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List of Articles
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Open Access Article
1 - Meta-analysis of the effect of information disclosure on market reaction
Shiva Zamani Majid Zanjirdar Ali LalbarPurpose: The present research aims to conduct meta-analysis of the effect of information disclosure on market reaction. In order to integrate the results of different researches and identify the determinants of relations between information disclosure and market reactio MorePurpose: The present research aims to conduct meta-analysis of the effect of information disclosure on market reaction. In order to integrate the results of different researches and identify the determinants of relations between information disclosure and market reaction, we used meta-analysis methodology as a quantitative statistical method.Methodology: In order to implement the meta-analysis method, using software CMA from the website of foreign journals (published articles related to research variables from 1990 to 2020) and the website of domestic scientific research journals (published articles related to research variables from 1990 to 2020) to They were identified and collected as a statistical population of the research and finally 86 studies have been analyzed by systematic elimination method.Findings: The results of studies conducted in the mentioned period and around this relationship, using I2 and Q tests indicate that most of these studies are heterogeneous. In order to identify the cause of this heterogeneity, by dividing the research based on different criteria for measuring information disclosure and market reaction and calculating statistics within the group, we found that these different measurement criteria used in research is one of the contradictory factors in research results. In the following study, it was observed that there is no significant relationship between audit components and market reaction, while in contrast, between the types of voluntary and mandatory disclosure, and corporate governance components with market reaction, a significant relationship was observed.Originality / Value: Based on the findings of the present research, financial market activists and investors should pay more serious attention to the way of information disclosure and mandatory disclosure tools and composition of shareholders in their analysis, but audit components are a special guide for choosing the best capital option. It does not offer financial market participants. Manuscript profile -
Open Access Article
2 - Improving the performance of Fama - French models in predicting expected returns by offering new definitions of risk factors in the Tehran stock exchange
Ali Mohammadnejadaghdam Alireza Fazlzadeh Vahid Ahmadian Sajad NaghdiPurpose: In this research, the possibility of improving the Fama - French models using new definitions of risk factors in the Tehran Stock Exchange, has been investigated. The goal is to determine the risk factors with the highest predictive power and identify the optim MorePurpose: In this research, the possibility of improving the Fama - French models using new definitions of risk factors in the Tehran Stock Exchange, has been investigated. The goal is to determine the risk factors with the highest predictive power and identify the optimal model.Methodology: Using the monthly returns of the sample firms during the 2006 to 2021 period, the abnormal stock returns were investigated. Then, using the GRS test and the Fama - Macbeth approach, we calculated the mispricing error of the models and the risk premia of each variable. The data used in the study were collected from Rahavard Novin and Codal databases.Findings: The results reveal that including new definitions of risk factors instead of the original ones in the models can reduce the mispricing error in the Fama - French five-factor model. Moreover, Fama - Macbeth regressions showed no profitability and investment effect in the Tehran Stock Exchange, although they strengthen the risk premia of the market, size and value factors.Originality / Value: The results of the present research can be used to reduce the error of the asset pricing process. Also, the optimal model introduced in this research can be utilized to predict stock returns and design investment strategies based on those returns. Manuscript profile -
Open Access Article
3 - Dynamic multi-scale expected shortfall in Tehran Stock Exchange: a spectral decomposition of tail risk across time horizons
Seyed Ali Mousavi Sarhadi Hosein Izadi Mojgan Safa Mohammadreza PourfakharanPurpose: The main purpose of the present study is to investigate the tail risk in the Tehran Stock Exchange using dynamic methods and time series spectral analysis in the form of the dynamic multi-scale Expected Shortfall (DMS-ES).Methodology: In this study, the daily d MorePurpose: The main purpose of the present study is to investigate the tail risk in the Tehran Stock Exchange using dynamic methods and time series spectral analysis in the form of the dynamic multi-scale Expected Shortfall (DMS-ES).Methodology: In this study, the daily data of Tehran Stock Exchange total index in the period 2011/03/26 - 2022/03/19 were used then extracting the short-term, medium-term and long-term information components of the index return time series, four predictive models of expected fallout (ES) were estimated using Taylor (2017) approach at different time horizons.Findings: The results of estimating the models and back tests show that the expected shortfall (ES) is short-term in nature and the dynamic model using short-term components in the one-day time horizon has the highest efficiency among the introduced models. In addition, the results of comparing the models based on the average loss test show that the use of spectral analysis components increases the efficiency of dynamic predictions of the expected shortfall (ES) at different time horizons.Originality / Value: Finally, according to the results of this study, it is suggested to use dynamic models and signal decomposition analysis algorithms to increase the efficiency of risk criteria predictions. Manuscript profile -
Open Access Article
4 - Designing the behavioral bias pattern of investors with theme analysis and fuzzy interpretive-Delphi structural approach
Arezo Jabari Khouzani Allah Karam Salehi Ahmad, Kaab Omeir Soheila Zarinjooy AlvarPurpose: The purpose of the current research is to design the behavioral bias pattern of investors with theme analysis and fuzzy interpretative-Delphi structural approach.Methodology: This research is one of the mixed researches with qualitative and quantitative approac MorePurpose: The purpose of the current research is to design the behavioral bias pattern of investors with theme analysis and fuzzy interpretative-Delphi structural approach.Methodology: This research is one of the mixed researches with qualitative and quantitative approach that was carried out in the period of 2020-2021. The statistical population of the research consists of managers and experts in the field of capital market and academic experts, and 16 of them were selected as sample members using the principle of theoretical adequacy and the snowball sampling method. In the qualitative part of the research, the method of theme analysis was used to identify the influencing factors on behavioral bias and to collect data, a semi-structured (in-depth) interview was used. Also, in the quantitative section, a questionnaire was used to collect information, and interpretive structural analysis and MICMAC analysis were used to determine the most effective components.Findings: The findings in the qualitative part using thematic analysis showed that the factors affecting the behavior biases of investors in Iran is consist of personality traits, perceptual and behavioral traps, customer journey map, emergence of collective mind, revelatory behavior theory, perspective theory, market theory and cognitive alignment.Originality / Value: The results of the research include the identification and prioritization of the most important factors influencing the behavior of investors, and finally, 8 main components and 33 determining themes were identified according to experts, which can be used to clarify the investors decisions, better analyze and improve the capital market efficiency. Manuscript profile -
Open Access Article
5 - Managers' money beliefs and financing attitudes
Ali Beidaghi Mohammad Reza Vatanparast Mehrdad Sadr AraPurpose: According to behavioral studies, the decision-making and behavior of company managers are among the factors affecting the type of their attitude toward various issues. This study aims to study the relationship between managers' money beliefs to their financing MorePurpose: According to behavioral studies, the decision-making and behavior of company managers are among the factors affecting the type of their attitude toward various issues. This study aims to study the relationship between managers' money beliefs to their financing tendencies (internal or external).Methodology: In this study, data were collected through a questionnaire and the convenient sampling method. The study population is CEOs or financial managers of companies listed on the Tehran Stock Exchange in 2021. The study sample size (n = 183) was determined using the Morgan table, and 159 usable answer sheets were received.Findings: The results of the statistical analysis of data did not show a significant relationship between money avoidance beliefs and financing attitudes. In addition, the money vigilance belief had a positive relationship with the tendency to finance through retained earnings, stock issuance, and borrowing. Money status belief had a positive association with the external financing attitude (borrowing and stock). The money worship belief was positively related to the financing attitude through retained earnings and the issuance of shares.Originality / Value: Since managers' money beliefs can affect their behavior, this issue has not been the focus of previous research. The results of this research can be effective in improving decision-making. Also, the results of this research expand the literature in the field of financing. Companies can pay attention to the money beliefs of managers to reduce the conflict of interests between shareholders and managers by predicting their financing policies and considering the company's development policies. Manuscript profile -
Open Access Article
6 - Modeling and identification of nonfragile variables affecting credit risk in Tejarat Bank with an emphasis on fintech technologies
Rahman Rahimi Fahemeh Sarraf Mahboobeh Jafari Bijan SafaviPurpose: Credit risk assessment is one of the most challenging issues in the banking sector. The main problem is the correct modeling of this type of risk. Variety of variables affecting credit risk and The lack of a specific model is one of the most important reasons f MorePurpose: Credit risk assessment is one of the most challenging issues in the banking sector. The main problem is the correct modeling of this type of risk. Variety of variables affecting credit risk and The lack of a specific model is one of the most important reasons for the failure of traditional models. Based on this, the aim of this research is to model the credit risk of Tejarat Bank in different economic regimes.Methodology: The time period of the research is (2017-2021) and it has been selected from among 105 thousand customers of Tejarat Bank. information on indicators affecting credit risk was entered into BMA, TVP-DMA and TVP-DMS models. After estimating the model, 8 main variables were identified.Findings: the effect of non-fragile variables on the credit risk in the Markov switching model was analyzed. most of the variables, have a negative and significant effect on the level of credit risk, and by moving from high prosperity to deep recession, the impact of variables on credit risk has increased. Originality / Value: The results showed that the optimal credit risk model is different in each bank. Based on this, an optimized model was designed Only for credit risk in Tejarat Bank based on Bayesian averaging patterns. Credit risk in the state of economic recession has a higher sensitivity to its explanatory variables.Also, based on the results, it was determined that indicators related to fintech have a significant effect on the level of credit risk in Tejarat Bank. Manuscript profile -
Open Access Article
7 - A review of investment ethics with the approach of financial crises
Ali Hazaveh Mahdi Madanchi ZajPurpose: The purpose of this research is to create a model of ethical decision-making that applies to accountants and the accounting profession. In this research, an integrated pattern of five factors affecting ethical decision-making by accountants was identified, whic MorePurpose: The purpose of this research is to create a model of ethical decision-making that applies to accountants and the accounting profession. In this research, an integrated pattern of five factors affecting ethical decision-making by accountants was identified, which include professional codes of conduct, philosophical orientation, religious orientation, values derived from culture, and moral maturity.Research Methodology: The present study is a review study in which the articles indexed in scientific databases such as Academic Jihad Scientific Information Center, Marja Danesh, Noor specialized magazines database and financial analysis publication were made. Research texts from 1992 to the end of 2023 have been examined. In this study, the researchers searched and extracted the valid English articles from the valid electronic sources by using the determined keywords, and by examining the full texts of these articles, they described the obtained data in a classified manner.Findings: According to the findings of the research, most of the financial crises are caused by the non-observance of ethics in decision-making processes, and following ethical principles in decisions and professional behavior can prevent society from moving towards financial crises in the long term.Originality / Value: Based on the findings of the research, it was finally determined that the ethical requirements in investment is one of the categories of the model of ethics in investing in the financial crisis. The organization and development of the capital market depends on the regulation of the structure of the financial market in accordance with the macroeconomic characteristics and the coordinates of the companies active in the country's economy. Manuscript profile
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