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

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

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

Measuring Diversification and Information Risk in Iran’s Mutual Funds

Heidar Foroughnejad

Volume 1, Issue 2 , October 2017, Pages 65-82


  This study aims to investigate the correlation between the diversification and accruals quality (AQ) in Iran’s mutual funds considering two main hypotheses and four sub-hypotheses. This research investigates the effects of cases such as beta of the company, the company's return on assets, debt ...  Read More

Comparing Different Models of Evolutionary Three-Objective Optimization Using Fuzzy Logic in Tehran Stock Exchange

Mohammad Javad Salimi; Mir Feiz Fallah; Hadi Khajezadeh Dezfuli

Volume 1, Issue 2 , October 2017, Pages 83-104


  Optimal Portfolio Selection is one of the most important issues in the field of financial research. In the present study, we try to compare four various different models, which optimize three-objective portfolios using “Postmodern Portfolio Optimization Methods”, and then to solve them. These ...  Read More

Investigation the strength of Five-factor model of Fama and French (2015) in describing fluctuations in stock returns

Roya mirzaei; Amir Abbas Sahebgharani; Nazanin Hashemi

Volume 1, Issue 2 , October 2017, Pages 105-119


  Prediction of stock returns is always one of the most important discussions of financial markets, which has led to introducing of various models to pricing financial assets, one of the most important of these models is to measure the surplus returns by Fama &  French model was introduced in ...  Read More