Financial Knowledge of Securities Analysis: 1 (37)

Open Access Article

1 - Investigating the Effect of Narcissism of Managers on Stock Price Crash
Shokrollah Khajavi Mohsen Rahmani

Narcissism is a personality structure which has signs such as the penetration of personal desires, accountability from others and prejudice in cognitive processing. In most cases, narcissistic leaders are seeking big achievement in the company. They are shifted in the d More

Narcissism is a personality structure which has signs such as the penetration of personal desires, accountability from others and prejudice in cognitive processing. In most cases, narcissistic leaders are seeking big achievement in the company. They are shifted in the direction of implementing bold, operational strategies, and risky business decisions which leading to huge profit or loss at the end of the fiscal year. In this regard, this study examines the effects of narcissism of managers on stock price crash risk of 52 companies listed on the Tehran Stock Exchange during 2010 to 2014. Testosterone hormone and cash bonuses were two indicators which were used to measure narcissism of managers. Stock price crash risk were measured by both down-up volatility index and falling period of stock price were used. The results of the study showed that the testosterone hormone index and executives cash bonuses has a positive effect on down-up volatility index but they have negative effect on falling period of stock price. Manuscript profile

Open Access Article

2 - Fuzzy Mean-CVaR Portfolio Selection Based on Credibility Theory
S. Babak Ebrahimi Amirsina Jirofti Matin Abdi

This paper develops a fuzzy portfolio selection problem that minimizes conditional value-at-risk (CVaR) and estimates CVaR by fuzzy credibility theory and also calculates expected return by fuzzy credibility mean. Using fuzzy techniques makes the model more precise and More

This paper develops a fuzzy portfolio selection problem that minimizes conditional value-at-risk (CVaR) and estimates CVaR by fuzzy credibility theory and also calculates expected return by fuzzy credibility mean. Using fuzzy techniques makes the model more precise and accurate due to uncertainty of financial data. The use of CVaR helps investors make better decisions because it indicates the size of loss. This study considers some constraints for model including liquidity, cardinality, minimum and maximum investment proportion. The liquidity constraint is measured by turnover of each asset as a trapezoidal fuzzy number. The liquidity constraint converts to a linear constraint by using fuzzy credibility theory. Using CVaR as a risk measurement and efficient constraints makes the model appropriate and adequate for portfolio selection. Finally, a numerical example is provided by 10 stocks chosen from Tehran Stock Exchange Market in 2015 and it shows the effectiveness and applicability of the proposed model Manuscript profile

Open Access Article

3 - Social mood and behavior of investors; evidence of herd behavior of investors in the religious months
Sobhan Eskini Alireza Aghajani

Studies show religion is effective factor in forming social mood. Therefore, the impact of religion on behavioral bias affected by social mood can be studied. This study is an ex-post facto research that Using observed data tests possibility of herd behavior in religiou More

Studies show religion is effective factor in forming social mood. Therefore, the impact of religion on behavioral bias affected by social mood can be studied. This study is an ex-post facto research that Using observed data tests possibility of herd behavior in religious months, consist of Muharram, Ramadan, and Zul-Hijjah, in Iranian capital market. After studying 1206 days of Daily trade in Tehran Stock Exchange during 1989-1993 (Solar Hijri-Iranian calendar), results show possibility of herd behavior in religious months more than other months of the year. Between religious month, Ramadan has the greatest impact of forming herd behavior. Also, the theories point out market performance and trading volume affect herd behavior. Accordingly, using robustness tests, this study investigates possibility of herd behavior affected by market performance and trading volume. However, there was no certain pattern. These results make contributions to the literature on the effects of social norm studies on markets, herding in stock market, and Islamic finance studies in particular. Manuscript profile

Open Access Article

4 - Selection and Portfolio Optimization by Mean–Variance Markowitz Model and Using the Different Algorithms
Jamal Bahri Sales Askar Pakmaram Mostafa Valizadeh

One of the important features of industrialized and developing countries is the presence of money, dynamic market and capital. In other words, if the saving of individuals will be directed by appropriate mechanism to the manufacturing sector it brings efficiency not onl More

One of the important features of industrialized and developing countries is the presence of money, dynamic market and capital. In other words, if the saving of individuals will be directed by appropriate mechanism to the manufacturing sector it brings efficiency not only to the owners of capital but also it can be considered as the most important funding for launching economic projects of society.In present study, three stock selection and optimization algorithms including genetic algorithm, particle swarm algorithm, and cultural algorithm has been studied. So, 106 listed companies in Tehran Stock Exchange, since 2007 to 2014 were tested in order to investigate this.In this study, for plotting the efficient frontier and comprising of the optimal portfolio half of the variance is considered as the main factor of risk. This research investigates the significant difference between the averages of investment output in selected baskets based on three methods. The statistical analysis of the results shows that there is no difference between the three algorithms. However, in order to compare the two algorithms and analysis of superiority of algorithms, these two methods of optimization have been compared from two aspects of objective function, output ratio and risk.Since the objective function of particle swarm algorithms was less, in other word, it has the least error and gain the best result so in comparing to other algorithms it has been performed better which shows the relative superiority of this algorithms in the selection of the optimal portfolio. Manuscript profile

Open Access Article

5 - Clarifying the Relationship between the Return and the Simultaneous Volatility of Stock Returns Utilizing Investment Options Pattern
Rahnamay Roodposhti farydoon Hashem Nikoomaram Jafar Joola

The aim of this study is clarifying the relationship between the return and the simultaneous volatility of stock returns utilizing investment options pattern. Covariance of return and volatility (based on standard deviation of stock return) as the dependent variable and More

The aim of this study is clarifying the relationship between the return and the simultaneous volatility of stock returns utilizing investment options pattern. Covariance of return and volatility (based on standard deviation of stock return) as the dependent variable and investment options, based on four measures including: firm size, firm age, sale revenue growth and market value to book value ratio, as the independent variable have been calculated. In the developed model of research, effects of two factors were studied as the control variable, including: flexibility of management decisions and performance of the Fama French model on the relationship between the return and the simultaneous volatility. The results of the multiple regression using data of 63 companies in the sample between 2006 and 2015 show, 95% confidence level, variables which affect real options and control variables, will also affect the relationship between the return and simultaneous volatility of return. More the amount of options for a company gives the stronger effect. Manuscript profile

Open Access Article

6 - Equity Premium Puzzle in Habit Formation Model With Fuzzy Sensitive Functions: A Case Study of Iran
Alireza Erfani Solmaz Safari

Economy condition and equity market could highly affect on risk aversion and equity premium. This paper therefore, intends to combine economy regimes and equity market in the framework of Sensitivity functions by using fuzzy variables in order to develop the Consumption More

Economy condition and equity market could highly affect on risk aversion and equity premium. This paper therefore, intends to combine economy regimes and equity market in the framework of Sensitivity functions by using fuzzy variables in order to develop the Consumption Capital Asset Pricing in habit formation model. This model through the producing some extra resources for risk premium will be differently a help to resolve equity premium puzzle.The results, gathered from using the model in Iran data seasonally in the period 1371-1393, present that the trend in risk aversion and equity premium is counter-cyclically of economic. Indeed the period of recession will make an increase in risk aversion and equity premium consequently. This means that investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation .While good news in the period of boom in economy will decrease risk aversion and equity premium consequently. Results also present that the increasing and decreasing regimes of market in combination with economic regimes have effect on the intensity of these phenomena Manuscript profile

Open Access Article

7 - Modeling Financial return with Markov Time-Varying Mixed Normal GARCH Model
Shirin Alipour Fatemeh Azizzadeh Khosro Manteghi

In previous studies, the normal mixture, as well as the Markov process, were used to model the financial return, separately. In this study, the normal mixture model is extended to the Markov mixture of normals. The mixture weights in every state are considered time-vary More

In previous studies, the normal mixture, as well as the Markov process, were used to model the financial return, separately. In this study, the normal mixture model is extended to the Markov mixture of normals. The mixture weights in every state are considered time-varying and as a function of past observations, so the limit of constant weight assumption is removed. The proposed model is estimated using Bayesian inference and a Gibbs sampling algorithm has been created to compute posterior density. The performance of algorithm is tested with simulation, then a two-state Markov time-varying Mixed Normal-GARCH model (MMN) with one and two components in every state, as well as limited cases (mean zero), were compared by comparison of their likelihood function. Finally, the model is applied to S&P500 and TEPIX daily return and results show that MMN models with two components provide better results than MMN model with one component which is so-called Markov switching GARCH model. Manuscript profile

Open Access Article

8 - Studying the relationship between default risk and momentum effect: based on evidence from firms listed on Tehran stock exchange
Mir Feiz Fallah Sham Maysam Ahmadvand Hadi Khajezadeh Dezfuli

This paper analyzes the role of default risk in the momentum effect focusing on data from Tehran stock exchange during 19/04/2009-21/07/2015. Default risk was calculated by a measure based on the Black-Scholes-Merton (BSM) option pricing model, where a firm’s defa More

This paper analyzes the role of default risk in the momentum effect focusing on data from Tehran stock exchange during 19/04/2009-21/07/2015. Default risk was calculated by a measure based on the Black-Scholes-Merton (BSM) option pricing model, where a firm’s default risk is derived from the market prices of its shares. This method overcomes some of the problems associated with the default risk measures used in prior studies. To describe momentum effect, by determining the formation period to be 6 months, and the holding period to be 3, 6, or 12 months, we firstly examined the profitability of short term (3/6), midterm (6/6), and long term (12/6) momentum strategies and found that during abovementioned time period, only midterm momentum strategy is profitable. Then, we showed there is no relationship between default risk and momentum effect. While the loser portfolio is characterized by high default risk, small size, high book-to-market ratio and illiquidity, characterization of the winner portfolio is somewhat more complex. This makes momentum profits difficult to forecast. Manuscript profile

Open Access Article

9 - The Relationship between Stock Mispricing and Corporate Investments with Emphasis on the Role of Financial Constraints and Time Horizon of Stockholders Investment
Younes Badavar Nahandi Elahe Sarafraz

This research investigates the relationship between Stock Mispricing and Corporate Investments with Emphasis on the Role of Financial Constraints and Time Horizon of Stockholders Investment of listed companies in Tehran Stock Exchange (TSE). The goal of this present res More

This research investigates the relationship between Stock Mispricing and Corporate Investments with Emphasis on the Role of Financial Constraints and Time Horizon of Stockholders Investment of listed companies in Tehran Stock Exchange (TSE). The goal of this present research is application and the type of research methodology is causal. Statistic population is firms listed in Tehran Stock Exchange, and using systematic elimination sampling method, were selected as sample 128 firms, and time period has been during the years 2009 to 2014. The method used for information gathering is library research and this test hypotheses, we used of multivariate linear regression. The results of this research show that there is positive and significant relationship between Stock Mispricing and Corporate Investments. Financial Constraints and Time Horizon of Stockholders Investment has not effect on Stock Mispricing and Corporate Investments. There is not relationship between Overvalued Stock and Corporate Investments and there is not relationship between Undervalued Stock and Corporate Investments in this research Manuscript profile

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