Iranian Journal of Finance

Performance Enhancement Model of Stock Market Portfolio of Iran Social Security Organization

Mohammad Reza Ranjbarfallah; Yeganeh Mosavi Jahromi; Asgr Abolhasani; Abbas Johari

Volume 8, Issue 1 , 2024, Pages 1-25

https://doi.org/10.30699/ijf.2024.377333.1391

Abstract

This paper primarily aims to introduce a model to enhance the performance of the stock market portfolio of the Iran Social Security Organization. Performance indices were measured using documentary-based research and expert interviews based on theoretical saturation to evaluate the stock portfolio performance ... Read More

The Role of Firm Characteristics in Predicting Cash Flows from Operating Activities

Mostafa Hashemi Tilehnouei; Javad Nikkar

Volume 8, Issue 1 , 2024, Pages 26-46

https://doi.org/10.30699/ijf.2023.344433.1338

Abstract

Cash flow forecasting has significantly increased since 2000 due to more attention paid by investors and financial analysts than before. If cash flows can be predicted appropriately, a significant part of the informational needs associated with cash flows will be provided. In this regard, this study ... Read More

Comparative Analysis of Missing Values Imputation Methods: A Case Study in Financial Series (S&P500 and Bitcoin Value Data Sets)

Mahdi Goldani

Volume 8, Issue 1 , 2024, Pages 47-70

https://doi.org/10.30699/ijf.2024.414027.1427

Abstract

The accurate imputation of missing values in time series data is paramount for maintaining the integrity and reliability of analyses and predictions. This article investigates the effica-cy of various missing values imputation methods, encom-passing well-known machine learning and statistical tech-niques. ... Read More

Drivers of Managers' Inertia in Response to Reliable Disclosure of Information

Mohsen Rahmani; Majid Ashrafi; Parviz Sayeedi; Jamadori Gorganli Davaji

Volume 8, Issue 1 , 2024, Pages 71-97

https://doi.org/10.30699/ijf.2024.354110.1359

Abstract

The flow of information in the capital market is strategically important because it determines the path of investors' decisions. In this decision-making process, the managers of the companies can disclose timely and reliable information based on their cognitive and perceptual characteristics of capital ... Read More

Fraud Risk Prediction in Financial Statements through Comparative Analysis of Genetic Algorithm, Grey Wolf Optimization, and Particle Swarm Optimization

Zahra Nemati; Ali Mohammadi; Ali Bayat; Abbas Mirzaei

Volume 8, Issue 1 , 2024, Pages 98-130

https://doi.org/10.30699/ijf.2024.384462.1401

Abstract

Financial statements are critical to users, as the increasing fraud cases have left behind irreversible impacts. Hence, this study aims to identify the appropriate financial ratios for fraud risk prediction in the financial statements of companies listed on the Tehran Stock Exchange within the 2014–2021 ... Read More Financial statements are critical to users, as the increasing fraud cases have left behind irreversible impacts. Hence, this study aims to identify the appropriate financial ratios for fraud risk prediction in the financial statements of companies listed on the Tehran Stock Exchange within the 2014–2021 period. The study is based on data from 180 companies listed on the Tehran Stock Exchange, encompassing a total of 1440 financial statements. To select the most appropriate ratios for fraud risk prediction, all financial ratios were tested by three metaheuristic algorithms, i.e., genetic algorithm, grey wolf optimization, and particle swarm optimization. Metaheuristic and data mining methods were employed for data analysis, and these analyses were conducted using MATLAB R2020a (MATLAB 9.8). According to the research results, the fitness function yielded 0.2708 in particle swarm optimization (PSO). With an accuracy of 72.92% after 19 iterations, PSO was more accurate and converged faster than the other algorithms. It also extracted 11 financial ratios: total debts to total assets, working capital to total assets, stock to current asset, accounts receivables to sales, accounts receivables to total assets, gross income to total assets, net income to gross income, current assets to current debt, cash balance to current debt, retained earnings and loss to equity, and long-term debt to equity. The support vector machine (SVM) classifier was then employed for fraud risk detection at companies through the ratios extracted by the proposed algorithms. The accuracy and precision of financial ratios extracted by PSO and SVM were reported at 80,60% and 71,20%, respectively, which indicates the superiority of the proposed model to other models. Considering that the results obtained from the performance evaluation of financial ratios provided by PSO-SVM demonstrate the capability of this method in predicting the likelihood of fraud in financial statements, it can assist financial statement users. By incorporating these ratios about the performance of the target companies and comparing them with those of other companies, users can make more informed decisions in economic decision-making, investments, credit assessments, and more, ultimately minimizing potential losses and risks.

Probability of stock price crash and the expected return of stock under sanctions

Najibeh Najafi Kangarloui; Farkhondeh Jebel Ameli; Mohsen Mehrara; Mir Behnam Fatehi

Volume 8, Issue 1 , 2024, Pages 131-145

https://doi.org/10.30699/ijf.2024.397009.1411

Abstract

Sanctions increase managers' motivations to manage profits and the accumulation of bad news due to their negative impact on corporate profitability and cash flow. According to Jin and Myers (2006), this issue increases companies' stock price crash risk. The higher probability of stock price crashes indicates ... Read More

The model for measuring the Quality of Sustainability Reporting and Determinants: Application Analytic Network Process Fuzzy DEMATEL-Based Technique

Habib Esmaeilzadeh; Hasan Ghodrati; Hossein Jabbari; Meysam Arabzadeh

Volume 6, Issue 2 , April 2022, , Pages 28-69

https://doi.org/10.30699/ijf.2021.291022.1246

Abstract

Sustainability reporting is an important tool for decreasing information asymmetry, according to the stakeholders' demands for transparency. On the other hand, increasing transparency allows investors to have more appropriate evaluations of firms' activities and direct their investments to companies ... Read More

The Relationship between Foreign Direct Investment Inflows of World, Foreign Direct Investment Inflows of Turkey and Types of the Special Economic Zone: Evidence from 1980-2019

Demet Ozocakli; Bahman Khanalizadeh

Volume 6, Issue 2 , April 2022, , Pages 1-27

https://doi.org/10.30699/ijf.2021.291522.1247

Abstract

There are many factors affecting Foreign Direct Investment inflows into the countries. One of them is Special Economic Zones that encourage Foreign Direct Investment inflows and achieve remarkable results in the world. Special Economic Zones are defined in the United Nations Conference on Trade and Development ... Read More

Choosing Influential Dimension of Mindfulness of Auditors' Professional Judgments Based on Social Pressure: An Analysis Based on Rough Theory

Seyed Mohammad Soleymani; Farhad Dehdar; Mohammadreza Abdoli

Volume 6, Issue 2 , April 2022, , Pages 135-166

https://doi.org/10.30699/ijf.2021.279873.1214

Abstract

The growth and complexity of society justify the need for relevant economic information, information systems, and information-generating processes, and the need for auditing as part of the information reporting process increases. This has affected the professional functions of auditors. The purpose of ... Read More

Credit Scoring Active Telegram Channels Offering Stock Signals

Babak Sohrabi; Ahmad Khalili Jafarabad; Saba Orfi

Volume 6, Issue 3 , May 2022, , Pages 142-164

https://doi.org/10.30699/ijf.2022.309877.1279

Abstract

The impact of personal judgment on the assessment of an individual’s financial situation has been drastically reduced through the development of credit scoring. The systems are capable of deciding based on an applicant’s total score which is a combination of several factors and indicators. ... Read More The impact of personal judgment on the assessment of an individual’s financial situation has been drastically reduced through the development of credit scoring. The systems are capable of deciding based on an applicant’s total score which is a combination of several factors and indicators. Over the past few decades, credit scoring has been considered an essential tool for evaluation in various institutions and has also been able to transform the industry as a whole. Most of the research conducted in the field has taken into account traditional credit scoring, but considering the ever-evolving technological world that we live in and the increasing emergence of new social media networks, such research has now become obsolete. Such technological advancements have not only paved the way for far more sophisticated credit scoring systems but also essentially rendered the previous generations useless. It should be noted that credit scoring and its features have widely been discussed across the globe but, considering the various aspects and models that have to be taken into account, no one best method has been designed or suggested for it so far. This study shows that social media channels tend to perform relatively well in predicting stock market trends when the overall index is growing positively. The research also illustrates that a higher number of days of activity and a large number of signals released do not necessarily mean that the channels can or have credited their offered stock return on a one-month time frame. The methodology used is "CRISP-DM," which consists of six steps. The main variables include social and financial variables that are examined for six months. In the research, we seek to identify, analyze and categorize active telegram channels in stock signals using the data mining model and the RFM method. The k-means algorithm is selected for this category. Then, in each cluster, the importance of social variables and the performance of the channels are extracted by the EXTRATREECLASSIFIER algorithm, and channel performance is measured by considering the changes in the total index.

Drivers Affecting Bitcoin Adoption as a Payment Mechanism in the Tourism Industry

Mehdi Daryaei; Reza Radfar; Javad Jassbi; Abbass Khamseh

Volume 6, Issue 4 , 2022, , Pages 56-80

https://doi.org/10.30699/ijf.2022.313006.1285

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

Number of Volumes	8
Number of Issues	27
Number of Articles	161
Number of Contributors	406
Article View	66,978
PDF Download	60,923
View Per Article	416.01
PDF Download Per Article	378.4
-----------------------------------------
Number of Submissions	472
Acceptance Rate	29
Time to Accept (Days)	214
Number of Indexing Databases	12
Number of Reviewers	200

Number of Volumes	8
Number of Issues	27
Number of Articles	161
Number of Contributors	406
Article View	66,978
PDF Download	60,923
View Per Article	416.01
PDF Download Per Article	378.4
-----------------------------------------
Number of Submissions	472
Rejected Submissions	219
Reject Rate	46
Accepted Submissions	135
Acceptance Rate	29
Time to Accept (Days)	214
Number of Indexing Databases	12
Number of Reviewers	200

Iranian Journal of Finance

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Volume 8 (2024)

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Volume 1 (2017)

Performance Enhancement Model of Stock Market Portfolio of Iran Social Security Organization

Abstract

The Role of Firm Characteristics in Predicting Cash Flows from Operating Activities

Abstract

Comparative Analysis of Missing Values Imputation Methods: A Case Study in Financial Series (S&P500 and Bitcoin Value Data Sets)

Abstract

Drivers of Managers' Inertia in Response to Reliable Disclosure of Information

Abstract

Fraud Risk Prediction in Financial Statements through Comparative Analysis of Genetic Algorithm, Grey Wolf Optimization, and Particle Swarm Optimization

Abstract

Probability of stock price crash and the expected return of stock under sanctions

Abstract

The model for measuring the Quality of Sustainability Reporting and Determinants: Application Analytic Network Process Fuzzy DEMATEL-Based Technique

Abstract

The Relationship between Foreign Direct Investment Inflows of World, Foreign Direct Investment Inflows of Turkey and Types of the Special Economic Zone: Evidence from 1980-2019

Abstract

Choosing Influential Dimension of Mindfulness of Auditors' Professional Judgments Based on Social Pressure: An Analysis Based on Rough Theory

Abstract

Credit Scoring Active Telegram Channels Offering Stock Signals

Abstract

Drivers Affecting Bitcoin Adoption as a Payment Mechanism in the Tourism Industry

Abstract

Indexing and Abstracting