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Open Access Article
1 - Investigating the Impact of Business Cycles and Investment Strategies on Return Asymmet
elnaz reshedi fatemeh samadiThis study empirically had examined the effect of business cycles and investment strategies on return asymmetry. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2014 to 2019 that a number of 118 companies we MoreThis study empirically had examined the effect of business cycles and investment strategies on return asymmetry. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2014 to 2019 that a number of 118 companies were considered as statistical sample of research. The research method is causality type, the method of gathering information in literature is based on library research, and in the part of hypothesis, testing is based on documentation. Generally the statistical method had been used in this research is based on combinational data regression method and analysis of variance tests. Results showed that boom business periods cause positive skewness in stock returns and recesion periods cause negative skewness in stock returns. The results also showed that return skewness-based investment strategies did not have a significant effect on portfolio return skewness, but portfolio performance in terms of return and Sharpe ratio for return skewness based strategies was significantly better than other strategies. Succeeding in the stock market of companies, like any other market, requires choosing the right approach and maintaining order. Without these, investing will be just unplanned sales that make the investor's profit or loss more dependent on luck than on skills such as research perseverance, analytical power, decision-making ability, and patience to achieve goals. And things like that. Among the various approaches to investing in the stock market, diversified portfolio formation is recognized as a passive but relatively reliable method. Using this method reduces the amount of risk and keeps the return on investment at a level close to the total market return. Manuscript profile -
Open Access Article
2 - Investigating the Relationship between Conservative and Negative Skewness of Stock Returns with Emphasis Debt Maturity in the Life Cycle
Mohammad Hossein Asadi Moshizi Zohreh Hajiha Sayedeh Mahboubeh JafariThe purpose of this study is to investigate the relationship between conservatism and stock price crash risk with emphasis on debt maturity in the life cycle of companies listed in Tehran Stock Exchange. For this purpose, the financial statements of 106 companies were c MoreThe purpose of this study is to investigate the relationship between conservatism and stock price crash risk with emphasis on debt maturity in the life cycle of companies listed in Tehran Stock Exchange. For this purpose, the financial statements of 106 companies were collected during the period 2011-2017. Multivariate regression with combined data was used to test the hypotheses. The Givoly & Hayn criteria were used for conservatism and the negative skewness criterion was used to stock price crash risk. The findings of the first hypothesis test suggest that there is a relationship between accounting conservatism and the stock price crash risk. In other words, conservative practices will reduce the stock price crash risk. The findings of the second hypothesis test also suggest that debt maturity has a moderating role on the relationship between accounting conservatism and stock price crash risk. In the life cycle stages, the above hypotheses were confirmed in the maturity and growth stages. In other words, conservatism reduces the likelihood of bad news coming into the market, thereby reducing the stock price crash risk. Debt maturity also increases the ability of conservatism to reduce the stock price crash risk. Manuscript profile -
Open Access Article
3 - Cumulative Prospect Theory and Expected Return in Tehran Security Exchange
Shokrolah Khajavi Ali Faal GhayoumiThis paper aims to investigate the application of Cumulative Prospect Theory (CPT) and its effect on return in Tehran Security Exchange. The Barberis and Huang (2008) model is used in this paper which predicts that if traders in the stock markets have cumulative prospec MoreThis paper aims to investigate the application of Cumulative Prospect Theory (CPT) and its effect on return in Tehran Security Exchange. The Barberis and Huang (2008) model is used in this paper which predicts that if traders in the stock markets have cumulative prospect theory preferences then the positively skewed stocks should on average have lower returns. Research statistical population consists of 89 companies of Tehran Stock Exchange during 2007 to 2012. Two measures of expected stock skewness are used that consist of past skewness and group skewness. The results show that past skewness is better predictor to expected skewness than group skewness. Furthermore, there is a significant negative relationship between skewness measures and return that verify the Barberis and Huang (2008) model in Tehran Security Exchange. Manuscript profile -
Open Access Article
4 - Portfolio Performance Evaluation in a Modified Mean-Variance-Skewness Framework with Negative Data
Sh. Banihashemi M. Sanei M. Azizi -
Open Access Article
5 - Finding Outlier DMUs in Data Envelopment Analysis
Mahnaz Mirbolouki -
Open Access Article
6 - Explaining the effect of default risk on the risk of falling stock prices in Tehran Stock Exchange
Abbas Shami yusef tagipourian mehdi maranjory Reza FallahThe main purpose of the research is to investigate the impact of default risk on the risk of stock price fall in companies listed on the Tehran Stock Exchange. In line with the main objective of the research, information was collected from the financial statements of co MoreThe main purpose of the research is to investigate the impact of default risk on the risk of stock price fall in companies listed on the Tehran Stock Exchange. In line with the main objective of the research, information was collected from the financial statements of companies admitted to the Tehran Stock Exchange in the period of 2009-2019. Multiple regression with panel data was used to test the hypotheses. The obtained results show a significant effect of the four criteria of default risk on the negative skewness of stock returns and the risk of stock price fall.The main purpose of the research is to investigate the impact of default risk on the risk of stock price fall in companies listed on the Tehran Stock Exchange. In line with the main objective of the research, information was collected from the financial statements of companies admitted to the Tehran Stock Exchange in the period of 2009-2019. Multiple regression with panel data was used to test the hypotheses. The obtained results show a significant effect of the four criteria of default risk on the negative skewness of stock returns and the risk of stock price fall. Manuscript profile -
Open Access Article
7 - Examine the effect of Institutional Investors on Reduce Stock Price Crash Risk
Zahra Dianati Dilami Mehdi Moradzadeh Fard Saeed MahmoudiThis study investigates the effect of institutional investors on stock price crash risk reduction in companies listed in Tehran Stock Exchange. Crash of stock price is a phenomenon where stock price will suffer an unexpected severe negative adjustment (Chen, J., H. Hong MoreThis study investigates the effect of institutional investors on stock price crash risk reduction in companies listed in Tehran Stock Exchange. Crash of stock price is a phenomenon where stock price will suffer an unexpected severe negative adjustment (Chen, J., H. Hong, et al, ٢٠٠١). One of the most important methods for manipulating accounting information is expediting the identification of good news versus postponing bad news in profits (Callen, J. L. and X. Fang, ٢٠١١).But always there will be a final level for accumulating bad news in the company, and with achieving the final level, this bad news will be published, which is that the company’s stock price crash. In this study, the numbers of stock prices crash of Hutton’s model (٢٠٠٩) is used to measure stock prices crash for ٥٦ companies listed in Tehran Stock Exchange from period of١٣٨٠ to ١٣٨٩. In the present study strong evidences are provided that the existence of institutional investors will significantly reduce the probability of the stock price crash probability Manuscript profile -
Open Access Article
8 - Higher Moments and Idiosyncratic Volatility Puzzle
Ahmad Badri Mohammad Arabmazar Yazdi Maryam DavallouVerification of direct relation between unsystematic risk and return (by Drew et als (2006) and Fu (2009)) on the one hand and affirmation of reverse relation between idiosyncratic volatility and return by some academicians such as Ang etals (2006,2009) on the oth MoreVerification of direct relation between unsystematic risk and return (by Drew et als (2006) and Fu (2009)) on the one hand and affirmation of reverse relation between idiosyncratic volatility and return by some academicians such as Ang etals (2006,2009) on the other hand, resulted in forming idiosyncratic risk puzzle. This research objective is to investigate the role of third and fourth moments as potential explanations for the idiosyncratic risk puzzle. So, a sample composed of 270 listed firms in Tehran Stock Exchange during 1378 to 1389 is investigated using portfolio approach and Fama-MacBeth (1973) model. Total used observations for these methods are more than 9000 firm-season. The results confirm positive relation between skewness and return but do not show significant relation between kurtosis and stock return. The effect of skewness and kurtosis on the relation between idiosyncratic risk and return strongly is affected by considerations such as IVOL measure, mechanical rules for thin trading and weighting scheme of portfolio return. Nonetheless, because the lack of explicite theory about third and fourth moments pricing, it cannot impute the origin of return and unsystematic risk relation to skewness and kurtosis. Manuscript profile -
Open Access Article
9 - Comparability of Financial Reports and Negative Skewness of firm-Specific Monthly Returns: Evidence from Iranian firms
Mehdi Safari Gerayli -
Open Access Article
10 - Image Contrast Enhancement by using Histogram Clipping and 2-D Histogram
Mahdis Golabian Azar Mahmoodzadeh Hamed AgahiSeveral factors are affected images' contrast and eliminated details in images. Therefore, contrast enhancement is a critical process for any visual machine algorithms. To achieve this purpose, in this paper, a novel algorithm based on 2-D histogram and clipped his MoreSeveral factors are affected images' contrast and eliminated details in images. Therefore, contrast enhancement is a critical process for any visual machine algorithms. To achieve this purpose, in this paper, a novel algorithm based on 2-D histogram and clipped histogram is introduced. To improve the performance of the algorithm, the histogram is divided into three sub-histograms based on mean and standard deviation. For each sub-histogram image, clipped histogram is calculated, separately. The threshold for clipping of histogram is obtained based on median of 2-D histogram of image. Based on the pervious researches we know that the desired distribution for 2-D histogram is Gaussian distribution. Hence, we introduce a novel iterative algorithm for transforming the available histogram to desired histogram. On the other words, our method modifies image histogram to improve its contrast. Our proposed method is based on Skewness, where algorithm is attempted to minimize the absolute value of Skewness. The performance of the algorithm is compared by several algorithms based on different factors. Simulation results indicate the proposed algorithm has the best performance than other algorithms. Manuscript profile -
Open Access Article
11 - Provide a Model for Forecasting the Stock Price Crash Risk in Tehran Stock Exchange on the basis of Hutton & chen models
leila abdollahzadeh farhad hanifi mirfeiz fallahThe purpose of this study is to investigate the factors affecting the stock price crash risk of listed companies between the years 2009 to 2016. Based on this, the researcher first calculated the stock price crash risk based on two different criteria and then tested the MoreThe purpose of this study is to investigate the factors affecting the stock price crash risk of listed companies between the years 2009 to 2016. Based on this, the researcher first calculated the stock price crash risk based on two different criteria and then tested the internal and external factors of the company on the crash risk. The statistical model used in this study is regression model and data type is panel data type. Dependent variables include calculating stock crash risk based on the first criterion, the Hutton model, which considers the monthly price fall in a fiscal year for a company when that company experiences a monthly return of 3.2 standard deviations below the company's average specific monthly return for the entire fiscal year and second criteria, Chen model, Based on the negative skewness criterion in the company's stock returns, Independent variables include in-company factors (financial ratios) and external factors. Based on the findings of the present study, there is a significant relationship between dependent variables and factors within the company and the organization external factors, can help in predicting stock crash risk. Manuscript profile -
Open Access Article
12 - Multiperiod portfolio selection with higher-order moment
reza tehrani saeed Fallahpour Mohammad reza Rostami mehdi biglari kamirisk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection Morerisk & return are two main factors that affect financial decisions. The trade off between risk & return create different investment strategies. In other words investment decisions are all based on risk & return. In this research we used multiperiod selection method in order to maximize investors utility. In this model we used not only variance but also higher order moment –skewness- for optimization. For emprical test of the model we used return of first 50 companies stored by market capitalization in tehran stock exchange during 1386-1395. We used skewness & transaction cost to introduce a moltipriod model in asset allocation to minimize variance of investors utility. Comparing the result of this model with markowitz model & simpel model considering investor preferences shows that based on performance evaluation criteria, the suggested model perform much better than the two other. Manuscript profile -
Open Access Article
13 - Option Pricing on Commodity Prices Using Jump Diffusion Models
Tesfahun Berhane Molalign Adam Eshetu Haile
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