Journal of Investment Knowledge: 4 (19)

Open Access Article

1 - The Securitization of Insurances In the Leading Industries (Based On Sukuk Models)
Seyed Mohammad Javad Mirtaher Mahdiar Sarshar

Because Iran’s economy is based on oil industry, related issues in this area are very important. One of the important issues in this context is the low participation of oil industry in the total portfolio of the insurance industry that suggests numerous challenges More

Because Iran’s economy is based on oil industry, related issues in this area are very important. One of the important issues in this context is the low participation of oil industry in the total portfolio of the insurance industry that suggests numerous challenges in the interaction between these two huge industries. In addition, the imposition of international sanctions against oil projects and oil shipping insurance have created new sets of problems which call for scientific and applied researches in this field. Various investigations indicate that the failure of domestic insurance companies in entering into oil industry is related to lack of capital capacity in Iran’s insurance industry. This practical study has used an analytical descriptive method which tries to suggest different solutions for interaction between capital markets and insurance to solve the main issue which is “lack of capital capacity in Iran’s insurances”, through the risk securitization which provides a new financial instrument called “Reinsurance Islamic Financial Securities (Reinsurance Sukuk)” to transfer the risk in oil industry based on Imamia jurisprudence. This instrument is introduced as a comprehensive solution to be utilized in the interaction between insurance industry and the capital market ,especially during the sanctions when the government has established specific funds for supporting reinsurance policies making this instrument more important due to converting sanction’s threat to opportunity and this instrument can be an alternative for this fund. In addition, Reinsurance Sukuk is an efficient solution for increasing capital capacity of insurance companies in non-sanctioned periods. On the one hand, very high standards required in the leading industry field for this fund and the low probability of damages incurred, and on the other hand heavy demanded premium increases the efficiency and attractiveness of these instruments. Manuscript profile

Open Access Article

2 - Identifying Determinants of Corporate Credit Rating
Shahnaz Mashayekh Seyedeh Samaneh Shahrokhi

Because Iran’s economy is based on oil industry, related issues in this area are very important. One of the important issues in this context is the low participation of oil industry in the total portfolio of the insurance industry that suggests numerous challenges More

Because Iran’s economy is based on oil industry, related issues in this area are very important. One of the important issues in this context is the low participation of oil industry in the total portfolio of the insurance industry that suggests numerous challenges in the interaction between these two huge industries. In addition, the imposition of international sanctions against oil projects and oil shipping insurance have created new sets of problems which call for scientific and applied researches in this field. Various investigations indicate that the failure of domestic insurance companies in entering into oil industry is related to lack of capital capacity in Iran’s insurance industry. This practical study has used an analytical descriptive method which tries to suggest different solutions for interaction between capital markets and insurance to solve the main issue which is “lack of capital capacity in Iran’s insurances”, through the risk securitization which provides a new financial instrument called “Reinsurance Islamic Financial Securities (Reinsurance Sukuk)” to transfer the risk in oil industry based on Imamia jurisprudence. This instrument is introduced as a comprehensive solution to be utilized in the interaction between insurance industry and the capital market ,especially during the sanctions when the government has established specific funds for supporting reinsurance policies making this instrument more important due to converting sanction’s threat to opportunity and this instrument can be an alternative for this fund. In addition, Reinsurance Sukuk is an efficient solution for increasing capital capacity of insurance companies in non-sanctioned periods. On the one hand, very high standards required in the leading industry field for this fund and the low probability of damages incurred, and on the other hand heavy demanded premium increases the efficiency and attractiveness of these instruments. Manuscript profile

Open Access Article

3 - Investor sentiment under representativeness heuristic: The case of Tehran Stock Exchange
Mehdi Rezayati Kazem Chavoshi Mohsen Sohrabi araghi

Too many researches, in spite of standard finance show that investors are not completely rational and investor sentiment plays a key role in prediction of their behavior. Behavioral finance claims that agents, under the psychological phenomena's, deviate from rational b More

Too many researches, in spite of standard finance show that investors are not completely rational and investor sentiment plays a key role in prediction of their behavior. Behavioral finance claims that agents, under the psychological phenomena's, deviate from rational behavior. In this research we have investigated the effects of unexpected earnings on investor sentiment, under the representativeness heuristics phenomena. Investor sentiment is measured by ARMS index and the research methodology is based on Granger causality test and also event study. Data's are market and accounting data of Tehran stock exchange listed companies, between the years 2001 to 2013. Results indicate that investor sentiment is predictable by past unexpected earning's. Manuscript profile

Open Access Article

4 - The gap between actual and optimal leverage financial leverage due to risk of bankruptcy
zahra Fallah Mahdidoust Azita Jahanshad

one the main routes of financing may affect the value company debt, tax advantage Increase the value company that created and the of bankruptcy costs debt the financial crisis on the other non-fulfillment of obligations that debt, The benefits under the covers. This stu More

one the main routes of financing may affect the value company debt, tax advantage Increase the value company that created and the of bankruptcy costs debt the financial crisis on the other non-fulfillment of obligations that debt, The benefits under the covers. This study was to determine the gap between actual and optimal leverage bankruptcy of risk (with the partial adjustment model). Study using multiple regression and time series data for the period 1386-1391 and active participation in the Tehran Stock Exchange. the determine gap between actual and optimal financial leverage and impact of default risk and leverage levels, the deviation used of the partial adjustment model. The results indicate that research first hypothesis that there is a gap between actual and Optimal financial leverage, the surveyed companies, on average, ٥٤% the three gap between actual and optimal financial leverage. The results of testing indicate that the high financial health of companies, On average, 38% of the gap between actual and optimal financial leverage, on average, companies with the financial crisis there 68% In other, Companies with financial crises are longer path to reach their optimum leverage Than firms that are better than the economic and financial situation. Manuscript profile

Open Access Article

5 - Tracking Stock Exchange Index with considering the limitation of loss aversion with using the new approach of Big Bang - Big Crunch
Maqsoud Amiri Shayan Karamy Alireza Nasser pour

One of the causes of underdevelopment stock in developing countries such as Iran is inadequate growth of decision-making tools for the investors, especially beginners. Therefore, in this study an index tracking model with regard to loss aversion limitation and restricti More

One of the causes of underdevelopment stock in developing countries such as Iran is inadequate growth of decision-making tools for the investors, especially beginners. Therefore, in this study an index tracking model with regard to loss aversion limitation and restriction of Integer constraints on selected assets, to create an index tracker basket (portfolio) has been applied. The key difference of this study to other similar national researches is in considering of loss aversion, this means that the influences which investors accepted from positive and negative fluctuations in their own portfolio’s output, has not the same utility and hence their impact on investment model is not equivalent. The space of the solution of this problem is discrete and non-convex, so common numerical methods for solving this problem are not usable. Other innovations from this research, the use of the Bing bang - Big Crunch algorithm as a new meta-heuristic algorithms for the solution and it’s comparison with differential evolution algorithm with using of stock’s daily price data available on the Dow Jones index from 2000 to 2006. The obtained results indicate good performance of the algorithm of the Big Bang-Big Crunch toward differential evolution algorithm according to performance criteria. Then this algorithm has been used for Index tracking of 30 largest companies in Tehran Stock Exchange from (2012-2014) 1391 to 1393 A.H.S that the result of it was achieving to an efficient portfolio and a risk equivalent to index of 30 companies in Tehran Stock Exchange. Manuscript profile

Open Access Article

6 - Evaluate the Ability of Social Networks to Predict the Direction and Stock Prices in Tehran Stock Exchange
Reza Raie Seyed Farhang Hoseini Maedeh Kiani Harchegani

Examining the ability and efficiency of social network on price and direction of stock price is important, because of social network boom. In this research, we observe the herding behavior based on buy and sell offer in one of the Iranian social network (sahamyab.com) u More

Examining the ability and efficiency of social network on price and direction of stock price is important, because of social network boom. In this research, we observe the herding behavior based on buy and sell offer in one of the Iranian social network (sahamyab.com) using neural network. The duration of research between July 2013to June 2014(1year) and based on TSE is divided to period of bull and bear market. The sample is selected on two hypotheses, ten symbols from active stocks listed by TSE and another ten symbol from most viewed and active on social network. This research done on two parts: direction forecast and price forecast. Historical price and buy/sell offer in social network with 3 to 10 lags used. Feed forward neural network (FFNN) with 3 to 10 data lags and 1 hidden layer and up to twenty neuron used to find optimal network and used to forecast. In price forecast, there is no significant difference, But in directional of stock price forecast, we found that it's significant for most viewed share in bull market and for active share in bear market.                                                                                                                   Manuscript profile

Open Access Article

7 - A comparison between the Fama and French`s three-factor and five-factor models to describe the return of the growth and value stock
Allahkaram Salehi Borzoo Salehi

The purpose of this paper is to compare the explanatory power of Fama and French`s three-factor and five-factor models to describe the return of the growth and value stock in listed companies in Tehran Stock Exchange. For this purpose, a sample consisting of 238 compani More

The purpose of this paper is to compare the explanatory power of Fama and French`s three-factor and five-factor models to describe the return of the growth and value stock in listed companies in Tehran Stock Exchange. For this purpose, a sample consisting of 238 companies during the period of 2003 to 2013  has been selected. To test the research hypotheses, the panel data approach with paternoster test et al (1998) and multiple regressions have been used. The findings indicate that the explanatory power of Fama and French`s five-factor model has more robust than the three-factor model to describe the return of growth and value stocks. Result also show that this effect is more powerful in growth companies than value firms in Tehran Stock Exchange. Manuscript profile

Open Access Article

8 - Analyzing and prioritizing rural people tendency to costing the subsidies in rural construction and developing project
Hamdollah Sojasi Qeidari

One of the appropriate ways for helping the government is people economic participation in developing affairs by micro investigating and in participatory approach framework.  Investigating in rural construction and development project through of costing family subs More

One of the appropriate ways for helping the government is people economic participation in developing affairs by micro investigating and in participatory approach framework.  Investigating in rural construction and development project through of costing family subsides is one of important form of investigation. Thus, in this research had been tried to measuring the rural trends amount to investigating and them investigation grounds by descriptive- analyzing methodology and among 339 rural family of Bezineh Rood Dehestans rural point in Khodabandeh Township. Research finding show that about 78 percent of rural case study’s people are tendentious for costing family subsides in construction project for our rural improvement. Severity of their tendency to economic participation in constructing and developing investigation are about 89/56 percent that seems significant. Also, in analyzing the relation between investigation tendencies with rural communities features the finding show that there is meaningful relation between them. In prioritizing the investigating fields and affairs, the result show that rural people would like to investigate in all projects of construction, development and especially in livestock inbreeding in rural area that had been measured by PROMETEE technique as a one of the multi decision making techniques. Manuscript profile

Open Access Article

9 - Comparing Efficiency of Performance Evaluation Measures Based on Post Modern Portfolio Theory in Ranking Portfolio formed by Grid Strategy Model
Hamidreza Vakilifard Shahram Babalooyan Mehrdokht Mozaffari

This research aims to rank grid matrix model with performance evaluation by measures based on post modern portfolio and study the efficiency of these measures. Different types of portfolio resulting from grid matrix model are ranked by sortino ratio, omega ratio and pro More

This research aims to rank grid matrix model with performance evaluation by measures based on post modern portfolio and study the efficiency of these measures. Different types of portfolio resulting from grid matrix model are ranked by sortino ratio, omega ratio and prospect ratio. Since Kolmogrove - Smirnov and Shapiro–Wilk tests don’t confirm the normality of monthly returns, so Non-Parametric tests – Spearman and Friedman Tests - applied. According to the results of these tests, not only no significant difference was found between rankings, but also was not endorsed a significant correlation between them. Therefore to study the efficiency of performance evaluation measures, portfolios performance evaluated over a period of 5 years and over a period of 2 years, the results of this evaluation investigated. For this purpose, Pearson Correlation Coefficient between evaluated and real ranks calculated and the two types of innovative portfolios made to show the efficiency of measures in general recognition of real ranks and top rated. As the result, prospect ratio shows best efficiency for ranking resulted portfolios from grid matrix model in Tehran Stock Exchange. Manuscript profile

Open Access Article

10 - Effect of exchange rate pass on Stock Returns in Tehran Stock Exchange
S. Abdolmajid Jalaee Hedyeh Mir Akbar Rahimipoor

Exchange rates is one of the key factors in a small open economy and the rest of the world. Currency can macroeconomic variables such as prices of goods and services imports in the domestic market, the price of imported capital goods made in and will affect stock return More

Exchange rates is one of the key factors in a small open economy and the rest of the world. Currency can macroeconomic variables such as prices of goods and services imports in the domestic market, the price of imported capital goods made in and will affect stock returns. It is also one of the most important factors of economic growth and prosperity of the stock market, stock return. Accordingly, the main research question is whether the cross exchange rates will affect the performance of the shares on the Stock Exchange? To answer the first pass and then the OLS method to estimate the fixed exchange rate stipulated in the exchange rate of the passage there.  The results show that the effect of exchange rate pass on stock returns is positive. Positive shocks due to the currency exchange and increase productivity and export companies in these companies. Manuscript profile

Open Access Article

11 - The use of stress testing in regulatory and supervisory perspectives
Ali Salehabadi Meysam Allahyari

There is significant difference in the behavior of risk factors in the general economic conditions and in crisis situations (eg financial crises). Under normal conditions, the behavior of risk factors can be easier to predict because their behavior does not change in th More

There is significant difference in the behavior of risk factors in the general economic conditions and in crisis situations (eg financial crises). Under normal conditions, the behavior of risk factors can be easier to predict because their behavior does not change in the short to medium term noticeably. Therefore, the behavior in the future can be predicted from past performance. However, in critical situations, the behavior of risk factors is very unpredictable and past behavior doesn’t help predict future behavior. Hence we need another tool to measure risk as "stress test". Stress tests can be done from the micro and macro perspective. Micro perspective means that each of the financial institutions, especially banks may use this method for their risk management. And macro perspective means that the supervisory authorities on financial institutions can use this method to evaluate the risk of the financial system and to regulate the policies. As regard that research’s approach is using of macro stress testing as a tool for risk management in crisis situations, initially we will investigate of the using the stress test in the risk management and implementation in the micro level will be stated briefly, then we will discussed why and how the design and implementation of stress testing at macro perspective and its usage in supervisory and regulatory perspective. Finally a real example of the use of stress testing at the macro level by the supervisory authorities on financial institutions in Australia in 2005 will be explain. Manuscript profile

Open Access Article

12 - The Impact of the Quality of Human Resources On attracting Foreign Direct Investment A Case Study of the South East Asian countries and Iran
Azam Asadnezhad Taghi Torabi Reza Radfar

Foreign direct investment (FDI) is of the major factors in the field of increasing international economic interactions. Utilizing this type of investment will lead into technology improvement, management skill development in order to improve the quality of domestic work More

Foreign direct investment (FDI) is of the major factors in the field of increasing international economic interactions. Utilizing this type of investment will lead into technology improvement, management skill development in order to improve the quality of domestic work labor, increasing domestic production standards, expanding export markets and transition into market economy. Hence, government plays a major role in order to make domestic industries and entrepreneurs to attract FDI (for capital or technology) This study evaluates the impact of the quality of human resources along with other factors such as currency exchange rates, openness, market size and economic stability on attracting foreign direct investment in developing countries of the South-East Asia (Thailand, South Korea, Singapore, Malaysia, Indonesia and China) during 1995 to 2012 And Iran from 1980 to 2012.hence, the research model has been selected by implementing data panel for selected countries of South-East Asia. Moreover, time series has been used, in order to model the data for Iran to compare the results with the south East Asian countries models. The results show that in Iran and other developing countries, attracting FDI has direct relation with quality of human resource. Hence, it is necessary for the decision makers of the country to increase their focus on the development of human resource specially improvement of education and training level and scope in different age groups. Manuscript profile

Open Access Article

13 - Economic Analysis of the Possibility of a Tax on Bank Deposits
Alireza Erfani Hamidreza Kordlouie Smaeil Shamsiyan

In recent years, the debate over taxes on deposits or it’s profits, each time has been seriously attacked by the newspapers and news agencies. These criticisms and objections, although do not support with the scientific and practical evidences, but official author More

In recent years, the debate over taxes on deposits or it’s profits, each time has been seriously attacked by the newspapers and news agencies. These criticisms and objections, although do not support with the scientific and practical evidences, but official authorities always and quickly deny it. They believe that negative real interest rates on bank deposits in recent years and negative effect of tax on those rates is cause of evasion and movement of funds from the banking system to non-productive markets. This research is based on theoretical analysis; First it informs taxation’s proofs with logical evidences, Then surveys proofs of critics and rejects them. In this paper, We will prove the necessity of being accessible and easier tax on deposits, then we will deny capital and deposits flighting of the banking system. In this research, money is like blood in the body and financial system specially banks is a blood’s circular system and capitals get banks off when money destroy, hoard or go abroad. Manuscript profile

Open Access Article

14 - Economic Analysis of the Possibility of a Tax on Bank Deposits
Khosro Faghani Makarani keramat olah Heydari Rostami Vahid Amin

In recent years, the debate over taxes on deposits or it’s profits, each time has been seriously attacked by the newspapers and news agencies. These criticisms and objections, although do not support with the scientific and practical evidences, but official author More

In recent years, the debate over taxes on deposits or it’s profits, each time has been seriously attacked by the newspapers and news agencies. These criticisms and objections, although do not support with the scientific and practical evidences, but official authorities always and quickly deny it. They believe that negative real interest rates on bank deposits in recent years and negative effect of tax on those rates is cause of evasion and movement of funds from the banking system to non-productive markets. This research is based on theoretical analysis; First it informs taxation’s proofs with logical evidences, Then surveys proofs of critics and rejects them. In this paper, We will prove the necessity of being accessible and easier tax on deposits, then we will deny capital and deposits flighting of the banking system. In this research, money is like blood in the body and financial system specially banks is a blood’s circular system and capitals get banks off when money destroy, hoard or go abroad. Manuscript profile

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