Predictability

Open Access Article

1 - Information Flow and Stock Return Predictability
Mohammad Rahimi Abolfazl Shahabadi

This study explores the role of information flow in stock return predictability in Iranian stock market. The empirically motivated models estimated using the monthly data of the Tehran Stock Exchange (TSE) for the period of 2001:01 to 2011:12. While Iranian stock market More

This study explores the role of information flow in stock return predictability in Iranian stock market. The empirically motivated models estimated using the monthly data of the Tehran Stock Exchange (TSE) for the period of 2001:01 to 2011:12. While Iranian stock market return is high predictable, the source of return predictability is shown to vary considerably with information flow. The results show that the relevance of the first-order autocorrelation decreases with volatility and reversely, the relevance of a conditional multifactor asset pricing model increases with volatility in this market. Furthermore, the results indicating that the local market risk and changes in oil price affect the expected aggregate return in periods of high information. Manuscript profile

Open Access Article

2 - The Impact of Earning Quality on Excess Returns with Regard to Momentum the Impact of Earning Quality on Excess Returns with Regard to Momentum Category 24's portfolio technique for seasonal
vahid bekhradi nasab Fatemeh Jolanejad

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal.and suffered not because of pricing e More

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal.and suffered not because of pricing errors. Probably the most attention of users of financial statements, the income statement is focused on the lowest row. In the eyes of most, profit accounting tool for making logical decisions. The hypothesis of this study are as follows: First hypothesis: Earnings Persistence on the absolute value of the excess return a negative influence. The second hypothesis: Earnings Predictability on the absolute value of the excess return a negative influence. Hypothesis: smoothing on the absolute value of the excess return a negative influence. The fourth hypothesis: quality accruals on the absolute value of the excess return a negative influence. Finally, considering conditions and above limitations, among all companies accepted in Tehran Stock Exchange, 86 companies were selected during 2005 to 2015. Also, to analyze data and estimate research models, ordinary squares regression model of panel data in common effects method, permanent effects or random effects are used. In this regard, to analyze data and calculate research variables, excel software 2010, and perform statistical tests, and for final analyses, views software, version 7, were applied. In general indicates that measures the quality of earnings on excess stock returns based on Fama and French three-factor model, taking into account the trend of stock prices of listed companies on Tehran Stock Exchange, is impressive. In this study of four indicators to measure earnings quality, earnings stability, predictability of earnings, accruals quality and smoothing was used as the four hypothesis that the effect of these measures on additional efficiency gains from the difference between the real Return expected return achieved was measured and the results of the test showed that the hypothesis were accepted theories, the literature cited in the literature and theoretical framework also matched Manuscript profile

Open Access Article

3 - Liquidity and Information Efficiency in Cryptocurrencies Market
Mohammad Salehifar

In this paper, we evaluate the behavior of return, liquidity, and information efficiency in cryptocurrencis market. Cryptocurrencis are a kind of virtual currencies which cryptography technology is a basic element in their designing. They are often managed in an undistr More

In this paper, we evaluate the behavior of return, liquidity, and information efficiency in cryptocurrencis market. Cryptocurrencis are a kind of virtual currencies which cryptography technology is a basic element in their designing. They are often managed in an undistributed manner. The sample consists of 13 cryptocurrencies which were traded during 3 years (11/1/2015 until 11/1/2018) consistently. We apply Dickey-Fuller test, Ljung-Box autocorrelation parametric test, Fama-French autocorrelation test, Run and Hurst non-parametric tests to explore momentum and long-run memory in cryptocurrencis market. Findings show that cryptocurrencis return has an unpredictable behavior in markets which are more liquid. Indeed, liquidity has a direct relationship with information efficiency in cryptocurrencis market. Totally, the more liquid cryptocurrencis markets are, the less return predictability will be happened and cryptocurrencis return time series will move to a random walk. Therefore, the efficient market hypothesis will be improved. Manuscript profile

Open Access Article

4 - Style Investing and Return Predictability
Maryam Davallou Hamidreza Fartokzadeh

This research investigates cross section individual stock return predictability by style return in Tehran Stock Exchange. Test of stock return predictability is performed based on Fama and Mac-Beth regression model using data from 1380 to 1389. Also for profound analysi More

This research investigates cross section individual stock return predictability by style return in Tehran Stock Exchange. Test of stock return predictability is performed based on Fama and Mac-Beth regression model using data from 1380 to 1389. Also for profound analysis, the relation between co-movement of stock return with its style return and momentum is examined. So, Portfolio analysis approach based on dual sorting is used for the latter test. The outcomes of this research confirm future cross-section stock return predictability by style-based return over twelve month formation period. The results indicate that co-movement of stock return with its style return generates variation in momentum profit. This finding is restricted to twelve month formation period and one month future return horizon and is not observed over longer horizon future return. Manuscript profile

Open Access Article

5 - The effect of surplus free cash flow, corporate governance and firm size on earnings predictability
Fatemeh Ghorbani M. Hamed Khanmohammadi

The aim of this paper is investigates the impact of surplus free cash flow, corporate governance and firm size on earnings predictability firms in the Tehran Stock Exchange. Free cash flow surplus and earn as independent variables. Also corporate governance mechanisms ( More

The aim of this paper is investigates the impact of surplus free cash flow, corporate governance and firm size on earnings predictability firms in the Tehran Stock Exchange. Free cash flow surplus and earn as independent variables. Also corporate governance mechanisms (independent board of directors, independent chairman, institutional ownership, and managerial ownership) and firm size as moderator variables. The final sample using of 100 firms listed in the Tehran Stock Exchange between2008 to 2014 research done. Linear regression analysis is used for testing the hypotheses. Free cash flow surplus and earn as independent variables. Also corporate governance mechanisms (independent board of directors, independent chairman, institutional ownership, and managerial ownership) and firm size as moderator variables. Result of the test hypotheses indicates that the excess free cash flow and Earnings predictability have effect.and there is also corporate governance mechanisms (independent board of directors, independent chairman, institutional ownership, and managerial ownership) on the relationship between excess free cash flow and Earnings predictability have no effect.     Manuscript profile

Open Access Article

6 - The effect of corporate governance mechanisms on the relationship between excess free cash flow and earnings forecast
Ebrahim Abbasi

The aim this paper is investigates the impact of  corporate governance mechanisms on the relationship between excess free cash flow and earnings predictability. Earnings forecasts using regression relationship between of one-year-ahead operating cash flow and curre More

The aim this paper is investigates the impact of  corporate governance mechanisms on the relationship between excess free cash flow and earnings predictability. Earnings forecasts using regression relationship between of one-year-ahead operating cash flow and current earningsachieved. Free cash flow surplus and corporate governance mechanisms (the ratio of independent directors, the Board of Directors, the duality of the role of the Director, the percentage of shares owned by institutional investors and management ownership of shares) as independent variables.Using a sample of 102 firms listed in the Tehran Stock Exchange between2010 to 2014   research done. To estimate the model, multiple linear regression model is used in the the cumulative data. The final result of the test hypotheses indicates that the excess free cash flow and Earnings forecasts and there is also corporate governance mechanisms (the ratio of independent directors, the Board of Directors, the duality of the role of Director, the percentage of shares owned by institutional investors and ownership of shares management) on the relationship between excess free cash flow and Earnings forecasts have no effect. Manuscript profile

Open Access Article

7 - Stock Liquidity and Return Predictability; Is There a Connec-tion? (Evidence from an Emerging Market)
Mojtaba Alifamian Ali Eshaghzade Abdolkarim Maleknia

10.22034/amfa.2022.1957711.1744

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Open Access Article

8 - Relationship between accounting information quality criteria in response to managers' motivational components
Abdullah Hosseinzade Mahmoud mousavi shiri zohreh hajiha Hashem Nikoomaram

Past studies have used various criteria to measure the quality of accounting information, each of which indicates a specific dimension of quality. The purpose of this study is to provide a framework for evaluating and comparing the criteria of accounting information qua More

Past studies have used various criteria to measure the quality of accounting information, each of which indicates a specific dimension of quality. The purpose of this study is to provide a framework for evaluating and comparing the criteria of accounting information quality including persistence, predictability and accrual quality in response to the motivational components of rewards, debt, policy and tax. This research is of applied type and has been done with correlation approach. The statistical sample of the research includes 163 companies listed on the Tehran Stock Exchange in the period 2009 to 2017. The collected data were analyzed by combined data and least squares regression. The research findings show that reward motivation has a significant relationship with all quality criteria of accounting information. In a way that with increasing motivation, rewards, persistence and accrual quality increase and predictability decreases. Also, the criteria of accounting information quality in response to management motivations have significant convergence, divergence and lack of relationship. Manuscript profile

Open Access Article

9 - An Empirical Examination of Stability, Predictability and Volatility for Capital Markets in Persian Gulf Rim
yadollah Dadgar Behzad Vamaziari

This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive More

This paper examines the dynamic relationship of stock markets, stability, predictability, volatility, and persistence of shocks volatility of stock markets in Iran, Saudi Arabia, United Arabic Emirates, Qatar, Bahrain and Oman. In this paper, Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) and Autoregressive Moving Average model (ARMA) are implemented by using monthly data during 1990-2010. The results indicate that stock market doesn’t have notable predictability in Iran and there is Cluster volatility for return of stock in most markets and almost, in none of these markets except Oman, explosive volatilities are observed. It is also indicated that the return for markets of Bahrain and Oman doesn’t have stability in significant level of 5 percent and for Iran it doesn’t have stability and durability in significant level of 1 percent. In addition, although the markets of these countries have high capacities for return of investment, but, in particular, the findings show a low correlation between these markets. Also, the results for the period in question explain that none of these markets has the ability of leadership among others. Manuscript profile

Open Access Article

10 - The role of political and economic uncertainties on improving the predictability of industrial activities in Iran
Farzaneh Khalili mehdi mohammadi farid asgari

The industrial sector and its growth is one of the most important performance indicators of the economy at the macro level and achieving a higher growth rate in this sector is one of the important goals of any economic system. Therefore, it is important to study the fac More

The industrial sector and its growth is one of the most important performance indicators of the economy at the macro level and achieving a higher growth rate in this sector is one of the important goals of any economic system. Therefore, it is important to study the factors that affect the development of the industrial sector and improve the predictability of this sector. A review of the literature on the development of industry in the economy shows that one of the most important factors affecting its development is the stability of macroeconomics in both economic and political sectors, so that economists today have accepted that economic and political stability is a necessary condition for growth. It is high and continuous in the industry sector of the economy. In this regard, in the present study, the role of political and economic uncertainties on improving the predictability of industrial sector activities in Iran during the period 1991 to 1399 has been investigated. GMM generalized torque method was used to analyze the data. Findings showed that economic and political uncertainties have had negative and significant effects on the development of the industrial sector in Iran. It was also observed that considering political and economic uncertainties can improve the predictability of industrial sector activities. Accordingly, it is concluded that macroeconomic and policy policies in the country should be implemented a way that does not harm economic stability and thus the development of the industrial in the country. Manuscript profile

Open Access Article

11 - Predictability Test of Stock Market Price Index in Iran Investment Market and comparing Linear and Nonlinear models predictability potentials
Karim Emami Ghodratollah Emamverdi

Since the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, More

Since the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, are often go wrong while encountering the chaotic data and recognize them as stochastic ones, though these data are actually generated from the deterministic systems which bear few tribulations. For this reason the predictable and non-linear tests such as HURST, BDS, Runs Test, and Correlation Dimension have been used to study the existence of deterministic chaotic trend and non-linear process in Time Series of Daily Stock Market Price Index of TEHRAN STOCK EXCHANGE from 23 rd October, 2000 to 24 th September, 2002. The result of the above mentioned tests shows the predictability and the existence of a non-linear process in the sample data. After the illustration of predictability and the non-linear process in daily stock index data, then the linear time series models (AR), non-linear (GARCH) and Artificial Neural Network (ANN) have been estimated to present a suitable model for predicting the Stock Price Index. Comparing the potential of predictability of these models by such criteria as: CDC, RMSE, MAE, MAPE and U-THEIL inequality coefficient, it has been revealed that there is the highest potential of predictability in Artificial Neural Network models than the other ones Manuscript profile

Open Access Article

12 - تأثیر جریان‌های نقدی آزاد مازاد، نظام راهبری شرکتی و اندازه شرکت بر پیش بینی پذیری سود
ناصر ایزدی نیا وحید رو ح الهی

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Open Access Article

13 - نقش بازده مبتنی بر سبک در پیش‌بینی بازده آتی
لیلا صفدریان داریوش فروغی فرزاد کریمی

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Open Access Article

14 - The Impact of Earning Quality on Excess Returns with Regard to Momentum
Vahid Bekhradinasab Fatemeh Zholanezhad

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal.and suffered not because of pricing e More

Tehran Stock Exchange has not lived and somewhat inefficient. Mechanisms and rules governing this market is still not implemented in such a way that the quality of data and information provided by member companies to deliver optimal.and suffered not because of pricing errors. Probably the most attention of users of financial statements, the income statement is focused on the lowest row. In the eyes of most, profit accounting tool for making logical decisions In general indicates that measures the quality of earnings on excess stock returns based on Fama and French three-factor model, taking into account the trend of stock prices of listed companies on Tehran Stock Exchange, is impressive. In this study of four indicators to measure earnings quality, earnings stability, predictability of earnings, accruals quality and smoothing was used as the four hypothesis that the effect of these measures on additional efficiency gains from the difference between the real Return expected return achieved was measured and the results of the test showed that the hypothesis were accepted theories, the literature cited in the literature and theoretical framework also matched. Manuscript profile

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