Applying black- Scholes model to breakdown beta: growth options and the risk of beta miscalculation
Amin
Babaei Falah
Ph.D. Candidate, Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran.
author
Maryam
Khalili Araghi
Assistant Prof., Department of Business Management, Science and Research Branch, Islamic Azad University, Tehran, Iran.
author
Hashem
Nikoomaram
Prof., Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran.
author
text
article
2019
eng
When evaluating companies and investment plans, most analysts use a discount rate that is derived from CAPM models. The beta in these models usually represent risks and opportunities of the relative industry, with almost no attention to the risks that are already included in the beta. This ignorance in risk measurement could ultimately impair shareholders value. What makes things critical is that by adjusting risks and opportunities in beta, the result of investment plans and company valuation could be much different. In this paper we use 1 to 10 years of monthly return data for all industries of Tehran Stock Exchange and Iran Fara Bourse and suggest an adjusted beta for each industry which is stripped of the dazzling effects of the debts and growth opportunities. We separately account for breaking down beta into beta of growth opportunities and beta of existing assets for each industry in various timelines between 1 to 10 years. Our results showed that the beta of growth opportunities is bigger than the beta of assets for almost all industries. The mentioned betas can make a big difference in cost of capital and we suggest using them when evaluating investment plans, development plans, valuation of companies and even start-ups.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
1
22
https://www.ijfifsa.ir/article_111726_fef7b736a84d3c08f94a995be6b93bc6.pdf
dx.doi.org/10.22034/ijf.2020.213958.1102
Capacity Building of Green Accounting Consequences Based on the Explanation of Strategic Management Accounting Techniques
Behjat
Abbasi
Ph.D. Candidate, Department of Accounting, Damavand Branch, Islamic Azad University, Damavand, Iran.
author
Mohammadhamed
Khanmohammadi
Assistant Prof., Department of Accounting, Damavand Branch, Islamic Azad University, Damavand, Iran.
author
Zahra
Moradi
Assistant Prof., Department of Management, Damavand Branch, Islamic Azad University, Damavand, Iran.
author
Tahereh
Mahmoodiyan
Assistant Prof., Department of Psychology, Behshahr Branch, Islamic Azad University, Behshahr, Iran.
author
text
article
2019
eng
Strategic management accounting, including systems and processes in the modern era, is characterized by changes in the competitive environment that, Can be achieved through the participation of companies in the management accounting system, Assist financial managers to make decisions in the value chain and develop green accounting functions. Unfortunately, though, over time, strategic management accounting techniques are still unknown to corporate executives, especially in environmental processes, leading to a decline in corporate participation in strategic decision making. The Purpose of this research is Capacity Building Green Accounting Consequences Based on Explanation of Strategic Management Accounting Techniques by analysis of CARD and developed the theory of Rough (ERST). The methodology of this research is developmental, applied and hybrid and two groups of target population participated in this research. In the first part of 15 experts in the field of accounting at the university level an In the second part, 35 executives participated matrix Tehran Stock Exchange through a questionnaire that both the target population, sampling was homogenous. In this research, in the qualitative part, the components and indices related to the research variables were selected based on content analysis and cross-analysis and then based on Delphi analysis and hierarchical analysis in order to achieve theoretical adequacy. Then, in the quantitative section, through the analysis of the Rough Complex analysis, the decision tree determined the most effective green accounting function/outcome and strategic management accounting technique, and finally, the product life cycle costing technique is the most effective strategic management accounting technique for enhancing green accounting functions. In fact, the results showed that product cycle costing technique is a factor for enhancing the cost savings of recycling and waste recycling costs and increasing the competitiveness of the company as a component of green accounting competitive Consequences.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
23
59
https://www.ijfifsa.ir/article_111728_3cece1c4016588b65d03237c9ea6ea49.pdf
dx.doi.org/10.22034/ijf.2020.226757.1117
Analysis of Collective Behavior of Iran Banking Sector by Random Matrix Theory
Reza
Raei
Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
author
Ali
Namaki
Assistant Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
author
Hanie
Vahabi
MSc., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
author
text
article
2019
eng
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.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
60
75
https://www.ijfifsa.ir/article_111729_076f38c985aefe332a2059b9f8ea5802.pdf
dx.doi.org/10.22034/ijf.2019.111729
The Relationship between Audit Fees and Stock Price Crash Risk
Zabihollah
Khani
Assistant Prof., Department of Accounting, Fasa Branch, Islamic Azad University, Fasa, Iran.
author
Hossein
Rajabdorri
Ph.D. Candidate, Department of Accounting, Bandar Abbas Branch, Islamic Azad University, Bandar Abbas, Iran.
author
text
article
2019
eng
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.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
76
89
https://www.ijfifsa.ir/article_111731_3252d93b204ffe28608be19a14b2c5d4.pdf
dx.doi.org/10.22034/ijf.2020.187841.1027
Evaluating and Comparing Systemic Risk and Market Risk of Mutual Funds in Iran Capital Market
Fereshteh
Shahbazin
Ph.D. Candidate of Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran
author
Hasan
Ghalibaf Asl
Prof., Department of Finance and Insurance, Faculty of Management, Alzahra University, Tehran, Iran.
author
Mohen
Seighali
Assistant Prof., Faculty of Accounting and Management, Islamic Azad University, Qazvin, Iran.
author
Moslem
Peymani Foroushani
Assistant Prof., Faculty of Finance and Banking, Allameh Tabatabaei University, Tehran, Iran.
author
text
article
2019
eng
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.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
90
112
https://www.ijfifsa.ir/article_111732_5f8e19983f7831d351d4c0d8ea391b10.pdf
dx.doi.org/10.22034/ijf.2020.231342.1127
Analyzing Shareholder Network in the Tehran Stock Exchange
Reza
Taghizadeh
Assistant Prof., Faculty of Economic, Management and Accounting, Yazd University, Yazd, Iran.
author
Amin
Nazemi
Assistant Prof., Department of Acounting, School of Economics Management and Social Sciences, Shiraz University, Shiraz, Iran.
author
Mohammad
SadeghzadehMaharluie
Ph.D. Candidate, Department of Accounting, Faculty of Economic and Management Sciences, Shiraz University, Shiraz, Iran.
author
text
article
2019
eng
The stock market plays an important role in the economic development of countries. Network analysis is one of the latest methods in analyzing the stock market. It is a new concept for a macro view of the whole market in quantitative science literature. Therefore, this research analyzes the available Shareholder network in the Tehran Stock Exchange from 2013 to 2017. This research is based on a type of data collected and analyzed is quantitative research. And, its’ type is network analysis. The research results indicate that many of shareholders are connected to each other, although a class structure governs their relations. Some of the shareholders, in comparison with others, have a better position. Having a better position caused them to encounter fewer mediators in gaining access to other shareholders, and also easier access to available resources. The shareholders’ ability in gaining access to information through the cluster of network members enhances too. Therefore, it is claimed that these shareholders can play the role of key actors in the governing structure. Also, the results of the Pareto distribution indicate that the distribution of power among the Shareholders is approximately 25/75, that is, 75 per cent of the strength in the hands of 25 per cent of the Shareholders.
Iranian Journal of Finance
Iran Finance Association
2676-6337
3
v.
4
no.
2019
113
134
https://www.ijfifsa.ir/article_111733_d4d4bff5651fd01b7d886b38046d4af6.pdf
dx.doi.org/10.22034/ijf.2020.207802.1084