List of articles (by subject) Financial Mathematics
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Open Access Article
1 - Hedging of Options in Jump-Diffusion Markets with Correlated Assets
Minoo BakhshmohammadlouWe consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. ‎This system shows th MoreWe consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. ‎This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ‎ In‎‎‎ addition, we investigate the sensitivity of the risk with respect to the variation of correlation parameters, this enables us to select the more profitable portfolio. The results show that the risk increases, with increasing the correlation parameters. This means that to reduce risk it is necessary to invest in low correlated assets. Manuscript profile -
Open Access Article
2 - Evaluation of Intelligent and Statistical Prediction Models for Overconfidence of Managers in the Iranian Capital Market Companies
Shokoufeh Etebar Roya Darabi Mohsen Hamidiyan Seiyedeh Mahbobeh JafariThe purpose of the present study was to validate the Adaboost machine learning and probit regression in the prediction of Management's overconfidence at present and in the future. It also compares the predicted models obtained during the years 2012 to 2017. The samples MoreThe purpose of the present study was to validate the Adaboost machine learning and probit regression in the prediction of Management's overconfidence at present and in the future. It also compares the predicted models obtained during the years 2012 to 2017. The samples of the research were the companies admitted to the Tehran Stock Exchange, (financial data of 1292 companies/year in total). Data collection in the theoretical part of the study benefitted from the content analysis international research paper in library method and for calculating the data's Excel software was used, and in order to test the research hypotheses, Matlab 2017 and Eviews10.0 were used. The empirical findings demonstrate that The Adaboost's algorithm nonlinear prediction model represents the highest power in learning and prediction (performance of this model) the managerial over-confidence for this year and the following year, proved to be better than the probit regression prediction model. Manuscript profile -
Open Access Article
3 - A Fuzzy Goal-Programming Model for Optimization of Sustainable Supply Chain by Focusing on the Environmental and Economic Costs and Revenue: A Case Study
Mohammad Reza Zamanian Ehsan Sadeh Zeinolabedin Amini Sabegh Reza Ehtesham RasiSustainable supply chain has become an integral part of the corporate strategy. In this paper, a real case study of the natural gas supply chain has been investigated. Using concepts related to natural gas industry and the relations among the compo-nents of gas and oil MoreSustainable supply chain has become an integral part of the corporate strategy. In this paper, a real case study of the natural gas supply chain has been investigated. Using concepts related to natural gas industry and the relations among the compo-nents of gas and oil wells, refineries, storage tanks, dispatching, transmission and distribution network, a seven-level supply chain has been introduced and present-ed schematically. The aim of this paper is to optimize a case study using a fuzzy goal-programming multi-period model considering environmental and economic costs and revenue as fuzzy goals and maximize the total degree of satisfaction of goals as objective function. A small-sized problem was solved using GAMS 23.2.1 software and sensitivity analysis was conducted on its parameters. To the best of our knowledge, this is the first study that presents a fuzzy goal program-ming model for the optimization of sustainable natural gas supply chain by focus-ing on the environmental and economic costs and total revenue of gas products and the other main contribution of this research is focused to the developing of the mentioned model. Manuscript profile -
Open Access Article
4 - Evaluation of the association between company performance and Iran’s stock market liquidity
Zahra Amirhosseini Sadegh HadipourThis research studies the companies’ effectiveness and performance relationship with stock market liquidity in Tehran Stock Exchange during 2010-2015. Simultaneously, in the study, the three indicators: return on assets, return on investment and Tobin's Q ratio we MoreThis research studies the companies’ effectiveness and performance relationship with stock market liquidity in Tehran Stock Exchange during 2010-2015. Simultaneously, in the study, the three indicators: return on assets, return on investment and Tobin's Q ratio were applied as a measure of the performance and bid-ask spread as a measure of liquidity, bid-ask spread to the stock market. This research has a practical purpose and descriptive correlation in research nature and also post-event research. The under study population comprises all companies accepted in Tehran Stock Exchange during the intended period, 198 companies selected with systematic elimination sampling to be studied and analyzed. The results show a positive and significant association between companies’ performance and Stock market liquidity. Manuscript profile -
Open Access Article
5 - Reduction of DEA-Performance Factors Using Rough Set Theory: An Application of Companies in the Iranian Stock Exchange
Mahnaz Mirbolouki Maryam Joulaeihe financial management field has witnessed significant developments in recent years to help decision makers, managers and investors, to made optimal decisions. In this regard, the institutions investment strategies and their evaluation methods continuously change wi Morehe financial management field has witnessed significant developments in recent years to help decision makers, managers and investors, to made optimal decisions. In this regard, the institutions investment strategies and their evaluation methods continuously change with the rapid transfer of information and access to the fi- nancial data. When information is available as several inputs and output factors, the data envelopment analysis (DEA) applies to calculate the efficiency of com- panies. Distinguishing efficient companies from inefficient ones, makes it possi- ble for the financial managers to select suitable portfolios. The discriminating power of DEA depends on the number of companies under evaluation and the number of inputs and outputs. When the number of inputs and outputs are high compared to the number of units, most of the units will be evaluated as efficient, thus the discriminating power of DEA decreases and the results are not reliable. To deal with this problem, the Quick-Reduct algorithm of the rough set theory (RST) was used in this study to reduce inputs or outputs. It should be noted that the advantage of this algorithm is its ability to use negative data. Manuscript profile -
Open Access Article
6 - Financial Assessment of Banks and Financial Institutes in Stock Exchange by Means of an Enhanced Two stage DEA Model
Mohammad IzadikhahA stock exchange is an entity which provides ‘‘trading’’ facilities for stock brokers and traders to trade stocks and other securities. How to invest in stock exchange is one of the important issues in investment, and one of the factors that can MoreA stock exchange is an entity which provides ‘‘trading’’ facilities for stock brokers and traders to trade stocks and other securities. How to invest in stock exchange is one of the important issues in investment, and one of the factors that can help investors in the process of investment is the efficiency of the corporation under consideration. Data envelopment analysis is a mathematical methodology that has been widely applied to assess the performance of banks and financial institutes. The main feature of this method is that this methodology evaluate firms by considering multiple inputs and outputs. Conventional DEA models consider each firms as black box and don’t note into the inner activities. Two-stage data envelopment analysis has been researched by a number of authors that evaluate each firm by considering the inner operations. This paper proposes a new two stage BAM model and further evaluates the banks and financial institutes in Tehran stock exchange by considering the financial ratios. Conventional DEA models consider each firms as black box and don’t note into the inner activities. Two-stage data envelopment analysis has been researched by a number of authors that evaluate each firm by considering the inner operations. This paper proposes a new variant of two stage DEA models and further evaluates the banks and financial institutes in Tehran stock exchange by considering the financial ratios. Manuscript profile -
Open Access Article
7 - Identifying and explaining the topics in the financial literacy training using fuzzy Delphi approach
Fatemeh Kazempour Dizaji Mohammadhamed Khanmohammadi Mahmood MoeinuddinThe purpose of this qualitative research is to identify and explain the topics in financial literacy training in Iran using an exploratory approach. For this purpose, 20 semi-structured interviews with experts were conducted in the first stage to identify the topics of MoreThe purpose of this qualitative research is to identify and explain the topics in financial literacy training in Iran using an exploratory approach. For this purpose, 20 semi-structured interviews with experts were conducted in the first stage to identify the topics of financial literacy training, and 36 primary categories were identified in the open coding stage using qualitative content analysis. The identified sub-categories were linked in the axial coding stage and categorized into nine axial categories. In the next step, namely selective coding, the identified central categories were systematically categorized into three general chapters. In the second stage, the fuzzy Delphi technique in two phases was used to achieve group consensus between experts and screening the findings of the first stage. At this stage, the most consensus between the experts was reached in 32 topics. Based on the results, all areas of personal finance are covered under three general topics, including income and savings management, risk management, and cost management. The topics extracted in this study can be utilized to design, codify, and implemented financial literacy training programs in Iran. Manuscript profile -
Open Access Article
8 - Uncertain Entropy as a Risk Measure in Multi-Objective Portfolio Optimization
Mahsa mahmoodvandgharahshiran Gholamhossein Yari Mohammad Hassan BehzadiAs we are looking for knowledge of stock future returns in portfolio optimization, we are practically faced with two principal concepts: Uncertainty and Information about variables. This paper attempts to introduce a pragmatic bi-objective investment model based on unce MoreAs we are looking for knowledge of stock future returns in portfolio optimization, we are practically faced with two principal concepts: Uncertainty and Information about variables. This paper attempts to introduce a pragmatic bi-objective investment model based on uncertainty, instead of probability space and information theory, instead of variance and other moments as a risk measure for portfolio optimization. Not only is uncertainty space expected to be more in line with investment theory, but also, applying and learning this approach seems more straightforward and practical for novice investors. The proposed model simultaneously maximizes the uncertain mean of stock returns and minimizes uncertain entropy as a measure of portfolio risk. The uncertain zigzag distribution has been used for variables to avoid the complexity of fitting distributions for data. This uncertain mean-entropy portfolio optimization (UMEPO) has been solved by three meta-heuristic methods of multi-objective optimization: NSGA-II, MOPS, and MOICA. Finally, it was observed that the optimal portfolio obtained from the proposed model has a higher return and a lower entropy as a risk measure compared to the same model in the probability space. Manuscript profile -
Open Access Article
9 - Predicting financial statement fraud using fuzzy neural networks
Mohsen Rostamy-Malkhalifeh Maryam Amiri Mehrdad MehrkamFraud is a common phenomenon in business, and according to Section 24 of the Iranian Auditing Standards, it is the fraudulent act of one or more managers, employees, or third parties to derive unfair advantage and any intentional or unlawful conduct. Financial statement MoreFraud is a common phenomenon in business, and according to Section 24 of the Iranian Auditing Standards, it is the fraudulent act of one or more managers, employees, or third parties to derive unfair advantage and any intentional or unlawful conduct. Financial statements are a means of transmitting confidential management information about the financial position of a company to shareholders and other stakeholders. In this paper, by reviewing the literature, 6 indicators of current ratio, debt ratio, inventory turnover ratio, sales growth index, total asset turnover ratio, and capital return ratio as input and detection of financial fraud as output are considered for the fuzzy neural network. The database was compiled for 10 companies in the period from 2010 to 2018 after clearing and normalizing qualitatively between 1 to 5 discrete numbers with very low or very high meanings, respectively. The fuzzy neural network model with 161 nodes, 448 linear parameters, 36 nonlinear parameters, and 64 fuzzy laws with two methods of accuracy approximation of mean squared error and root mean squared error has been set to zero and 0.0000001 respectively. This neural network can be used for prediction. Manuscript profile -
Open Access Article
10 - A Kurganov-Tadmor numerical method for option pricing under the constant elasticity of variance model
Sakineh Ghiasi Nouredin ParandinThe primary goal of option pricing theory is to calculate the probability that an option will be exercised at expiration and assign a dollar value to it. Options pricing theory also derives various risk factors or sensitivities based on those inputs, since market condit MoreThe primary goal of option pricing theory is to calculate the probability that an option will be exercised at expiration and assign a dollar value to it. Options pricing theory also derives various risk factors or sensitivities based on those inputs, since market conditions are constantly changing, these factors provide traders with a means of determining how sensitive a specific trade is to price fluctuations, volatility fluctuations, and the passage of time. In this study, we derive a new exact solution for pricing European options using Kurganov-Tadmor when the underlying process follows the constant elasticity of variance model. This method was successfully applied to nonlinear convection-diffusion equations by Kurganov and Tadmor. Also, we provide computational results showing the performance of the method for European option pricing problems. The results showed that the proposed method is convenient to calculate the option price for K=3,β=(-3)/4,and N=200. Manuscript profile -
Open Access Article
11 - Modelling Crowdfunding Ensemble Learning Prediction
Mehran Saeidi Aghdam Akbar Alam Tabriz Alireza Bahiraie Ahmad SadeghiCrowdfunding is a new technology-enabled innovative process that is changing the capital market space. Internet-based applications, particularly those related to Web 2.0, have had a significant impact on sectors of society such as education, business, and medicine. The MoreCrowdfunding is a new technology-enabled innovative process that is changing the capital market space. Internet-based applications, particularly those related to Web 2.0, have had a significant impact on sectors of society such as education, business, and medicine. The goal of this research is to fill a gap in the literature on mathematical modelling and prediction of ensemble learning in order to evaluate crowdfunding projects. The Mathematical model determines the cost of funding for the entrepreneur and the return investors will receive per period. A correct financial model is essential in order to keep all three stakeholders involved in the long term. The results show the designed model improved performance in predicting the evaluation of success or failure of Crowdfunding projects. Manuscript profile -
Open Access Article
12 - On Integral Operator and Argument Estimation of a Novel Subclass of Harmonic Univalent Functions
Z. Dehdast Sh. Najafzadeh M.R. ForoutanAbstract. In this paper we define and verify a subclass of harmonic univalent functions involving the argument of complex-value functions of the form f = h + ¯g and investigate some properties of this subclass e.g. necessary and sufficient coefficient bounds, extre MoreAbstract. In this paper we define and verify a subclass of harmonic univalent functions involving the argument of complex-value functions of the form f = h + ¯g and investigate some properties of this subclass e.g. necessary and sufficient coefficient bounds, extreme points, distortion bounds and Hadamard product.Abstract. In this paper we define and verify a subclass of harmonic univalent functions involving the argument of complex-value functions of the form f = h + ¯g and investigate some properties of this subclass e.g. necessary and sufficient coefficient bounds, extreme points, distortion bounds and Hadamard product.Abstract. In this paper we define and verify a subclass of harmonic univalent functions involving the argument of complex-value functions of the form f = h + ¯g and investigate some properties of this subclass e.g. necessary and sufficient coefficient bounds, extreme points, distortion bounds and Hadamard product. Manuscript profile -
Open Access Article
13 - Development of data envelopment analysis model for financial and social evaluation of companies based on stock returns and accounting value
Mohammad Mir Darikvandi Gholamreza Farsad Amanollahi Ali Esmaelzadeh Mogheri Amirreza KeyghobadiCorporate social responsibility has long attracted the attention of academics, researchers, NGOs, and the government, and has become an important aspect of corporate operations. Increasing the globalization of business, increasing the strategic importance of stakeholder MoreCorporate social responsibility has long attracted the attention of academics, researchers, NGOs, and the government, and has become an important aspect of corporate operations. Increasing the globalization of business, increasing the strategic importance of stakeholder relations and the growth of corporate image management are the three key factors and the main driver in increasing the importance of corporate social responsibility. Data envelopment analysis is a well-known methodology that is applied to evaluate the selected firms based on the most important features. Therefore, in this research, it is important to examine the social responsibility of companies with emphasis on stock returns and accounting value. For this purpose, information related to the member companies of the stock exchange during a ten-year period from 2010 to 2020 after performing the necessary statistical tests using linear regression and EViews 10 and SPSS 26 software to test We addressed the hypotheses. In this research, multivariate regression method has been used as a statistical method. The results show that there is no relationship between social responsibility and accounting value, but social responsibility has an inverse and significant relationship with corporate stock returns. Manuscript profile -
Open Access Article
14 - A Data Envelopment Analysis Model to Provide a Dynamic Accounting Information System for Measuring the Financial Effectiveness of Management Accounting System
Ali Azizimehr Ghodatolah Talebnia Hamid Reza Vakili FardThe secret to achieving your organization's goals in complex and challenging environments is to make the right managerial and rational decisions. In this regard, the accounting information system as one of the sources of information for the decision of managers is of pa MoreThe secret to achieving your organization's goals in complex and challenging environments is to make the right managerial and rational decisions. In this regard, the accounting information system as one of the sources of information for the decision of managers is of particular importance. Therefore, in order to achieve these goals, it is necessary to have an accounting information system with dynamic capabilities. The dynamic capability of the accounting information system (hidden variable) was measured by the observed variables of flexibility, continuous evaluation, continuous investment and system variability. Therefore, based on this argument, the aim of the present study is to provide a dynamic capability model of the accounting system based on the financial effectiveness of the management accounting system. Data envelopment analysis is a well-known methodology that is applied to evaluate the selected firms based on the most important features. The results of analysis of the proposed method on 86 companies listed on the Tehran Stock Exchange and analysis and analysis of data by structural equation modeling show that the dynamic capability of the accounting information system consists of (flexibility, continuous evaluation, continuous investment and system variability). The result indicate that the management accounting system is effective. Manuscript profile -
Open Access Article
15 - Financial Assessment using a Fuzzy Analytical Hierarchical Process Method
Yousef Taleby Mohammadreza Vatanparast Keyhan AzadiAbstract: One of the basic priorities of any country is to designate appropriate financial strategy to reach an optimized education system to to tenure different jobs. The goal of this research is to determine criteria of importance and skills and knowledge ranking need MoreAbstract: One of the basic priorities of any country is to designate appropriate financial strategy to reach an optimized education system to to tenure different jobs. The goal of this research is to determine criteria of importance and skills and knowledge ranking needed by Accounting graduates in order to achieve future financial success. To have access to the research goal, accounting education skills related variables recognized and categorized into 7 principal components (strategic management, analyzing skills, leadership skills, increasing capabilities skills, general skills of Accounting, communication skills and personality skills) are selected and the fuzzy AHP is utilized to data analysis. Research results show that strategic management is placed as the first priority and communication skills is considered as the last one according to professionals' points of view. Manuscript profile -
Open Access Article
16 - On a Generalized Subclass of p-Valent Meromorphic Functions by Defined q-Derivative Operator
Mohammad Hassan Golmohammadi Shahram Najafzadeh Mohammad Reza ForutanFinancial Mathematics is the application of mathematical methods to financial problems. It is shown that p-valent functions play important roles in Financial Mathematics. In this paper, we define a new subclass of meromorphically p-valent functions by using q-derivative MoreFinancial Mathematics is the application of mathematical methods to financial problems. It is shown that p-valent functions play important roles in Financial Mathematics. In this paper, we define a new subclass of meromorphically p-valent functions by using q-derivative operator and fractional q-calculus operator. We obtain some geometric properties of coefficient estimates, extreme points, convex linear combination, radii of starlikeness and convexity. Finally, ε-neighborhood property will be investigated.Financial Mathematics is the application of mathematical methods to financial problems. It is shown that p-valent functions play important roles in Financial Mathematics. In this paper, we define a new subclass of meromorphically p-valent functions by using q-derivative operator and fractional q-calculus operator. We obtain some geometric properties of coefficient estimates, extreme points, convex linear combination, radii of starlikeness and convexity. Finally, ε-neighborhood property will be investigated. Manuscript profile -
Open Access Article
17 - Evaluation the profitability of dynamic investment projects by using ordered fuzzy numbers
jamil Jalilian Reza Ehtesham Rasi Mirfeiz Fallah ShamsThe purpose of this paper is to provide a new approach to incorporating uncertainty into assessing the profitability of investment projects. In the real world, the capital budgeting problem is accompanied by uncertainty and risk associated dealing with imprecise data. T MoreThe purpose of this paper is to provide a new approach to incorporating uncertainty into assessing the profitability of investment projects. In the real world, the capital budgeting problem is accompanied by uncertainty and risk associated dealing with imprecise data. The major contribution of this research is the development of a novel approach to evaluating the profitability of an investment project in uncertainty condition. At first, we presented a new discount method that can be used by investors when they wants to be able to make an investment decision. That is, we developed a new method to evaluate the profitability of investment projects by or-dered fuzzy net present value (OFNPV). In addition, ordered fuzzy numbers (OFN) are used to describe the dynamics of changes of the defined investment parameters in the assumed time horizon. By using ordered fuzzy numbers, we develop an effective tool for assessing the profitability of investment projects. This assessment tool not only enables decision-makers to decide under uncertainty conditions whether or not a given investment project should be carried out or rejected, but also facilitates selecting the most effective project, e.g. a project with the most expected probability of success. Manuscript profile -
Open Access Article
18 - An Entropy/TOPSIS based Model for Financial prioritization of professional ethics teaching methods in accounting
Javad Masoudi Mohammad Reza Nikbakht Mohammad Reza Mehregan Hossein SafariThe collapse of large corporations such as Enron and WorldCom caused much concern about the ethical behavior of accountants among users of accounting service. Ethical behavior in accounting is one of the distinguishing features of accountants, which enable them to make MoreThe collapse of large corporations such as Enron and WorldCom caused much concern about the ethical behavior of accountants among users of accounting service. Ethical behavior in accounting is one of the distinguishing features of accountants, which enable them to make the best decisions for stakeholders. Professional ethics learning plays a major role in the development of ethical behavior. Also, TOPSIS method is a well-known methodology that is applied in a various decision making problems. On the other hand, in order to determine the importance of criteria, the Entropy method is known as a powerful tools. Therefore, the purpose of this study was to investigate the effect of ethics teaching methods on the development of ethical behavior in accounting. This is done by means of an integrated Entropy/TOPSIS based Model for Financial prioritization of professional ethics teaching methods in accounting. The findings of the study showed that the variables of ethics education, style of teaching ethics and ethics textbook content respectively had a 1, 24 and 55 percent impact on the development of ethical behavior in accounting. The results of this study indicate that an ethical training program in accounting is needed to provide accountants with guidance on ethical issues and the importance of ethical standards. Manuscript profile -
Open Access Article
19 - An Algorithmic Trading system Based on Machine Learning in Tehran Stock Exchange
Hamidreza Haddadian Morteza Baky Haskuee Gholamreza ZomorodianSuccessful trades in financial markets have to be conducted close to the key recurrent points. Researchers have recently developed diverse systems to help the identification of these points. Technical analysis is one of the most valid and all-purpose kinds of these syst MoreSuccessful trades in financial markets have to be conducted close to the key recurrent points. Researchers have recently developed diverse systems to help the identification of these points. Technical analysis is one of the most valid and all-purpose kinds of these systems. With its numerous rules, the technical analysis endeavors to create well-timed and correct signals so that these points are identified. However, one of the drawbacks of this system is its overdependence on human analysis and knowledge in selecting and applying these rules. Employing the three tools of genetic algorithm, fuzzy logic, and neural network, this study attempts to develop an intelligent trading system based on the recognized rules of the technical analysis. Indeed, the genetic algorithm will assist with the optimization of technical rules owing to computing complexities. The fuzzy inference will also help the recognition of the total current condition in the market. It is because a set of rules will be selected based on the market kind (trending or non-trending). Finally, the signal developed by every rule will be translated into a single result (buy, sell, or hold). The obtained results reveal that there is a statistically meaningful difference between a stock's buy and hold and the trading system proposed by this research. In other words, our proposed system displays an extremely higher profitability potential. Manuscript profile -
Open Access Article
20 - Oil Price estimating Under Dynamic Economic Models Using Markov Chain Monte Carlo Simulation Approach
Kianoush Fathi Vajargah Hossein Eslami Mofid Abadi Ebrahim AbbasiThis study, attempts to estimate and compare four different models of jump-diffusion class combined with stochastic volatility that are based on stochastic differential equations, and their parameters latent variables are estimated by Markov chain Monte Carlo (MCMC) met MoreThis study, attempts to estimate and compare four different models of jump-diffusion class combined with stochastic volatility that are based on stochastic differential equations, and their parameters latent variables are estimated by Markov chain Monte Carlo (MCMC) methods. In the Stochastic Volatility with Correlated Jumps (SVCJ) model, volatilities are scholastic, and the term jump is added to both scholastic prices and volatilities. The results of this study showed that this model is more efficient than the others are, as it provides a significantly better fit to the data, and therefore, corrects the shortcomings of the previous models and that it is closer to the actual market prices. Therefore, our estimating model under the Monte Carlo simulation allows an analysis on oil prices during certain times in the periods of tension and shock in the oil market Manuscript profile -
Open Access Article
21 - A Mathematical Model for Measuring Corporate Governance using Multi-Criteria Decision Making (MCDM)Technique
Maryam sadeghi Hossein Panahian Mehdi Safari Gerayli Meysam Arabzadeh Rahman SaediThere has not been presented any comprehensive index for Corporate Governance in spite of its crucial role in resolution and responsiveness. Although diverse methods have been sought for measuring the Corporate Governance in the previous studies, in this study, a compre MoreThere has not been presented any comprehensive index for Corporate Governance in spite of its crucial role in resolution and responsiveness. Although diverse methods have been sought for measuring the Corporate Governance in the previous studies, in this study, a comprehensive index is proposed for measuring Corporate Governance taking other indexes into account through mathematical equations. For testing the designed model’s functionality, a set of data related to 149 firms from 2014 to 2019 has been used jointly, too. To do so, a questionnaire, which asks the experts their idea about the weight and significance of the criteria of measuring the Corporate Governance of the firm, is made and distributed and the weight and significance of the criteria were determined through one method of multi-criteria decision model (Shannon Entropy). To measure the changeable hidden relationship which exists in this study of the Corporate Governance, provided with the measurement items, a confirmatory factorial analysis was taken, too; results show that the supposed model has been a proper index for Corporate Governance. This mixed index includes criteria such as the board of directors' size, independence, meetings, and its education, the CEO's permanence, the size, independence, financial specialty, financial experience, tenure and the meetings of the auditors hip committee, ownership concentration, organizational ownership, governmental ownership, deals with the dependent persons, the quality of the disclosure, proper information and weaknesses if the internal controls, Manuscript profile -
Open Access Article
22 - Performance Analysis of Global Hedge Funds
Seyyed Hassan Hosseini Ali Najafi Mogaddam Yadollah NorifardThe purpose of this paper is to provide an overview research on the hedge fund performance. In the first step, we review recent studies and put them into a joint evaluation of hedge fund performance.Stressful market conditions have a negative impact on HF performance in MoreThe purpose of this paper is to provide an overview research on the hedge fund performance. In the first step, we review recent studies and put them into a joint evaluation of hedge fund performance.Stressful market conditions have a negative impact on HF performance in terms of alphas as the majority of HF strategies do not provide significant excess returns. This study examines the performance of hedging funds that are active in the world and evaluates the feasibility of its creation in Iran. for the first time, the international data of hedging funds from Barclay hedge, Eurkhedge, database during the last 20 years were examined.The statistical population of the present study was international hedging funds during the years 2000 to 2020. The sample size according to the screening method and after removing the pert observations is equal to 150 international hedging funds. In this study, Spss, Amoz, Lisrel software were used. Has been. The results of hedge fund data analysis using multivariate regression at 90% confidence level show that there is a significant and positive relationship between AUM and fund returns. Other research results also show that cost stickiness has a positive effect on the efficiency of hedging funds. Manuscript profile -
Open Access Article
23 - A New Method for Allocating Fixed Costs with Undesirable Data: Data Envelopment Analysis Approach
Mohhamad Reza Mozafari Marzieh Ghasemi Farhad Hosseinzadeh Lotfi Mohsen Rostamy-Malkhalifeh Mohammad Hasan BehzadiAllocating fixed costs with undesirable data has recently been one of the most important issues for managers to discuss. Lack of attention to undesirable data may lead to incorrect cost allocation. Considering and determining undesirable inputs and outputs, data envelop MoreAllocating fixed costs with undesirable data has recently been one of the most important issues for managers to discuss. Lack of attention to undesirable data may lead to incorrect cost allocation. Considering and determining undesirable inputs and outputs, data envelopment analysis (DEA) technique can be significantly helpful in determining the cost allocation strategy. In-puts and outputs are divided into two desirable and undesirable groups. Obviously, desirable inputs and undesirable outputs must be reduced and undesirable inputs and desirable outputs must be increased to improve performance. This manuscript presents two strategies for allocating fixed costs with undesirable data. In the first strategy, each decision making unit (DMU) first determines the minimum and maximum shares that it can receive from the fixed resources while the efficiency of that DMU and other DMUs re-mains the same after receiving the fixed resources. Finally, the decision maker chooses the fixed cost for each DMU between the minimum and maxi-mum cost values proposed. In the second strategy, the allocation of fixed costs is done using the CCR multiplicative model with undesirable data. The effectiveness of both methods is examined by an applied study on the commercial banks. Manuscript profile -
Open Access Article
24 - Using Fuzzy Delphi Technique to Identify Financial Factors Affecting Risk Management in Iranian Banks
Marzieh Fatemi Moghadam Hassan Ghodrati Ghazaani Hossein Panahian Ali Akbar Farzin Far Mehdi Madanchi ZajThe intermediary role that commercial banks play between borrowers and lenders is significant for the development of a sustainable and healthy economy. If the banking system uses its collected resources properly, it will have a positive contribution to economic developm MoreThe intermediary role that commercial banks play between borrowers and lenders is significant for the development of a sustainable and healthy economy. If the banking system uses its collected resources properly, it will have a positive contribution to economic development. However, for this to happen, a bank must ensure that risks are accurately assessed and that appropriate approaches are designed to address potential risks. Due to the increasing integration of risk management plans in the culture and processes of organizations, various approaches have emerged to oppose the issue, which has caused doubts and shortcomings in its implementation. Therefore, identifying the financial and key factors for the success of risk management implementation in the organizational environment can help prevent possible defects in the implementation of processes. Therefore, in this study, the key financial factors of the success of implementing organizational risk management in Iranian banks were investigated. To investigate which of the identified factors in Iranian banks is significant, the fuzzy Delphi technique was used and effective factors were identified using the perspective of experts. The results showed that the factors of "appetite and risk tolerance", "willingness to take advantage of opportunities", "identification, analysis and response to risk" and "relationship of sectors", can be effective factors in implementing risk management Be an organization in Iranian banks. Manuscript profile -
Open Access Article
25 - Designing and evaluating the profitability of linear trading system based on the technical analysis and correctional property
CharaghAli Bakhtiyari Asl Sayyed Mohammad Reza Davoodi Abdolmajid Abdolbaghi AtaabadiTraders in the capital market always seek methods to make full use of available information and combine them to find the best buying and selling strategy. The present study uses a linear hybrid system to combine 106 signals from moving averages oscillators and RSI signa MoreTraders in the capital market always seek methods to make full use of available information and combine them to find the best buying and selling strategy. The present study uses a linear hybrid system to combine 106 signals from moving averages oscillators and RSI signals in the technical analysis along with two buy and sell bonds. In addition, the system has correctional property and modifies its parameters over time and according to new information. The result of the research on the Tehran Exchange overall index in the period 1380 to 1397 indicates that the system after the optimal training on training data has an average of daily returns of 0/0025, 0/0048 risk, and a daily Sharp ratio of 0/52, which is better than the individual performance of each signal and market performance in daily average return and sharp ratio criterion. Manuscript profile -
Open Access Article
26 - Alternating Direction Explicit Method for a Nonlinear Model in Finance
Sima MashayekhiIn this article, at first standard linear Black-Scholes model and then some nonlinear Black-Scholes models will be considered and thereupon alternating direction explicit (ADE) method is applied firstly for solving the standard Black-Scholes model and then for Barles an MoreIn this article, at first standard linear Black-Scholes model and then some nonlinear Black-Scholes models will be considered and thereupon alternating direction explicit (ADE) method is applied firstly for solving the standard Black-Scholes model and then for Barles and Soner model which is one of the most complete and comprehensive nonlinear Black-Scholes models. Furthermore, the stability of this method has been considered and its accuracy will be compared with other numerical methods such as finite difference methods. Since in solving nonlinear Black-Scholes models by the ADE methods, we need to solve only some scalar nonlinear equations instead of a full nonlinear system of equations that we should solve in implicit methods, so this method can be a suitable choice for solving such models. Manuscript profile -
Open Access Article
27 - Common Set of Weights Model in the Presence of Non-homogeneous Outputs
Mahnaz Ahadzadeh Namin Elaheh KhamsehIn order to evaluate the companies of the cement industry active in the Tehran Stock Exchange (Iran), it is first necessary to identify the indicators of the industry. Note that some of the indicator values provided by the Exchange Organization to the users may have bee MoreIn order to evaluate the companies of the cement industry active in the Tehran Stock Exchange (Iran), it is first necessary to identify the indicators of the industry. Note that some of the indicator values provided by the Exchange Organization to the users may have been lost for any reason. All of the existing models for calculating the efficiency of such units calculate the weight of the indicators related to each unit under evaluation independent of the weight of other units. So, in this study, researchers decided to develop a common set of weight models and propose a model that evaluates efficiency in the presence of heterogeneity decision-making units (DMUs) based on the common set of weight models. Finally, the proposed model evaluates 25 cement industry companies in the presence of heterogeneity DMUs of indicators and the results are being analyzed. Manuscript profile -
Open Access Article
28 - Hybrid Multilayer Perceptron Neural Network with Grey Wolf Optimization for Predicting Stock Market Index
Meysam Doaei Seyed Ahmad Mirzaei Mohammad RafighStock market forecasting is a challenging task for investors and researchers in the financial market due to highly noisy, nonparametric, volatile, complex, non-linear, dynamic and chaotic nature of stock price time series. With the development of computationally intelli MoreStock market forecasting is a challenging task for investors and researchers in the financial market due to highly noisy, nonparametric, volatile, complex, non-linear, dynamic and chaotic nature of stock price time series. With the development of computationally intelligent method, it is possible to predict stock price time series more accurately. Artificial neural networks (ANNs) are one of the most promising biologically inspired techniques. ANNs have been widely used to make predictions in various research. The performance of ANNs is very dependent on the learning technique utilized to train the weight and bias vectors. The proposed study aims to predict daily Tehran Exchange Dividend Price Index (TEDPIX) via the hybrid multilayer perceptron (MLP) neural networks and metaheuristic algorithms which consist of genetic algorithm (GA), particle swarm optimization (PSO), black hole (BH), grasshopper optimization algorithm (GOA) and grey wolf optimization (GWO). We have extracted 18 technical indicators based on the daily TEDPIX as input parameters. Therefore, the experimental result shows that grey wolf optimization has superior performance to train MLPs for predicting the stock market in metaheuristic-based. Manuscript profile -
Open Access Article
29 - DEA Approaches for Financial Evaluation - A Literature Review
Mohammad IzadikhahFinancial assessment has been of great interest to both academic and practitioners in the past decades. Among several performance assessment approaches, Data Envelopment Analysis (DEA) has become one of the crucial tools that have been commonly adopted to financially ev MoreFinancial assessment has been of great interest to both academic and practitioners in the past decades. Among several performance assessment approaches, Data Envelopment Analysis (DEA) has become one of the crucial tools that have been commonly adopted to financially evaluate firms in various fields. The main aim of this review article is to review of DEA models in regarding to evaluation of the financial performance. This paper presents the first comprehensive and structured literature review of the use of DEA models for financially assessment. To this end, this paper reviewed and summarized the different models of DEA models that have been applied around the world to development of financial assessment problems. Consequently, a review of 455 published scholarly papers appearing in 160 journals between 1994 and 2021 have been obtained to achieve a comprehensive review of DEA application in financial efficiency. Accordingly, the selected articles have been categorized based on year of publication, authors, nationalities, scope of study, time duration, application area, study purpose, results, outcomes, etc. The discussion and the findings of this paper can be used as a guideline to analysts to determine the best fit financial assessment method when DEA evaluation is applied to any dataset. Future perspectives and challenges are discussed. Manuscript profile -
Open Access Article
30 - Modeling Energy and Steel Price Volatility and Experimental Test of Inter-Market Volatility Spillover: A Multivariate Study Using VECM and Familty GARCH Models
Seyed Abdolhamid Bahreini Hossein Badiei Faegh Ahmadi Jahanbakhsh AsadniaThe spread of volatility between financial indices indicates the process of information transfer between markets. Despite the relationship between financial markets, the information created in one market can affect other markets as well. Therefore, the main purpose of t MoreThe spread of volatility between financial indices indicates the process of information transfer between markets. Despite the relationship between financial markets, the information created in one market can affect other markets as well. Therefore, the main purpose of this study is to investigate the volatility of energy and steel prices and the experimental test of inter-market volatility spillover. To do this, the monthly data of steel and energy price (oil and gas) during 2009 to 2019 were collected from valid databank using VECM and GARCH Family and VAR model and ICSS algorithm were analyzed by considering and without considering structural failure.Then, the causal relationship between them is examined through Granger causality test. The results show that there is volatility in the energy market (oil and gas) as well as the steel market during the studied time period. Results also show that the price of steel as well as its return and index are changed significantly by energy price effect. However, there is a causal link between energy prices and steel products and these results are consistent with the theoretical basics of the study and review of literature. Manuscript profile -
Open Access Article
31 - Comparison of the Ability of Modern and Conventional Metaheuristic and Regression Models to Predict Stock Returns by Accounting Variables and Presenting an Effective Model
Mahmood Kohansal Kafshgari Alireza Zarei Sodani Reza BehmaneshInvestment in the stock market requires decision-making and access to infor-mation on the future of the stock market. Given the importance of predicting stock returns, the present study aimed to discover the variables and indices that could predict stock returns. The pr MoreInvestment in the stock market requires decision-making and access to infor-mation on the future of the stock market. Given the importance of predicting stock returns, the present study aimed to discover the variables and indices that could predict stock returns. The prediction of stock returns has long been a 'hot topic' in advanced countries. While effective steps have been taken in this regard, the accu-rate prediction of stock returns remains a problem due to numerous issues. In this study, an accurate, applicable, and effective model was proposed for the predic-tion of stock returns. The statistical sample included 138 active companies of Tehran Stock Exchange (TSE) during 2008-2017, which were selected by the systematic removal method. In total, 1,380 data years were selected for the re-search to evaluate the questions. Data analysis was performed using an adaptive neuro-fuzzy inference system (ANFIS), multi-gene genetic programming, and regression analysis. In addition, statistical tests were applied to evaluate the accu-racy of the model, implemented by MATLAB and GeneXproTools. According to the results, the hybrid metaheuristic method had a lower error rate compared to artificial neural network and regression analysis in terms of stock return predic-tion. Therefore, the proposed model could provide more accurate data within a shorter time to predict the stock market status since it makes predictions after selecting the most optimal input variables through ANFIS. Manuscript profile -
Open Access Article
32 - Providing an Optimal Robust Portfolio Model with Mean- CVaR Approach
Fatemeh Pouraskari Jourshari Mohsen Khodadadi Seyed Reza Seyed Nejad FahimThe portfolio selection problem is one of the main investment management prob-lems. In the portfolio selection problem, robustness is sought against uncertainty or variability in the value of the parameters of the problem. This paper has been conducted for Robust portfo MoreThe portfolio selection problem is one of the main investment management prob-lems. In the portfolio selection problem, robustness is sought against uncertainty or variability in the value of the parameters of the problem. This paper has been conducted for Robust portfolio optimization based on the mean-cvar approach. And introduces the linear mean-cvar model as a criterion for calculating risk and provides an optimal Robust mean-cvar model. Robust approach used in this research is the Bertsimas and Sim. In this approach, Robust counterpart presented for a linear programming model remains linear, maintaining the advantages of the linear programming model in the optimal model. The model developed in this research is randomly selected by real data of 20 stocks of the S&P 500 index for three years, this development help portfolio selection problem to consider uncertainty. Interval optimization is modeling approach to consider parameters uncertainty in this paper. Considering uncertainty make model more realistic. The results of model show that this approach has computational efficiency and on the other hand proposed model produce better solution in risk and portfolio rate of return point of view Manuscript profile -
Open Access Article
33 - Efficiency Analysis of Banking Sector in Presence of Undesirable Factors Using Data Envelopment Analysis
Fatemeh Bozorgi Gerdvisheh Mansour Soufi Alireza Amirteimoori Mahdi HomayounfarBanks play an important role in the growth and development of any economy. A profitable banking system enhances economic stability and efficiency to mitigate the impacts of sudden macroeconomic shocks. To be more efficient and profitable, banks need to recognize the fac MoreBanks play an important role in the growth and development of any economy. A profitable banking system enhances economic stability and efficiency to mitigate the impacts of sudden macroeconomic shocks. To be more efficient and profitable, banks need to recognize the factors underpinning their performance. Accrued liabilities are one of the factors that hinder the profitability of banks. There are several methods to assess banks' profitability with their own pros and cons. Among them, data envelopment analysis (DEA) has been recommended as one of the most common approaches to evaluate different efficiencies including cost efficiency, revenue efficiency, technical efficiency, and finally profitability. The availability of prices/weights of inputs and outputs provides financial managers with significant information for evaluating efficiencies and assists them in decision-making and strategy development processes. This study mainly aims to analyze banks' profitability by considering accrued liabilities resulting from undesirable factors, for which relevant data were collected from 33 branches of a commercial bank in Gilan province, Iran based on managerial and weak disposability. The results illustrated that only three branches were graded one in three dimensions of efficiency, namely technical, cost and revenue, and profitability. Besides, it was suggested that the lack of these efficiencies was not correlated with the branches' profitability. Manuscript profile -
Open Access Article
34 - Analysis of Stock Market Manipulation using Generative Adversarial Nets and Denoising Auto-Encode Models
Hamed Hamedinia Reza Raei Saeed Bajalan Saeed RouhaniMarket manipulation remains the biggest concern of investors in today’s securities market. The development of technologies and complex trading algorithms seems to facilitate stock market manipulation and make it inevitable for regulators to use Deep Learning model MoreMarket manipulation remains the biggest concern of investors in today’s securities market. The development of technologies and complex trading algorithms seems to facilitate stock market manipulation and make it inevitable for regulators to use Deep Learning models to prevent manipulation. In this research, a Denoising GAN-based model has been designed. The proposed model (GAN-DAE4) consists of a three-layer encoder along with a 2-dimension encoder as the discriminator and a three-layer decoder as the generator. First, using statistical methods such as sequence, skewness, and kurtosis tests and some unsupervised learning methods such as Contextual Anomaly Detection (CAD) and some visual and graphical methods, the manipulated stocks have been detected in the Tehran Stock Exchange from 2015 to 2020; then GAN-DAE4 and some supervised deep learning models have been applied to the prepared data set. The results show that GAN-DAE4 outperformed other deep learning models (with F2-measure 73.71%) such as Decision Tree (C4.5), Random Forest, Neural Network, and Logistic Regression. Manuscript profile -
Open Access Article
35 - Analytical and numerical solutions for the pricing of a combination of two financial derivatives in a market under Hull-White model
Hossein Sahebi Fard Elham Dastranj Abdolmajid Abdolbaghi AtaabadiIn this paper‎ a combination of two financial derivatives in financial markets modelled of future interest rates is presented and evaluated. In fact ‎European option pricing is driven when zero-coupon bond is considered as underlying asset in a market under Hull MoreIn this paper‎ a combination of two financial derivatives in financial markets modelled of future interest rates is presented and evaluated. In fact ‎European option pricing is driven when zero-coupon bond is considered as underlying asset in a market under Hull-White model‎. ‎For this purpose, the exact solutions of the valuation of this bond option are driven, using Lie group symmetries method. Then in the next part, the finite difference method is applied to find numerical solutions for assumed bond option pricing. Then the significance and usefulness of this approximated method is comparing with the exact solutions by some plotted graphs. Manuscript profile -
Open Access Article
36 - Evaluation of the Performance of a Dynamic Trading Strategy by Combining the Flag Pattern Detection Technique and an Exponential Moving Average with Cumulative Particle Motion Optimization
sayyed mohammad reza davoodi Sayyede Elnaz Afzaliyan BoroujeniDesigning trading systems with good returns is critical for capital market investors. Trading systems are often based on a combination of several tools to use their combined information. For the first time in Iran, the present study aimed to propose a pattern detection MoreDesigning trading systems with good returns is critical for capital market investors. Trading systems are often based on a combination of several tools to use their combined information. For the first time in Iran, the present study aimed to propose a pattern detection algorithm for a flag pattern based on Japanese candlestick charts and their arrangement. By recognizing the pattern and if the 4- and 10-day moving average is confirmed, a shopping position is developed, and the selling time is determined based on an optimized and dynamic process commensurate with price changes and the data scale. Our objective was to address the question of whether the returns resulting from this strategy have a more significant positive return compared to the purchase and maintenance strategy. The research sample included the daily information of 16 active companies of basic metals in Tehran Stock Exchange during 2007-2019, extracted from the database of Novin Rahavard software. Data analysis was performed in MATLAB software, and the obtained experimental evidence was described using t-test. According to the results, the research strategy had a higher performance in terms of returns and risks compared to the market. Manuscript profile -
Open Access Article
37 - On Solutions of Generalized Implicit Equilibrium Problems with Application in Game Theory
Parastoo Zangenehmehr Ali FarajzadehIn this paper, first a brief history of equilibrium problems(EP) and generalized implicit vector equilibrium problems(GIVEP) are given. Then some existence theorems for GIVEP are presented, also some suitable conditions in order the solution set of GIVEP is compact and MoreIn this paper, first a brief history of equilibrium problems(EP) and generalized implicit vector equilibrium problems(GIVEP) are given. Then some existence theorems for GIVEP are presented, also some suitable conditions in order the solution set of GIVEP is compact and convex for set-valued mappings whose are a subset of the cartesian product of Hausdorff topological vector space and their range is a subset of a topological space values (not necessarily locally convex or a topological vector space). In almost all of published results for GIVEP the set-valued mappings are considered from a topological vector space(locally convex topological vector space) to a topological vector space while in this paper the range of the set-valued mappings are a subsets of a topological spaces. As applications of our results, we derive some suitable conditions for existing a normalized Nash equilibrium problems when the number of players are finite and the abstract case, that is infinite players. Finally, a numerical result, as an application of the main results, is given. The method used for proving the existence theorems is based on finite intersection theorems and Ky-Fan’s theorem. The results of this paper, can be considered as suitable generalizations of the published paper in this area. Manuscript profile -
Open Access Article
38 - Performance Analysis and Sustainability Assessment of International Markets: Iran versus some other countries
Adeleh Eisazadeh Saravani Kambiz Shahroudi Alireza Amirteimoori Mehrdad Goudarzvand CheginiEvaluating the performance of countries in international markets and measuring how they utilize allocated resources provides a lucid picture of the state of business management in countries also assessing performance sustainability in international markets, is one of th MoreEvaluating the performance of countries in international markets and measuring how they utilize allocated resources provides a lucid picture of the state of business management in countries also assessing performance sustainability in international markets, is one of the important issues in predicting international trade. In international markets knowledge of countries' performance leads to the recognition of their economic and non-economic management statuses even more it is used to allocate financial support of global organization. In the present article, an attempt was made to design a model capable of examining the performance of nations in international markets by both economic and non-economic dimensions in the presence of undesirable factors and two preparation and exploitation stages of existing platforms and also assessing the sustainability of countries' performance in the studied period which is quite innovative. Then, data from 21 countries, from 2010 to 2017 were evaluated to test the model. The results indicated that the model is capable of examining the performance of countries and assess the sustainability of the countries over a period of time. According to the results of this model, an attempt was made to evaluate Iran's performance status among homogeneous countries and provide a roadmap for enhancing Iran's performance Manuscript profile -
Open Access Article
39 - Multiple portfolio optimization in Tehran Stock Exchange
Shadi Khalil Moghadam Farimah Mokhatab Rafiei Mohamad Ali Rastegar Hamed Aghayi BejestanManaging a single portfolio is a basic assumption in the most of research. However, in reality, an advisor manages many accounts at the same time; therefore, there is a significant dependency among portfolios and correlation between decisions on one portfolio with the p MoreManaging a single portfolio is a basic assumption in the most of research. However, in reality, an advisor manages many accounts at the same time; therefore, there is a significant dependency among portfolios and correlation between decisions on one portfolio with the performance of others, so the results of multi portfolio is different with classic models (single portfolio management, that portfolios are optimized independently) due to market impact and the trade dependency of one account to the other accounts. We propose a structural model to optimize accounts simultaneously, considering interdependences, decision’s correlation and mutual behavioral effects of managed portfolios. Moreover, to compare and analyze both single portfolio and multi portfolio approaches, real data from Tehran Stock Exchange in 1398 are used and model is solved with GAMS. Results indicate that multi portfolio optimization excel other approach and consequence notable improvement on the perspective of customer and advisor. Also, for the validation of the proposed model, the selected stocks are considered in pairs to solve the model and the results show the proper performance of the model with different stocks, thus indicating the validity of the model. Manuscript profile -
Open Access Article
40 - Fixed Cost Allocation Based on DEA Cross Efficiency Considering Semi-Additive Production Technology: An Application to Bank Branches
Javad GeramiIn the real world, situations frequently occur when we want to allocate a fixed cost between a set of decision-making units (DMUs) such as institutions, organizations. In this paper, we use the data envelopment analysis (DEA) technique to allocate fixed costs among DMUs MoreIn the real world, situations frequently occur when we want to allocate a fixed cost between a set of decision-making units (DMUs) such as institutions, organizations. In this paper, we use the data envelopment analysis (DEA) technique to allocate fixed costs among DMUs. First, we introduce semi-additive production technology in DEA and present efficiency evaluation models in this technology. In estimating the frontier of this technology, in addition to the observed DMUs, the set of all aggregations of these DMUs are also used. In the following, we propose an interactive process for fixed cost allocation between DMUs in DEA based on the concept of cross-efficiency. We show that our proposed iterative approach is always feasible, and ensures that all DMUs become efficient after the fixed cost is allocated as an additional input measure. The cross-efficiency scores corresponding to all DMUs are improved at each stage of the interactive process. We also illustrate the proposed approach with a numerical example. The proposed approaches are demonstrated using an application of the fixed cost allocation problem for branches of commercial banks. Finally, we bring the results of the research. Manuscript profile -
Open Access Article
41 - Patterning Mergers and Acquisitions by Network Data Envelopment Analysis in the Iranian Insurance Companies
Elham Sadeghi Mohsen Rostamy-Malkhalifeh Mohammad Reza Miri Lavasani mohammad hamed khan mohammadiOne of the most important factors of the development of an economy is the mergers or acquisitions (M&A) at the level of its active companies such as insurance companies. The main purpose of this study is to examine the efficiency of merger and acquisition before doi MoreOne of the most important factors of the development of an economy is the mergers or acquisitions (M&A) at the level of its active companies such as insurance companies. The main purpose of this study is to examine the efficiency of merger and acquisition before doing this process in the insurance industry using network data envelopment analysis and can select the companies that potentially facilitate achieving the purposes of the merger and acquisition process and improve of this action. For this purpose, in this study, first the efficiency of 20 insurance companies was measured through the Modified Slack-Based Measure (MSBM) in the two-stage data envelopment analysis approach during three years 2017, 2018 and 2019. Then, considering the calculated efficiency, Asia Insurance Company, Parsian, Dey, Pasargad, Kowsar and Taavon, which have had efficient performance in the last three years, were excluded from the calculations and other companies were selected for M&A . After ensuring that no monopoly is considered via Herfindahl- Hirschman Index, M&A is performed and then the overall efficiency was measured and it was divided into three parts: technical, harmony and scale. The results showed that the two consolidations Dana-Mihan and Dana-Sina had the best efficiency and the three consolidations Alborz-Mellat, Sina-Arman and Sina-Sarmad had the lowest efficiency and potential for the highest improvement. Calculations also showed that if the scale effect in the composition is greater than 1, then the coordination effect is smaller than 1 and the inverse relationship are not necessarily satisfied. Manuscript profile -
Open Access Article
42 - A New Method of Sensitivity Analysis of Returns to Scale in Two-Stage Network; A Case Study of the Insurance Industry in Iran
Maryam Sarparast Farhad Hosseinzadeh Lotfi Alireza Amirteimoori Mohsen Rostamy-MalkhalifehOne important issue in data envelopment analysis (DEA) which has been studied by many researchers is returns to scale (RTS). The authors developed DEA models to evaluate the efficiency of two-stage networks in returns to scale variable and introduced a new definition to MoreOne important issue in data envelopment analysis (DEA) which has been studied by many researchers is returns to scale (RTS). The authors developed DEA models to evaluate the efficiency of two-stage networks in returns to scale variable and introduced a new definition to determine return to scale classification in two-stage networks. The current article proposed an approach for determining the stability region of returns to scale classification in two-stage network DEA. The data were collected from insurance companies in Iran in 2019. We consider the insurance industry process as a two-stage network; the stage of marketing and that of investment. The effectiveness of insurance companies was evaluated, and, after determining the classification of returns to scale, we found a sustainability interval to classify returns to their scale. Manuscript profile -
Open Access Article
43 - Applying the ELECTRE Method to Determine the Effects of Calendar Anomalies on the Index Returns of Banks Listed on the Tehran Stock Exchange
sahand Vahabi Bahareh Banitalebi DehkordiIn today's world, financial markets, as the main arteries of any country's economic system, have created an attractive environment for investors, and therefore it is necessary to identify the behavior of investors in this space and variables affecting prices and stock r MoreIn today's world, financial markets, as the main arteries of any country's economic system, have created an attractive environment for investors, and therefore it is necessary to identify the behavior of investors in this space and variables affecting prices and stock returns in these markets. The purpose of this study is to use the method of random dominance analysis and electrification technique as a new method in financial research to investigate the effect of calendar anomalies on the index returns of banks listed on the Tehran Stock Exchange in the period 2016-2020. Findings show that according to the three main hypotheses that there is a significant difference between the returns of the banking industry index on Saturdays to Wednesdays, in the first, second, third and fourth weeks of each month and in the months of April to March based on accuracy Market efficiency assumptions were formulated, all three hypotheses were rejected. It was also found that Wednesdays and the second weeks of each month are the best time to invest in the banking sector. In addition, June is the best and March is the most unsuitable month of the year to invest in this field. Manuscript profile -
Open Access Article
44 - Selecting The Optimal Multi-Period Stock Portfolio with Different Time Horizons in the Credibility Theory Framework
Younes Nozarpour Sayyed Mohammad Reza Davoodi Mahdi FadaeeAfter closing, the multi-period portfolio can be corrected and revised at regular intervals. The philosophy behind using multi-period portfolio models is that investors often have a multi-period view of future changes in assets, which can be the result of technical and MoreAfter closing, the multi-period portfolio can be corrected and revised at regular intervals. The philosophy behind using multi-period portfolio models is that investors often have a multi-period view of future changes in assets, which can be the result of technical and fundamental analysis or statistical model analysis. In conventional multi-period portfolio models, it is assumed that the forecast and correction time horizons are the same for all assets. However, one asset may be forecasted over a one-month horizon while another may be forecasted over a two-month horizon, and both may be revised in the future. The purpose of this study is to present a multi-period portfolio model in which assets have different time horizons for corrections or an asset may not be traded for the first few periods and then enter the correction stage. In this model, fuzzy variables defined in a credibility space are used to describe the return, and the credibility measure controls the risk. The model's objective function is to maximize the portfolio's ultimate wealth, and a constraint is used to control portfolio risk, in which the validity of the portfolio's ultimate wealth below a certain threshold is controlled at a certain level of confidence. A combination of particle swarm optimization and simulation is used to find the best solution. Finally, using a numerical example, the model is implemented on a portfolio with 6 assets and 4 monthly time steps on the Tehran Stock Exchange. Manuscript profile -
Open Access Article
45 - Presenting an Explanatory Model of Stock Price Using Deep Learning Algorithm
Mojtaba Bavaghar Zaeimi Gholamreza Zomorodian Mehrzad Minooee Amirreza KeyghobadiThis study aimed to present an explanatory model of stock price using deep learning algorithm for companies listed in the Tehran Stock Exchange. In this study, a deep learning network was used to predict stock prices. The study was applied-developmental research in term MoreThis study aimed to present an explanatory model of stock price using deep learning algorithm for companies listed in the Tehran Stock Exchange. In this study, a deep learning network was used to predict stock prices. The study was applied-developmental research in terms of purpose. To test the research questions, accounting data were prepared from 2011 to 2020 and input variables were calculated based on it for the model. The method of systematic elimination sampling has been used in this study. The results indicated that the precisions of prediction has a high precisions in the deep learning model. The proposed algorithm was reviewed according to its prediction accuracy and modeling cost. According to the data volume, it was found that the prediction accuracy in the deep learning model has a relative superiority and the diagram of performance characteristic and AUC criteria also showed this superiority in detection power. Manuscript profile -
Open Access Article
46 - Early Warning Model for Solvency of Insurance Companies Using Machine Learning: Case Study of Iranian Insurance Companies
Saeed Naseri Khezerlou Atousa GoodarziStakeholders of an organization avoid undesirable outcomes caused by ignoring the risks. Various models and tools can be used to predict future outcomes, aiming to avoid the undesirable ones. Early warning models are one of the approaches that could help them in doing s MoreStakeholders of an organization avoid undesirable outcomes caused by ignoring the risks. Various models and tools can be used to predict future outcomes, aiming to avoid the undesirable ones. Early warning models are one of the approaches that could help them in doing so. This study focuses on developing an early warning system using machine learning algorithms for predicting solvency in the insurance industry. This study analyses 23 financial ratios from Iranian general insurance companies listed on the Tehran Stock Exchange between 2015 and 2020. The model uses Decision Tree, Random Forest, Artificial Neural Networks, Gradient Boosting Machine and XGBoost algorithms, with Boruta as a feature selection method. The dependent variable is the solvency margin ratio, and the other 22 ratios are the independent variables, which Boruta reduces to 7 variables. Firstly, the performance of the machine learning models on two datasets, one with 22 independent variables and one with 7, is compared based on RMSE values. The XGBoost algorithm performs the best on both data sets. Additionally, the study predicts the 2020 values for 19 insurance companies, performs stage classifications, and compares actual stages to predicted stages. In this analysis, Random Forest has the best estimate accuracy on both data sets, while Gradient Boosting Machine has the best estimate accuracy on the Boruta data set. Finally, the study compares the machine learning models' results in terms of capital adequacy classification, where Random Forest performs the best on both data sets, and Gradient Boosting Machine on the Boruta data set. Manuscript profile -
Open Access Article
47 - Designing a Model to Investigate the Process of Forming Cluster Fluctuations According to the Fractal Structure in Financial Markets
Amin Amini Bashirzadeh Shahrokh Bozorgmehrian Bahareh Banitalebi DehkordiCluster fluctuations and fractal structures are important features of space-time correlation in complex financial systems. However, the microscopic mechanism of creation and expansion of these two features in financial markets remains challenging. In the current researc MoreCluster fluctuations and fractal structures are important features of space-time correlation in complex financial systems. However, the microscopic mechanism of creation and expansion of these two features in financial markets remains challenging. In the current research, by using factor-based model design and considering a new interactive mechanism called multi-level clustering, the formation process of cluster fluctuations was investigated with regard to the fractal structure of financial markets. For this purpose, the daily information of the final price of 150 shares that were accepted in the Tehran Stock Exchange, after the final screening, was entered in 5 sections with 30 shares in each section, in the desired model, and they were aggregated in three stock levels., sector and market were measured. Due to the fact that some investors have a longer investment horizon in the stock market and due to the limitation of the investigated time period, the maximum investment horizon of 1000 days has been determined in the model.In addition, the data studied in the research model are from August 2012 to September 2018. The findings of the research showed that the intensity of the tendency of collec-tive behavior at the sector level is much stronger than at the market level. In addition, based on the findings of the research, it was determined that the distribution of simulation eigenvalues in three levels is significantly similar to the distribution of real data. Also, according to the investor's time horizon, the studied series always has a long-term memory for fluctuations. In addi-tion, it was found that long-term memory is directly related to fractal dimen-sions. The findings of this research, in addition to providing a new insight into the space-time correlations of financial markets, show that multi-level conglomeration is one of the mechanisms for creating the microscopic mi-crostructure of such markets. In other words, multi-level collective behavior is an important factor in the occurrence of cluster and fractal fluctuations in the market, and therefore, it should be considered from this point of view in the interpretation of the concept of risk and the definition of risk manage-ment strategies. Manuscript profile -
Open Access Article
48 - Deep Learning Application in Rainbow Options Pricing
Ali Bolfake Seyed Nourollah Mousavi Sima MashayekhiDue to the rapid advancements in computer technology, researchers are attracted to solving challenging problems in many different fields. The price of rainbow options is an interesting problem in financial fields and risk management. When there is no closed-form solutio MoreDue to the rapid advancements in computer technology, researchers are attracted to solving challenging problems in many different fields. The price of rainbow options is an interesting problem in financial fields and risk management. When there is no closed-form solution to some options, numerical methods must be used. Choosing a suitable numerical method involves the most appropriate combination of criteria for speed, accuracy, simplicity and generality. Monte Carlo simulation methods and traditional numerical methods have expensive repetitive computations and unrealistic assumptions on the model. Deep learning provides an effective and efficient method for options pricing. In this paper, the closed-form formula or Monte-Carlo simulation are used to generate data in European and Asian rainbow option prices for the deep learning model. The results confirm that the deep learning model can price the rainbow options more accurately with less computation time than Monte-Carlo simulation. Manuscript profile -
Open Access Article
49 - Designing a Model for Predicting Corporate Bankruptcy Using Ensemble Learning Techniques
Hossein Eghbali Alimohamad AhmadvandThe bankruptcy of corporations causes huge losses for investors, managers, creditors, employees, suppliers, and customers. If someone understands the reason for the corporate's bankruptcy, then he can save the corporate from certain death with the necessary planning. Th MoreThe bankruptcy of corporations causes huge losses for investors, managers, creditors, employees, suppliers, and customers. If someone understands the reason for the corporate's bankruptcy, then he can save the corporate from certain death with the necessary planning. Therefore, bankruptcy forecasting is the most important prerequisite for bankruptcy prevention. Due to this issue, the main aim of this article is the prediction of the economic bankrupt-cy of corporations in the Tehran Stock Exchange using group machine learn-ing algorithms. Financial ratios have been used as independent variables and healthy and bankrupt corporations as research dependent variables. The statistical population of the study is the information of financial statements of corporations on the Tehran Stock Exchange from the years 2004 to 2021. In this study, sampling is not used and corporations include two groups healthy and bankrupt. The bankrupt and non-bankrupt groups are selected based on the threshold of the Springate model. The research findings indicate that the accuracy of predicting the bankruptcy of corporations in the group learning model by stacking method is higher than other used models where the AUC and Accuracy Ratio were 0.9276 and 0.8247, respectively. Manuscript profile -
Open Access Article
50 - A Hybrid Entropy-TOPSIS Method to Investigate the Effect of Auditing Team Norms and Peer Personality Components on the Objectivity of Financial Auditors
Azam Beygi Harchegani Houshang Amiri Mohammad KhodamoradiAuditors' personality traits have a significant effect on the motivation of their financial behavior. In fact, the personal and personality traits of auditors that can be influenced by the environment play an important role in motivating individuals to engage in financi MoreAuditors' personality traits have a significant effect on the motivation of their financial behavior. In fact, the personal and personality traits of auditors that can be influenced by the environment play an important role in motivating individuals to engage in financially professional behaviors. Audit team norms are one of the factors in the audit firm environment that affect the auditor's behavior. In this study, the effect of auditing team norms and auditors' personality types on auditor objectivity was investigated. The Entropy technique is used to examine the importance of the norms of the audit team and the personality components of the peers, and based on the results and using the TOPSIS method, these factors affecting the objectivity of financial auditors are ranked. The statistical population of this study includes all professional auditors working in the auditing organization and private auditing institutions, members of the Iranian Society of Certified Public Accountants in 2020, including 242 members. The results showed that extroverted and responsible personality types have a positive and significant effect on auditors' objectivity. The results also showed that the norms of the audit team have a positive and significant effect on the objectivity of auditors. Manuscript profile -
Open Access Article
51 - Option pricing with artificial neural network in a time dependent market
Mehran Araghi Elham Dastranj Abdolmajid Abdolbaghi Ataabadi Hossein Sahebi FardIn this article, the pricing of option contracts is discussed using the Mikhailov and Nogel model and the artificial neural network method. The purpose of this research is to investigate and compare the performance of various types of activator functions available in ar MoreIn this article, the pricing of option contracts is discussed using the Mikhailov and Nogel model and the artificial neural network method. The purpose of this research is to investigate and compare the performance of various types of activator functions available in artificial neural networks for the pricing of option contracts. The Mikhailov and Nogel model is the same model that is dependent on time. In the design of the artificial neural network required for this research, the parameters of the Mikhailov and Nogel model have been used as network inputs, as well as 700 data from the daily price of stock options available in the Tehran Stock Exchange market (in 2021) as the net-work output. The first 600 data are considered for learning and the remaining data for comparison and conclusion. At first, the pricing is done with 4 commonly used activator functions, and then the results of each are com-pared with the real prices of the Tehran Stock Exchange to determine which item provides a more accurate forecast. The results obtained from this re-search show that among the activator functions available in this research, the ReLU activator function performs better than other activator functions. Manuscript profile -
Open Access Article
52 - Visualized Portfolio Optimization of stock market: Case of TSE
Fatemeh Lakzaie Alireza Bahiraie saeed mohammadianAn investment portfolio is a collection of financial assets consisting of investment tools such as stocks, bonds, and bank deposits, among others, which are held by a person or a group of persons. In this research, we use the Markowitz model to optimize the stock portfo MoreAn investment portfolio is a collection of financial assets consisting of investment tools such as stocks, bonds, and bank deposits, among others, which are held by a person or a group of persons. In this research, we use the Markowitz model to optimize the stock portfolio and identify the minimum spanning tree (MST) structure in the portfolio consisting of 50 stocks traded in the TSE. The observable which is used to detect the minimum spanning tree (MST) of the stocks of a given portfolio is the synchronous correlation coefficient of the daily difference of logarithm of closure price of stocks. The correlation coefficient is calculated between all the possible pairs of stocks present in the portfolio in a given time course. The goal of the present study is to obtain the taxonomy of a portfolio of stocks traded in the TSE by using the information of time series of stock prices only. In this research, report results obtained by investigating the portfolio of the stocks used to compute 50 stocks of the Iran Stock Exchange in the time period from January 2012 to October 2022. Manuscript profile -
Open Access Article
53 - Modelling Robust Optimization in DEA With Ratio Data: A Case Study of Commercial Banks
Javad GeramiIn many practical problems, we face situations where the data ratio is important for the decision-maker (DM). Data envelopment analysis ratio-based (DEA-R) and ratio analysis models are presented to deal with the above issue in data envelopment analysis (DEA). If the da MoreIn many practical problems, we face situations where the data ratio is important for the decision-maker (DM). Data envelopment analysis ratio-based (DEA-R) and ratio analysis models are presented to deal with the above issue in data envelopment analysis (DEA). If the data is uncertain, it is no longer possible to use the basic DEA-R and ratio analysis models to evaluate the efficiency of decision-making units (DMUs). In this paper, we will first discuss robust optimization modelling based on DEA-R models. In this regard, we consider a case where the inputs have an uncertain numerical value and the outputs have certain values. In the following, we present the ratio analysis model based on the set of common weights of all the ratios of input to output components and obtain this model for robust optimization. To show the validity of the proposed approach, we use it to evaluate the efficiency of 38 excellent banks that compete in the global market and compare the results of the proposed approach in this paper with the results of previous approaches. Manuscript profile -
Open Access Article
54 - An Uncertain Renewal Stock Model for Barrier Options Pricing with Floating Interest Rate
Behzad Abbasi Kazem NouriOption pricing is a main topic in contemporary financial theories, captivating the attention of numerous financial analysts and economists. Barrier option, classified as an exotic option, derives its value from the behavior of an underlying asset. The outcome of this o MoreOption pricing is a main topic in contemporary financial theories, captivating the attention of numerous financial analysts and economists. Barrier option, classified as an exotic option, derives its value from the behavior of an underlying asset. The outcome of this option is based on whether or not the price of the underlying asset has reached a predetermined barrier level. Over the years, the stock price has been represented through continuous stochastic processes, with the prominent one being the Brownian motion process. Correspondingly, the widely used Black-Scholes model has been employed. Nevertheless, it has become evident that utilizing stochastic differential equations to characterize the stock price process is unsuitable and leads to a perplexing paradox. As a result, many researchers have turned to incorporating fuzzy or uncertain environments in such situations. This study presents a methodology for pricing barrier options on stocks in an uncertain environment, in which the interarrival times are uncertain variables. The approach employs the Liu process and renewal uncertain process, considering the interest rate as dynamic and floating. The pricing formulas for knock-in barrier options are derived using α-paths of uncertain differential equations with jumps. Manuscript profile -
Open Access Article
55 - Assessment of the efficiency of banks accepted in Tehran Stock Exchange using the data envelopment analysis technique
Mehdi Esfandiar Mahmood Saremi Hossein Jahangiri NiaThe research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted ban MoreThe research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. The purpose of this research is to apply the research method. Also, the data collection method is a direct observation, interview and library method and a tool for collecting data from stock databases. The statistical population of this study is Tehran Stock Exchange member banks. Selection of inputs and outputs of this research has been done according to similar research. Inputs include public and administrative costs, income and output, including net profit. Also, according to the analysis done by the DEA models, it is selected for performance evaluation. Finally, the unit is either efficient or inefficient, and efficient units with The Anderson and Pearson models were ranked and eventually the Bank of Pasargad and the Gwain Bank ranked. Manuscript profile -
Open Access Article
56 - Effect of Information Delay on Joint Investment Fund's Performance
Reza Gholami Jamkarani Ali LalbarThe aim of this study is to evaluate the effect of information delay on theperformance of joint investment funds. In order to achieve the aim of thisstudy sample consisted of twenty funds in the Tehran Stock Exchange from2010 to 2014 the systematic elimination method ha MoreThe aim of this study is to evaluate the effect of information delay on theperformance of joint investment funds. In order to achieve the aim of thisstudy sample consisted of twenty funds in the Tehran Stock Exchange from2010 to 2014 the systematic elimination method has been adopted. In thisstudy, the linear regression test has been used in order to evaluate the researchhypothesis. Data analysis and research hypothesis testing has beendone using EVIEWS software. Findings of the research prove the effect ofinformation delay on the performance of joint investment funds. Manuscript profile -
Open Access Article
57 - Investigating the Effect of Internal Rate of Return on Cash Re-cycling on the Abnormal Returns of Companies Accepted in Tehran Stock Exchange
Bahareh Mohammadtalebi Mitra Mohammad talebi Mohammad Jahangiri Mahtab EshghiaraghiReturn on investment is a driving force that motivates and is a reward for investors. Investment returns are important for investors, in order for the entire investment game to be realized. Evaluating efficiency is the only logical way (Before risk assessment) that inve MoreReturn on investment is a driving force that motivates and is a reward for investors. Investment returns are important for investors, in order for the entire investment game to be realized. Evaluating efficiency is the only logical way (Before risk assessment) that investors can do to compare alternative and different investments. Measuring real returns (relative to the past) is needed to better understand investment performance. Particularly, the study of past returns has a major role in predicting and predicting future returns. Therefore, the present study seeks to "investigate the effect of the internal rate of return on cash recycling on unusual returns as well as the effect of cost leadership strategies variables on the relationship between the internal rate of return on cash recycle and the unusual returns in the period from 2009 to 2013. In this research, the sample consists of 72 companies that have been selected by systematic elimination method, which is a total of 360 years. In this research, linear regression and correlation coefficient were used to investigate the hypotheses of the research. EVIEWS software has been used to analyse the data and test the research hypotheses. According to the regression results, the following results were obtained: 1. An internal rate of return on cash recycling affects unusual returns. 2. The internal rate of return based on the recycling of cash The abnormal returns affect the strategy of cost leadership. Manuscript profile -
Open Access Article
58 - The Study of the Effect of Fraction Resulted of Bad News on Stock Returns Emphasizing the Regulatory Power of Information Disclosure Policies
Mahbobeh EibakabadiThis study aimed to investigate the effect of fraction resulted of bad news on stock returns emphasizing the regulatory power of information disclosure policies that for this goal, the study population is consisted of the companies listed on the Tehran Stock Exchange du MoreThis study aimed to investigate the effect of fraction resulted of bad news on stock returns emphasizing the regulatory power of information disclosure policies that for this goal, the study population is consisted of the companies listed on the Tehran Stock Exchange during a five years' period (2010-2014). Data of selected statistical sample using systematic elimination method has been collected from 122 companies. This study objectively is a practical research. In terms of type of research design because of relying on historical data, is ex post facto and its inference method is inductive and in correlation type. This study includes six main hypotheses. In this study to assess the hypotheses, the linear regression has been used. To analyze the data and test hypotheses, the EVIEWS software is used. the results of this study suggest that the fraction resulted of bad news has an effect on stock returns, abnormal cumulative returns and the stock crash risk, as well as the fraction resulted of bad news has an effect on the interaction of regulatory power of information disclosure policies, stock crash risk, the abnormal cumulative returns and stock returns. Manuscript profile -
Open Access Article
59 - Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method
Adel Azar Mohsen Hamidian Maryam Saberi Mohammad NoroziPortfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sot MorePortfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year2011to the end of 2015that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem. Manuscript profile -
Open Access Article
60 - According to Agency Theory and Neoclassical Theory; New Ownership and Diversity of Public Sector Companies in Corporate Life Cycle
Abdollah Tavasoli Parviz Saeidi Bahram BiglariThe purpose of this study is investigating and determining rate of seizing assets and acquisition other companies by public sector companies. We estimate this rate at various stages of the life cycle of the company. Therefore, according to their size and age, the compan MoreThe purpose of this study is investigating and determining rate of seizing assets and acquisition other companies by public sector companies. We estimate this rate at various stages of the life cycle of the company. Therefore, according to their size and age, the companies have been divided into small, large, young, and mature groups, and for this purpose, we have collected data from a sample of 45 companies of the public sector from three Iranian provinces. We have tested our analyses from the viewpoints of agency and neoclassical theories and discussed the results of the independent t tests. The results showed that with increase in age and size, public sector companies are more likely to seize the fixed assets of other companies to restructure and achieve improved operations. However, in the case of assuming ownership of other companies done through buying the companies, most public sector companies do this in the middle of their lifetime and in the course of their growth. Manuscript profile -
Open Access Article
61 - Effect of Business Groups Affiliation on Cash Holdings and Return on Equity
Reza Tehrani Roohallah ArdakaniNowadays, business groups play an outstanding role in financial markets. Corporates in the trading groups are able to use technology, capital, human resources, productions and services of other members in the group in addition to their own resources and capabilities. Th MoreNowadays, business groups play an outstanding role in financial markets. Corporates in the trading groups are able to use technology, capital, human resources, productions and services of other members in the group in addition to their own resources and capabilities. Thus, this paper studies the effect of business group affiliation on cash holdings and return on equity. The sample involves 94 corporates among those accepted in Tehran Stock Exchange. In this research, the effect of business group affiliation on cash holdings and return on equity during 2010-2015 has been investigated; in total, it includes 564 observations for the research. Statistical method applied here is the multivariate regression in the data panel way. Results achieved by the research hypotheses indicate that there is a significant relationship between business group affiliation, cash holdings and return on equity. Manuscript profile -
Open Access Article
62 - Effect of Profitability Indices on the Capital Structure of Listed Companies in Tehran Stock Exchange
Hossien Karbasi Yazdi Majid MohammadianThe main objective of this research is the index of profitability on the capital structure of listed companies on the Stock Exchange of Tehran.Statistical population consisted of all above companies that 138 companies were selected in time zone of 2011-2014 after screen MoreThe main objective of this research is the index of profitability on the capital structure of listed companies on the Stock Exchange of Tehran.Statistical population consisted of all above companies that 138 companies were selected in time zone of 2011-2014 after screening method (systematic elimination). The research method is descriptive and correlation and study variable is profitability index that was tested by statistical techniques.Research findings indicate that there is a significant inverse relationship between indicators of profitability and capital structure.Also, there is a significant inverse relationship between short-term and long-term profitability and debts Manuscript profile -
Open Access Article
63 - ANN-DEA Approach of Corporate Diversification and Efficiency in Bursa Malaysia
Meysam Doaei Seyed Hashem Davarpanah Mahdi SabziThere is little consensus on the corporate diversification-efficiency relationship in the diversification literature. According to the corporate diversification, firms have a tendency to get more market share with diversifying in the local segment or in the internationa MoreThere is little consensus on the corporate diversification-efficiency relationship in the diversification literature. According to the corporate diversification, firms have a tendency to get more market share with diversifying in the local segment or in the international market. Theoretically, a contradictory exists between the profitable strategy and the value reducing strategy in the diversification strategy. In this paper, we measure firm’s efficiency by applying Data Envelopment Analysis (DEA) in manufacturing firms listed in Bursa Malaysia for five years. Meanwhile, a feed forward multilayer perceptron neural network is applied to model the mapping function between the input and output data to the efficiency score. Back propagation (BP) learning algorithm is applied to update network’s weights through minimizing the cost function, and the best topology of the network is conducted. The result of this study shows that there is a negative relationship between total product diversification and efficiency, and international diversification has a non-linear effect on the efficiency. Manuscript profile -
Open Access Article
64 - Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry
Alireza Khosrowzadeh Aboutorab Alirezaei Reza Tehrani Gholamreza Hashemzadeh KhourasganiThe present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran's Rial) movements using the time series data from November 2008 to March 2019 and ARFIMA-FIGARCH framework. The empirical results pr MoreThe present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran's Rial) movements using the time series data from November 2008 to March 2019 and ARFIMA-FIGARCH framework. The empirical results prove the existence of the Fractal Market Hypothesis, FMH, and the Long Memory property in both the risk and return of the petrochemical stock index. These findings can be culminated in reaching a reliable and significant model to evaluate the investment risk in the petrochemical industry. In line with this, to analyze the idea whether considering the exchange rate movements matter for assessing the risk management in the petrochemical industry, the effects of exchange rate movements as a crucial source of systematic risk in Iran has been taken into consideration in the process of modelling the risk of investment in that industry. Our results demonstrate that the exchange rate movements have had a direct and significant effect on the investment risk of that industry so that if, on average, one percent change occurs in the exchange rate, the investment risk in this industry changes by 57% in the same direction. Manuscript profile -
Open Access Article
65 - The Impacts of Financial Structure on Financial Performance of Banks listed in Tehran Stock Exchange: An Empirical Application
Esmaeil Balouei Ali Asghar Anvary Rostamy Seyyed Jalal Sadeghi Sharif Ali SaeediFinancial structure is a combination of debt and equity and regards as one of the most important issues in banking industry. The purpose of financial structure decision is to create an appropriate combination of financing resources to minimize the cost of capital and th MoreFinancial structure is a combination of debt and equity and regards as one of the most important issues in banking industry. The purpose of financial structure decision is to create an appropriate combination of financing resources to minimize the cost of capital and thus maximize the company's market value. This study investigates the impacts of banks financial structure on their Returns (ROA and ROE). In addition, it investigates the moderating roles of corporate governance, financial constraints, capital intensity and size. This research is an applied descriptive correlational research. To test the hypotheses, unbalanced panel data is used. The financial data extracted from “Rah Avarde Novin" software and the database of "Tadbir Pardaz" company. The statistical population includes all banks listed on Tehran Stock Exchange during the years 2009 to 2016. The results indicate a positive significant impacts of financial structure and the banks’ ROA and ROE. Moreover, the results show that capital intensity and the size significantly moderate the relation between financial structure with ROA and ROE. Manuscript profile -
Open Access Article
66 - Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model
Nemat Rastgoo Hossein PanahianThe present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systematic risk index is estimated using the ARFIMA-FIGARC MoreThe present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systematic risk index is estimated using the ARFIMA-FIGARCH model. Then, based on the research background, 35 affective financial and accounting variables are simultaneously used with the help of the backward elimination and forward selection method for modeling. After analyzing and evaluating the variables in Eviews software, the four variables of debt ratio (CL. E), size (SIZE), net profit to sales ratio (NETP. S), and interest rate coverage ratio (ICR) are selected in the backward elimination method. In the forward selection method, in addition to the above variables, operating profit margin (OPM) is also chosen. The estimated model of these variables in both methods shows a low ratio of R2 coefficient that is approximately 7%. In the test case, the model of forward selection method has less error in all four criteria of root mean squared error (RMSE), mean absolute error (MAE), mean absolute percentage error (MAPE) and Tile coefficient (TIC) compared to the backward elimination method. Manuscript profile -
Open Access Article
67 - Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH
Hossein Panahian Seyed Reza Ghazi FiniEfficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock market MoreEfficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the benefit of high process accuracy, suggesting that the evaluation of the similarity in the volatility of return at the level of market or industry constituent units is better than the simple technique of time series GARCH model for the entire market (instead of evaluation at unit levels). Therefore, the present study intends to investigate complete similarities or differences in the volatility of return in Iran's industries. Results showed that the assumption of complete difference in the volatility of return in the industries did not hold. The results of this process for Iran's industries covering the timespan between 16/2/2013 to 18/3/2017 showed that there are similarities in terms of the y-intercept of conditional mean and variance equations (1.1) PANEL-GARCH between the volatility of stock returns of 23 industries in the Tehran Stock Exchange as confirmed by LRT test. Manuscript profile -
Open Access Article
68 - Comparison of Selected Performance of Portfolio Investment Companies by Using of Grey Forecasting and Johnson’s Index in Tehran Stock Exchange Market
Rahmatollah Mohammadi pour Zhaleh Alavimoghadam Adel FatemiThe purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in Tehran Stock Exchange Market in the field of their portfolio management. The duration of research was between years 2009-2014. Statistical societ MoreThe purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in Tehran Stock Exchange Market in the field of their portfolio management. The duration of research was between years 2009-2014. Statistical society the research is consisting of all active investment companies in in Tehran Stock Exchange Market which were 30 companies. Volume of research sample is by using of omit systematic method and also is by considering time of accepting in stock consisting of 14 companies. Data of research which are done based on compare couple and also gathered by financial ratio. Analysis process technic is used for compare couple analysis and used criteria weight determine in ash analysis. For determining company's priority based on financial ratio and weights of any of these companies; grey analysis is used. In present research all of the relations are approved by gain results. The result shows that there is no significant difference between obtained rankings by using of grey Forecasting Johnson ranking; it could be claim that there is no priority between grey forecasting and Johnson ranking. Results based on ranking of tested companies showed that criteria that used in this research were in same direction with liquidity criteria, so it is a confirmation of the fact that economic and accounting criteria could be a good and appropriate base for investors in selecting portfolio; and also that used criteria in the research is very powerful criteria for companies’ performance assessment. Manuscript profile -
Open Access Article
69 - An Investigation of Financing Costs Factors on the Auditor's Qualified Report in the Companies Listed in Tehran Stock Exchange
Mahmoud Hematfar Hossein SoheiliThe purpose of this study was to an investigation of financing costs factors on the auditor's qualified report in companies listed in Tehran stock exchange. The criteria considered in this study were the audit firm size, auditor's specialization in the partner level, au MoreThe purpose of this study was to an investigation of financing costs factors on the auditor's qualified report in companies listed in Tehran stock exchange. The criteria considered in this study were the audit firm size, auditor's specialization in the partner level, auditor's selection tenure and audit fees. For this purpose, five hypotheses were developed and data related to 85 companies of Tehran stock exchange for the period 2009-2014 were used. To test them, the multivariate regression technique was applied to panel data. The results of the first hypothesis indicated that there was no significant relationship between the audit firm size and qualified audit report. According to the second and third hypotheses, there were significant positive and negative relationships between auditor's specialization in the partner level and audit firm with the qualified report, respectively. The fourth one regarding the relationship between the auditor's selection tenure and qualified audit report was rejected. The fifth hypothesis results also indicated that there was a significant negative relationship between audit fees and qualified audit report. Manuscript profile -
Open Access Article
70 - Comparing Relative and Additive Contents of Return with Cash Recovery Rate
Mohammadreza Mehrabanpour Mehri DavoudabadiOne of the goals of financial reporting is to provide the useful information in order to facilitate the decision making. Accounting information system is of high importance for the users to make specific decisions. The information should be analyzed to present the valua MoreOne of the goals of financial reporting is to provide the useful information in order to facilitate the decision making. Accounting information system is of high importance for the users to make specific decisions. The information should be analyzed to present the valuable information to the investors so that in this paper, the relative content and return additive with cash recovery have been addressed in the corporates of Tehran Stock Exchange. This research population includes the accepted corporates by Tehran Stock Exchange during a five year period (2010-2014). Finally, considering the research limitations and using the systematic deletion method, the information related to 109 corporates has been gathered and with respect to the defined goals, this research is regarded as an applied one. In terms of the research design, it is an event one because of background data and its deduction method is an induction and correlation one. Current study involves a primary hypothesis and six secondary hypotheses; here, a linear regression method has been used to examine the hypotheses. In order to analyze the data and test the research hypotheses, the software Eviews has been utilized. Manuscript profile -
Open Access Article
71 - Studying the Role of Marketing Intensity on the Relation of Financial Leverage and Firm Function
Khosro Dalvand Mahtab TabatabaieChoosing the financial supply is one of the most important decisions for providing optimal structure that can be effective for firm value and stocks market of companies. Therefore, marketing as one of the abilities of the firm can be effective on firm function. The purp MoreChoosing the financial supply is one of the most important decisions for providing optimal structure that can be effective for firm value and stocks market of companies. Therefore, marketing as one of the abilities of the firm can be effective on firm function. The purpose of this research is studying the role of marketing intensity on the relation of financial leverage and firm function in Companies listed on the Tehran Stock Exchange. This study is performed between 2012 and 2016 and 103 firms are studied in this research. The independent variables in this research are financial leverage and marketing intensity. The dependent variable is firm evaluation that Tobin's Q is used for evaluating this variable. For evaluating the research variables, Eviews 9 software is applied. The research findings illustrate there is not a U relation between financial leverage and firm function and marketing intensity is not a moderator between these two variables. Manuscript profile -
Open Access Article
72 - Taylor Rule: A Model for the Mechanism of Monetary Policy and Inflation Control in the Framework of the Interest-Free Banking Act
Rahman Saadat Maryam Sheykhimehrabadi Alireza MasoudianThe ultimate goal of monetary policy is to achieve price stability and high output. In this regard, central banks usually change the interest rate, liquidity, and money base in order to apply monetary policies. The John B. Taylor rule is one of the rules known in the tr MoreThe ultimate goal of monetary policy is to achieve price stability and high output. In this regard, central banks usually change the interest rate, liquidity, and money base in order to apply monetary policies. The John B. Taylor rule is one of the rules known in the transmission of monetary policy.[1] Based on this rule and given the output gap and inflation gap, the central bank increases or decreases the interest rate. Using library references and theoretical foundations, the current paper employed a descriptive-analytical research method to explain the hypothesis stating, “Taylor rule can be used to redefine an optimal monetary rule in the central bank for the mechanism of the stable monetary policy in the framework of Iranian economy and the Interest-Free Banking Act (approved in 1983) to enforce monetary policy and control inflation.” According to the research results and the fact that Taylor rule was successful in some developed and developing countries, it can be redefined in the framework of the Interest-Free Banking Act of Iran. It can also be used as a highly flexible and appropriate monetary rule and a stable model for the mechanism of monetary policy and inflation control. Manuscript profile -
Open Access Article
73 - The Effects of Accruals and Cash Flow Anomalies on Net Profit and Abnormal Stock Returns in Accepted Companies in Tehran Securities Exchange
Saeid Barati Hossein KarbasiyazdiReliability and efficacy of accruals and cash flows which are among the most important factors affecting dividend deviation have always been in question and subject to anomalies. The presence of these anomalies in accruals and cash flows and its effect on future returns MoreReliability and efficacy of accruals and cash flows which are among the most important factors affecting dividend deviation have always been in question and subject to anomalies. The presence of these anomalies in accruals and cash flows and its effect on future returns and the consequences that they can have in country’s investments are the main motives to choose this issue for the current study. The statistical population includes all the accepted companies in Tehran Securities Exchange in the time domain of 2005 to 2012 that were studied after the systematic elimination of 153 companies from the original sample and 45 companies from the dividend continuity sample. The research is descriptive and correlational and the research assumptions are tested using statistical techniques. The results indicate that the first assumption based on rational pricing related to cash flows and total accruals in the companies in Tehran Securities Exchange is rejected in the study period; this indicates anomalies and regarding the significance of the coefficient related to the total accruals among the group of companies under study, the companies with low accruals have a higher abnormal return compared to companies with high accruals. Manuscript profile -
Open Access Article
74 - Investigating the Effect of Financial Constraints and Different Levels of Agency Cost on Investment Efficiency
Mahdi Agah Hossein Malekpoor Arman BagheriThis research attempts to investigate the effect of financial constraints and different levels of agency costs on the investment efficiency of companies in Iran. Following the design of the financial risk assessment indexes, the transaction information was collected fro MoreThis research attempts to investigate the effect of financial constraints and different levels of agency costs on the investment efficiency of companies in Iran. Following the design of the financial risk assessment indexes, the transaction information was collected from the Stock Exchange in the five-year period of 2011-2015. The statistical sample consists of 128 companies selected by sampling method based on Cochran formula in which totally obtained 640 year-firm data. Linear regression and correlation were used to investigate the hypotheses of the research. Also Eviews software was used to analyse the data and test the hypotheses. What is summarized in the overall conclusion of the research hypothesis test is that financial constraints are effective on investment performance based on the indicators (kz) and (ww), as well as the various levels of agency costs, including high and low agency costs effect on investment efficiency. Manuscript profile -
Open Access Article
75 - Investigating the Effect of Investors' Behavior and Management on the Stock Returns: Evidence from Iran
Hossein Jokar Kazem Shamsaddini Vahid DaneshiThe purpose of the present study is to investigate the effect of behavioral variables on overconfidence in management, herding behavior and investors' emotional tendency on stock return. To this end, by using the data of firms listed in the Iran's Stock Exchange during MoreThe purpose of the present study is to investigate the effect of behavioral variables on overconfidence in management, herding behavior and investors' emotional tendency on stock return. To this end, by using the data of firms listed in the Iran's Stock Exchange during the seven-year period of 2010-2016, overconfidence index in management, the herding behavior of the investors and the emotional tendency of the investors were calculated and their impact on stock return was examined. The data of the research are of a panel type and for analyzing the data and testing the hypotheses; a multiple linear regression model has been used. Evidence from the experimental results of the research showed that the behavioral variables studied in the research has a significant and inverse effect on the stock return of the companies. Manuscript profile -
Open Access Article
76 - Impact of the Management Performance Evaluation Methods on the Data Quality in Accounting
Hossein Parsamehr Ali Kasravi Mohadeseh FazliThe impact of the management performance evaluation methods on the information quality in accounting will be studied in this paper. The information plays two roles in the market-oriented economies; first, it allows the investors to evaluate the potential opportunities o MoreThe impact of the management performance evaluation methods on the information quality in accounting will be studied in this paper. The information plays two roles in the market-oriented economies; first, it allows the investors to evaluate the potential opportunities of the investment (prospective role) and, secondly, it enables the investors to monitor how to allocate and use their capital by the establishment of some mechanisms. The statistical sample includes the 112 companies in Tehran Stock Exchange during 2010 to 2013 that are selected by the systematic elimination method. These companies were totally 560 years old. The hypothesis of the linear regression test was used in this study to analyze the data and Eviews software is used for hypothesis test. Manuscript profile -
Open Access Article
77 - The Effect of Internal and External Factors on Outstanding Claims of Banks (Case Study of Listed Banks on the Tehran Stock Exchange)
Seyed Ali Nabavi Chashmi Reza Mansourian Asghar AziziThe purpose of this paper is to examine the impact of internal and external factors on the ratio of outstanding claims in those banks which are accepted in Tehran Stock Exchange. For this purpose, we used the data obtained from 8 banks and credit institution active in t MoreThe purpose of this paper is to examine the impact of internal and external factors on the ratio of outstanding claims in those banks which are accepted in Tehran Stock Exchange. For this purpose, we used the data obtained from 8 banks and credit institution active in the Tehran Stock Exchange and using data regression panel. The present survey was examined over the period 2011 till 2015. The study includes three external variables (inflation, GDP and interest rates) and two internal variables (rate of return on assets and the size of the bank). The results of the hypothesis study showed that the rate of inflation, GDP and asset returns had significant negative effect on the ratio of outstanding claims. The results also showed a positive significant impact of the interest rates on outstanding claims, but there was no evidence to prove a significant impact of the banks size on outstanding claims. Manuscript profile -
Open Access Article
78 - Remuneration of Non-Executive Independent Directors Review the View of Representation Theory
Ali Lalbar Mitra Mohammadtalebi Bahareh MohammadtalebiManagement is trying to maximize your rewards and that means in terms of net profit, return on investment (performance) or other accounting measures and also by trying to Making positive changes in the prices of corporate securities to be done. In other words, the maxim MoreManagement is trying to maximize your rewards and that means in terms of net profit, return on investment (performance) or other accounting measures and also by trying to Making positive changes in the prices of corporate securities to be done. In other words, the maximum managers Their interests are trying to improve corporate performance and the improvement of the capital Investors will be aware of the attention and increased trade and thus share in research Willing to "review the independent non-executive directors' fees from the perspective of agency theory" discussed Is. The sample is composed of 92 companies selected by systematic elimination Is. The company had a total of 460 years. To analyze the data analysis and hypothesis testing This software has been used 7 EVIEWS according to regression analysis, the following results were obtained: Between independent non-executive director's fees and visible efforts there is a significant positive relationship manager. Between independent non-executive directors' fees and the number of board meetings there is a significant positive relationship. Manuscript profile -
Open Access Article
79 - Investigating the Effect of Profitability and Operating Cash Flow on Trademarks Value
Allah karam Salehi Fazel TamoradiIn the recent years, intangible assets and corporate brand have found a significant importance for corporates. These assets are accounted as essential for value making and even stabilizing the continuation of corporate trend. The purpose of the present study is to inves MoreIn the recent years, intangible assets and corporate brand have found a significant importance for corporates. These assets are accounted as essential for value making and even stabilizing the continuation of corporate trend. The purpose of the present study is to investigate the effect of profitability and operating cash flow on trademarks value in accepted corporate in Tehran stock exchange. The data were obtained from a sample of 76 different corporates from 2010 to 2015. The data were analysed using the least regular squares regression and integrated method. Considering the lack reassessment of assets in corporates and the effect of financial statement articles, to avoid the probable false distance between market value and stock book value per share (as assessment index of trademark) stock book value per share has been modified using annual inflation rate. Findings, both before and after modification of commercial values by annual inflation rate showed there was a positive and significant relationship between profitability and operating cash flow and trademarks value in the corporates studied. Manuscript profile -
Open Access Article
80 - Replacing IFRS instead of Iranian accounting standard
Seyyed Mohammad Ali Mirmasoumi Roya DarabiAccounting standards, are rules governing how to do accounting work, and specify what information must be provided in financial reporting. The main objective of this study was to compare the stronger accounting standards against weaker accounting standards which in this MoreAccounting standards, are rules governing how to do accounting work, and specify what information must be provided in financial reporting. The main objective of this study was to compare the stronger accounting standards against weaker accounting standards which in this study, we compare accounting standards of Iran and international standard in terms of Rents. The population of the research is institutions member of accounting community; that to collect theoretical principles of the study, library methods and to collect statistical information, questionnaires were used. Cronbach's alpha coefficient was used for validity and reliability of questionnaire, and to analyse the data, Student's t-test, Kolmogorov - Smirnov test and Friedman test was used. SPSS21software was used to analysis. Time limit of this research involves the second half of 2016. The population of the investigation includes audit firms of Certified Public Accountants community. Findings from analysis of statistical data are at 95% reliability level, which reject us hypothesizes based on non-reliability, unsuitability and lack of understanding. We conclude that Iran's accounting standards relative to international standards from the perspective of professional judgment of auditors to determine the rent type, in terms of degree of reliability, intelligibility, functionality is more appropriate. Manuscript profile -
Open Access Article
81 - Investigating the Impact of the Financial Crisis on Conservative Accounting and Transparency of Banking Information
Saeideh Ghasemi Ahmad SarlakThe phenomenon of the financial crisis is not a new phenomenon around the world. The structure of an economy or a set of economies may face a financial crisis. In fact, it is deformation, dimensions, causes and roots of the financial crisis which create a state of chang MoreThe phenomenon of the financial crisis is not a new phenomenon around the world. The structure of an economy or a set of economies may face a financial crisis. In fact, it is deformation, dimensions, causes and roots of the financial crisis which create a state of change from this crisis. Recently, evidence has shown that the market value of firms subject to bankruptcy is significantly reduced. In this study, the impact of the financial crisis on conservative accounting and transparency of banks in Iran has been studied. After designing the transparency indicators, the transaction information was collected from the Stock Exchange in the five-year period of 2011-2015. The statistical sample consists of 18 banks selected by systematic elimination method, which in total were 90 years-bank. In this research, linear regression and correlation were used to investigate the hypotheses of the research. Eviews software was used to analyze the data and test the hypotheses. What can be said in the overall conclusion of testing the hypotheses is that the financial crisis affects the conservative accounting and transparency of banks. Manuscript profile -
Open Access Article
82 - Fair Value Accounting for Liabilities and Own Credit Risk
Parvaneh Kasbi Mohammad Ali AghaeiChanges in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect MoreChanges in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage, asset value, and asset risk. This study examines whether the equity value reflects the profits and losses associated with the changes in the debt value consistent with the predictions of Merton [21]. The insurance companies listed in the Stock Exchange during 2010-2015 were selected to test the desired hypotheses. It has been found that the stock returns are negatively related to the increase in credit risk as reflected in the changes of estimated bond ratings. More importantly for the research question, it has been realized that the relationship between risk changes and equity returns is negative when the leverage is higher. Manuscript profile -
Open Access Article
83 - The Impact of Institutional Ownership on the Relationship between Tax and Capital Structure
Allah Karam Salehi Abbas Baharipour Sajjad MohammadiOne of the reasons that companies avoid paying their taxes is that they choose to use debts for their funding. In other words, tax saving, an activity of companies to avoid taxpaying, can be used to finance corporate projects. Furthermore, since institutional owners are MoreOne of the reasons that companies avoid paying their taxes is that they choose to use debts for their funding. In other words, tax saving, an activity of companies to avoid taxpaying, can be used to finance corporate projects. Furthermore, since institutional owners are more inclined to supervise, they may shrink managerial behaviors to avoid taxpaying. In this study, institutional owners’ supervisory role about tax efficiency on corporate capital structure was investigated. For this purpose, a sample of 98 companies from 2005 to 2014 was selected from companies listed on Tehran Stock Exchange (TSE). Following the research conducted by Kramer, multiple linear regression based on panel data and the econometric software Eviews were used for testing the research hypotheses. The results show that tax has a negative and significant impact and institutional ownership has a positive and significant impact on capital structure. In addition, the institutional ownership in corporate companies impacts and adjusts the relationship between tax and capital structure. Manuscript profile -
Open Access Article
84 - Studying the Expected Returns Based on Carhart Model Com-pared to CAPM Model and Implicit Capital Cost Model Based on Cash and Capital Flow of Growth and Value stocks
Akram Khani Farahani Majid Sheshmani Ali MohadesThe purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the compa MoreThe purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies were selected as the statistical sample. The present research is an applied research and is naturally a descriptive study. Descriptive and inferential statistics were used to describe the data, and to analyze the data, SPSS software was used. Also, the results showed that there is a significant difference between the mean of total returns and returns from the capital profit of growth and value stock; while there is no significant difference between the average cash flow of growth and value stocks. In addition to growth stocks, the expected returns on the basis of Carhart model are closer to real returns compared to expected returns based on the capital asset pricing model. But about value stock, the expected returns on the basis of Carhart model are not closer to actual returns compared to expected returns based on the capital asset pricing model and the cost of capital, and ultimately for growth stocks, expected returns based on Carhart model compared with expected returns, the implicit capital cost model is closer to actual returns. Manuscript profile -
Open Access Article
85 - The Relationship Between Non-Transparent Financial Reporting and Risk Stock Futures Fall Due to the Size and Performance
Saeid Khalajestani Alireza FarshidpourThe purpose of this study was to investigate the relationship between stock futures fall risk with non-transparent financial reporting at three levels of size, efficiency and return on equity, in the period 2010 to 2014 was in Tehran Stock Exchange. The population of th MoreThe purpose of this study was to investigate the relationship between stock futures fall risk with non-transparent financial reporting at three levels of size, efficiency and return on equity, in the period 2010 to 2014 was in Tehran Stock Exchange. The population of the study are all companies listed in Tehran Stock Exchange. Data collected and calculated by using Excel software Eviews 7 been analysed and the conclusion was That the risk of future falls in the stock of non-transparent financial reporting for companies with low return on equity With high efficiency, equity, and efficiency in the large companies, there is a significant relationship Manuscript profile -
Open Access Article
86 - Hyper-Rational Choice and Economic Behaviour
Majid Eshaghi Gordji Gholamreza AskariIn this paper, with help of the concept of hyper-rationality, we model the interaction between two investment companies by an important game as trickery game that has special equilibrium which called hyper-equilibrium. In trickery game, one company can choose cooperatio MoreIn this paper, with help of the concept of hyper-rationality, we model the interaction between two investment companies by an important game as trickery game that has special equilibrium which called hyper-equilibrium. In trickery game, one company can choose cooperation with another company until the last moment and finally changes his action to non-cooperation which incur more loss to an opponent. Indeed, the hyper-equilibrium is the point in which only one player can displace equilibrium to another point by changing his action which causes profit or loss to other players so they cannot change their action. Our findings indicate that the kind of behaviour interactive, environmental conditions, and valuation system are based on hostility causes an equilibrium point to incur the maximum loss to an opponent. Manuscript profile -
Open Access Article
87 - Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
Gholamreza Zomorodian Laleh Barzegar Soghra Kazemi Mohammad PoortalebiThe present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, expla MoreThe present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check variables stationary, Dickey-Fuller generalized test was considered and ARCH test was adopted to check for Heteroscedasticity in error terms and residual values. Finally, EGARCH was used to address model heteroscedasticity. The results showed that variations of Petroleum Bloomberg index, crude oil price and Bloomberg energy index could explain changes in Tehran stock exchange index returns. Any rise in oil prices increases total Stock Exchange returns. On the other hand, Stock Exchange index returns is aligned with Petroleum Bloomberg index.at the same time changes in Tehran stock exchange index returns was reversely correlated with changes in energy index return among others. Manuscript profile -
Open Access Article
88 - The Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange
Ahmad Sarlak Mitra Mohammadtalebi Bahareh MohammadtalebiIn this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 year MoreIn this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software is used. The results show a direct linear relationship between the number of business deal with price volatility as a factor in companies listed on the Tehran Stock Exchange respectively. In addition, liquidity and credit risks and price fluctuations affect the relationship between business activities Manuscript profile -
Open Access Article
89 - Evaluating and Ranking the Firms in Chemical Industry Listed in Tehran Stock Exchange with TOPSIS
Ali Asghar Anvary Rostami Maryam Saberi Mohsen Hamidian Mahdihe Esfandiyar PourDue to the sublimation and perfection of human knowledge in economics, the concept of efficiency developed in the past two decades and the measurement of it, based on different theories and practice. In economics, efficiency means the maximum of possible output from a c MoreDue to the sublimation and perfection of human knowledge in economics, the concept of efficiency developed in the past two decades and the measurement of it, based on different theories and practice. In economics, efficiency means the maximum of possible output from a certain amount of input. The efficiency is very important for developing countries Because these countries face to a shortage of inputs, production factors and technologies. So the usage of existing resources is critical for these countries. This paper aims to evaluate and rank the financial performance of the chemical firms listed in Tehran stock exchange. We Use the data environment analysis and TOPSIS methods. This research includes one major question that which company performs better due to the financial ratios. The sample includes the firms in Tehran Stock Exchange within a 3-year period (2013-2015). The Results show that Ahvas Petrochemical company, Persian Gulf Petrochemical Industry company and Iran Chemical Industries company are more efficient than others. Manuscript profile -
Open Access Article
90 - Financial Statement Comparability and the Expected Crash Risk of Stock Prices
Barhram Parsa Fatemeh SarrafThe purpose of this study is to explain the relationship between the comparability of financial statements as a qualitative financial reporting feature with the expected risk of stock price crash. The statistical population of this research includes all companies admitt MoreThe purpose of this study is to explain the relationship between the comparability of financial statements as a qualitative financial reporting feature with the expected risk of stock price crash. The statistical population of this research includes all companies admitted to Tehran Stock Exchange. In order to achieve the research goal, 81 companies were selected for the period between 2010 and 2017 as a sample of the study. The research aimed at being an applied research and the research method is in terms of the nature and content of the correlation. The research has been performed in the framework of deductive-deductive reasoning and for analysis of the research hypothesis; statistical analysis of the logistics has been assisted. The results of the research hypothesis test showed a significant and negative relationship between the comparability of financial statements and the expected crash in stock prices. Manuscript profile -
Open Access Article
91 - Investigating the Effect of Management Entrenchment on Speed of Cash Holding Adjustment in Companies Listed in Tehran Stock Exchange
Fatemeh Mansouri Moosa MohammadiIn this study, the effect of management entrenchments on the speed of cash holding adjustment in Iran has been investigated. After designing the management entrenchment evaluation indicators, the transaction information was collected from the Stock Exchange in the five- MoreIn this study, the effect of management entrenchments on the speed of cash holding adjustment in Iran has been investigated. After designing the management entrenchment evaluation indicators, the transaction information was collected from the Stock Exchange in the five-year period of 2011-2015. The statistical sample consists of 155 companies selected by systematic deletion method. In this research, linear regression and correlation have been used to investigate the hypotheses of the research. Also Eviews software was used to analyse the data and test the hypotheses of the research. What can be summarized in the overall conclusion of the research hypothesis test is that the indicators of management entrenchments including deviation from target cash, deviation from target cash in companies with high financial leverage, deviation from target cash in companies with high free cash flows, deviation from target cash interacting the company size and deviation from target cash interacting the firm performance have a significant effect on the speed of cash holdings adjustment Manuscript profile -
Open Access Article
92 - Developing a Paradigm for Fair Valuation in Tehran Stock Exchange
Hamidreza ShammakhiThe concept of value is of great importance for investors. The goal of different groups of investors is always to maximize the value of their capital. The aim of this research is developing factors effective on securities in capital market in order to develop a paradigm MoreThe concept of value is of great importance for investors. The goal of different groups of investors is always to maximize the value of their capital. The aim of this research is developing factors effective on securities in capital market in order to develop a paradigm for fair valuation that leads investors to make better decisions. To study fair value in a precise and comprehensive way, effective variables are divided into three main categories. First: evaluation variables including cash flow (income quality), discount rate, and earnings per share; second: intra-organizational variables of corporate governance including the type of ownership (the number of institutional investors), management quality (the number of boards in charge or centralized management as well as the number of non-in charge board of directors or decentralized management), the amount of reward, compensation and quality of organizational structure; third: variables relating to reporting quality such as offering reliable and on time information. Other variables such as firm size and operation cycle (complexity of business environment) have also been studied. And according to selected sample, methods and statistical analysis, a paradigm for fair valuation has been developed. Manuscript profile -
Open Access Article
93 - The Study of the Effect of Diversification Strategy, Cost Leader-ship Strategies and Product Differentiation on Business Unit Value
Majid Davoudi Nasr Mohsen CheraghiChanges in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect MoreChanges in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage, asset value, and asset risk. This study examines whether the equity value reflects the profits and losses associated with the changes in the debt value consistent with the predictions of Merton [21]. The insurance companies listed in the Stock Exchange during 2010-2015 were selected to test the desired hypotheses. It has been found that the stock returns are negatively related to the increase in credit risk as reflected in the changes of estimated bond ratings. More importantly for the research question, it has been realized that the relationship between risk changes and equity returns is negative when the leverage is higher. Manuscript profile -
Open Access Article
94 - The Effect of the Sale of the Company to Disclose Bad News for Companies at Different Levels of Activity Ratios
Mitra Mohammad Talebi Majid Davoodi Nasr Bahark MohammadtalebiCompanies must publish financial reports on time. When market information is more important and this information is used to shape more effective decision-making. Although most companies, financial reports required by the authorities at intervals determined Speak but at MoreCompanies must publish financial reports on time. When market information is more important and this information is used to shape more effective decision-making. Although most companies, financial reports required by the authorities at intervals determined Speak but at the same time, it can be claimed that the delay in publishing the financial reports of a company to another company, the difference is significant The statistical sample included 116 companies in Tehran Stock Exchange during the years 2010 to 2014. In this study, the hypothesis of linear regression was used Software to analyse data and test hypotheses have been used Eviews results The research suggests that the company's sales on the disclosure of bad news affects companies as well as participate in interactive sales ratio of sales to working capital, fixed assets is effective. Manuscript profile -
Open Access Article
95 - Impact of Long-term Debt on Overinvestment Problem of Agency
Azade Shahab Mohammad Mohammad Zaheri Nahid AsadiBusiness units are always faced with investment opportunities and need to make logical decisions on an optimal investment. Indeed, the investment of each business unit should be done with regard to the resource constraints and its effectiveness through the criteria for MoreBusiness units are always faced with investment opportunities and need to make logical decisions on an optimal investment. Indeed, the investment of each business unit should be done with regard to the resource constraints and its effectiveness through the criteria for evaluating the projects including the net present value (NPV). The paper aims to investigate the effect of long-term debt on the overinvestment of agency problem. The present research is applied in terms of its purpose and it is descriptive and correlation in terms of nature. The statistical population of the study was the financial information related to the performance of 540 companies listed in Tehran Stock Exchange during 2011 and 2015. 152 companies were selected by the systematic eliminationsampling. The data collection was carried out using the Tadbir Pardaz and Rahavard-e-Novin software as well as the Research Management, Islamic Studies and Development of Stock Exchange Organization and Stock Exchange Organization websites. The research data are hybrid. The data were analyzed using the F-Limer and Hausman tests using Eviews9 software. Based on the results, the pre-investment declined by 36% at a significant level less than 0.05% while increasing long-term debt by 1%, and the overinvestment reduces 69% by a one-percent increase in the financial leverage. Manuscript profile -
Open Access Article
96 - Forecasting the Profitability in the Firms Listed in Tehran Stock Exchange Using Data Envelopment Analysis and Artificial Neural Network
Maryam Saberi Mohammad Reza Rostami Mohsen Hamidian Nafiseh AghamiProfitability as the most important factor in decision-making, has always been considered by stake holders in the company's profitability. Alsocan bea basis forevaluatingthe performance of themanagers. The ability to predict the profitability can be very useful to help MoreProfitability as the most important factor in decision-making, has always been considered by stake holders in the company's profitability. Alsocan bea basis forevaluatingthe performance of themanagers. The ability to predict the profitability can be very useful to help decision-makers. That's why one of the most important issues is the expected profitability. The importance of these forecasts depends on the amount of misalignment with reality. The amount of deviation is less than the forecast of higher accuracy. Although there are various methods for predicting but the use of artificial intelligence techniques is increasing due to fewer restriction. The aim of this study is to evaluate the predictive power of profitability using DEA and neutral network, to enhance the decision-making users of 2012 to 2015of 7 premier financial ratios were used as independent variables. Test results show that both of ANN and DEA have ability to forecast profitability and given that neutral network prediction accuracy is higher than the DEA, the model predict better the profitability of companies. Manuscript profile -
Open Access Article
97 - Fuzzy Goal Programming Model to Rolling Performance Based Budgeting by Productivity Approach (Case Study: Gas Refiner-ies in Iran)
Nouraldin Kalantari Rahmatollah Mohammadi Pour Masoud Seidi Ardashir Shiri Masoud AzizkhaniThis research presents a mathematical model for performance-based budgeting and combines it with rolling budget for increased flexibility. The model has been designed by Chebyshev's goal programming technique with fuzzy approach. The parameters or coefficients of the mo MoreThis research presents a mathematical model for performance-based budgeting and combines it with rolling budget for increased flexibility. The model has been designed by Chebyshev's goal programming technique with fuzzy approach. The parameters or coefficients of the model are derived by measuring the productivity of the organizations considering eight criteria. Data for calculating productivity indicators were collected from gas refineries of Iran in 2011–2015 and analysed by Excel and GAMS software. Then, the model was tested for determining the 2016 budget of those refineries. The model was solved by LINGO software by linking it to Excel. The solution of the model reduced 0.68% of the total refinery's budget compared with the actual budgets for 2016, which is higher than the annual budget of some of the companies in this group. Manuscript profile -
Open Access Article
98 - The Survey Relationship between Growth Opportunities, Corpo-rate Risk and Changes in Cash Holdings
Zahra Amirhosseini Mahtab NameniThe aim of this study was to investigate the relationship between growth opportunities, risks, and relative changes in the Company's cash assets. This study is a literature study and analysis was based on an analysis of panel data. In this study, a financial data of 112 MoreThe aim of this study was to investigate the relationship between growth opportunities, risks, and relative changes in the Company's cash assets. This study is a literature study and analysis was based on an analysis of panel data. In this study, a financial data of 112 companies listed in Tehran Stock Exchange during the period 2009 to 2014 have been reviewed. The results in relation to the first hypothesis of the present study suggest that between growth opportunities and significant relationship of changes in cash holdings is straight forward. Also according to the analysis done in relation to the second hypothesis, we determined that between now and the risk of changes in cash holdings is an inverse relationship. Manuscript profile -
Open Access Article
99 - Using Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange
Seyed Alireza Miryekemami Ehsan Sadeh Zeinolabedin SabeghInvestor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritizati MoreInvestor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the power of liquidity of selected stocks and the acceptance of risk to market risk are set as objectives of the problem. In order to solve the problem of information in the Tehran Stock Exchange in 2017, 45 sample stocks have been identified and, with the assumption of normalization of goals, a genetic algorithm has been used. The results show that the selected model provides a good performance for selecting the optimal portfolio for investors with specific goals and constraints. Manuscript profile -
Open Access Article
100 - Overview of Portfolio Optimization Models
Majid ZanjirdarFinding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The MoreFinding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimization in recent decades. Along with the growing use of portfolios and despite its rich literature, there are still many unanswered issues and questions in this area. Also, Iranian capital markets, as emerging markets, require native research to answer these questions and issues. The purpose of this study is to provide a useful and effective tool to assist professionals and researchers in portfolio selection theory. This study, while comprehensively reviewing the literature on the subject and the developments and expansions made in the area of portfolio selection and optimization, reviews the types of problems and optimization methods. Manuscript profile -
Open Access Article
101 - Option Pricing in the Presence of Operational Risk
Alireza Bahiraie Mohammad Alipour Rehan SadiqIn this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other rela MoreIn this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-diffusion model, if the stock price either exactly hits the early exercise boundary or the price jumps into the exercise price region. However paths of the diffusion process are continuous. In this paper the impact of operational risk on the option pricing through the implementation of Mitra’s model with jump diffusion model is presented. A partial integral differential equation is derived and the impact of parameters of Merton’s model on operational risk and option value by operational value at risk measure is employed. The option values in the presence of operational risk on data set are computed and some of the results are presented. Manuscript profile -
Open Access Article
102 - Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process
Maryam Tahmasebi Gholam Hossein YariThis paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carl MoreThis paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the exponential type of the processes such as exponential Levy process. Also, it can be said MEMM is a kind of important sampling method where the probability measure with minimal relative entropy replaces the main probability. Then we are going to obtain VaR and CVaR by Monte-Carlo simulation. For this purpose, we have to calculate option price, implied volatility and returns under MEMM and then obtain risk measurement by proposed algorithm. Finally, this model is simulated for exponential variance gamma process. Next, we intend to develop two theorems for implied volatility under minimal entropy martingale measure by examining the conditions. These theorems consider the asymptotic implied volatility for the case that time to maturity tends to zero and infinity. Manuscript profile -
Open Access Article
103 - The Impact of Investment Inefficiency and Cash Holding on CEO Turnover
Masoud TaheriniaThe purpose of this study is to investigate the effective of investment inefficiency and cash holding on CEO turnover. This study applies logistic regression method estimator to investigate the relationship between examine the effective of investment inefficiency and ca MoreThe purpose of this study is to investigate the effective of investment inefficiency and cash holding on CEO turnover. This study applies logistic regression method estimator to investigate the relationship between examine the effective of investment inefficiency and cash holding on CEO turnover of 1,309 firm-year observations in Iran for the period of 2009-2019. According to positive relation between mentioned variables, the managers' opportunism increases investment inefficiency and cash holdings of the company because inappropriate managerial decisions lead to increased risk of wrong selection for investors. In the present study, the weaknesses caused by the ambiguity of investment efficiency in market performance-based statistical models are compensated and partially covered by quantifying the relationships and implementing models. The Results will aid policy makers to evaluate disclosure rules and firms to managing their information. The study is based on the corporate accounting and financial literature and examines CEO behavioral changes that can be applied to investors, managers, standardization committees, and legislators. Unlike other research, CEO turnover has also been addressed with regard to the origin and distribution of information. This study also considers the effect of information asymmetry and market constraints by considering the cash holding to transmit firm information Manuscript profile -
Open Access Article
104 - Machine learning algorithms for time series in financial markets
Mohammad Ghasemzadeha Naeimeh Mohammad-Karimi Habib Ansari-SamaniThis research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fu MoreThis research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this paper, while we introduce the most efficient features, we will show how valuable results could be achieved by the use of a financial time series technical variables that exist on the Tehran stock market. The suggested method benefits from regression-based machine learning algorithms with a focus on selecting the leading features to find the best technical variables of the inputs. The mentioned procedures were implemented using machine learning tools using the Python language. The dataset used in this paper was the stock information of two companies from the Tehran Stock Exchange, regarding 2008 to 2018 financial activities. Experimental results show that the selected technical features by the leading methods could find the best and most efficient values for the parameters of the algorithms. The use of those values results in forecasting with a minimum error rate for stock data. Manuscript profile -
Open Access Article
105 - The Impact of Effective Corporate Governance on the Relationship between Tax Gap and Future Profit Changes in Iranian Economy
Rasoul Karami seyed Ali Vaez Ghasem RekabdarThe Iranian economy in recent years is due to the development of economic sanctions, a sharp decline in the price of oil and the deficit resulting from revenue - dependent on oil revenues and the trend towards tax revenues. While comparing the volume of the Iranian econ MoreThe Iranian economy in recent years is due to the development of economic sanctions, a sharp decline in the price of oil and the deficit resulting from revenue - dependent on oil revenues and the trend towards tax revenues. While comparing the volume of the Iranian economy with the amount of tax income indicates the existence of a relatively significant tax gap. The tax gap is the difference between the collected taxes and the tax required by the law. The purpose of this study is to answer the question whether corporate governance is effective and strong on the relation between tax gap and future earnings changes? The statistical population of the research in Tehran Stock Exchange (TSE) firms and statistical sample consists of 120 companies in the period of 2007-2017. In order to test the hypotheses, multivariate regression using mixed data - data approach has been used. The results indicate that there is a significant inverse relationship between the tax gap and future earnings changes. It can be argued that increasing the difference between earnings accounting earnings can be associated with decreasing interest in the next year and less stability. On the other hand, significant positive relation between corporate governance is efficient and strong with future earnings changes. because corporate governance will ultimately lead to more sustainable future gains due to the decline of discretionary accruals in discretionary accruals. It is also reinforced by the effect of the tax gap on future earnings changes in firms that have efficient corporate governance, and this effect is only seen for a year later. And is not effective for the second and third years. Manuscript profile -
Open Access Article
106 - Internal Control Quality Assessment based on the Characteristics of the Entity and Auditor and their Expected Goals in the Firm's Listed in Tehran Stock Exchange
Saeed Alipour Asgar Pakmaram Rasool Abdi Jamal Bahri salesAccording to the domestic studies conducted on in the field of internal controls, the gap of providing models for identifying weak internal controls is felt completely. The present study is aimed at providing a model for assessing the quality of internal controls based MoreAccording to the domestic studies conducted on in the field of internal controls, the gap of providing models for identifying weak internal controls is felt completely. The present study is aimed at providing a model for assessing the quality of internal controls based on the characteristics of the economic unit, the characteristics of auditor as well as their expected goals in the Firm's listed in Tehran Stock Exchange. This model is designed according to quantitative criteria. To achieve the research’s goal, 86 Firm's from all Firm's accepted in Tehran Stock Exchange for the period 2012-2017 were selected and the research hypothesis was tested using the combined data approach. Given the research hypothesis that points out that the internal assessment model based on the characteristics of the economic units, the characteristics of auditor and their expected objectives may more accurately assess the quality of the internal controls, according to the significance level of less than 0.05, the independent variables indicate a significant relationship between the internal controls assessment model based on the characteristics of the economic units, the characteristics of auditor and their expected objectives as well as the weaknesses of the internal control of the Firm. Furthermore, the estimated coefficient of the control variables of the research indicates a significant relationship between these variables and the weaknesses of the internal controls. Manuscript profile -
Open Access Article
107 - Determining the effect of auditors' skeptical personality traits with considering the characteristics of organizational behaviour on job Audit Durability
Azam Jari Daruosh Foroghi Hadi AmirThe problem of desertion the effective and efficient staff and specialist staff is one of serious problem has been created for the organizations managers that seek to maintain, improve and utilize their human resources. Researchers believe that staff desertion will have MoreThe problem of desertion the effective and efficient staff and specialist staff is one of serious problem has been created for the organizations managers that seek to maintain, improve and utilize their human resources. Researchers believe that staff desertion will have a negative impact on the organization and not only reduce the organizational performance, but also increase the direct and indirect costs of staff desertion, such as transferring capabilities to competitors, increasing costs of hiring and training new staff, etc. The purpose of this study is to determine the effect of auditors' skeptical personality traits with considering the characteristics of organizational behaviour on job durability. For this purpose, the relationship between interpersonal trust, locus of control and presumptive doubt and neutral of professional skepticism and three characteristics of organizational behaviour, organizational commitment, perceived organizational support and organizational citizenship behaviour on job durability are assessed. The statistical society consists of all auditors of audit institutions that are the member of the Association of Certified Public Accountants who are working and not the organization's partners. The structural equation modeling has been used for analysis. The findings of the study show that auditors' skeptical personality traits did not directly affect their job durability. Manuscript profile -
Open Access Article
108 - The Role of Social Interest Rate Risk Management in the Relationship between Sustainability Performance and Investment Efficiency
Hamzeh Asgari Rashtiani Fazel Mohammadi Nodeh Sina Kheradyar Farzin RezaeiSustainability is a wide concept that contains other concepts such as social responsibility and has been investigated with concepts such as competition sustainability, reporting sustainability, and social sustainability. The present study aims to investigate the role of MoreSustainability is a wide concept that contains other concepts such as social responsibility and has been investigated with concepts such as competition sustainability, reporting sustainability, and social sustainability. The present study aims to investigate the role of social interest rate risk management (SIRRM) in the relationship between sustainability performance and investment efficiency. In terms of purpose, this study is an applied one, and form the methodological point of view is a descriptive correlational study. Accordingly, the required data has been collected from 79 listed firms on Tehran Stock Exchange during 2013-2017. In this research, social risk management includes SIRRM, and sustainability performance includes sustainability of reporting, competition, and ownership. The results indicate that SIRRM reinforces the relationship between competition sustainability, reporting sustainability, and ownership sustainability with investment efficiency. Manuscript profile -
Open Access Article
109 - A Neural-Network Approach to the Modeling of the Impact of Market Volatility on Investment
Mohammad Azim Khodayari Ahmad Yaghobnezhad Khalili Eraghi Khalili EraghiIn recent years, authors have focused on modeling and forecasting volatility in financial series it is crucial for the characterization of markets, portfolio optimization and asset valuation. One of the most used methods to forecast market volatility is the linear regre MoreIn recent years, authors have focused on modeling and forecasting volatility in financial series it is crucial for the characterization of markets, portfolio optimization and asset valuation. One of the most used methods to forecast market volatility is the linear regression. Nonetheless, the errors in prediction using this approach are often quite high. Hence, continued research is conducted to improve forecasting models employing a variety of techniques. In this paper, we extend the field of expert systems, forecasting, and model by applying an Artificial Neural Network. ANN model is applied to forecast market volatility. The results show an overall improvement in forecasting using the neural network as compared to linear regression method. Manuscript profile