Current study compares forecasting capability of GARCH (1,1) against Geometric Brownian Motion, GBM, model for daily volatility of indices. The question is to study whether accuracy of GBM forecast differ significantly from its comparing model. Our data consists of 5.5 More
Current study compares forecasting capability of GARCH (1,1) against Geometric Brownian Motion, GBM, model for daily volatility of indices. The question is to study whether accuracy of GBM forecast differ significantly from its comparing model. Our data consists of 5.5 years (2015 – 2019) of daily logarithmic returns from 38 sector indices within Tehran Stock Exchange. The data was split into estimation period (5 years of daily data) and forecast period (daily data of the remaining 6 months). The competing models were estimated using maximum likelihood method and based on moving window approach, in which the length of estimating period was kept fixed, and projections were conducted on a daily basis. Root Mean Square Error, RMSE, approach was employed to measure forecasting error of each model. The one with less error will express more capability in forecasting daily volatility. With only three instances of a precise forecast, GARCH showed a relatively worse performance, in comparison to GBM..
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Investors' perceptions in the capital market will not only influence individual decision-making and the allocation of monetary resources to the investment on corporate stocks, but also affect the total capital market. Investors' asymmetric perceptions are not usually in More
Investors' perceptions in the capital market will not only influence individual decision-making and the allocation of monetary resources to the investment on corporate stocks, but also affect the total capital market. Investors' asymmetric perceptions are not usually influenced by one measure because of the extent of the expansion, but in a general segmentation it can be attributed to macroeconomic dimensions and industry-level criteria. The purpose of this study is to investigate the impact of real earning management on the investors' asymmetric perceptions in the capital market with regard to the moderating role of Excess Stock Price Volatility. In this study, 102 companies in Tehran stock exchange that were selected through systematic elimination sampling were evaluated in the period of 2015 -2019. Logistic regression was used because of the biased measurement of the dependent variable of this study, namely investors' asymmetric perceptions.The results showed that real earnings management has a significant positive effect on investors' asymmetric perceptions. It was also found that Excess Stock Price Volatility intensifies the positive impact of real earnings management on investors' asymmetric perceptions.
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Given the importance of stock price fluctuations after the initial public offering for investors,the important factors that cause these fluctuations were examined. For this purpose, the political relations of companies with the government(using the methods of company si More
Given the importance of stock price fluctuations after the initial public offering for investors,the important factors that cause these fluctuations were examined. For this purpose, the political relations of companies with the government(using the methods of company size factors and the percentage of government ownership)and information asymmetry(using the difference in the offer and sale price range)were investigated that To examine the relationship between political communication and stock price volatility by comparing the means of two independent groups and Multivariate regression method was used to investigate the relationship of information asymmetry.Also,to examine the more accurate dimensions of this relationship, to examine the control variables of supplier reputation and credibilit(using three registered capital characteristics relative market share of initial supply and Number of managed initial public offerings)institutional ownership,earnings management, audit quality and number of shareholders.Findings show that companies'political relations with the government do not affect short-term stock price fluctuations,but these fluctuations in the long run are less for companies with political relations with the governmen (company size factors)than companies without connections. It is political Also, increasing information asymmetry increases stock price volatility after initial public offerings in the long run, but is not effective in the short run.Also, the reputation and credibility of the supplier does not affect price fluctuations, which indicates the lack of attention of investors in Iran at the time of initial public offering to the reputation and credibility of the supplier and the reputation and credibility of the supplier can not affect investors'decisions unlike research in other countries.
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The purpose of this study is to experience the stock prices crash and the factors affecting it in companies registered in the Tehran Stock Exchange in the period of 2008-2019. For this purpose, the generalized method of movements (GMM) was used. The presence of incorrec More
The purpose of this study is to experience the stock prices crash and the factors affecting it in companies registered in the Tehran Stock Exchange in the period of 2008-2019. For this purpose, the generalized method of movements (GMM) was used. The presence of incorrect pricing in assets usually causes a sudden drop in prices and the fall of the stock market. Therefore, identifying the factors affecting incorrect pricing can make prediction possible and help market players to more accurately predict the future return of stocks and timely detect the formation of a price bubble in the composition of the stock portfolio. Keep less risk and thus reduce the risk of falling prices. The data used in this research have been reviewed monthly. The findings of the research show that there is a positive and significant relationship between stock price volatility and the risk of falling prices and future stock returns. Also, there is a positive and significant relationship between the number and volume of transactions and the risk of stock prices crash. The data used in this research have been reviewed monthly. The findings of the research show that there is a positive and significant relationship between stock price volatility and the risk of falling prices and future stock returns. Also, there is a positive and significant relationship between the number and volume of transactions and the risk of stock prices crash.
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Accounting information is provided to users in the form of financial reports. Independent auditors provide the basis and necessary conditions for the quality of accounting information and financial reporting on time. Therefore, the delay in providing audit reports can a More
Accounting information is provided to users in the form of financial reports. Independent auditors provide the basis and necessary conditions for the quality of accounting information and financial reporting on time. Therefore, the delay in providing audit reports can affect the company's performance and even the company's stock price. In this research, the theory related to the matching principle in relation to stock price fluctuations was investigated. The main approach of the mentioned theory is that weak matching acts as a disturbance in the economic relationship between income and cost, and as a result, it increases the volatility in stock prices. The results of this research showed a strong compatibility with the existing theory. This research aims to explain the mediating role of the factors affecting the delay in the auditor's report on the relationship between income-cost matching and additional stock price fluctuations using the combined DEMATEL and ANP methods in the period from 1393 to 1399 in 150 companies admitted to the stock exchange. Bahadar Tehran has been done. In order to identify and rank the factors affecting the delay of the auditor's report, the Delphi-fuzzy method was used, and to determine the intensity of etherability and effectiveness, and finally, the fuzzy Dimetal method and the ANP network analysis method were used. The results of the research showed that the delay in the auditor's report plays a mediating role in the relationship between compliance with the principle of compliance and additional fluctuations in price.
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