List of Articles Risk Aversion

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  1 - Mediating Role of Financial Risk Aversion on the Relationship between Personality Characteristics of Senior Managers and Corporate Financial Distress with Futures Research Approach
  khodamorad Ghani Dehkordi hamidreza jafari dehkordi jamshid peyke falak
  10.30495/jmfr.2022.58673.2380
  Background: Recognizing and analyzing the factors affecting the financial distress of companies and preventing its occurrence is one of the important issues in the economic and financial field. The personality characteristics of senior managers and their behavioral erro More

  Background: Recognizing and analyzing the factors affecting the financial distress of companies and preventing its occurrence is one of the important issues in the economic and financial field. The personality characteristics of senior managers and their behavioral errors such as financial risk aversion as a component affect the financial decisions of managers and consequently the success and failure of companies in the field of competition. Purposes: The purpose of this study is to investigate the effect of personality characteristics of senior managers on financial distress of companies with emphasis on the role of financial risk aversion. Methods: The research method in terms of purpose in the group of exploratory research, in terms of data collection in the category of qualitative research and in terms of results is also in the category of developmental research. The statistical sample of this research consists of 181 senior managers of manufacturing companies listed on the Tehran Stock Exchange. PLS2 Smart software was used to analyze the data obtained from the questionnaire. Conclusion: The results show that senior managers with personality charactristics of openness to experience, adaptability and conscientiousness, reduce their risk aversion and reduce the financial distress of companies and extraverted senior executives increase their risk aversion and increase the financial distress of companies. Manuscript profile
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  2 - بررسی تأثیر عامل حساسیت سهامداران، ویژگی های سهام شرکت ها و اثر مومنتوم بر بازده سهام و عملکرد مالی شرکت های پذیرفته شده در بورس اوراق بهادار تهران
  Davood Hamzeh Maryam Khalili Araghi Kambiz Peikarjoo
  Investors invest in stock market to gain benefit, so always trying to make a reasonable relationship between the stock price, return and the financial performance; therefore, it is important to identify the effective factors. In this study, effect of investor’s se More

  Investors invest in stock market to gain benefit, so always trying to make a reasonable relationship between the stock price, return and the financial performance; therefore, it is important to identify the effective factors. In this study, effect of investor’s sensitivity, stocks properties and the momentum effect on stocks return and financial performance were reviewed and analyzed over the period of 1386 to 1392. The statistical population of this research study is the companies listed on the Tehran Exchange Stock, and the linear regression was used for assumption testing.Methodology- This research is practical, and has examined effect of investor’s sensitivity, stocks properties and the momentum effect on stocks return and financial performance. For the shareholder’s sensitivity evaluation, the EMSI indicator has been used.Results- The shareholder’s sensitivity indicator depicted that investors had risk aversion great deal of 37.48%, during the period of investigation. Hypothesis test results presented that the sensitivity of the shareholders indicator, the ratio of book value of company to the market value, firm’s size and stocks volatility had a significant effect on stock returns. With studying effect of mentioned factors on the performance indexes, following result indicated:Shareholder’s sensitivity, firm size and the ratio of book value of company to the market value have a significant effect on company’s asset return.Firm’s size, stocks volatility and the ratio of book value of company to the market value have a significant effect on stockholder’s equity return.Firm’s size and the ratio of book value of company to the market value have a significant effecton Tobin’s Q ratio.Shareholder’s sensitivity, firm size and the ratio of book value of company to the market value have a significant effect on the ratio of stock prices to corporate profits. Manuscript profile
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  3 - The Influence of socio-cultural factors by role of mediator Trust on participation in the stock (Case Study: Iran Stock Market)
  M. Ali Motafaker Azad Hosein Asgharpour S. Abbas Mousavian Reza Ranjpour Mohsen Amini Khouzani
  This study aimed to investigate the influence of socio-cultural factors structure of participation in the stock, according to Securities and Exchange mediator of trust in Iran.The sample group consisted of 398 samples were selected based on random sampling. For statisti More

  This study aimed to investigate the influence of socio-cultural factors structure of participation in the stock, according to Securities and Exchange mediator of trust in Iran.The sample group consisted of 398 samples were selected based on random sampling. For statistical analysis of the correlation coefficient method, hierarchical regression and structural equation modeling (SEM) was used. The results show that although the test variables, socio-cultural factors influence of some variables such as beliefs, participation in stock or reject, such as education, income, and legislation is approved, but by examining the variables of trust, such as optimism, ambiguity aversion and risk aversion and direct and significant impact of these variables on participation in the exchange on the role of influential variables related to socio-cultural factors is stressed. The results of multiple regression analysis correlation and model the role of trust in the relationship between socio-cultural factors contribute to the exchange as a mediator confirmed. In the following through compliance data and conceptual model, structural equation modeling to assess the impact of trust as a mediator was fitted and the Influence of socio-cultural factors by role of mediator Trust on participation in the stock confirmed Manuscript profile
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  4 - Risk Preferences and Crisis in Tehran Stock Exchange
  Mehdi Aminirad Nader Mehregan Davood Jafari Seresht Abolfazl Shahabadi
  The capital market plays an important role in the economy of any country and can contribute to economic growth and development by financing the capital needed by manufacturing firms. Given the importance of the capital market, stock prices as the most important componen More

  The capital market plays an important role in the economy of any country and can contribute to economic growth and development by financing the capital needed by manufacturing firms. Given the importance of the capital market, stock prices as the most important component of this market must be closely monitored, as a steady and dramatic decline in stock prices can lead to a crisis in the capital market. One of the key tools of capital market surveillance is an early warning system that can give policymakers pre-crisis warnings to minimize the negative effects of this phenomenon by making timely and accurate decisions. The purpose of this study is to investigate the role of risk preferences in the occurrence of crises in the Tehran Stock Exchange. For this purpose, in this study, firstly, using monthly data from April 2007 to July 2019, investors' risk aversion index was estimated and then this variable, along with other control variables, was used to modeling the capital market crisis. The results showed that the research model is able to predict approximately 78% of crisis situations and 95% of non-crisis situations. Empirical evidence suggests that the key role of investors' preferences for risk in the event of a capital market crisis. Manuscript profile
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  5 - Emotional Quotient Impact on Investment Funds Performance in Iran Emphasis on Mental Accounting
  Esmaeil Ghasemi fatemeh sarraf Mohsen Hamidian Roya Darabi
  The Purpose of this research is the investigation of relation between the investors' behavior and defining the effect of emotional quotient on decision making activity at the time of investing.For this objective, investment biases such as mental accounting, risk aversio More

  The Purpose of this research is the investigation of relation between the investors' behavior and defining the effect of emotional quotient on decision making activity at the time of investing.For this objective, investment biases such as mental accounting, risk aversion, spread influence are taken into consideration.From Target and Method view of point, this research can be considered as Applied and Survey -Descriptive research respectively. Data of this research is collected through a questionnaire including 34 questions which distributed between 207 investment fund investors and analysis done via Lissrel software and Structural Equations.By testing the main hypothesis, the results clearly shows that there is a significant relation between emotional quotient, mental accounting and spread influence. Manuscript profile
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  6 - Investigating the relation between Balloon Analogue Risk Task and financial risk aversion; evidence from Tehran Stock Exchange
  Saeed Eslami Bidgoli Ali Setayeshi
  This Study Introduces psychometric and psychological tools and their application in assessing individual decisions. In the following, the ability of the BART, Balloon Analogue Risk Task, in predicting the financial risk-taking level is measured. To support this claim, a More

  This Study Introduces psychometric and psychological tools and their application in assessing individual decisions. In the following, the ability of the BART, Balloon Analogue Risk Task, in predicting the financial risk-taking level is measured. To support this claim, active investors in Tehran Stock Exchange has taken the BART test and their risk-taking level is measured by the test variables. Accordingly, the activity of these tested examiners will be observed during the next year in the Tehran Stock Exchange. Assuming the Beta stability, the participants' portfolio Beta will be the indicators of their financial risk-taking and their investment decisions.The outcome of the Study shows a meaningful relationship between the gained scores of the BART test as a general risk-taking indicator and the examiners' portfolio Beta as a risk-taking indicator. These results show that we can rely on this test (BART) as a tool to predict the investors' behavior. Manuscript profile
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  7 - Forecasting Investors Trading Behavior: Evidence from Prospect Theory
  Ali Saghafi Roohollah Farhadi Mohammadtaghi Taghavi Fard Farokh Barzideh
  In this study, relation between trading gain- loss and price logarithm as measure of utility examined by Prospect theory. With Ex post facto study in Field of behavioral finance and using of observational data of price and trading gain/loss, sample firms classified in t More

  In this study, relation between trading gain- loss and price logarithm as measure of utility examined by Prospect theory. With Ex post facto study in Field of behavioral finance and using of observational data of price and trading gain/loss, sample firms classified in two group and relationship between price logarithm and trading gain/loss is estimated. Results show that first, positive relation exists between trading gain and price logarithm, while this relation for trading loss is negative. Second, slope coefficient in loss side relative to gain side in terms of absolute value is larger that show investor have high sensitivity to loss relative to gain. In other words, investors are risk averse in gain side and loss averse in loss side. Thus, estimated models show that in accordance with Prospect Theory, when investors are in gain, they have risk aversion bias and when they are in loss, they have loss aversion bias. This result is not rejected by nonlinear estimation. Nonlinear results show slope coefficient decrease by increasing gain and loss.   Manuscript profile
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  8 - Evaluate Capital market analyst’s personality traits as a third dimension to their success
  Khadijeh Ebrahimi Mohsen Dastgir Zohreh Latifi
  One of the important factors for the success of venture capital markets is, the ability to make timely decisions and take away the feelings. Thus the aim of this study is to examine the third factor of successful capital market analysts or analyst’s personality ch More

  One of the important factors for the success of venture capital markets is, the ability to make timely decisions and take away the feelings. Thus the aim of this study is to examine the third factor of successful capital market analysts or analyst’s personality characteristics. In other words, it is assumed in this study, analysts are specialist in fundamental and technical analysis and then influence their personality characteristics (the third dimension) is evaluated on their performance. Statistical population and the sample of this study consists of capital market analysts. Required data is collected by a combined questionnaire. The research hypotheses are tested using Pearson’s correlation tests. The results show that there is a significant correlation between extraversion features, Agreeableness, Consciousness and personal control to the degree of risk aversion, but no significant relationship was observed between personality characteristics and returns portfolios analysts. In addition, no significant relationship was observed between the type of fundamental analysis and technical analysts and degree of risk aversion. Manuscript profile
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  9 - Cultural factors and risk-taking power of investment companies in Iran's stock exchange
  M. Ali Motafaker Azad Hosein Asgharpour Mohsen Amini Khouzani
  This study aimed to investigate the influence of cultural factors on the risk power of companies in Iran's stock exchange. The companies surveyed included 178 companies selected by sampling method based on the specified criteria. To estimate the impact of cultural facto More

  This study aimed to investigate the influence of cultural factors on the risk power of companies in Iran's stock exchange. The companies surveyed included 178 companies selected by sampling method based on the specified criteria. To estimate the impact of cultural factors on the risk of active companies in the Iranian stock exchange and to analyze the relationships between the variables presented in the model with the use of panel data extracted from the financial statements in the stock exchange and other reports published by both statistical and religious institutions and Cultural was used. In this study, the panel method was used and before that Chow and Housman tests were used to determine the type of test. The results of the study on the effect of cultural factors on the riskiness of the companies active in the stock exchange showed that cultural factors have a significant effect on the standard deviation of the company's returns, the standard deviation of the firm's return on assets and the costs of research and development of the company, and This relationship is negative for all of the three risk aversion factors. In sum, it can be concluded that the promotion of cultural factors in the society influences all three indexes related to the risk appetite of companies in the stock market and thus reduces the risk aversion of these companies. Manuscript profile
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  10 - 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 Abdoli
  10.22034/amfa.2019.1871942.1245
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  11 - Using A Multivariate Statistical Method of Factor Analysis and Grounded Theory to Review the Theory of Agency in Developing Countries (A Case Study of Iran)
  Mirza Mohammadi Rahmatollah Mohammadi pour Ghodratallah Talebnia Negar Khosravipour
  10.22034/amfa.2021.1899687.1423
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  12 - The Causal Model of Brand Personality,Risk Aversion and Customer Loyalty
  Mehdi Rostami Hamid Foroghi Pour Reza Saboonchi
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  13 - The relationship between personality components of sport brands with risk avoidance and customer loyalty from the viewpoint of market sociology
  Mehdi Rostami Hamid Froghipour Reza Sabounchi
  10.30495/jss.2020.671677
  This research aims to explain the relationship between the personalityof sport brands with risk avoidance and customer loyalty. This researchwas applied in terms of its purpose, descriptive correlation in terms ofdata gathering and was based on structural equation model More

  This research aims to explain the relationship between the personalityof sport brands with risk avoidance and customer loyalty. This researchwas applied in terms of its purpose, descriptive correlation in terms ofdata gathering and was based on structural equation model. The statisticalpopulation included all valid sports brand clients (5 famous and high-endsports brands Adidas, Nike, Puma, Al Sport and Asics).With regard to theunlimited statistical population, 384 people were selected as the statisticalsample based on Morgan's table. The brand personality standardquestionnaire (Jones et al., 2009), Customer loyalty Anisimova (2007),and researcher-made risk avoidance questionnaire were used to collectdata. The formal validity and content of these questionnaires wereapproved by 10 sport management supervisors and reliability ofquestionnaire was 0.894, 0.85 and 0.957 respectively, using Cronbach'salpha coefficient. The validity of questionnaire structure was alsoconfirmed by factor analysis. Descriptive tests (mean and standarddeviation) and inferential tests (Kolmogorov-Smirnov, Pearsoncorrelation, and multiple regression and structural equations) were usedfor analyzing data by SPSS and Amos software. According to the resultsof Pearson correlation test, there was a significant correlation between thepersonality of sport brands and risk aversion customers, and betweenpersonality of sport brands and customer loyalty. Also, there was asignificant positive correlation between personality components of sportsbrands (responsiveness, dynamism, sensitivity, courage, simplicity) withrisk aversion and customer loyalty. According to regression results,dynamic and audacity components have a significant effect on riskaversion. Responsibility and sensitivity components have a significanteffect on customer loyalty. The results of structural equation showed that,the personality of sport brands had a direct and positive effect on riskaversion (factor=359), attitude loyalty (factor=575) and customer loyaltybehavior (factor=548). Also, the model's indices confirmed the fitness ofresearch communication model. Manuscript profile
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  14 - Separation and Computation of Relative Risk Aversion and Elasticity of Inter Temporal Substitution: Recursive Preferences and Dynamic Programming Approach
  reza roshan
  Abstract The aim of this paper is separation and calculation of the relative risk aversion and elasticity of inter temporal substitution (EIS) by combining the recursive preferences and budget constraint of the consumer. For this mean,at the first, asset portfolio was More

  Abstract The aim of this paper is separation and calculation of the relative risk aversion and elasticity of inter temporal substitution (EIS) by combining the recursive preferences and budget constraint of the consumer. For this mean,at the first, asset portfolio was constituted for Iranian households and by using of the GMM approach and utility function, Euler equations investigated for during the 1357-1393. The results of different models indicate that there is no reciprocal relation between of two parameters and Iranian households tend to stabilize and smooth consumption at different states and times. Based on the results, development of financial markets will be on the agenda of planners, so that small-scale households’ capital can be led through such markets to rebuild the country's infrastructure. Manuscript profile
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  15 - Drought Risk Vulnerability Parameters among Wheat Farmers in Mashhad County, Iran
  Mojtaba Sookhtanlo Hesamedin Gholami Seyyed Reza Es’haghi
  Identification and analysis of farmers’ vulnerability associated with their risk aversion degree is one of the necessary requirements for planning and reducing impacts of drought in Iran. So, this study was investigated three risk vulnerability parameters (economi More

  Identification and analysis of farmers’ vulnerability associated with their risk aversion degree is one of the necessary requirements for planning and reducing impacts of drought in Iran. So, this study was investigated three risk vulnerability parameters (economic, social and technical) among wheat farmers categorized in accordance with their risk aversion degree in the Mashhad County (Iran) between drought years of 2009-2011. Vulnerability parameters were determined by Delphi technique. For measuring vulnerability and risk aversion degree, formula of Me-Bar and Valdes and method of Safety First Rule were applied respectively. Findings revealed that in social vulnerability indicators; education level, collaboratively farming activities and dependency on government and in technical vulnerability; irrigation method, cultivation method and type of cultivation; risk averse farmers have had the highest vulnerability level under drought conditions. While respecting economic vulnerability, risk neutral farmers (in insuring for crops, sale prices of crops and the type of land ownership), have had the highest vulnerability level. Manuscript profile
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  16 - Risk premiums and certainty equivalents of loss-averse newsvendors of bounded utility
  Doraid Dalalah
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  17 - Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect
  mohammad firouzdehghan Hadi Saeidi Shaban Mohammadi ghasem elahi
   An investor Constant relative risk aversion. pursues two goals of expected utility increases and reduces expected portfolio liquidity expectations. In the current study, the Constant relative risk aversion. utility using actual portfolio fluctuations, real asymmet More

   An investor Constant relative risk aversion. pursues two goals of expected utility increases and reduces expected portfolio liquidity expectations. In the current study, the Constant relative risk aversion. utility using actual portfolio fluctuations, real asymmetry, real elongation of graphs and non-liquidity The portfolios were measured using the non-liquidity rate. Therefore, it is possible to directly select the options of the investor in the two-dimensional expected utility / liquidity space. This research was analyzed by using high frequency data on a set of 40 shares of Tehran Stock Exchange from 2011 to 2017 using MATLAB software and time retrieval methods were used for daily synchronization of transactions. Considering the expected returns of the portfolio and the expected liquidity over the minimum variance and the same weighted portfolio, the power coverage of this model is examined. The results show that in the different risk-incompatible levels, the expected liquidity of the expected portfolio is highly competitive and seems appropriate in terms of usefulness, liquidity, and expected utility, relative to the benchmark. Manuscript profile