capital market of Iran. In this article, each bank represents a node and three layers of return, trading volume and market Cap have been presented for analyzing the idea of multiplex networks. We have used the Granger causality method to determine the direction between nodes. For understanding the topology structure of these layers, different concepts have been used. The research findings show that the value layer topology has a significant similarity with the trading volume layer. Also according to the measure of centrality it can be seen that the centrality varies in different layers.
Ali Rahmani; Gholamreza Solimani; Mandana Taheri
Abstract
Shareholders in the capital market always demand Reporting and disclosure and based on information that disclosure; they change their expectations of risk and returns. Disclosure has an economic consequence and the risk disclosure, in addition to economic consequences, has an effect on financial and ...
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Shareholders in the capital market always demand Reporting and disclosure and based on information that disclosure; they change their expectations of risk and returns. Disclosure has an economic consequence and the risk disclosure, in addition to economic consequences, has an effect on financial and banking stability. In this paper, we survey the risk disclosure of economic consequences and its effect on banking stability. We count the number of the risk disclosures in Iranian banks' financial statements by using the quantitative content analysis methodology and indexation of Iran's risk disclosure regulation. According to the estimation of panel data from 18 banks to period 2011-2016, we find that risk disclosure has a negative and significant relationship with stability and a positive and significant relationship with the cost of capital.
Mohsen Hemmati; Naghi Fazeli; Seyfolah Saedodin
Abstract
The evaluation of corporate social responsibility has gained significance over the past decade due to the importance of natural and environmental resources. Many studies have been conducted on corporate social responsibility and the presented related models, which add to the importance of this report. ...
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The evaluation of corporate social responsibility has gained significance over the past decade due to the importance of natural and environmental resources. Many studies have been conducted on corporate social responsibility and the presented related models, which add to the importance of this report. However, in addition to its significance, many researchers also believe that corporate social responsibility evaluation models lack the necessary efficiency due to different interpretations, lack of transparency, and abuse of some companies in order to deceive and commit fraud. Therefore, the aim of this research is to present a model to evaluate corporate social responsibility using value added, which can be a suitable criterion in evaluating the social responsibility of commercial entities. In the present study, first, a model was developed based on corporate social responsibility, and then, to test the model, social value added of Nano motor oil was studied as a case study. In this study, data was analyzed through pairwise comparison. The findings of the study conducted on the social value added of Nano motor-oil indicate economic efficiency of 40%, product social efficiency of 8%, and depicts a 38-times increase in social value added compared with its economic added value. Thus, Nano-engine oil producing companies are located on the corporate social responsible category and the corporate social responsibility in this product is on the third level (strong) that indicates the product’s efficiency in the community and can be a suitable incentive for all business organizations to pay more attention to their products’ environmental and social impacts.
Ghodratollah Emamverdi
Abstract
Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach combining Copula functions, Extreme Value Theory ...
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Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach combining Copula functions, Extreme Value Theory (EVT) and GARCH-GJR models. We investigate the interactions between Tehran Stock Exchange Price Index (TEPIX) and Composite NASDAQ Index. We first use an asymmetric GARCH model and an EVT method to model the marginal distributions of each log returns series and then use Copula functions (Gaussian, Student’s t, Clayton, Gumbel and Frank) to link the marginal distributions together into a multivariate distribution. The portfolio VaR is then estimated. To check the goodness of fit of the approach, Backtesting methods are used. The empirical results show that, compared with traditional methods, the copula model captures the value more successfully.
Saghar Nikpour; Mojtaba bahmani; sayyed Abdolmajid Jalaee; Mehdi Nejati
Abstract
This article investigates the financial convergence between Iran, OPEC & the Shanghai Organization trade groups, of which Iran is a member. The analysis covers the period of 2005 to 2017.In order to examine the convergence dynamics of these financial markets; we have employed the Philips and ...
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This article investigates the financial convergence between Iran, OPEC & the Shanghai Organization trade groups, of which Iran is a member. The analysis covers the period of 2005 to 2017.In order to examine the convergence dynamics of these financial markets; we have employed the Philips and Sul (2007) methodology, which uses a nonlinear time-varying factor model. This paper provides a comprehensive picture of the financial systems within Iran and its convergence clubs by testing the convergence of their money market with domestic credit to private sector by banks (% of GDP), deposit and lending interest rate, real interest rate, and capital market with Stocks traded, total value (% of GDP). The empirical findings show that money and stock markets of OPEC and the Shanghai group do not form a homogenous convergence club. Results show that Iran has convergence with some countries in OPEC and the Shanghai group in money and stock markets, which can be explained by their similar economic indicators in both markets. Furthermore, the convergence speed between Iran and the Shanghai countries is higher than that of Iran and OPEC countries, which proves that joint trade agreements are stronger reasons for convergence than the oil factor. Iran should implement further structural reforms in order to achieve greater financial convergence with its joined groups.
Mohammad Javad Salimi; Mir Feiz Fallah; Hadi Khajezadeh Dezfuli
Abstract
Optimal Portfolio Selection is one of the most important issues in the field of financial research. In the present study, we try to compare four various different models, which optimize three-objective portfolios using “Postmodern Portfolio Optimization Methods”, and then to solve them. These ...
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Optimal Portfolio Selection is one of the most important issues in the field of financial research. In the present study, we try to compare four various different models, which optimize three-objective portfolios using “Postmodern Portfolio Optimization Methods”, and then to solve them. These modeling approaches take into account both multidimensional nature of the portfolio selection problem and requirements imposed by investors. Concretely different models optimize the expected return, the down side risk, skewness and kurtosis given portfolio, taking into account budget, bounds and cardinality constrains. The quantification of uncertainty of the future returns on a given portfolio is approximated by means of LR-fuzzy numbers, while the moments of its returns are evaluated using possibility theory. In order to analyze the efficient portfolio, which optimize three criteria simultaneously, we build a new NSGAII algorithm, and then find the best portfolio with most Sortio ratio from the gained Pareto frontier. Thus, in this paper we choose 153 different shares from different industries and find their daily return for ten years from April of 2006 till March of 2017 and then we calculate their monthly return, downside risk, skewness, kurtosis and all of their fuzzy moments. After designing the four models and specific algorithm, we solve all of the four models for ten times and after collection of a table of the answers, compare all of them with Treyner ratio. At last, we find that using fuzzy and possibistic theory make higher return and better utilized portfolios.
Seyed Ali Seyed Khosroshahi; Parisa Vatankhah
Abstract
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 ...
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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 Stock 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.
Mirzahasan Hosseini; Neda Bashiri
Abstract
This study was conducted for designing and explaining the convergence-based financial services marketing model in Tehran Stock Exchange. This study was mixed (qualitative-quantitative), and in the qualitative phase, a group of experts in the field of financial services marketing and senior managers of ...
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This study was conducted for designing and explaining the convergence-based financial services marketing model in Tehran Stock Exchange. This study was mixed (qualitative-quantitative), and in the qualitative phase, a group of experts in the field of financial services marketing and senior managers of asset management companies were selected and unstructured interview was done for modelling based on ground theory. In the quantitative phase, customers of asset management companies were considered as the statistical population and 500 statistical samples were selected and questioned by questionnaires and 26 hypotheses derived from the initial model were tested. All hypotheses were confirmed but the effect of risk-taking and history of financial services providers on convergence of trends and indexes were rejected. There was also no relationship between history and requirements. Also, conditions and economic fluctuations governing the society and history of financial services providers did not have a significant effect on adherence to requirements of stock exchange. Finally, the results led to the design of convergence-based financial services marketing model in Tehran Stock Exchange (based on the structure of the paradigm model). Comparing the model of the present study with previous models in the field of financial services marketing, an important and innovative point is the attention of asset manager companies to convergence in the financial markets, which was identified as one of the effective strategies for promoting perceived value and customer loyalty and its effect was also proved. Paying attention to the concept of convergence and contagion between markets and paying attention to parallel markets to get more returns is a significant factor in attracting financial services customers.
Zahra Haeri Nasab; Kiomars Sohaili
Abstract
The Stock Exchange is a private sector savings and liquidity fund to fund long-term investment projects. The indicators of this market are influenced by several factors, one of which are economic variables. Banks are also one of the most important investors in the financial market. In this study, the ...
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The Stock Exchange is a private sector savings and liquidity fund to fund long-term investment projects. The indicators of this market are influenced by several factors, one of which are economic variables. Banks are also one of the most important investors in the financial market. In this study, the effect of exchange rate, bank interest rate, liquidity and inflation rate on stock price index using time series data of 1978-1988 and using equation system model of four equations of the stock price index, inflation rate, profit rate Deposits, and facility interest rates were estimated using the three-stage least squares method. The results showed that the effect of the exchange rate, deposit interest rate and positive liquidity volume and the effect of inflation rate on stock price index was negative. Other equations have been estimated because of the relationship between the bank interest rate and inflation rate, and the results show that both deposit interest rate and facility interest rate have a positive relationship with the inflation rate
Mohammad Esmaeil Fadaeinezad; Hamid Banaeian
Abstract
This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly ...
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This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly data for ten years’ period of time(2008-2017) in Iran’s economy we design optimum model and test its capability and estimation power. The results illustrate the efficiency of the achieved model. Furthermore, taking the practical nature of this paper into account, we come up with optimum lag of time and the period of time required to achieve equilibrium in any market and the entire economy as a prototype in the frame of Stock Exchange.
Elham Adakh; Arefeh Fadavi Asghari; Mohammad Ebrahim Mohammad Pourzarandi
Abstract
In order to survive in the modern world, organizations must be equipped with the mechanisms that not only maintain their competitive advantage, but also result in their progress and improvement. Prediction of banks’ performances is an important issue, and a poor performance in banks may primarily ...
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In order to survive in the modern world, organizations must be equipped with the mechanisms that not only maintain their competitive advantage, but also result in their progress and improvement. Prediction of banks’ performances is an important issue, and a poor performance in banks may primarily lead to their bankruptcy, thereby affecting national economics. The bank performance prediction model uses scientific and systematic approaches to diagnose the financial operations of institutes. According to a precise and strict evaluation, the model can detect the weakness of institutions in advance and provide early warning signals to related financial governments. In the present study, we have used three data mining models to predict the future performance of the banks accepted in Tehran Stock Exchange (TSE) and Iran Fara Bourse. Initially, 53 financial ratios were selected and, consequently, reduced to 28 using the fuzzy Delphi technique. The statistical population included 18 banks listed on TSE and Iran Fara Bourse, which provided their financial statements during the period of 2011 to 2017. Data were collected from the Codal site based on 28 financial ratios using C4.5 decision tree, AdaBoost, and Naïve Bayes algorithm. According to the findings, the Naïve Bayes algorithm was the optimal predictive model with the accuracy of 88.89%.
Alireza Ghonji Feshki; Mohammad Hamed Khanmohammadi; Shohreh Yazdani
Abstract
Governments always affect the economic environment as legislators in the field of business. The economic conditions governing the market and business require different conditions and contexts for decision making and corporate execution practices. Companies and managers administering them under environmental ...
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Governments always affect the economic environment as legislators in the field of business. The economic conditions governing the market and business require different conditions and contexts for decision making and corporate execution practices. Companies and managers administering them under environmental conditions, achieve their goals by employing various earnings management methods. Hence, the present study examines the effect of governments’ economic performance on the earnings management methods used in listed companies of Tehran Stock Exchange (2004-2016) for a sample of 16 industries and 271 companies. To test the hypotheses, multivariate regression model was used. The results showed that during the research period, companies managed earnings, and while more than 70% of companies used the accrual earnings management method, there was a relationship between annual economic indicators and real earnings management, and the change in general level of prices and the political connections of states have affected the relationship. Also, the accruals-based earnings management method occurred independent of annual economic indicators and there is a significant relationship between governments changes and earnings management methods.
CharaghAli Bakhtiyariasl; Sayyed Mohammad Reza Davoodi; Abdolmajid Abdolbaghi Ataabadi
Abstract
Technical analysis is constituted as an approach in the market analysis which is based on the study of pricing behavior and shares size in the past and price determination and its procedure in the future. Algorithmic transactions are growing rapidly in order to automate business strategies, given the ...
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Technical analysis is constituted as an approach in the market analysis which is based on the study of pricing behavior and shares size in the past and price determination and its procedure in the future. Algorithmic transactions are growing rapidly in order to automate business strategies, given the arrival of computer-based technologies and the rapid processing of bulky information. Trading systems combine input information and ultimately identify the time of purchase and sale by forming one signal. In this paper, the training system is a kind of fuzzy inference system that combines fuzzified RSI and SO signals from technical analysis. The system’s trade rules database (selling, buying, and holding) would be calculated based on an optimization process using PSO. This optimization process should be repeated at certain intervals to keep the system up to date. This process is called the corrective property of systems. The findings on the overall index in the period 2001/3/21-2019/3/20 indicate that the system having optimized training on training data has an average daily return of /0027, risk-taking of /0065 and the daily sharp ratio of /42. Concerning the index of return and sharp ratio, the findings reveal that the system outperforms the signals and the market performance.
Yahya Hassas Yeganeh; Hojjat Sattari
Abstract
Classic finance believes that stock price changes are related to systematic changes in the company's intrinsic values. However, recent research shows that behavioral factors play a very important role in determining stock prices and returns of investors, one of these behavioral patterns is noise trading. ...
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Classic finance believes that stock price changes are related to systematic changes in the company's intrinsic values. However, recent research shows that behavioral factors play a very important role in determining stock prices and returns of investors, one of these behavioral patterns is noise trading. The purpose of this study is to investigate the effect of unsystematic risk fluctuations on noise transactions. For this study, we use the random variance of the capital asset pricing model-disrupted unit as a measure of unsystematic risk fluctuations and for measuring noise trading We used a comparison of company market value with industry companies the average market value. The research sample included 92 companies listed in the Tehran Stock Exchange during the period of 2011-2016. The result of the test the hypothesis of the research showed that the relationship between unsystematic risk fluctuations and noise trading using is positive and significant and thus unsystematic risk fluctuations can be used as a criterion for detecting noise trading.
farzad rahimzadeh; Esmaeil Dargahi
Abstract
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 ...
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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.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.