Journal of Investment Knowledge: 1 (21)

Open Access Article

1 - The effect of exchange rate volatilities and it's spillover effect on the index of Tehran Stock Exchange
Farnaz Barkhordari Somayeh Pour azizi gelin gheshlaghi Abolfazl Hoseini

Given that in recent years due to reduction of banking sources, the role of stock market in financing of investment projects highlighted more day by day. So analyzing the factors that caused the volatility and risk which transfer to stock market is Essential. Also accor More

Given that in recent years due to reduction of banking sources, the role of stock market in financing of investment projects highlighted more day by day. So analyzing the factors that caused the volatility and risk which transfer to stock market is Essential. Also according to importance of currency market on the countries' economy, on the other hand, due to high volume of exports and imports changes of exchange rates have a significant impact on the economy’s boom and bust. In this paper, researcher study on the effect of exchange rate volatility and its spillover effect on the index of selected industries in Tehran Stock Exchange with using of daily data "2008 to 2013" and VAR-BEKK. Based on the research results and according to estimated coefficients of ARCH and GARCH  the exchange rate volatilities were positive and significant on the index of selected industries in Tehran Stock Exchange on three sectors such as  automotive, coal and machinery" that indicate  the exchange rate volatilities have positive effect on the index of selected industries In Tehran Stock Exchange. In addition, exchange rate volatility during the studied period caused increasing of index of selected industries in the Tehran Stock Exchange. Manuscript profile

Open Access Article

2 - Determination and Ranking of Leading Industries for the loan and facility paid by the banks (Emphasis on Financial Index)
Mohsen Hamidian

The industries are so called the owner's priority which have the optimum economical and financial turnover. Separately studding these divisions and also expressing the reasons for providing the loans and facilities are the required factors for making the priority. In th More

The industries are so called the owner's priority which have the optimum economical and financial turnover. Separately studding these divisions and also expressing the reasons for providing the loans and facilities are the required factors for making the priority. In this paper, financial indexes are used to survey the industries of the country in 2012. The studied industries are classified, prioritized and analyzed based on the factor analysis, Taxonomy digits (which is based on three digits ISIC codes). The results show that cardinal metals, chemical, automobile and its spare parts and primitive steel and iron production industries have the best performances based on the mentioned indexes, hence they stay at the top-level of the loan and facility paid by the banks. Manuscript profile

Open Access Article

3 - Examining the Impact of Corporate Social Responsibility on Investment - Cash Flow Sensitivity
Gholalreza Mahfoozi Mohsen Akbari Masoomeh Ghasemi Shams

This study examines the impact of corporate social responsibility on the sensitivity of investment to cash flow of companies in the Tehran Stock Exchange. Therefore, data from companies listed in Tehran Stock Exchange for the period of 1387 to 1392 with panel data regre More

This study examines the impact of corporate social responsibility on the sensitivity of investment to cash flow of companies in the Tehran Stock Exchange. Therefore, data from companies listed in Tehran Stock Exchange for the period of 1387 to 1392 with panel data regression model was used to test the hypotheses. After examining the significant positive relationship between capital expenditures and operating cash flow in the first hypothesis, the second hypothesis explores the relationship between corporate social responsibility and sensitivity of investment to cash flow. The results showed that in the period under review, there is a significant positive relationship between social responsibility and sensitivity of investment to cash. Manuscript profile

Open Access Article

4 - Style investing and portfolio composition based on fundamental ratios and technical indicators
Kamran Pakize Milad Rahmani Fatemeh Azizzade

Portfolio management and optimization is a crutial issue in investment management. Style investing is a way to earn more returne rather than a benchmark index. A style can be thought of as any characteristic relating a group of securities that is important in explaining More

Portfolio management and optimization is a crutial issue in investment management. Style investing is a way to earn more returne rather than a benchmark index. A style can be thought of as any characteristic relating a group of securities that is important in explaining their return and risk. These factors are grounded in academic research and have solid explanations as to why they historically have provided a premium. Empirical studies show that these factors have exhibited excess returns above the market. This study describes a new approach to portfolio management using stocks. The investment models tested incorporate a fundamental and technical approach using financial ratios and technical indicators. Also the effect of using six equity risk premia factors(styles) are examined in the study as follows: Value,Growth, Low Cap size, Big Cap size ,High Quality and Low Quality on portfolio performance. For doing this, a Particle Swarm Optimization (PSO) is used to optimize the model. As a case study, Performance of proposed method is tested by historical data of Tehran Stock Exchange for years 2012 to 2015. Results show that the proposed method has obtained higher Sortino ratio rather than the Tehran Stock Exchange market index. Also, Small cap stocks portfolio captured higher returne rather than Big caps for all three years, and Growth stocks portfolio had bether performance in contrast to Value stock for 2012 and 2013. For the Quality factor, High quality stocs portfolio had a better performance in contrast to Low quality stocks portfolio for 2012 and 2013. Manuscript profile

Open Access Article

5 - Minimizing portfolio variance with the limitations of (L)
Mahdi Salehi Mahmoud Lari Dashtbayaz Narges Makhmalbaf

Portfolio selection process is one of the issues that have been of interest to many researchers. Various criteria involved in this process changed over time, and it is necessary to use optimal tools for making better decision. The purpose of this study is the optimal st More

Portfolio selection process is one of the issues that have been of interest to many researchers. Various criteria involved in this process changed over time, and it is necessary to use optimal tools for making better decision. The purpose of this study is the optimal stock portfolio selection using algorithm bacteria. For this reason monthly risk and return of 102 listed copmaies on the Thehran Stock Exchange from 2009-2013 has been studied. The results show that bacteria algorithm is able to select stock portfolio with using portfolio equation with L limitation. And also be stated that the optimal portfolio selection algorithm bacteria equation based on portfolio equation, mean-Variance model with Cardinal limits is better than on portfolio equation with with L limitation. L restrictions mean that there is no limit to the mentioned companies. Manuscript profile

Open Access Article

6 - Evaluation of long term relations between Tehran Stock Exchange index and macroeconomic variables
Majid Abdi

Stock Exchange as the most important element of the capital market, is affected by economic conditions. Returns and Exchange price of the exchange, is the result of the economic situation and macroeconomic variables. Also, index of Stock Exchange, which reflects the gen More

Stock Exchange as the most important element of the capital market, is affected by economic conditions. Returns and Exchange price of the exchange, is the result of the economic situation and macroeconomic variables. Also, index of Stock Exchange, which reflects the general state of market, always, has been affected by macroeconomic variables. The main objective of this study is to investigate the relationship between the index of Stock Exchange and macroeconomic variables. For this purpose, quarterly data related to the index and macroeconomic variables during years 1992-2012 as a time sequence are used. Method used in this research is Autoregressive model. Distributed Lag (ARDL) is. Phillips - Perron test showed that, all variables in the lower bound has a unit root with Distributed Lag, but at the upper bound they are static. The results of Granger causality error correction model, represents a long term equilibrium relation and cointegration between the index and variables of consumer index, money supply, exchange rates, GDP, liquidity, governmental payments, coin price and manufacturer index prices. Manuscript profile

Open Access Article

7 - Proposing and solving a multi-objective index tracking portfolio model considering beta, risk and tracking error of the portfolio
Amir Abbas Najafi Saba Khorasani

There are two strategies in investment management; active and passive. One of the passive strategies is to construct an index tracking portfolio. In the classical models of index tracking portfolio, the goal is to minimize tracking error. However, it may cause to miss p More

There are two strategies in investment management; active and passive. One of the passive strategies is to construct an index tracking portfolio. In the classical models of index tracking portfolio, the goal is to minimize tracking error. However, it may cause to miss portfolio’s beta and unsystematic risk. Considering BETA in  index tracking for same behavior with index and control  systematic risk which relates to index and non-systematic risk of tracking portfolio will help to minimizing total risk and to close expectation to facts .In this study we propose a multi-objective model to consider portfolio’s beta and unsystematic risk as well as tracking error and studied the simultaneous effect of effective elements (BETA and risk) on index tracking portfolio and comparing suggested function with traditional function and classic portfolio. Goal programming is applied to deal with the multi-objective model and Genetic algorithm is used to solve the model.  The proposed model is tested on real-data of Tehran Stock Exchange. The obtained results show the efficiency of the model. Manuscript profile

Open Access Article

8 - Effect of family firms on information asymmetry and cost of capital
Bita Mashayekhi Ahmad Azhang

Family firm is a special kind of firms and has a particular research field. There are unique features in disclosure and information asymmetry of family firms. Contribution of family owners in operation of the firm result effective monitoring of managers. Accordingly, ag More

Family firm is a special kind of firms and has a particular research field. There are unique features in disclosure and information asymmetry of family firms. Contribution of family owners in operation of the firm result effective monitoring of managers. Accordingly, agency cost reduces and family owners impose more potential expense by exposing more financial information. In other hand, family firms tend to decline the cost of capital for increasing the firm value by reducing the information asymmetry. The objective of research is investigating the effect of family firms on information asymmetry and cost of capital. According to studing 103 firms during 94-84, there are not any significant effect between family firms and information asymmetry and cost of capital. Manuscript profile

Open Access Article

9 - Investigating the relationship between the forward P/E, Earning growth and risk
Seyad Ali Hosseini Mahbobeh Bahrami

One of the most common tools and criteria decision is trailing Price to earning (P/E) ratio. The trailing P / E ratio is widely used by investors but most investors follow the trailing one ratio while trailing one ratio is lower and more volatile than the forward one ra More

One of the most common tools and criteria decision is trailing Price to earning (P/E) ratio. The trailing P / E ratio is widely used by investors but most investors follow the trailing one ratio while trailing one ratio is lower and more volatile than the forward one ratio. Olson-Jentter(OJ) model can be used as a base model. The aim of this research is to investigate the relationship of forward P/E ratio with earning growth and risk. The research sample includes49 companies from those listed in Tehran Stock Exchange between the years from 1383 to 1393. Hypotheses of investigation are tested by regression analysis, integration data and using E-views software and Panel data model. The result of this study shows that forward P/E ratio is approved in short-term, but it is not approved in long term. Manuscript profile

Open Access Article

10 - Identify the capabilities and resources to change the business model of commercial banks in Iran
Behrooz Rezaei Manesh Habiballah Roodsaz Mohammad Taghi Taghavifard Mahdi Haghighi Kaffash Abbas Kamareie

Banking industry in Iran as an essential component of the foreign exchange market plays a decisive role in the economy. Studies show that banking industry in Iran to achieve its strategic objectives, is on the verge of major changes. Many banks are studying and implemen More

Banking industry in Iran as an essential component of the foreign exchange market plays a decisive role in the economy. Studies show that banking industry in Iran to achieve its strategic objectives, is on the verge of major changes. Many banks are studying and implementing comprehensive strategy and financial firms. According to studies, every organization needed to change the business model to the capabilities and resources.In this study, using a mixed method, using interviews with 16 experts in Iranian banking industry banking capabilities required to change the business model is detected.Finally, by analyzing 176 questionnaires related resources required for this change is studied. Manuscript profile

Open Access Article

11 - The Evaluation of Venture Capital as an Installment Option and Real Options
Ali Foroush Bastani Hamed Hamedi Nia

The evaluation of VC projects (companies) is very important because the present value of them defines the proportion of Entrepreneur’s profit from all future profit of that project (company). In this article, VC projects have been evaluated by using Real Options a More

The evaluation of VC projects (companies) is very important because the present value of them defines the proportion of Entrepreneur’s profit from all future profit of that project (company). In this article, VC projects have been evaluated by using Real Options and Installment Option. In order to doing that, the lower and upper bounds based on “No-Arbitrage” condition are obtained for pricing installment option in both discrete and continuous time. These bounds have been used for pricing Venture Capital projects. With simulation of stock price by Monte Carlo, they have been compared with DTS bounds (the bounds obtained by other authors). Results reveal the bounds in the present study are more effective than DTS bounds. For more confidence, the Bounds have been compared with Monte Carlo simulation based on Least Square approach (we have changed that approach to be used in the evaluation of Installment Option); as expected, they have confirmed each other. Manuscript profile

Open Access Article

12 - Investigating the Impact of Diversification Strategy in Assets and Loans on Bank Risk
Mousa Bozorg Asl Alireza Akbari Masule Mohammad Javad Mohaghegh Nia Mohammad Taghi Taqhavi Fard

The realtionship between risk and diversification is an important issue in banking. This paper evaluated the impact of diversification in loans and asset on risk. Assets based on a fourfold division of assets other than loans, including fixed assets, securities, investm More

The realtionship between risk and diversification is an important issue in banking. This paper evaluated the impact of diversification in loans and asset on risk. Assets based on a fourfold division of assets other than loans, including fixed assets, securities, investment and facilities granted by economic sectors including agriculture, industry and mining, construction, housing, trade, services and export.The sample of study was 12 listed banks in Tehran Stock Exchange included Saderat, Mellat, Tejarat, Parsian, Eghtesad Novin, Pasargad, Sina, Hekmat, Day, Sarmaye, Postbank, and Karafrin. The period of study was from 2011 to 2015. The method of study was panel data that used a model for investigating the relationship between risk and diversification. Findings showed that there was a positive and significant relationship between risk and concentration. This result confirmed the traditional therory in banking about risk and diversification. Also, the results have the important policy implications to banks for decreasing risk in loans and deposits. Manuscript profile

Open Access Article

13 - Design and explanation of fractional multiresoloution capital asset pricing model with higher co-moments on Tehran stock exchange
Shapuor Mohammadi Ahmad Nabizade Reza Raei Hassan Ghalibaf Asl

The purpose of this study is to provide an appropriate pricing model and also addressing the common deficiencies in other valuation models. To this goal, a sample of 82 companies is selected. (Financial companies, companies with fiscal year different from end of 29th of More

The purpose of this study is to provide an appropriate pricing model and also addressing the common deficiencies in other valuation models. To this goal, a sample of 82 companies is selected. (Financial companies, companies with fiscal year different from end of 29th of isfand, companies which their stocks were not traded in past 3 month and those which listed after 1389 are excluded). Then portfolios based on the third and fourth moments are formed by the sampled companies. We used three pricing models including CAPM, Fama- French 3 factor model and Carhart Model for each portfolio. Results show that estimating these models accounting third and fourth moment lead to increase of significance of these models. But the insignificance of the interception of difference between two portfolios showed that third and fourth moment premium are not priced which can be due to assuming homogeneous investment horizon for investors. For this, using wavelet analysis, we analyzed three portfolios with in two horizon levels including level 1 (2 to 4 month) and level 2 (4 to 8 month). Results interestingly showed the improvement in significance and also in R^2. Using GPH estimator, we showed that there is long term memory in studied time series. In order to making these series stationary, we used recent method by calculating fractional data and again we estimated the models. Results showed that models estimation significantly improved for all three portfolios. But except CAPM for the two first portfolios, in other models the risk premium is not priced. Comparing fractional models with those obtained by wavelet models strongly indicates the superiority of the latter. Comparing all models, we concluded that best model for pricing, based on the third moment, is fama- French 3 factor model in level 2 daubeechies4 and by regarding the fourth moment, CAPM is optimal one for the level 2 symlts8. Manuscript profile

Open Access Article

14 - Model of the relationship between transparency and effectiveness of the Board on tax aggressiveness on investment development
sahar sepasi hossein etemadi Mohammadreza Boshagh

Abstract: The aim of this study is to provide a model to study the relationship between transparency and effectiveness of the board's policy of tax aggressiveness on companies listed on the Tehran Stock Exchange. In this study to measure the transparency and effectivene More

Abstract: The aim of this study is to provide a model to study the relationship between transparency and effectiveness of the board's policy of tax aggressiveness on companies listed on the Tehran Stock Exchange. In this study to measure the transparency and effectiveness of the board has been used 14 indicators based on four components. To test the hypothesis, the 50 companies 1389 to 1394 (300 years-company) is selected. Data from the report of the board using structural equation modeling and software PLS were analyzed. Due to the design of the study model is a significant factor 4/342 and 6/982 (t> 1/96),which means the relationship between dependent and independent variables is significant. Path coefficient -0/438and-0/321, meaning an inverse relationship between the dependent variable and independent. Based on the results of the research between transparency and effectiveness of the board with the tax aggressiveness there is an inverse relationship. This means that by increasing the level of transparency and effectiveness tax aggressiveness is reduced. Manuscript profile

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