Foreign direct investment, economic growth and the moderation role of host country’s financial market

Ali Ahmadi; Arash Khalili Nasr

Volume 2, Issue 3 , July 2018, , Pages 1-24

  foreign investments have always been welcome and policy makers always do their best in order to attract more and more capital into their area; But a question which gave rise to a series of studies is that is FDI always beneficial for the recipient and does it under all circumstances help the growth in ...  Read More

Modeling the prediction of the Financial Behavior in Iranian Stock Market Investors with an Interpretive Structural Approach

Fatemeh Ahmadi; Mehrdad Ghanbari; Babak Jamshidi Navid; Shahram Mami

Volume 2, Issue 4 , October 2018, , Pages 1-26

  Nowadays, predicting the financial behavior of investors plays a crucial role in decision-making and the financial policy-making process. This study is aimed at providing a paradigm to predict the financial behavior of investors in Iran’s stock market. 24 experts were interviewed to identify the ...  Read More

Earning Quality and Investment Efficiency; Do Board Characteristics Matter? Evidence from Tehran Stock Exchange

Mahmoud Karimi; Ali Eshaghzadeh; Hadi Poursina

Volume 3, Issue 1 , January 2019, , Pages 1-23

  This study postulates the relationships between earning quality and investment efficiency among Tehran Stock Exchange-listed companies with an emphasis on the moderating role of board characteristics including independence, the duality of executives and the financial expertise of members. The research ...  Read More

Comparing Prediction Methods of Artificial Neural Networks in Extracting Financial Cycles of Tehran Stock Exchange based on Markov Switching and Ant Colony Algorithm

Farzaneh Abdollahian; Mohammad Ebrahim Mohammad Pourzarandi; Mehrzad Minouei; Seyed Mohammad Hasheminejad

Volume 3, Issue 2 , 2019, , Pages 1-24

  The stock exchange is considered to be an important establishment to finance long term projects, on one hand, and to collect savings and finance of private section. The stock exchange can be a safe and secure place to invest surplus funds to purchase corporate stocks. As recession and prosperity in this ...  Read More

Measuring the efficiency of firms listed in Tehran Stock Exchange Using Stochastic Frontier Production Function based on accounting data

Vahid Mahmoudi; Mohammad Hossein Ghaemi; Hossein Kazemi

Volume 3, Issue 3 , July 2019, , Pages 1-18

  One of the most important effective elements in economic growth is the efficiency of manufacturing units. Therefore, measuring the efficiency of firms is necessary in order to increase efficiency in future planning courses. In the current research, using Stochastic Frontier Production Function, the efficiency ...  Read More

The Effects of Monetary and Fiscal Policies on the Systemic Risk of Iran's Financial Markets (SURE Approach in Panel Data)

Neda Ranjandish; Marjan Damankeshideh; Houshang Momeni Vesalian; Majid Afsharirad

Volume 4, Issue 1 , 2020, , Pages 1-24

  The mutual relationship between monetary and fiscal policies and value at risk is one of the most important topics in the financial economics literature and accounts for the vast majority of empirical studies. Therefore, the main objective of this paper is to investigate the effects of monetary and fiscal ...  Read More

Investigating the relationship between privatization and information efficiency, regime switch and structural failure in the Iranian economy

Hassan Galibaf Asl; Masoomeh Torkaman Ahmadi

Volume 1, Issue 1 , July 2017, , Pages 7-28

  Increased government revenues and improved economic efficiency are the main goals of implementing privatization and regime switch in Iran. Information efficiency in the capital market can also be considered as a milestone for increased government revenues and improved economic efficiency. In this study, ...  Read More

A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange

Mohammadreza Rostami; Reyhane Pouyanfard; Maryam Hashempour

Volume 1, Issue 2 , October 2017, , Pages 7-20

  The aim of this paper is to analyze the multiscale pricing model with the wavelet analysis approach, Fama-French three-factor model, and nonliquidity in Tehran Stock Exchange. It was also desirable to figure out how stock returns, Fama-French factors, and nonliquidity were related in different intervals. ...  Read More

Corporate Default Prediction among Tehran Stock Exchange’s Selected Industries

Jafar Babajani; Mohammad Taghi Taghavi Fard; Maysam Ahmadvand

Volume 2, Issue 1 , January 2018, , Pages 7-58

  This study aims to present a model for predicting corporate default among Tehran Stock Exchange’s selected industries. To do this, corporate default drivers were identified and selected by referring to previous research findings and using experts’ opinions. These drivers were divided into ...  Read More

Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model

Saeed Bajalan; Reza Eyvazlu; Guilda Akbari

Volume 2, Issue 2 , April 2018, , Pages 7-28

  In this research, we use a pair trading strategy to make a profit in an emerging market. This is a statistical arbitrage strategy used for similar assets with dissimilar valuations. In the present study, smooth transition heteroskedastic models are used with the second-order logistic function for producing ...  Read More

The Impact of Market Inefficiency and Environmental Uncert`ainty on CEO Risk-Taking Incentives

Mohsen Rashidi

Volume 3, Issue 3 , July 2019, , Pages 19-34

  This study investigates the effect of market inefficiency and environmental uncertainty on CEO risk taking. Prior research, however, have struggled to establish this relation empirically; moreover, some evidence points to the possibility that the CEO risk appetite is lower for firms active in inefficient ...  Read More

Reviewing Accounting Conservatism and Earnings Value Relevance Across the Business Cycle in Tehran Stock Exchange

Mohamad Ali Aghayee; Kamyar Samiee Tabrizi

Volume 1, Issue 2 , October 2017, , Pages 21-38

  According to accounting literature, value relevance of earnings is caused by the relationship between earnings and return. Had the earning response related to negative returns exceeds positive ones, it can be concluded that management has in fact revealed the bad news via conservative methods; this influences ...  Read More

Cash flow forecasting by using simple and sophisticated models in Iranian companies

Fatemeh Sarraf

Volume 3, Issue 1 , January 2019, , Pages 24-52

  Cash flow is one of the critical resources in the economic unit and the balance between available cash and cash needs is the most important factor in economic health. Since judgments of many stakeholders such as investors and shareholders about the position of the economic unit are based on liquidity ...  Read More

Asset-Liability Management (ALM) Following Liquidity Management Approach Based on Goal Programming in the Commercial Bank

Tohid Jahandideh; Mohammad Esmaeil Ezazi; Reza Tehrani

Volume 2, Issue 3 , July 2018, , Pages 25-48

  Asset-liability management (ALM) helps managers achieve their respective objectives by surveilling and controlling the ways through which resources are obtained and allocated. Furthermore, with the help of liquidity management, which sets the required cash by banks for fulfilling costs and other needs ...  Read More

The effect of Related Parties Transactions on the Firm Value: Moderating Role of Audit Committee

majid ashrafi; Ebrahim Abbasi; Seyed Ali Hosseini; Mahjoobeh Poor Etemadi

Volume 3, Issue 2 , 2019, , Pages 25-43

  In recent financial scandals, related parties transactions (RPTs) have been as one of the major concerns, so that the targeted use of these transactions and lack of their disclosure or insufficient disclosure are some of the factors in the failure of the corporates. In RPTs, there is a risk that the ...  Read More

Identifying path of Global Financial Crisis Contagion Direction on Industries of Iran Stock Market

Mojtaba Karimi; Fatemeh Sarraf; Ghodratollah Emamverdi; Ali Baghani

Volume 4, Issue 1 , 2020, , Pages 25-54

  Simultaneous understanding of volatilities and changes in financial markets is very important to optimize the portfolio and risk management methods. The 2008 financial crisis led into devaluation of most assets, increased volatilities and endangered several institutional investors' survival. When the ...  Read More

Analyzing the Causal Relations between Trading Volume and Stock Returns and between Trading Volume and Return Volatility in Tehran Stock Exchange

Mohammad Reza Rostami; Peyman Alipour; Adel Behzadi

Volume 2, Issue 4 , October 2018, , Pages 27-40

  Identifying the causal relations between trading volume and stock returns and between trading volume and return volatility plays a vital role in identifying profitable investment opportunities. In this study, the Granger causality test was conducted to analyze the causal relationships between the mentioned ...  Read More

Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange

Maysam Ahmadvand; Seyedeh Mahboobeh Jafari; Hamidreza Kordlouie

Volume 1, Issue 1 , July 2017, , Pages 29-46

  The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period ...  Read More

Explaining Factors and Consequences of Working Capital Management Using Content Analysis Approach

Najmeh Khodabakhshi; Gholamreza Soleimani Amiri

Volume 2, Issue 2 , April 2018, , Pages 29-58

  Working capital should be available to any company to have the sufficient funds to cover short-term commitments and operating costs in the future. This guarantees the continuity of the company’s activities. Given the significance of the role of working capital management (WCM) in the companies, ...  Read More

Determinants of systematic risk in the Iranian Financial sector

Ali Askarinejad Amir; Mohammad E. FadaeiNejad

Volume 2, Issue 1 , January 2018, , Pages 59-79

  In this research, we use jump beta and continuous beta as indicators of financial sector companies systematic risk and study their determinants in banking, insurance and investment industry. In result, the value of jump beta is higher than continuous beta. Jump beta of Banking industry and Investment ...  Read More

Modeling Assets Pricing Using Behavioral Patterns; Fama-French Approach

Mohammad Nasiri; Nouroz Nourollahzadeh; Fatemeh Sarraf; Mohsen Hamidian

Volume 3, Issue 3 , July 2019, , Pages 35-61

  Behavioral finance is a new issue raised by some financial intellectuals over the past two decades and has been quickly addressed by professors, experts, and students throughout the world. Investigating the factors affecting investment decisions is carried out in the field of behavioral finance; in other ...  Read More

Portfolio optimization with robust possibilistic programming

Maghsoud Amiri; Mohammad Saeed Heidary

Volume 3, Issue 2 , 2019, , Pages 44-65

  one of the most important financial and investment issues is Portfolio selection, that seeks to allocate a predetermined capital (wealth) over one or multiple periods between assets and stocks in such a way that the wealth of investor (portfolio owner) is maximized and, Simultaneously, its risk minimized. ...  Read More

Relations between Earnings Management, Pricing Power and Competition Of Industries

Saeed Abdolrahimi; Mohammad Amin Khanlarkhani; Mohammad Mehdi Momenzadeh

Volume 1, Issue 1 , July 2017, , Pages 47-71

  Earnings management has a negative effect on earnings quality and it may weaken validity of financial reports. The main focus of researches about earnings management is why companies manipulate earnings. Pricing power of companies can potentially affect earnings management. Since the relation between ...  Read More

Reviewing & Offering a Solution of Transferring Catastrophic Risk to Iranian Capital Market

Fereydon Rahnamay Roodposhti; Gholamreza Zomorodian; Hosaine Hasangholipoure

Volume 1, Issue 2 , October 2017, , Pages 47-71

  Iran allocated 6% of the world's natural disaster fatality, while the country only has one percent of the world's population. More than 40 natural disasters have been recognized globally. According to the evaluations carried out in Iran, at least 31 natural disasters have occurred locally. Domestic insurance ...  Read More

Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return

Raheleh ossadat Mortazavi; Hamid Reza Vakilifard; Ghodratallah Talebnia; Seyedeh Mahboobeh Jafari

Volume 2, Issue 3 , July 2018, , Pages 49-69

  In this study, for the selection of the characteristics of the company that provides the incremental information to investors and financial analysts, the linear models are adapted by the ordinary Lasso method (Tibshirani, 1996), Adaptive Group LASSO (Zu, 2006) and the least squares method (OLS). The ...  Read More