List of articles (by subject) Financial and Economic Modelling
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Open Access Article
1 - An Analysis of the Repeated Financial Earthquakes
Fateme Taleghani Mahdi Salehi Alireza ShakibaieeSince the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for comparing the financial crises and the earthquakes MoreSince the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for comparing the financial crises and the earthquakes. For this end, the TP statistic, proposed by Pisarenko and et al. (2004), is employed for estimating the critical point or the lower threshold, i.e. the point beyond that the market energy follows from the power law (Pareto) distribution. The results confirm the deviation of the energy from the Pareto distribution in the high quantiles of the energy data. The upper threshold that the energy's distribution is changed from the Pareto to another distribution is also estimated by TP statistic. A simulation study is employed for checking out the statistical behavior of the estimated thresholds. Finally, the magnitude of the financial earthquakes is studied. The results indicate that the domestic and the international events have caused the financial earthquakes in Tehran Stock Exchange. Also, the positive relation between the daily energy released and the daily magnitude of the shocks that was connected by Gutenberg and Richter (1956) is confirmed. Manuscript profile -
Open Access Article
2 - Economic Appraisal of Investment Projects in Solar Energy under Uncertainty via Fuzzy Real Option Approach (Case Study: a 2-MW Photovoltaic Plant in South of Isfahan, Iran)
Mohammad Mashhadizadeh Mohsen Dastgir Soheil SalahshourInvestment in renewable energies especially solar energies is encountered with numerous uncertainties considering the increased dynamism in economic and financial conditions and makes investment in this field irreversible to a large extent, paying attention to modern me MoreInvestment in renewable energies especially solar energies is encountered with numerous uncertainties considering the increased dynamism in economic and financial conditions and makes investment in this field irreversible to a large extent, paying attention to modern methods of economic appraisal of such investments is highly important. A framework is provided in the current study in order to employ the real option theory in evaluation of photovoltaic plants comparing with traditional methods. To this end, first, uncertainty factors of these plants in Isfahan province (one of highly susceptible regions in Iran) are identified from the view point of experts and impact factor of each one on interests and expenses of the above plant will be evaluated in order to insert these parameters in the form of fuzzy numbers in the model for better coverage of uncertainty. Then, the project under study is evaluated through both traditional methods and fuzzy real option approach with the help of Black-Scholes model and the results are compared. The results disclosed that investment value in these plants is increased if real expansion and abandonment options are considered. As a result, the real option theory has a higher adequacy than the traditional methods for evaluation of projects. Manuscript profile -
Open Access Article
3 - Behavioral Finance Models and Behavioral Biases in Stock Price Forecasting
Nader Rezaei Zahra ElmiStock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different MoreStock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was modeled by the behavioral finance approach. The population of this study included the companies listed on the Tehran Stock Exchange. In order to forecast the stock price, the final price data of the end December, March, June, and September 2006-2015 and the stock prices of 2014 and 2015 were analyzed as the sample. In this study, Bayes' rule was used to estimate the probability of the model change. Through this rule, the probability of an event can be calculated by conditioning the occurrence or lack of occurrence of another event. The results of model estimation showed that there is the probability of being placed in high-fluctuated regimes (overreaction) and low- fluctuated (under-reaction of stock price despite the shocks entered to the stock market. In modelling with the 4-month final prices, it was proved that the real stock price had no difference from the market price. Manuscript profile -
Open Access Article
4 - Investigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran
Zahra Haerinasab Kiomars Sohaili Shahram FattahiThe facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the MoreThe facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result of estimation of the first equation indicates that there is a significant positive relationship between the bank deposit interest rate and the facility interest rate in the Iranian economy during this 45-year period, in that a decrease in the facility interest rate follows an increase in the inflation rate.The result of estimation of the second equation, in which the deposit interest rate is the dependent variable, shows that there is a significant positive relationship between the facility interest rate and the deposit interest rate.. The result of estimation of the third equation, where the inflation rate is the dependent variable, indicates that there is a significant positive relationship between the liquidity level and the inflation rate,The result of estimation of the last equation where the credit risk of banks is the dependent variable shows that there is a significant positive relationship between the facility interest rate and the credit risk. Manuscript profile -
Open Access Article
5 - The Relationship between Capital Investment Choice and Capital Productivity: A Test of Firm Life Cycle Theory (A Comparative Investigation of Cyclical and Non-Cyclical Companies)
Ali Khamaki Parviz Saeidi Arash Naderian Ali KhozainAccording to the firm life cycle theory, companies go through certain behavioral patterns in various stages of their life. A thorough understanding and recognition of these behavioral patterns, new investment in assets and the optimal use of assets can considerably enha MoreAccording to the firm life cycle theory, companies go through certain behavioral patterns in various stages of their life. A thorough understanding and recognition of these behavioral patterns, new investment in assets and the optimal use of assets can considerably enhance the capital productivity. In the current study, the relationship between the stages of firm life cycle and capital productivity and mediation relationship of the capital investment choice in the two groups of companies have been examined, and methodically compared and contrasted. To examine the research hypothesis, the data were gathered from 118 companies accepted in Tehran Stock Exchange during a period of 7 years. Findings of the research clearly indicated that there is a positive relationship between introduction, growth and maturity stages with capital productivity in the cyclical and non-cyclical companies. Regarding the cyclical companies, a positive relationship was witnessed between the decline stage and capital productivity. Such a relation, however, was not found between the two variables in non-cyclical companies. Also, no significant relationship was observed among the stages of introduction, growth, maturity and the capital investment choice in both groups of companies. In non-cyclical companies, the relationship between the decline stage and the capital investment choice was positive, while there was no relationship between cyclical companies. Capital investment choice also failed to prove the assumed mediating role. Manuscript profile -
Open Access Article
6 - The Ranking of Fraudulent Financial Reporting By Using Data Envelopment Analysis: Case of Pharmaceutical Listed Companies
Bahman BanimahdFraudulent financial reporting has been one of the most sensitive issues on the business world. Financial statements that conceal the company's facts have caused great losses to its stakeholders. The ranking of companies based on fraudulent financial reporting is one of MoreFraudulent financial reporting has been one of the most sensitive issues on the business world. Financial statements that conceal the company's facts have caused great losses to its stakeholders. The ranking of companies based on fraudulent financial reporting is one of the key issues for performance analysis. This study, by using financial variables and the data envelopment analysis methodology, ranked the pharmaceutical companies listed on the Tehran Stock Exchange in terms of fraudulent financial reporting. The data and theoretical framework of the research are based on library studies and data analysis has been done based on the data envelopment analysis model. The results of this study indicate that the most manipulation of profits in 2015 was in the Daru Amin and Faravordehaye Tazrighi companies, as well as Iran Daru and Sina Daru in 2016. This will lead to the companies being ranked at the highest level of fraudulent financial reporting. Manuscript profile -
Open Access Article
7 - A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index
Navid Nasr Morteza Farhadi Sartangi Zahra MadahiStudy of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more impor MoreStudy of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange markets. This research first deals with the evaluation of 8 various models to forecasting volatility of stock index using daily data of Tehran stock exchange. The used models include simple ones such as random walk as well as more complex models like Arch and Garch group. Forecasting volatility index method is developed in this paper. This method is based a random walk using a fuzzy logic approach. This method is used to fore-casting volatility of Iran stock exchange index. The proposed method is assessed by comparing other methods such as Moving Average, Random walk… Results show that our proposed method is compatible with existent methods. Manuscript profile -
Open Access Article
8 - Factors Affecting Stock Prices Regarding Uncertainty and Asymmetric Information in Tehran Stock Exchange
Monir Sadat Mirjamali Mehrabadi Seyed Abbas Najafizadeh Peyman Ghafari AshtianiTwo main issues occurring in the economy and largely affecting stock prices are uncertainties and asymmetric information which are influenced by many factors, and along these factors, affect the stock prices. In this study, using Cox, Ingersoll & Ross (CIR) model, w MoreTwo main issues occurring in the economy and largely affecting stock prices are uncertainties and asymmetric information which are influenced by many factors, and along these factors, affect the stock prices. In this study, using Cox, Ingersoll & Ross (CIR) model, we tried to investigate the relationship between theoretical price and stock price under the conditions of uncertainty and asymmetric information. Then, using the GLS panel method, the stock price relationship with these variables and the factors related to the firm performance, economic factors and industrial factors were investigated in Tehran stock exchange. The results indicated that a large part of stock price changes can be explained by two variables of uncertainty and asymmetric information, while other factors had significant effects on stock prices. The difference was that the factors related to the firm's performance and industry index had a positive effect and the macro-economic factors had a negative effect on stock prices. Finally, according to CIR model, asymmetric information and uncertainty in market ‎lead to delays in stock price adjustment, which can affect quality of corporate ‎governance principles . Manuscript profile -
Open Access Article
9 - A mathematical model for balancing (cost-time-quality and environmental risks) in oil and gas projects and solving it by multi-objective Bee Colony Algorithm
Hossein Ali Heydari Heresh Soltanpanah Ayub RahimzadehToday, in large projects such as constructing oil, gas and petrochemical refineries, it is inevitable to use modern management methods and project timing. On the other hand, in classic scheduling case, the focus is on balance between time and cost of carrying out projec MoreToday, in large projects such as constructing oil, gas and petrochemical refineries, it is inevitable to use modern management methods and project timing. On the other hand, in classic scheduling case, the focus is on balance between time and cost of carrying out projects, which in such a situation, one of possible solutions to shorten time of implementing project is to accelerate activities. This acceleration can affect the quality of conducting projects and environmental impacts, in addition to impose more costs. Hence, in such studies, environmental impacts and quality of activities were also considered as new indicators in case of project time-cost balance. There has been proposed a new mathematical model with four indicators: cost, time, quali-ty and environmental impacts. The provided model is a multi-objective mathematical model of zero-and-one programming type that despite traditional models, in which there is only considered an implementation mode for carrying out activities and a pre-conditional relationship between activities, modes of implementing activities are as multi-form and the dependence relationship between the activities is a generalized pre-requisite. Including the relationships brings the problem closer to the real world. Because of NP-hard of the problem in large dimensions and the necessity of using meta-heuristic Algorithms, we used MOBEE algorithm to solve the model. Manuscript profile -
Open Access Article
10 - Development of closed-loop supply chain mathematical model (cost-benefit-environmental effects) under uncertainty conditions by approach of genetic algorithm
Sadegh Feizollahi Heresh Soltanpanah Ayub RahimzadehIn the current world, the debate on the reinstatement and reuse of consumer prod-ucts has become particularly important. Since the supply chain of the closed loop is not only a forward flow but also a reverse one; therefore, companies creating integ-rity between direct MoreIn the current world, the debate on the reinstatement and reuse of consumer prod-ucts has become particularly important. Since the supply chain of the closed loop is not only a forward flow but also a reverse one; therefore, companies creating integ-rity between direct and reverse supply chain are successful. The purpose of this study is to develop a new mathematical model for closed loop supply chain net-work. In the real world the demand and the maximum capacity offered by the sup-plier are uncertain which in this model; the fuzzy theory discussion was used to cover the uncertainty of the mentioned variables. The objective functions of the model include minimizing costs, increasing revenues of recycling products, increas-ing cost saving from recycling and environmental impacts. According to the NP-hard, an efficient algorithm was suggested based on the genetic Meta heuristic algo-rithm to solve it. Twelve numerical problems were defined and solved using the NSGA-II algorithm to validate the model Manuscript profile -
Open Access Article
11 - Measurement of Economics to Scale in Corporates of Tehran Stock Exchange
Vahid Mahmoudi Mohammad Hossein Ghaemi Hossein KazemiOne of the most important effective factors in the economic growth is the increased efficiency of manufacturing sectors. Thus, it is necessary to review and measure the efficiency of business units from a variety of dimensions to plan the increase of efficiency in futur MoreOne of the most important effective factors in the economic growth is the increased efficiency of manufacturing sectors. Thus, it is necessary to review and measure the efficiency of business units from a variety of dimensions to plan the increase of efficiency in future courses. One of these dimensions is the economics to scale (ES) referring to the concept of enhanced earnings due to the increased manufacturing unit, which may be of an increasing, fixed or decreasing trend. ES can be measured through economic production functions. This paper has applied Translog production function to measure corporates' ES. Therefore, data of 105 manufacturing corporates have been collected during 2008-2017. With regard to linearity between independent variables, the elastic net regression method has been used. Results indicate that some industries are of increasing economics to scale trend and some have a decreasing ES. Results can be applied in order to plan and determine the appropriate production level in the management accounting of corporates. Manuscript profile -
Open Access Article
12 - The Role of Earnings Management in Theoretical Development and Improving the Efficiency of Accounting-Based Financial Distress Prediction Models
Abbas Ramezanzadeh Zeidi Khosro Faghani Makarani Ali JafariExamining the theoretical foundations of earnings management shows that companies have stronger incentive to use earnings management at the pre-bankruptcy stage. Consequently, accounting-based determinants retrieved from financial statements may be biased factors for fi MoreExamining the theoretical foundations of earnings management shows that companies have stronger incentive to use earnings management at the pre-bankruptcy stage. Consequently, accounting-based determinants retrieved from financial statements may be biased factors for financial distress. In this paper, we investigate whether taking into account real earnings management improves specification of accounting-based financial distress prediction models. We test whether the inclusion of such attributes in bankruptcy prediction models improves their predictive ability. We use a sample of listed manufacturing companies in the Iran Stock Exchange during 2008 - 2017. Our findings suggest that the inclusion of earnings management significantly increases the predictive ability of accounting-based financial distress prediction models. Our results show that the real earnings management can provide predictive signals concerning a financial distress and that an abnormal cash flow which proxies for real earnings management can play a relevant role in early warnings of financial distress. These results are of interest to market participants, auditors, regulating authorities, banks and other financial institutions that are interested in financial distress assessment Manuscript profile -
Open Access Article
13 - Measuring the Interval industry cost efficiency score in DEA
Ghasem Tohidi Simin TohidniaIn this paper we extend the concept of "cost minimizing industry structure" and develop two DEA models for dealing with imprecise data. The main aim of this study is to propose an approach to compute the industry cost efficiency measure in the presence of interval data. MoreIn this paper we extend the concept of "cost minimizing industry structure" and develop two DEA models for dealing with imprecise data. The main aim of this study is to propose an approach to compute the industry cost efficiency measure in the presence of interval data. We will see that the value obtained by the proposed approach is an interval value. The lower bound and upper bound of the interval industry cost efficiency measure are computed and then decomposed into three components to examine the relationship between them and the lower and upper bounds of the individual interval cost efficiency measures. We also define the cost efficient organization of the industry as a set of DMUs, which minimizes the total cost of producing the interval industry output vector. In fact, this paper determines the optimal number of DMUs and the reallocation of the industry observed outputs among them. We hereby determine the effects of the optimal number of DMUs and the reallocation of outputs among them on the interval industry cost efficiency measure. Finally, a numerical example will be presented to illustrate the proposed approach. Manuscript profile -
Open Access Article
14 - Developing a Measurement Model for the Sensitivity Analysis of Asset Returns with Regard to Beta Index of Exchange Rate in the Context of the Modified Capital Asset Pricing Model
Reza Alizadeh Farhad Dehdar Mohammadreza AbdoliWith increasing trade among different countries The exchange rate fluctuations, consumption, inflation, and market portfolios are considered as major risk factors in financial markets. Hence this study aimed to examine the relationship between the exchange rate fluctuat MoreWith increasing trade among different countries The exchange rate fluctuations, consumption, inflation, and market portfolios are considered as major risk factors in financial markets. Hence this study aimed to examine the relationship between the exchange rate fluctuations and asset returns within a theoretical and empirical model, i.e. Consumption-based Capital Asset Pricing Model (CCAPM). To this end, a basic CCAPM was extended and imported consumables were included in Epstein and Zin’s recursive utility function. The research sample encompassed eight portfolios and monthly data from 2003 to 2014. The pricing model parameters were estimated using Euler's equations and Hansen and Singleton’s generalized method of moments (GMM). An estimation of the parameters of Euler's equations indicates the risk aversion and tolerance of economic factors, low elasticity of substitution for domestic consumables and imported consumables, and high elasticity of intertemporal substitution. In the next step, using Euler’s linearized equations as asset pricing model and Fama and Macbeth's two-step regression method, the effects of exchange rate risk premium, inflation, market efficiency, and consumption growth on return premium on assets were investigated. The results indicated the positive impact of the exchange rate risk premium, inflation, and market returns on the return premium on assets. Manuscript profile -
Open Access Article
15 - Presenting a Model for Financial Reporting Fraud Detection using Genetic Algorithm
Mahmood Mohammadi Shohreh Yazdani Mohammadhamed Khanmohammadiboth academic and auditing firms have been searching for ways to detect corporate fraud. The main objective of this study was to present a model to detect financial reporting fraud by companies listed on Tehran Stock Exchange (TSE) using genetic algorithm. For this purp Moreboth academic and auditing firms have been searching for ways to detect corporate fraud. The main objective of this study was to present a model to detect financial reporting fraud by companies listed on Tehran Stock Exchange (TSE) using genetic algorithm. For this purpose, consistent with theoretical foundations, 21 variables were selected to predict fraud in financial reporting that finally, using statistical tests, 9 variables including SALE/EMP, RECT/SALE, LT/CEQ, INVT/SALE, SALE/TA, NI/CEQ, NI/SALE, LT/XINT, and AT/LT were selected as the potential financial reporting fraud indexes. Then, using genetic algorithm, the final model of fraud detection in financial reporting was presented. The statistical population of this study included 66 companies including 33 fraudulent and 33 non-fraudulent companies from 2011 to 2016. The results showed that the presented model with the accuracy of 91.5% can detect fraudulent companies. These findings extend financial statement fraud research and can be used by practitioners and regulators to improve fraud risk models. Manuscript profile -
Open Access Article
16 - Stock Price Momentum Modeling: A Grounded Theory Approach
Mehdi Elhaei Sahar Rezvan Hejazi Allah karam Salehi Hossein MoltafetRecently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives MoreRecently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain this phenomenon. To this end, in-depth interviews were held with 32 experts operating in the professional and academic fields in 2018. The collected data was encoded in three steps, and the results were presented as a conceptual paradigm. The research findings identified the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and mar-ket levels, the intervening factors in the global economics, macroeconomics, mar-ket, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level. The research findings suggest that the winner stock price momentum phenomenon should not be considered a speculation opportunity. Rather, it is an anomaly that has to be regulated with the proposed strategies according to the experts. The consequences of the adoption of these strategies include the stable and normal income for the market actors, the decrease in the loss inflicted on natural persons due to the market volatility, the management of anomalies, more effective attrac-tion and allocation of liquid capitals, the reduced credit risk of brokerages, and the acceleration of liquidation in the market. Manuscript profile -
Open Access Article
17 - The Effect of Macroeconomic Variables on Stock Portfolio Performance Based on Traditional and Modern Network
Yadegar Mohammadi Asfandiar Mohammadi Gharibeh Esmaili kiaEvaluation of stock portfolio performance is considered one of the important issues in the capital market and investment management in stocks. Proper evaluation of portfolio performance requires recognizing the factors affecting it. The macroeconomic variables are impor MoreEvaluation of stock portfolio performance is considered one of the important issues in the capital market and investment management in stocks. Proper evaluation of portfolio performance requires recognizing the factors affecting it. The macroeconomic variables are important and effective factors due to affecting the systematic risk of companies. In this research, ordinary least squares method (OLS) was used to evaluate the effect of macroeconomic variables including inflation, interest rate, liquidity growth rate, oil price and currency rate (Rial versus Dollar) on the stock portfolio performance based on traditional and modern network theory. Performance of portfolios including growth portfolio, growth-value portfolio, and value portfolio, and offensive portfolio, indifferent and defensive portfolio was measured based on seasonal data from 2006 to 2016 using the Teriner Index. The research results show that at the error level of 5%, macroeconomic variables have an impact on the performance of both traditional and modern networks. However, the Akaike information criterion for the modern network model is equal to 5.822, which is less than the traditional network value with the value of 6.724. This suggests that the interpretation of macroeconomic variables in a modern network portfolio is better than that of traditional one. In addition, the effect of macro variables on the performance of the six portfolios will be different Manuscript profile -
Open Access Article
18 - Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
Seyyed Yahya Asadollahi Ali Asghar Taherabadi Farhad Shahveisi Farshid KhairollahiBanks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effe MoreBanks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effective factors is more vital. The present study aims to pre-sent a dynamic model to manage liquidity risk. System dynamics is used to find a risk making structure and present the most effective solution to manage it. In this method, by providing a mathematical model, simu-lating the results of various scenarios is possible. The results of implement-ing four scenarios on the model were simulated and analyzed. The results revealed that reducing legal deposits and nonperforming loans and increasing attraction of deposits is influential in banks liquidity risk. Manuscript profile -
Open Access Article
19 - Higher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution
Bahman Esmaeili Ali Souri Sayyed Mojtaba MirlohiThe main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and iden MoreThe main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically asymmetric exponential power distributed with two tail parameters(CAPM-AIEPD) to estimate return and risk. When the assumption of normality is violated, the first and second moments lose their efficiency in optimization and we need to use the third and fourth moments. For the first time, we propose independent and identically asymmetric exponential power distributed with two tail parameters. Then, we use higher moments optimization with unequal weights to optimize portfolios. The results indicate that capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) is better than asymmetric independent and identically asymmetric exponential power distributed with two tail parameters(CAPM-AIEPD) to estimate return and risk. Adjusted Sharp ratio in portfolio optimization in second moments are higher than others. Adjusted returns to risk in third and fourth moments in the CAPM-IIAPD model significantly differ from the CAPM-AIEPD model and have a better performance. Manuscript profile -
Open Access Article
20 - Application of Panel Regression Model in Examining the Effect of Monetary Policy on Bank Profitability
Fatemeh Saatichoubar Mohammad Mohebbi Yaghoob Zeraat kish Ebrahim NegahdariProfit is one of the most important factors influencing economic decision making, the changes of which depend on various factors. Banks, as one of the most important business units, have a special reliance on the concept of profitability and their performance is signifi MoreProfit is one of the most important factors influencing economic decision making, the changes of which depend on various factors. Banks, as one of the most important business units, have a special reliance on the concept of profitability and their performance is significantly influenced by macroeconomic conditions. Government economic policies are placed. This paper aims at applying the panel regression model to study the effect of monetary policy on the profitability of banks from 2006 to 2018 using data from 30 provinces to find appropriate policy recommendations for decision-making in the banking system. The research method was the use of GMM regression technique in the context of combined data. According to the results, the performance and profitability of banks are improved by the implementation of expansionary monetary policy. However, bank lending and price inflation have a negative effect on banks' performance. According to the results of this study, control variables such as the amount of overdue claims and GDP also had a positive effect on the performance of banks. Also at the macro level, with regard to the negative effects of Expansion monetary policy and the growth of liquidity, with the controlled implementation of Expansion monetary policy, it helps to improve the performance of banks in the banking system. Manuscript profile -
Open Access Article
21 - Identifying and Ranking the Factors Affecting Customer Financial Behavior Using Multi-Criteria Decision Making Technic (TOPSIS)
Mohammad Hossein Lotfolah Hamadani Mohsen Dastgir Seyed Ali HeidariCustomer relationship and recognition of the customer financial behaviour are considered as important strategic factors involved in successful performance of the banks. So, identifying these factors and prioritizing them help to make better decisions to complete the val MoreCustomer relationship and recognition of the customer financial behaviour are considered as important strategic factors involved in successful performance of the banks. So, identifying these factors and prioritizing them help to make better decisions to complete the value chain of the banks’ financial services, especially in development banks that tend to have midterm and long-time presence in financial markets. So, the present research aims to identify and prioritize the mentioned factors in Bank of Industry and Mine as one of the main development banks of Iran. The present research has been performed in two phases. In the first stage, or qualitative part, In the first stage, during the review of the literature and the opinions of banking experts, the relevant indicators were identified. In the second stage, or quantitative part, the statistical data of variables in the period of 2012-2017 was collected. Then, the identified factors were prioritized by multi-criteria decision making in TOPSIS solver software. According to the findings, environmental factors are the main indicators affecting the bank customers’ financial behaviour. The most important customer-related factor was the definite profit paid to the customer; the most important bank-related factor was credit risk; and the most important environmental factor was economic growth. Manuscript profile -
Open Access Article
22 - Presenting a Conceptual Framework to Increase the Return and Reduce Risk (A case study: customers of Mellat Bank of Arak)
Mohammad Moradi Mohammad Sadegh Horri iraj NouriThe objective of this study is to present a framework to increase the return and profitability and reduce credit risk of Mellat Bank customers by developing the RFM model. In this study, which was conducted as a case study in Mellat Bank of Iran, first the variables of MoreThe objective of this study is to present a framework to increase the return and profitability and reduce credit risk of Mellat Bank customers by developing the RFM model. In this study, which was conducted as a case study in Mellat Bank of Iran, first the variables of RFM model were identified. In the next step, relevant weights of RFM variables were calculated using AHP technique. In the next step, using the K-means algorithm, customers were clustered based on weighted RFM and extended RFM. The result included customer clusters. The results indicated that the three clusters 5, 1, and 7 obtained the highest scores for receiving facilities and the coefficients for receiving facilities were equal to 0.271, 0.173, and 0.556, respectively. By determining the facility coefficient for the cluster and consequently for the customers presented in these top groups, granting facility becomes more transparent and more purposeful, and therefore, it will help the company increase profitability, reduce the churn among high-efficiency customers, and create value for customers. This research demonstrates a systematic method for granting facilities to recognize the true value based on the capability and prevention of arbitrary acts Manuscript profile -
Open Access Article
23 - A VAR Model for the Macroeconomic Indicators Restatements Predicting : Introduction to Macroaccounting Theory
Vahid BekhradiNasab Ehsan Kamali khadijeh Ebrahimi kahrizsangiThe emergence of a new theory of"macroaccounting" with a new wave of accounting research over the last decade tries to explain and use the Aggregate information of interim accounting statements in economic forecasts. Macroaccounting theory suggests that economists and m MoreThe emergence of a new theory of"macroaccounting" with a new wave of accounting research over the last decade tries to explain and use the Aggregate information of interim accounting statements in economic forecasts. Macroaccounting theory suggests that economists and macroeconomic forecasters use Aggregate accounting information at the macroeconomic level. For example, accounting earning is used to predict GDP, cost stickiness is used to predict unemployment, and the ratio of book value to market value is used to predict inflation. Earnings growth dispersion contains information about trends in labor reallocation, unemployment change, and, ultimately, aggregate output. initial macroeconomic estimates released by the Central bank of Islamic Republic of Iran and Planning and Budget Organization and Statistical Center of Iran do not fully incorporate this information. Accordingly, the present study, based on macroaccounting theory, has examined the Predicting Restatements in Macroeconomic Indicators using Accounting Information. The population of this study includes all companies listed in the TSE. Due to the seasonality of the data and the fit of the models in a time series, the observations reach 40 times (2008:1to2018:4). The research method is based on time series data, VARtechnique. the The results suggest that earnings growth dispersion provides related data about final GDP growth. The results suggest that after considering the effect of other influential factors, specifically real initial GDP, earnings growth dispersion is useful in forecasting future GDP changes. The findings are important for economists and policymakers to have more accurate economic estimation and prediction by applying for accounting Information. Manuscript profile -
Open Access Article
24 - New Criterion For Fractal Parameter In Financial Time Series
Mehrzad Alijani bahman banimahd Ahmad YaghobnezhadSince calculating the amount of fractal in the ARFIMA time series and increasing its ‎accuracy and bring it closer to reality is very important, this article intends to ‎investigate the possibility of modifying this computational formula by changing the ‎foc MoreSince calculating the amount of fractal in the ARFIMA time series and increasing its ‎accuracy and bring it closer to reality is very important, this article intends to ‎investigate the possibility of modifying this computational formula by changing the ‎focus criterion and using simulation. In the present paper, by analysing and ‎simulating the fractal parameter for time series ARFIMA model and redefining and ‎reviewing the Fractal mathematical, a fractal calculus and dimension in ‎comparison ‎with Euclidean norms introduced. In this regard, first, a new criterion about fractal ‎or Hausdorff ‎component for measuring the forms of fractal time series introduced, ‎then the effects and functional ‎inquiries using simulation data searched, and some ‎mathematical proofs through simulation of ‎data achieved. The findings showed that, ‎the deviation of the new estimator from the simulated initial value is less, and closer ‎to reality as this new criterion introduced by changing the focus criterion and ‎replacing the mean with the median due to less sensitivity to out-dated data. The ‎new criterion is better for determining the fractal parameter and identifying its ‎degree of effectiveness. Finally, the findings empirically indicated that the proposed ‎criterion is more efficient and better ‎than the others for calculating fractal ‎dimensions.‎ Manuscript profile -
Open Access Article
25 - Effect of Bank Facilities on Employment: an Approach based on STR Model
Ali Sheikhi MehrabadiAbstractThis study aimed to evaluate the role of the banking system and, in particular, the monetary policies and provision of bank facilities, in recession and boom periods on employment in the labor market. In this research, the most important variables were employmen MoreAbstractThis study aimed to evaluate the role of the banking system and, in particular, the monetary policies and provision of bank facilities, in recession and boom periods on employment in the labor market. In this research, the most important variables were employment, bank and financial development index, volume of facilities provided to the private sector, bank facilities rate, wage rate, workforce, capital stock, liquidity, degree of economic openness, inflation rate, direct foreign investment, government expenditures, and oil revenues. The research tool was the smooth transfer regression (STR) model applied to evaluate the relationship between the variables during 1989-2016. According to the results, there was a nonlinear correlation between banking variables and employment. In the section of the nonlinear model, it was observed that with a 2.87% increase in the inflation rate, the banking indexes (e.g., money market development, the volume of facilities granted, and liquidity) had a significant and different impact on employment. In this respect, it was found that the indicators of monetary policy and bank facilities had a weak effect on employment of the country, demonstrating the improper association between monetary policies and workforce supply and demand in the labor market of the country. Manuscript profile -
Open Access Article
26 - Designing the Optimal Model of Banking Assets and Liabilities Management based on System Dynamics Approach
fatemeh Taheri Mohammad Setayesh mohammad hasan janani mahmoud hematfarBanks as the largest financial intermediaries play a vital role in collecting savings and directing them toward manufacturing activities. Hence, assets and liabilities management is crucial for them and their depositors. In this study, through system dynamics approach, MoreBanks as the largest financial intermediaries play a vital role in collecting savings and directing them toward manufacturing activities. Hence, assets and liabilities management is crucial for them and their depositors. In this study, through system dynamics approach, a dynamic model was proposed to manage assets and liabili-ties optimally. After building the model and conducting validation and sensitivity analysis, three scenarios were devised and were simulated and analyzed via the proposed model. The results revealed that taking effective decisions and actions to collect more deposits, especially time deposits as well as increasing the quality of credit assets (if allocated optimally) can be effective in improving the performance of banks. Therefore, using systems thinking and system dynamics can aid banks in managing their assets and liabilities optimally. mary of the significant items in the paper, including the results and conclusions. Manuscript profile -
Open Access Article
27 - Which Currency Will Evolve?
Abbas Javadian Elahe Sorouri Madjid Eshaghi GordjiIn this paper, using Evolutionary Game Theory, we study the evolution of currency as an important and influential problem in the world economy by presenting three new models. In examining the evolution of two different currencies, we prove that if the parties chose eith MoreIn this paper, using Evolutionary Game Theory, we study the evolution of currency as an important and influential problem in the world economy by presenting three new models. In examining the evolution of two different currencies, we prove that if the parties chose either of the two currencies with a fixed probability, it will not have an impact on the evolutionary process of these currencies. Considering a new action based on either the possibility of using any two currencies or a preference between the two currencies, we illustrate their impact on the evolution-ary process of currencies. In fact, we examine the impact of different actions and strategies on the evolutionary process between the two types of currencies. Manuscript profile -
Open Access Article
28 - Financial Distress of Companies Listed on the Tehran Stock Exchange using the Dynamic Worst Practice Frontier-based DEA Model
Hamid Rahimi Mehrzad Minouei MohammadReza FathiOne of the main concerns of financial institutions for investing in companies is to evaluate financial performance and, most importantly, the financial distress of organizations applying for investment. Therefore, various approaches and tech-niques are used in this eval MoreOne of the main concerns of financial institutions for investing in companies is to evaluate financial performance and, most importantly, the financial distress of organizations applying for investment. Therefore, various approaches and tech-niques are used in this evaluation. Financial decision-making has always been associated with the risk of uncertainty. One way to help investors is to provide forecasting models for the overall corporate prospect. It is noteworthy that in all these approaches, various criteria are used to identify corporate financial distress. In this study, a dynamic worst-practice-frontier DEA model was used to identify financially distressed decision-making units over several time-periods. Another feature of the model presented in this study was to provide some improvement solutions for financially distressed decision-making units. Finally, a new ranking approach was introduced to evaluate companies based on the inefficiency trend over several time-periods. The study's approach provides decision-makers with the ability to evaluate the inefficient DMUs during each time-period according to the relationships between these time-periods. The efficiency slope can also be evaluated over time-periods, and companies can be ranked based on this slope. Finally, it is suggested to use this model to dynamically predict financial distress in various industries, including metals, rubber, automobiles, etc., so that compa-nies are informed of their financial distress promptly and take appropriate measures to prevent bankruptcy. Manuscript profile -
Open Access Article
29 - Developing a Prediction-Based Stock Returns and Portfolio Optimization Model
Farzad Eivani Davood Jafari Seresht Abbas AflatooniThe purpose of this study is to develop a prediction-based stock returns and portfolio optimization model using a combined decision tree and regression model. The empirical evidence is based on the analysis on 112 unique firms listed on the Tehran Stock Exchange from 20 MoreThe purpose of this study is to develop a prediction-based stock returns and portfolio optimization model using a combined decision tree and regression model. The empirical evidence is based on the analysis on 112 unique firms listed on the Tehran Stock Exchange from 2009 to 2019. Regression analyses, as well as six decision tree techniques including CHAID, ID3, CRIUSE, M5, CART, and M5 are used to determine the most effective variables for predicting stock returns. The results show that the six decision tree methods perform better than the regression model in selecting the optimal portfolio. Further analysis reveals that the CART model outperforms the other five decision tree models when compared using Akaike and Schwartz Bayesian. This finding is confirmed by comparing the actual returns of the selected portfolio across all six models in 2019. The findings indicate that the predicted returns on portfolio based on the CART model are not significantly different than the actual returns for 2019, suggesting that the selected model appropriately predicts the returns on the portfolio Manuscript profile -
Open Access Article
30 - Developing the Stock Pricing Model based on Bounded Rationality Theory
Mohammad Noroozi Daruosh Foroghi farzad KarimiThe occurrence of unexpected phenomena in recent decades in financial markets around the world,led to the development of theories,beyond the defined principles and criteria of classic finance.These theories are based on financial psychology and they are explaining the r MoreThe occurrence of unexpected phenomena in recent decades in financial markets around the world,led to the development of theories,beyond the defined principles and criteria of classic finance.These theories are based on financial psychology and they are explaining the role of psychology in financial sciences as an influential factor and became irreplaceable in financial markets and investor decisions.One of the important theories in this field is the bounded-rationality-theory,which can explain the behavior of decision-makers about financial and economical issues based on defined theoretical frameworks and assumptions.This study developed the stock pricing model by comparing the predicted stock price based on the bounded-rationality-theory and the real stock price through collecting the data of 122 companies listed on the Tehran Stock Exchange during the period 2011to 2019.The results of this study show the effectiveness of the bounded-rationality-theory based on the separation of stock return components and measuring the irrationality coefficient and emotional reactions of investors' decisions in stock prices.Accordingly,the limitations of investors 'ability to process information seem to affect the level of use of reasoning and rationality in decision-making and the effect of bounded-rationality through the irrationality and limited attention on stock pricing.Therefore,it is expected that knowledge about the process of bounded-rationality based on the rational-bounded of investors and the behavioral biases resulting from the irrational part of their thinking,will provide a good explanation for the process of changes in financial markets.This can provide both profit opportunities and costs in investment management so that it can be used in modeling,analysis and investment strategies. Manuscript profile -
Open Access Article
31 - Optimization of estimates and comparison of their efficiency under stochastic methods and its application in financial models
Kianoush Fathi vajargah Hamid Mottaghi Golshan Abbas ArjomandfarIn this paper, first, the stochastic differential equations are introduced as well as the definition and basic theories about Monte Carlo and quasi-Monte Carlo and Sobel and Halton sequences are expressed. Indeed, we introduce and use simulations under these methods to MoreIn this paper, first, the stochastic differential equations are introduced as well as the definition and basic theories about Monte Carlo and quasi-Monte Carlo and Sobel and Halton sequences are expressed. Indeed, we introduce and use simulations under these methods to compare the efficiency of the solutions, which the results show that the approximation of the resulting Sobel sequence is much better than other stochastic methods. The comparison of the efficiency of random and quasi-random methods, the geometric Brownian movement and the price index of Tehran stock (equal weight and weight-value) is studied. The results show that the quasi-Monte Carlo method is better than other methods. Manuscript profile -
Open Access Article
32 - The sustainability radius of the cost efficiency in Interval Data Envelopment Analysis: A case study from Tehran Stocks
Esmaeil Mombini Mohsen Rostamy-Malkhalifeh Mansour SarajInterval Data Envelopment Analysis (Interval DEA) is a methodology to assess the efficiency of decision-making units (DMUs) in the presence of interval data. Sensitivity analysis and sustainability evaluation of decision- making units are as the most important concerns MoreInterval Data Envelopment Analysis (Interval DEA) is a methodology to assess the efficiency of decision-making units (DMUs) in the presence of interval data. Sensitivity analysis and sustainability evaluation of decision- making units are as the most important concerns of Decision Makers (DM). In the past decades, many scholars have been attracted to the sustainability evaluation of DMUs from different perspectives. This study focuses on the sensitivity analysis in DEA and proposes an approach to determine the sustainability radius of the cost efficiency of units with interval data. Potential application of our proposed methods is illustrated by a numerical example from the literature review. Manuscript profile -
Open Access Article
33 - Does Economic Freedom Affect Stock Returns? (Case study: Selected Countries of the Organization of the Islamic Conference)
Aram Sepehrivand Abolghasem Hashemipour Isa TaheriEconomic freedom or economic liberty is one of the instances of freedom which is a target intrinsically, and individuals and units make attempts to achieve. The liberalization of financial markets can have a different effect on economy. Several studies have indicated th MoreEconomic freedom or economic liberty is one of the instances of freedom which is a target intrinsically, and individuals and units make attempts to achieve. The liberalization of financial markets can have a different effect on economy. Several studies have indicated that economic liberalization has had a positive effect on developing economies by the reduction in capital expenditures, increase in profit-ability, and individuals’ investment. The present study aimed to investigate the effect of economic freedom on stock returns. The statistical population of this study is the selected countries of the Organization of the Islamic Conference (OIC) for the years 2001 to 2019, and is used in the statistical section of the Fraser Institute website and the World Bank website. In this study, the regression model of panel data was employed for data analysis. The research results show that the effect of the economic freedom variable is positive and significant on the stock price index and cash-on-cash return. At best, economic freedom can lead to increasing demand for stocks and, subsequently, raising the stock price index and cash-on-cash return. The government should provide a legal and regulatory framework to protect the rights of owners of assets and fair implementation of contracts, and facilitate access to sound money. It should also provide stable money and refrain from activities and interventions interfering in personal choices, exchanges and voluntary exchanges, and the free-dom to enter the competition in product and labour markets. Manuscript profile -
Open Access Article
34 - Predicting the Top and Bottom Prices of Bitcoin Using Ensemble Machine Learning
Emad Koosha Mohsen Seighaly Ebrahim AbbasiThe purpose of the present study is to use the ensemble learning model to combine the predictions of Random Forest (RF), Long-Short Term Memory (LSTM), and Recurrent Neural Network (RNN) models for the Top and Bottom Prices of Bitcoin. To this aim, in the first stage, B MoreThe purpose of the present study is to use the ensemble learning model to combine the predictions of Random Forest (RF), Long-Short Term Memory (LSTM), and Recurrent Neural Network (RNN) models for the Top and Bottom Prices of Bitcoin. To this aim, in the first stage, Bitcoin's top and bottom prices are predicted using three machine learning models. In the second stage, the outputs of the models are presented as feature variables to the Extreme Gradient Boosting (Xgboost) and Light Gradient Boosting Machine (LightGBM) models to predict the price tops and bottoms. Then, in the third stage, the outputs of the second stage are combined through the voting ensemble classifier pattern to predict the next top and bottom prices. The data of top and bottom Bitcoin prices in the 1-hour time frame from 1/1/2018 to the end of 6/30/2022 are used as target variables and 31 technical analysis indicators as feature variables for the three models in the first stage. 70% of the data is regarded as learning data, and the remaining 30% is considered for the second and third stages. In the second phase, 50% of the data is considered for learning the output of the previous stage and 50% for the test data. Finally, the prediction values are evaluated with real data for the three models and the proposed ensemble learning model. The results reveal the improvement of the performance, precision, and accuracy of the ensemble model compared to weak learning models. Manuscript profile -
Open Access Article
35 - An Optimization Model for Designing a Supply Chain Network with a Value-Based Management Approach
Nima Hamta Abbas Biglar Mahdi MolanaTraditional approaches applied in supply chain management consider only the physical logistic operations and ignore the financial aspects of the chain. In this study, a mathematical model has been developed to address the supply chain network design problem with a value MoreTraditional approaches applied in supply chain management consider only the physical logistic operations and ignore the financial aspects of the chain. In this study, a mathematical model has been developed to address the supply chain network design problem with a value-based management approach. This model integrates both operations and financial aspects to maximize the value created and measured by shareholder value analysis (SVA) as an objective function. The results attributed to the developed model and the basic model are compared. The results indicate that creating more value for the company and its shareholders is achievable with appropriate financial decisions. To validate and show the applicability of the proposed model, it was solved by GAMS software with data provided by literature. Finally, sensitivity analyses on financial parameters were performed to evaluate the results. The results clearly reveal the improvement of using the new approach and convince managers to take advantage of the proposed approach. Manuscript profile -
Open Access Article
36 - Investigating the role of development banks in fixed investment formation in Iran
Raziye Ahmadi Ghoochan Atigh mohammad hashem botshekan Abbas Memarnejad Jafar JamaliThis paper examines the role of development banks in the fixed investment formation and economic growth of the country with emphasis on the facilities granted by development banks. To do this, quarterly data of the country's development banks in the period 2006-2020 and MoreThis paper examines the role of development banks in the fixed investment formation and economic growth of the country with emphasis on the facilities granted by development banks. To do this, quarterly data of the country's development banks in the period 2006-2020 and experimental tests related to the causal relationship of variables and estimating the long-run relationship between variables were used with the Granger causality test and vector autoregression method (var).The results show that the development sector facilities and total banking network facilities (except for development sector facilities) have had positive and significant effects on fixed investment formation and other banking network payment facilities except the development sector and liquidity volume have had no significant effcets. Regarding the relationship between the liquidity and total paid facilities of the banking system, with the variable of fixed investment formation, the results show that all paid facilities have had positive and significant effects and liquidity has insignificant effects on fixed investment formation. According to the results of the long-run relationship, the development sector facilities and the volume of liquidity, in the long run, have had a significant relationship with fixed investment formaton in the Iranian economy. According to the results of the short-run relationship, development sector facilities have had positive and significant impacts on fixed investment formation and investment in the economy. Therefore, it can be concluded that the development sector facilities in both the short-term and long-term have been able to have a positive and significant effect on fixed investment formation Manuscript profile -
Open Access Article
37 - The Effect of Fiscal Policies on Labor Demand in Iran
Alireza mahmoodzadeh Mino Amini Milani Mohammad Sadegh AlipourThe labor market is one of the main markets in the national economy and the equilibrium of the labor market is one of the main concerns of policymakers in every country. Theoretical foundations and empirical studies show that labor demand is the main factor in creating MoreThe labor market is one of the main markets in the national economy and the equilibrium of the labor market is one of the main concerns of policymakers in every country. Theoretical foundations and empirical studies show that labor demand is the main factor in creating employment and equilibrium in the labor market. This article evaluates the effect of fiscal policy on labor demand in Iran from 1976-2018. During this period, the government has implemented employment-generating projects, tax and insurance exemptions via annual development programs and budgets, and encouraged investment in areas with high unemployment rates. we examined the effect of current government expenditures, government development expenditures, and taxes to study the effect of government fiscal policies on labor demand. In this article, we estimate the dynamic function of labor demand using the ARDL technique. According to the theoretical foundations and empirical studies in the specified function, labor demand is a function of intermittent values and independent variables of Gross Domestic Product (GDP), real wages, capital stock, current government expenditures, government development expenditures, tax revenues, and dummy variables of imposed war and the UN Security Council sanction. The results showed that fiscal policy has not had a positive effect on labor demand in the Iranian labor market in the short and long term. Manuscript profile -
Open Access Article
38 - Impact of Investors' Sentiments on Volatility of Stock Exchange Index in Tehran Stock Exchange
roozbeh balounejad nouri Fatemeh bagjavany Masoumeh Amiri HosseiniThe stock market is one of the main components of the economy, and various factors cause fluctuations in it, one of which is the effect of investors' behavior. Therefore, present study seeks to answer the question of whether the feelings and sentiments of investors migh MoreThe stock market is one of the main components of the economy, and various factors cause fluctuations in it, one of which is the effect of investors' behavior. Therefore, present study seeks to answer the question of whether the feelings and sentiments of investors might intensify the fluctuations in the Tehran Stock Exchange or not. To answer this question, at first, in order to quantify sentiments, as non-abstract variables, the Equity Market Sentiment Index (EMSI) was used that investors are classified in 5 categories of completely risk-averse, risk-averse, neutral-risk, risk-taking and completely risk-taking. Using GARCHi-in-Mean, results indicate that the sentiments of investors will result in greater fluctuations in the Tehran Stock Exchange. Hence, if fluctuation is considered an indicator of market risk, the excitement associated with an abnormal rise in volumes will increase that risk. Manuscript profile -
Open Access Article
39 - Application of meta-heuristic algorithms in portfolio optimization with capital market bubble conditions
Iman Mohammadi Hamzeh Mohammadi Khoshouei Arezo Aghaee chadeganiThe existence of bubbles in the market, especially the capital market, can be a factor in preventing the participation of investors in the capital market process and the correct allocation of financial resources for the economic development of the country. On the other MoreThe existence of bubbles in the market, especially the capital market, can be a factor in preventing the participation of investors in the capital market process and the correct allocation of financial resources for the economic development of the country. On the other hand, due to the goal of investors in achieving a portfolio of high returns with the least amount of risk, the need to pay attention to these markets increases. In this research, with the aim of maximizing return and minimizing investment risk, an attempt has been made to form an optimal portfolio in conditions where the capital market has a price bubble. According to the purpose, the research is of applied type, and in terms of data, quantitative and post-event, and in terms of type of analysis, it is of descriptive-correlation type. In order to identify the months with bubbles in the period from 2015 to 2021 in the Tehran Stock Exchange market, sequence tests and skewness and kurtosis tests were used. After identifying periods with bubbles, the meta-heuristic algorithms were used to optimize the portfolio. The results indicate the identification of 14 periods with price bubbles in the period under study. Also, in portfolio optimization, selected stock portfolios with maximum returns and minimum risk are formed. This research will be a guide for investors in identifying bubble courses and how to form an optimal portfolio in these conditions. Manuscript profile -
Open Access Article
40 - Explaining stock anomalies using multifactorial asset pricing models
Morteza Mahmoudi jamal bahri sales Saeed Jabbarzadeh Kangarlouie Ali AshtabThis study investigates the effects of stock anomalies on excess stock and unexplained returns of multifactorial models in the companies listed at the Tehran Stock Exchange. We selected a sample of 120 companies listed at the Tehran Stock Exchange from 2008 to 2019 usin MoreThis study investigates the effects of stock anomalies on excess stock and unexplained returns of multifactorial models in the companies listed at the Tehran Stock Exchange. We selected a sample of 120 companies listed at the Tehran Stock Exchange from 2008 to 2019 using the Fama-Macbeth [18] regression approach. The results revealed that stock anomalies led to considerable differences in excess stock returns of different portfolios, implying that stock returns at different anomaly levels significantly differ. In addition, it was found that the anomalies related to stock characteristics greatly impacted explaining excess stock returns in the three-factor and five-factor models suggested by Fama and French. Besides, in different portfolios of the anomalies, the unexplained return rates were significantly different from each other. Moreover, in Fama and French's three-factor and five-factor models, different anomaly portfolios show significant differences in explaining excess stock returns. Manuscript profile -
Open Access Article
41 - Designing a Model of Financial Flexibility Functions for Industrial Infrastructure Development of Abadan Oil Refining Company
Kiomars Darabpour saber Molla Ali zadeh Zavardehi Allah karam salehiThe purpose of this study was designing a model of financial flexibility functions for industrial infrastructure development of َAbadan oil refining comIn this study,12 financial management specialists at the university level and the company participated as panel member MoreThe purpose of this study was designing a model of financial flexibility functions for industrial infrastructure development of َAbadan oil refining comIn this study,12 financial management specialists at the university level and the company participated as panel members in the quality department. In fact, in the qualitative part, which used Meta-synthesis and Delphi analysis, the aim was to identify the propositions of financial flexibility functions for the development of industrial infrastructure, and then in a small part with the participation of 18 managers and deputies of Abadan Oil Refining Company, Findings: Therefore, relying on meta-synthesis, first 14 studies were reviewed as a basis for evaluation to determine the themes of the statements of financial flexibility functions for the development of industrial infrastructure in the form of critical evaluation, based on which, 24 themes of selected propositions were entered into Delphi analysis in a checklist manner to determine the theoretical adequacy. In this stage, 4 propositions were removed during the two stages of Delphi analysis and a total of 20 propositions entered the quantitative analysis section, ie Total Interpretive Structural Modelling. In this section, the results show the themes of the statements of financial agility in the development of industrial infrastructure (P12); Reduction of financial constraints in providing resources for industrial infrastructure development (P17) and dynamics of evaluation of industrial infrastructure development plans (P18) were selected as the last level of the most effective reasons for financial flexibility for industrial infrastructure development in Abadan Oil Refining Company. Manuscript profile -
Open Access Article
42 - Jump Identification as a Proxy of Information Shocks, In Tehran Stock Exchange.
Hadis Taghaddosi Farimah Mokhatab Rafiei Ali Husseinzadeh KashanUsing jumps in stock prices as a proxy for information shocks to examine investors' reactions to significant events is the most effective method for identifying information shocks. Compared to other studies, this method has advantages listed at the end of the liter MoreUsing jumps in stock prices as a proxy for information shocks to examine investors' reactions to significant events is the most effective method for identifying information shocks. Compared to other studies, this method has advantages listed at the end of the literature review. We provide evidence consistent with short-term overreaction on the Tehran Stock Exchange. Thus, through the contrarian investment strategy, i.e., buying stocks with negative lagged jump returns and selling those with positive lagged jump returns, earn significantly positive returns over the next one- to three-month horizons. This research analyzed the adjusted daily closing prices of the top thirty stocks on the Tehran Stock Exchange in terms of market value and turnover during 2013-2020. Manuscript profile -
Open Access Article
43 - Development of a New SWOT-MCDM Model to Create Marketing and Financial Strategies in Conditions of Uncertainty (Case Study of Iralco Company)
Farshad Motallebi Peyman Ghafari Ashtiani Mohammad EhsanifarThe most basic step in managing an organization is to develop appropriate and practical strategies. Developing a detailed and complete plan that will determine the long-term direction of the organization and guarantee the prof-itability and survival of the organizatio MoreThe most basic step in managing an organization is to develop appropriate and practical strategies. Developing a detailed and complete plan that will determine the long-term direction of the organization and guarantee the prof-itability and survival of the organization. In this research, using multi-criteria decision-making techniques, a new SWOT model has been created to formulate organizational strategies (financial, commercial, production and similar). The upcoming research method is of a mixed type (qualitative-quantitative) which will be used in the qualitative part of the method (de-scriptive-survey) and in the quantitative part of the fuzzy Delphi technique and multi-criteria decision making. In order to target more the results of this research and its output model, Iralco Company (Iran Aluminium) has been selected as a strategic and widely used global product manufacturer to study and implement the mentioned models and techniques. Manuscript profile -
Open Access Article
44 - Financial Reporting Readability: A new Artificial Neural Network and Multi-Indicator Decision Making Approach
Ali Asghar Khazaei Harivand Arash Naderian Majid Ashrafi Ali KhozinThe desirability of the financial reporting can greatly help the users of finan-cial information in making investment decisions. The purpose of this re-search is to measure the readability of financial reporting using a multi-indicator decision-making model and the arti MoreThe desirability of the financial reporting can greatly help the users of finan-cial information in making investment decisions. The purpose of this re-search is to measure the readability of financial reporting using a multi-indicator decision-making model and the artificial neural network method and the role of information presentation time in its improvement. In this research, various indicators have been used to measure the readability of financial reporting, and the quality of reporting is obtained through the rank-ing of companies by the stock exchange. In this research, the number of 149 companies admitted to the Tehran Stock Exchange in the period of 2010-2020 was examined, and to measure the financial readability through struc-tural equations and Stata software, and to test the hypothesis of the research, the regression model and Eviews econometrics software were used. In this study, we have tried to Use machine learning techniques and optimization tools as a way to derive adaptive-robust nonlinear models that can reduce the risk of model error as much as possible. The findings of the research show that the time of providing information has an impact on the readability of financial reporting. The obtained outputs from the estimation of the artificial neural networks and results obtained from estimation, using of this method with evaluation scales concerning random amount and comparing it with adjusted R, we found that there is meaningful relation between the associated variables and return. However, such network has the least error than other networks. The results show an overall improvement in forecasting using the neural network as compared to linear regression method. In other words, our proposed system displays an extremely higher profitability potential. The obtained result can be argued that the more the company's information is provided by the managers to the company's shareholders and investors on time and at the right time, the more readable and understandable the financial reports will be. Manuscript profile -
Open Access Article
45 - Net Working Capital Investment Policies, the Value of Financial Flexibility and Financial Constraint, Evidence From the Tehran Stock Exchange
Maryam Karimi Rasoul Karami Mehdi Basirat Allah Karam SalehiCompanies pay attention to the value level of financial flexibility in making decisions related to optimizing investments and applying their net working capital policies. This issue will make profitable investment opportunities for companies more efficient and enable co MoreCompanies pay attention to the value level of financial flexibility in making decisions related to optimizing investments and applying their net working capital policies. This issue will make profitable investment opportunities for companies more efficient and enable companies to gain more efficiency, as well as apply more optimal policies to keep cash. The purpose of this research is to investigate the effect of financial flexibility value and financial constraint on the speed of adjustment of net working capital, as well as the effect of financial constraint on the relationship between the value of financial flexibility and the speed of adjustment of net working capital in companies listed on the Tehran Stock Exchange. The appropriate pattern recognition test in combined data indicates the use of the regression model of the research using the panel data method with the fixed and random effects approach for the panel and pooled data patterns to estimate the regression model. The statistical sample includes 100 companies accepted to the Tehran Stock Exchange during the period from 2005 to 2020. The findings indicate that the value of financial flexibility has a positive and significant effect on the speed of adjustment of net working capital in the models of partial adjustments and error correction. Financial constraint has a positive and significant effect on the speed of net working capital adjustment, and it also has a positive and significant effect on the relationship between the value of financial flexibility and the speed of net working capital adjustment. Manuscript profile -
Open Access Article
46 - The Co-movement Between Bitcoin, Gold, USD and Oil: DCC-GARCH and Smooth Transition Regression (STR) Model
Yazdan Gudarzi Farahani Ehsan Aghari Ghara Mnasour HaghtalabThis study investigates the relationships between Bitcoin (BTC) prices and fluctuations in relation to gold, USD, and Iran's oil prices from 2019 to 2022. We employed the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARC MoreThis study investigates the relationships between Bitcoin (BTC) prices and fluctuations in relation to gold, USD, and Iran's oil prices from 2019 to 2022. We employed the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) method to model the fluctua-tions of financial variables. Additionally, the smooth transition regression (STR) method was applied to explore the relationships between the variables. The results reveal significant positive correlations between BTC prices and gold, as well as oil, and a negative correlation with USD prices. We observed volatility persistence, causality, and phase differences between BTC and other financial instruments and indicators. Notably, a negative relationship was identified between Bitcoin and the USD in both linear and non-linear aspects, with a larger coefficient in the second regime. Furthermore, a posi-tive relationship was found between Bitcoin and the variables of gold and oil prices, with coefficients being larger in the second regime compared to the first. Manuscript profile -
Open Access Article
47 - Examining Financial Performance and Corporate Governance in Tehran Stock Exchange: A Hybrid Machine Learning and Data Envelopment Analysis Approach
Pooneh Noparvar Saravi Morteza Bagheri Seyed Sadegh HadianIn the backdrop of an ever-evolving global business landscape and intense market competition, companies are faced with the imperative of strategically managing factors that influence their financial performance. This research delves into the intricate relationship betwe MoreIn the backdrop of an ever-evolving global business landscape and intense market competition, companies are faced with the imperative of strategically managing factors that influence their financial performance. This research delves into the intricate relationship between financial performance enhancement and corporate governance, with particular attention to the mediating role of human capital. The study centers its investigation on companies listed on the Tehran Stock Exchange and comprises a comprehensive sample of 140 top-level managers. A composite sampling approach, comprising a simple random sampling technique and Morgan's table, was employed to judiciously select a representative cohort of 103 participants. In the pursuit of rigorous academic analysis, the research leverages a goal-oriented, applied methodology, employing a descriptive survey design and a quantitative approach. The primary data for the study were methodically collected through rigorously designed and standardized questionnaires. Subsequent to data acquisition, a meticulous analytical process was undertaken using the Partial Least Squares (PLS) software, aligning with the latest developments in quantitative research techniques. The results stemming from hypothesis testing offer compelling insights into the dynamic relationship between corporate governance, human capital, and financial performance enhancement. Our findings convincingly demonstrate a significant positive impact of both corporate governance and human capital on the enhancement of financial performance in the context of Tehran Stock Exchange's listed companies. Furthermore, the empirical evidence strongly suggests that human capital plays a pivotal mediating role in the relationship between corporate governance practices and financial performance improvements. This study, in its pursuit of academic rigor, underscores the effectiveness of a novel hybrid approach, thoughtfully integrating machine learning and data envelopment analysis, to comprehensively examine the intricate interplay between financial performance enhancement and corporate governance within the context of the Tehran Stock Exchange's listed companies. The study contributes to the evolving body of literature in this domain and provides valuable insights for practitioners, policymakers, and researchers. Manuscript profile