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

http://dx.doi.org/10.22034/ijf.2018.84939

Abstract
  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

Determinants of systematic risk in the Iranian Financial sector

Ali Askarinejad Amir; Mohammad E. FadaeiNejad

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

http://dx.doi.org/10.22034/ijf.2018.84949

Abstract
  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

Description Of Ijareh Sukuk Rating Dimensions In Iranian Capital Market

Amir Abbas Sahebgharani; Ghasem Bolo

Volume 2, Issue 1 , January 2018, Pages 81-91

http://dx.doi.org/10.22034/ijf.2018.84951

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 ...  Read More

Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO

Ghodratollah Emamverdi

Volume 2, Issue 1 , January 2018, Pages 93-119

http://dx.doi.org/10.22034/ijf.2018.84957

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 ...  Read More

Studing the relationship between unsystematic risk fluctuations and noise trading

Yahya Hassas Yeganeh; Hojjat Sattari

Volume 2, Issue 1 , January 2018, Pages 121-136

http://dx.doi.org/10.22034/ijf.2018.85030

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. ...  Read More

Studying the Effect of Corporation’s Disclosure Quality Rank on Income-Smoothing and Informativeness of Tehran Stock Exchange’s Listed Companies

Heidar Foroughnejad; Shahin Ahmadi; Amin Sadat

Volume 2, Issue 1 , January 2018, Pages 137-156

http://dx.doi.org/10.22034/ijf.2018.84966

Abstract
  The study is to review the disclosure quality rank on income-smoothing and informativeness by means of four hypotheses. The timescale is between 2010 and 2016, and 149 TSE’s listed companies are studied. The first hypothesis examines the effect of higher disclosure quality rank on income informativeness. ...  Read More