Hossein Salmanzadeh; Gholamreza Kordestani; Hossein Kazemi
Abstract
The management control system provides valuable information on the managers' needs at different levels of the organization. Today, with changes in the political, social and economic dimensions, the management control system in the public sector also needs to be changed and adapted to new conditions and ...
Read More
The management control system provides valuable information on the managers' needs at different levels of the organization. Today, with changes in the political, social and economic dimensions, the management control system in the public sector also needs to be changed and adapted to new conditions and use new tools to meet stakeholders’ needs. The purpose of this study is to provide a model to investigate the role of the management control system and increase accountability in the public sector administrations and companies. In this regard, the present study explores the role of functions of management accounting in improving the management control system in the public sector. For this purpose, data were collected through interviewing 13 experts in the field of the management control system and functions of management accounting and reviewing related texts, articles and books in this field, and their content was analyzed through grounded theory and content analysis method and MAXQDA 2021 software was used for data analysis in 1399. The findings of this study showed that a management control system, if it has the necessary tools, can play a key role in preventing corruption, increasing transparency and accountability, performance-based budgeting, and performance-based auditing. The existence of a management control system is necessary for any organization; such a system will help identify resource flow, help management in decision making, motivate employees, make decisions related to outsourcing and contracting, reduce service delivery time, and many other issues in organizations, and it will ultimately lead to optimally allocate resources, prevent corruption, and increase legitimacy, transparency and accountability, Therefore, the optimal use of management accounting in the management control system, improves the achievement of organizational goals and the effectiveness of programs
Hassan Koohi; Majid Ashrafi; Ebrahim Abbasi; Jomadoordi Gorganli Davaji
Abstract
Rising inflation in recent years has caused financial distress and many problems for companies. Most of these problems are affected by life cycle stages. One way out of these problems is to increase corporate social responsibility (CSR) performance. Therefore, our aim in this study is to investigate ...
Read More
Rising inflation in recent years has caused financial distress and many problems for companies. Most of these problems are affected by life cycle stages. One way out of these problems is to increase corporate social responsibility (CSR) performance. Therefore, our aim in this study is to investigate the effect of CSR performance on financial distress over the life cycle of the company for a period of 10 years. Data collection was done through the website of the Tehran Stock Exchange and related software for a sample of 112 companies during the period 2009 to 2019. The mathematical method (directional distance function) is used to evaluate the CSR performance, and the models of Berger et al., Almida, Campello, and Altman are used to measure financial distress. The research hypotheses are tested using panel data and fixed effects by multivariate regression statistical method. The results show that CSR performance alone does not affect financial distress. The combination of CSR and life cycle in the growth and maturity phases has a significant and negative effect on financial distress. The CSR performance and life cycle together reduce financial distress. The combination of CSR performance and life cycle in the recession phase has a positive and significant effect on financial distress and in the fall phase, does not affect it. Given that companies compete more in the phase of growth and maturity than other phases of the life cycle, they also pay more attention to CSR. Therefore, according to these results, it can be concluded that the life cycle of the company and the CSR performance together, reduce financial distress.
Mehdi Daryaei; Reza Radfar; Javad Jassbi; Abbass Khamseh
Abstract
While travelers' desire to visit the world's most remote places has grown, the inefficiency of global payments indicates a significant barrier to tourism growth. As an emerging, decentralized, and borderless digital innovation, Bitcoin technology seems to have the ability to serve as a payment alternative ...
Read More
While travelers' desire to visit the world's most remote places has grown, the inefficiency of global payments indicates a significant barrier to tourism growth. As an emerging, decentralized, and borderless digital innovation, Bitcoin technology seems to have the ability to serve as a payment alternative and address such fundamental inefficiencies. On the other hand, bitcoin adoption can only happen when tourists and business owners choose to operate bitcoin simultaneously. The study has developed a novel Bitcoin Collaborative Network and Tourism Collaborative Network model to examine Bitcoin adoption factors. Then a fuzzy DEMATEL method was applied to the factors influencing the adoption domain, as identified based on an extensive literature review, in-depth interviews, and an international Delphi process. The study offered a model for the heterogeneous collaborative network of Bitcoin and Tourism (BCN and TCN), revealing that Perceived Usefulness is the most influencing criterion and the most prominent variable in Bitcoin Adoption. Bitcoin Technological Complexity, Government Regulatory, and Bitcoin Awareness are the factors that give the highest impacts. Also, Bitcoin's Technological Complexity is the most significant factor in bitcoin adoption. The findings might assist businesses in adopting a new market expansion strategy and benefiting from technological spillover, while government officials can explore new supporting legislation.
Roozbeh Sardari; Mohammadreza Setayesh; Hamidreza Kordlouie; Bahman Banimahd
Abstract
A manager’s personality and psychological attributes may influence his or her performance, thereby affecting the quality of financial reporting by companies. On the one hand, today there is an increasing requirement for protecting the interests of investors as providers of investment and the most ...
Read More
A manager’s personality and psychological attributes may influence his or her performance, thereby affecting the quality of financial reporting by companies. On the one hand, today there is an increasing requirement for protecting the interests of investors as providers of investment and the most important group of accounting information and financial report users. The development of audit committees is among the mechanisms expected to be effective in protecting the interests of different groups of accounting information and financial report users. In order to act effectively, an audit committee must be independent. Therefore, the present study aims to examine the role played by the independence of audit committee members as a quality of an audit committee to identify how it may moderate the relationship between managers' narcissism and real earnings management in the firms listed in the Tehran Stock Exchange (TSE) using a statistical sample consisting of 642 observations (year-firm) over the period 2013-2018. The findings obtained through hypothesis testing using statistical analysis of panel data suggest that independence of audit committee members does not moderate the relationship between CEO's narcissism and real earnings management through abnormal cash flow, real earnings management through abnormal production, and real earnings management through abnormal discretionary expenses. Thus, the independence of audit committee members as a moderator cannot moderate the relationship between CEO's narcissism and real earnings management
Samira Khonsha; Mehdi Agha Sarram; Razieh Sheikhpour
Abstract
Portfolio allocation with Deep Reinforcement Learning (DRL) has been the focus of many researchers. In investing, a portfolio optimization strategy is selecting assets that maximize return on investment while minimizing the risk. Asset optimization involves balancing risk and return, where stock returns ...
Read More
Portfolio allocation with Deep Reinforcement Learning (DRL) has been the focus of many researchers. In investing, a portfolio optimization strategy is selecting assets that maximize return on investment while minimizing the risk. Asset optimization involves balancing risk and return, where stock returns are profits over time, and risk is the standard deviation value of the asset's return. Many of the existing methods for portfolio optimization are essentially the expansion of diversification methods for assets in the investment. Signiant drawdowns and early entry into the share are still challenging in portfolio construction. The idea is that having a portfolio based on net money flow is less risky than allocating a portfolio based on historical data only and turbulence as risk aversion. This paper proposes a profitable stock recommendation framework for portfolio construction using the DRL model based on the net money flow (MNF) indicator. We develop a new risk indicator based on the intelligent net-flow behavior of smart money to help determine the optimal market timing for buying and selling. The experimental results of real-world trading scenario validation show that the model outperforms all the considered baselines and even the conventional Buy-and-Hold strategy. Moreover, in this paper, the effect of defining different environments made of various information with hyper parameter optimization on the performance of models has been investigated, and the performance of DRL-driven models in different markets and asset positions has been investigated. The empirical results show the dominance of DRL models based on MNF indicators.
Reza Raei; Ali Namaki; Hanie Vahabi
Abstract
Banked based financial sector of Iran leads us to focus on the banking industry and its components. One of the important aspects of this industry is its coupling structure. In this paper, we have analyzed the collective behavior of Iran banking sector by Random Matrix Approach (RMT). This technique is ...
Read More
Banked based financial sector of Iran leads us to focus on the banking industry and its components. One of the important aspects of this industry is its coupling structure. In this paper, we have analyzed the collective behavior of Iran banking sector by Random Matrix Approach (RMT). This technique is useful for splitting the information part of the correlation matrix from the random region. This research confirms good compliance with random matrix predictions. By removing the market mode of the system the average of the banking cross-correlation matrix changes. Then, by calculation of the participation ratio, node participation ratio and relative participation ratios of these banks, it is shown that the collective behavior of the system is so fragile. Also, by applying local and global perturbations on the banking sector, it is shown that this system is very sensitive to the global perturbation and the mean value of cross-correlations decreases rapidly that means some banks have crucial effects in the market.
Shaghayegh Mahboubi Zadeh; Hassan Ghalibaf Asl
Abstract
Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models ...
Read More
Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models of the (GARCH) family in each of the above industries by using regime transitions. After the risk of return on index is obtained for each industry, the optimal portfolio is created in the next step based on VaR minimization, and the optimal value of each industry is determined in the portfolio. According to the results, (MRS-FIEGARCH) model had no superiority in VaR estimation over the other parametric models of the GARCH family. In fact (MS-EGARCH-t) was introduced as the optimal model. Among the designated industries, returns on indices followed regime transitions only in chemical products and investment by showing asymmetric reactions to external shocks. Moreover, the optimal weights were on the rise in the industries where VaR decreased over time, whereas the optimal weight of the portfolio decreased in the industries where VaR increased over time. The higher share of an optimal portfolio belonged to the industries where stock returns had lower rates of VaR. The risk-return-ratio was employed to show that the optimal portfolio with a risk rate was measured by considering the switching regime was superior over the optimal portfolio with a risk rate extracted without considering the switching effects. To create an optimal portfolio, it is then recommended to make investments in the industries characterized by higher stability in prices and lower fluctuations in stock returns in the long run. This approach can be employed to obtain the best results from optimal portfolio preparation in the worst-case scenario of the market fluctuations.
Shoeib Abbasi; Amin Nazemi; Navid Reza Namazi
Abstract
It is necessary for decision-makers to have a rating system in the banking industry in order to reflect the banks' status and performance. Although most institutions across the countries have rating banks and financial institutions, there is a lack of a comprehensive rating system across Iranian banks. ...
Read More
It is necessary for decision-makers to have a rating system in the banking industry in order to reflect the banks' status and performance. Although most institutions across the countries have rating banks and financial institutions, there is a lack of a comprehensive rating system across Iranian banks. Rating requires identifying the appropriate criteria according to the environmental and macroeconomic conditions. For this purpose, 35 components are determined through the opinion of 34 banking and academic experts using the Delphi method and rating is done by the TOPSIS method for 15 banks listed on the Tehran stock exchange over the period of 5 years from 2015 to 2019. The results show that in addition to the quantitative aspects, the qualitative aspects and aspects related to environmental and macro aspects are effective in the native model of banks ratings. Also, there is a positive and significant relationship between banks stock prices variation and the suggested ratings. The obtained results showed that there is a positive and significant correlation between the comprehensive model and early warning system so that the bank's position can be relatively described in the early warning system by identifying it within the model. This evidence addresses the need for a comprehensive consideration of proposed indicators to evaluate and rate banks.
Ali Naeej Haghighi; Parviz Saeidi
Abstract
New technology ventures currently play a key role in the economic performance of countries. Financing methods are among strategic issues facing entrepreneurs for launching a business, which must be reviewed by researchers and policymakers of finance and investment; thereby new technology ventures are ...
Read More
New technology ventures currently play a key role in the economic performance of countries. Financing methods are among strategic issues facing entrepreneurs for launching a business, which must be reviewed by researchers and policymakers of finance and investment; thereby new technology ventures are of importance in the economic growth trend and sustainable development.This study is aimed at reviewing the effects of internal and external factors on the selection of financing strategies by new technology ventures. Statistical society of the present research includes start-up companies. Data collection method includes library research and field research. Descriptive-practical research method and data analysis tools, Delphi techniques and experts' panel, and regression analysis. Firstly, upon designing the preliminary questionnaire and distribution thereof among academic experts and new technology ventures, totaling 29, main and secondary elements were extracted based on the information received from the experts. Then, at the next stage, for the explanation of the designed model, the final questionnaire of research, incl. general and specialized questions are prepared and drawn up, and upon distribution of the final questionnaire among the statistical sample, comprising start-up companies, the stated questionnaire was distributed among 384 companies. Research results indicate a positive and significant effect of internal variables of companies concerning the role of intermediary variables on traditional and new financing methods. Notably, external variables of companies have a significant effect on traditional and new financing methods through intermediary variables. These results indicate the importance of internal and external factors of companies on the determination of financing strategy of start-up companies in Iran.
Mohammad Javad Zare Bahnamiri; Hossein Michaghani
Abstract
The purpose of this study was to investigate the effect of peripheral uncertainty on the relationship between the herd behavior of investors and the price of negative stock shock. Because the capital market is one of the main pillars of the country's economic growth and development, the incidence of ...
Read More
The purpose of this study was to investigate the effect of peripheral uncertainty on the relationship between the herd behavior of investors and the price of negative stock shock. Because the capital market is one of the main pillars of the country's economic growth and development, the incidence of any disturbance and deviation in prices causes problems with allocating and equipping funds. Reducing stock prices is an example of the disorders created in the capital market. On the other hand, one of the factors that lead to the fluctuations of return and instability of financial markets is the herd behavior of investors. If investors lack sufficient information about environmental factors, environmental uncertainty occurs. Such a situation also affects the organization. Environmental uncertainty overshadowed the use of financial statements. Changes in stock prices and corporate status are cases that can not speak in full confidence in their occurrence. As a result, environmental uncertainty is part of the economic environment. To test the research hypotheses, 156 companies from the Tehran Stock Exchange during the years 2010 to 2020 were selected by screening method. To test the hypotheses, multivariate regression models were performed using STATA14 software. The results indicate that herd behavior has a significant effect on price shock and environmental uncertainty has no effect on the relationship between the two.
Soghra Fasihi; Seyed Ali Hosseini
Abstract
Investors pay special attention to risk criteria in assessing the status of companies. So companies can help attract investment by disclosing important risks. So, it is expected that risk disclosure through decreasing information asymmetric between managers and investors can reduce uncertainty and lead ...
Read More
Investors pay special attention to risk criteria in assessing the status of companies. So companies can help attract investment by disclosing important risks. So, it is expected that risk disclosure through decreasing information asymmetric between managers and investors can reduce uncertainty and lead to an increase in the companies' value. This paper studies the impact of risk disclosure on firm value in listed companies on the Tehran Stock Exchange. We used Miihkinen (2012) model to calculate our risk disclosure index. Firm Value is calculated through Tobin's Q variable. The statistical population of this study is all companies listed on the Tehran Stock Exchange from 2010 to 2016. The final selected companies are 59. We find that corporate risk disclosure has significantly and positively impact on firm value. That is, as the disclosure of risk increases, so does the value of the company.
Mehdi Mehdi darvishan; Mohammadreza Abdoli; Mohammad Mehdi Hosseini; Esmail Alibeiki
Abstract
Choosing the proper investment mechanism is one of the main tasks of any investor that requires careful analysis and research on all available information. Since no investor exactly knows whether his or her expectations for a particular stock return will be met, they need to build their strategy in such ...
Read More
Choosing the proper investment mechanism is one of the main tasks of any investor that requires careful analysis and research on all available information. Since no investor exactly knows whether his or her expectations for a particular stock return will be met, they need to build their strategy in such a way as to eliminate as much damage as possible in the event of an adverse outcome. This study aims to predict the optimal portfolio using Algorithm Analysis Systems. In this regard, 98 firms listed on the Tehran Stock Exchange were examined in 2015-2019. Then, random portfolios were selected to test the research hypotheses by separating value stocks and growth stocks. For analysis, two algorithms of Support Vector Machines and an Adaptive Neuro-Fuzzy Inference System were used to select the most desirable portfolio. According to the support vector machine algorithm analysis, the results confirm the difference between the Sortino and Marquitz portfolios. To build their portfolios, decision-makers often rely on growth stocks which can boost their expected returns. Therefore, recognizing the analytical nature of portfolio formation in specialized areas can help improve investment analysis and pave the way for higher returns.
seyedeh farrokh Nikoo; Shahabeddin Shams; Reza Tehrani; Mohsen Seighali
Abstract
This paper concentrates on the modelling of optimal stock portfolio selection based on Risk Assessment and Behavioral Financial Approach Mental Accounting and 28 expert’s opinion. In this approach developing the model approved by the opinion of academic and practical experts using quantitative ...
Read More
This paper concentrates on the modelling of optimal stock portfolio selection based on Risk Assessment and Behavioral Financial Approach Mental Accounting and 28 expert’s opinion. In this approach developing the model approved by the opinion of academic and practical experts using quantitative and qualitative methods. Using quarterly return data of industrial indices for ten years in form of eight training and two test years indicates that the performance of DMSS and MVO based portfolios is equal however by regarding the value at risk and liquidity constraints in modeling, DMSS based portfolios perform higher than MVO portfolios.
Mohammad Esmaeil Fadaeinejad; Mohamad Taghi Vaziri; Hossein Asadi; Mohammad Javad Faryadras
Abstract
Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based ...
Read More
Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based on the "weight-modified conditional value at risk (CVaR)" and its comparison with the "conditional value at risk (CVaR)" method in the Tehran Stock Exchange. Therefore, the price information of companies listed in the Tehran Stock Exchange and Over-the-counter (OTC) from 2012 to the end of September 2020 was collected, screened, and analyzed daily, and then the risk and return of the portfolios were examined by forming optimal portfolios. The results indicated that the efficiency limit of the stock portfolio and also the ranks of different companies were different according to the types of the optimization method. Based on the behavior of the TEDPIX, the investors' degrees of risk-taking, and the risk management, diversification, and computational complexity of each method, the weight-modified CVaR had a better performance due to better diversification and risk management. Furthermore, the SCAD function added computational complexity to this method.
Hamzeh Mohammadi Khoshouei; Esmail Kazemi; Mohsen Dastgir
Abstract
This study aimed to develop an internal control model for the Iranian Social Security Organization with a risk management approach. This exploratory study is applied in terms of objective, and the statistical population comprised 340 employees in the financial department of the Iranian Social Security ...
Read More
This study aimed to develop an internal control model for the Iranian Social Security Organization with a risk management approach. This exploratory study is applied in terms of objective, and the statistical population comprised 340 employees in the financial department of the Iranian Social Security Organization. The data was collected using interviews and questionnaires, and the hypotheses were tested with inferential statistics and structural equation tests. The results showed that the internal control factors of the Iranian Social Security Organization include the income bank system, the legal obligations system, compensation, the financial bookkeeping system, the movable and immovable property system, the financial management system, and check issuance requirements. The results also showed that the factors affecting internal controls are among the factors influencing risk management. Considering the extent of branches, dimensions, various services including (retirement, disability) and the size and volume of financial operations, as well as the very high budget of the Social Security Organization (for example, in 1401, the budget of the Social Security Organization is 500 thousand billion Rials), there are many factors on the controls Empty and effective risk management. The most important factors affecting the Social Security Organization's internal controls' efficacy are the financial bookkeeping system, Payroll system, And Legal requirements for issuing checks.
Zabihollah Khani; Hossein Rajabdorri
Abstract
The purpose of this study is to examine the relationship between audit fees and stock price crash risk. The study period is from 2013 to 2017 and the selected sample consists of 110 companies listed on Tehran Stock Exchange (TSE). To test the hypotheses of the research, the ordinary least squares regression ...
Read More
The purpose of this study is to examine the relationship between audit fees and stock price crash risk. The study period is from 2013 to 2017 and the selected sample consists of 110 companies listed on Tehran Stock Exchange (TSE). To test the hypotheses of the research, the ordinary least squares regression is used. The findings show that there is a positive and significant relationship between audit fees and stock price crash risk. In other words, for companies with higher audit fees, there is a greater risk of falling stock prices.
Hossein Alidadi; Mohammad Reza Abdoli; Farhad Dehdar
Abstract
Investment is seen as one of the most important and influential factors in economic growth and development. It is directly affected by managers' approaches to decision-making because identifying the best investment opportunities to achieve ideal returns is one of the expectations that shareholders and ...
Read More
Investment is seen as one of the most important and influential factors in economic growth and development. It is directly affected by managers' approaches to decision-making because identifying the best investment opportunities to achieve ideal returns is one of the expectations that shareholders and stakeholders have of managers to reduce agency gaps. However, the emergence of managers' overconfident behavior as a foundation for psychological bias can deepen the agency gap due to overestimating project cash flows compared to their real values under inflationary conditions. This study aims to examine the effect of inflation uncertainty on the impact managerial overconfidence has on overinvestment. The statistical population consists of companies listed on the Tehran Stock Exchange (TSE). One hundred five companies were selected as the sample size by systematic removal sampling reviewed in 2011-2018. Due to its dichotomous dependent variable, this study uses probit regression to test the research hypotheses. The results indicated the significant positive effect of CEO overconfidence on overinvestment. It was also noted that inflation uncertainty strengthens the positive effect of CEO overconfidence on overinvestment. Based on these results, the CEO's decisions as a decision-maker in charge of any company, especially under inflationary conditions, can play a substantial role in future corporate investment levels. Thus, with an increase in behavioral bias, it can be assumed that the company will confront grave competitive challenges under economic conditions.
Hosaine Hasangholipoure; Ebrahim Chirani; Seyed mozaffar Mirbargkar; Sina Kheradyar
Abstract
Out of 64 possible catastrophic events in the whole world, about 34 of them have been experienced in Iran; more than 80% of the regions are exposed to natural disasters risks such as earthquakes exposure. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance ...
Read More
Out of 64 possible catastrophic events in the whole world, about 34 of them have been experienced in Iran; more than 80% of the regions are exposed to natural disasters risks such as earthquakes exposure. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance capacity is always felt. Catastrophe bonds structure as a financial & insurance innovative solution (Alternative Risk Transfer Instruments) allows an issuing institution to transfer catastrophic exposures and risk to capital market's investors by creating capital relief and additional risk capacity for our insurance industry. We adjusted the formal cat bonds structure with the Islamic jurisprudence. According to the systematic review research method 8 steps, the Sukuk model was implemented based on the extracted concepts from 23 Farsi articles and 50 English articles. After that interviews by 18 experts who were selected by purposive & Snowball sampling, The Delphi method was used to obtain the opinion of experts and their opinion was modified and implemented in the final model. In the open coding stage, 415 concepts were extracted which were classified into 10 categories and finally presented in 4 Propositions/themes. The trustworthiness and authenticity did base on the four-stage model of Lincoln and Guba and also its complementary step. We finally suggested that the catastrophe bond instrument could be issued in the form of a cat takaful (CT) sukuk contract template, as a solution for transferring catastrophic risks to the Islamic financial market.
Hossein Rajabdorri; Hamidreza Vakilifard; Hojjatollah Salari; Ali Amiri
Abstract
This study aims to investigate the relationship between technology use factors based on the developed unified theory of acceptance and use of technology (DUTAUT) with auditors' ethical behavior. This research is applied and descriptive-correlational and its population include various auditors of Iran, ...
Read More
This study aims to investigate the relationship between technology use factors based on the developed unified theory of acceptance and use of technology (DUTAUT) with auditors' ethical behavior. This research is applied and descriptive-correlational and its population include various auditors of Iran, 164 of whom are selected using simple random sampling. Structural equations and Smart PLS software analysis are also used to test the hypotheses. The findings show that there is a positive and significant relationship between technology use factors based on DUTAUT, including motivational components, effort expectancy, performance expectancy, and social effects, and ethical behavior of auditors. Other findings show that there is a positive and significant relationship between motivation (64%), effort expectancy (31%), and social effects (43%) with auditors' ethical behavior at the 95% confidence level. Given that the use of technology is expanding and is in line with current social needs and increases the level of ethical behavior in auditors, it is necessary to pay more attention to it in order to increase the ethical climate in this profession.
Mohammadreza Ghadimpour; Seyed babak Ebrahimi
Abstract
The ability to predict the stock market and analyze market trends is invaluable to researchers and anyone interested in investing. However, this task is a challenging problem due to a large number of parameters and unpredictable noise that may affect the stock price. To overcome this issue, researchers ...
Read More
The ability to predict the stock market and analyze market trends is invaluable to researchers and anyone interested in investing. However, this task is a challenging problem due to a large number of parameters and unpredictable noise that may affect the stock price. To overcome this issue, researchers have employed numerous approaches such as Moving Average (MA), Support Vector Machine (SVM), and Neural Networks. With technological advances, deep learning methods have become popular in processing time-series data. In this paper, we compare two recently introduced deep learning models, namely a Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU), in forecasting daily movements of the Standard & Poor (S&P 500) index using the daily closing price of this index from 14/5/1991 to 14/5/2021. Results show that both models are effective and accurate in stock market prediction. In this case study, the mean squared error (MSE) and mean absolute error (MAE) for the GRU model are slightly lower than the LSTM model; hence, GRU outperformed the LSTM model despite its simpler structure. The results of this study are applicable in various instances where it is challenging to identify patterns among large volumes of unstructured data, such as medical data analysis, text mining, and financial time series modeling.
Fatemeh Soltani; Afsaneh Soroushyar; Masoud Fooladi
Abstract
Researchers examined anomalies in the market to understand the market dimensions. Prior studies considered the effects of biases on momentum strategy. Stock liquidity as one of the risk factors for assets was also considered by researchers. The purpose of this study is to examine the role of stock liquidity ...
Read More
Researchers examined anomalies in the market to understand the market dimensions. Prior studies considered the effects of biases on momentum strategy. Stock liquidity as one of the risk factors for assets was also considered by researchers. The purpose of this study is to examine the role of stock liquidity in the separately and jointly effect of anchoring bias and the disposition effect on momentum profit. The population of this study consists of all companies listed on the Tehran Stock Exchange. Based on systematic election sampling this study covers 136 companies over the period of 2007-2020. In this study, the effect of disposition effect is calculated using the approach of Greenblatt and Han (2005) and Frazzini (2006) and the anchorage bias is calculated according to George and Hwang (2004). This study calculates momentum profits according to Jegadeesh and Titman (1993). To test the hypotheses, multivariate regressions and the five-factor model of Fama and French (2015) have been used. The results of this study show that the disposition effect in stocks with low liquidity increases momentum profit. In addition, anchoring bias in stocks with low liquidity leads to an increase the momentum profit. Findings of this study document that the interaction effect of anchoring bias and disposition effect, while reinforcing each other, is also associated with increasing in momentum profit. Finally, when anchoring bias and disposition effect reinforce each other, and stocks have low liquidity, they do not increase momentum profits.
Mohammad Mehdi Mohammadi; Mehdi Safari Gerayli; Maryam Shahri; Hasan Valiyan; Farhad Dehdar
Abstract
The efforts of the developers of capital market laws and regulations over the past years have been aimed at increasing the level of information transparency to create more symmetry between companies and shareholders so that they can be more attractive to investors to invest in the stock market. But given ...
Read More
The efforts of the developers of capital market laws and regulations over the past years have been aimed at increasing the level of information transparency to create more symmetry between companies and shareholders so that they can be more attractive to investors to invest in the stock market. But given the interplay of individual characteristics of corporate decision-makers with the interests of shareholders and investors, it seems that focusing on behavioral functions in the area of promoting managerial ability can more effectively lead to increased protection of shareholder interests. The purpose of this study is to investigate the effect of management ability on the protection of investors based on the development of the theory of the devil's advocate. Therefore, the present study, using the structural equation modeling approach and partial least squares analysis (PLS), while fitting the model's desirability, examined the impact of management ability on protecting investors. In this study, in order to measure the in-field variable, ie protection of shareholders' interests, a researcher-made questionnaire was created through meta-analysis with the participation of 15 research experts. Then the criterion of Demirjan et al (2013) was used to measure managerial ability as an exogenous variable in partial least squares analysis. The researcher-made questionnaire was sent to 142 CEOs of companies listed on the Tehran Stock Exchange, and finally, after many follow-ups, 105 questionnaires were completed and returned and used as a final sample for analysis. After ensuring the acceptable fit of the measurement and structural models of the research, according to the theory of the devil's advocate, the results showed that the ability of management has a positive and significant effect on protecting the investors. Managerial ability, as one of the specialized decision-making capacities, puts the company on the path of effective interaction with stakeholders and provides the ground for investors to Protect in companies' priorities to gain their trust.
Ezatollah Abbasian; Mohammad Ali Kamali
Abstract
The certainty about retirement income is dependent on the longevity and the selected investment policy by individuals during their working years. Attention to longevity and investment risks is of high significance in making enough income for retirees. In this research, the impact of the objective formulation ...
Read More
The certainty about retirement income is dependent on the longevity and the selected investment policy by individuals during their working years. Attention to longevity and investment risks is of high significance in making enough income for retirees. In this research, the impact of the objective formulation selection on investment decisions has been investigated. Two functions including terminal wealth objective formulation and retirement income objective formulation are applied to investigate these decisions. Based on the investment alternatives, 5 asset classes including Equity, Certificate of deposit (cash), real estate investment trust (REIT), gold coin, and foreign exchange have been selected for investment. According to the complexity of modeling in the aforementioned functions, the Metaheuristic Genetic algorithm has been used. The results are indicative of the importance of objective formulation selection. The retirement income objective function has the nature of more wealth accumulation and more control over economic and market turbulences through higher cooperation in investment and as a result, it has been recommended as the optimal function.
Sayed Mohammad Ebrahim Mirmohammadi; Mehdi Madanchi zaj; Hossein Panahian; Hossein Jabbary
Abstract
Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio ...
Read More
Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio selection model of relative robust risk parity is introduced, which uses the worst-case scenario approach on the covariance matrix parameter appearing in the robust risk model in portfolio robustness. According to historical data, several scenarios are considered for the covariance matrix. The objective function value of the hybrid model for each portfolio (feasible point) is the worst result (with most volatility) among the set of scenarios. Finally, the model selects a portfolio for which the worst possible result has the least relative volatility. The research portfolio consists of 8 industries from Tehran Stock Exchange in the period 2011 to 2020. This portfolio has a higher Sharpe ratio than conventional models of mean-variance and weight parity, and is more resilient to market declines than the two models and produces less loss. Therefore, risk-averse investors are advised to use this stock portfolio selection model as a cover to face severe market declines.
Fereshteh Shahbazin; Hasan Ghalibaf Asl; Mohen Seighali; Moslem Peymani Foroushani
Abstract
Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both the capital market and investors simultaneously. ...
Read More
Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both the capital market and investors simultaneously. This study evaluated and investigated the systemic risk of mutual funds in the Iran capital market by adopting a Conditional Value at Risk (CoVaR) approach and employing quantile regression. In the finance literature, systemic risk is the probability of a downfall in the financial system when a segment or an individual component gets in distress. This risk can trigger instability or shock in financial markets and the real part of the economy. The results revealed that stock (equity) mutual funds were systemically more important than other funds, including fixed-income and balanced mutual funds, due to the high volatility in their return, which makes them riskier. To compare systemic risk and market risk among mutual funds, funds classified into five different groups based on their systemic risk. According to this categorization, analysis of variance illuminated that the market risk of mutual funds had a direct relationship with their systemic risk, such that a higher systemic risk of a fund stood for higher market risk.