Journal of Investment Knowledge: 4 (27)

Open Access Article

1 - The comparative study of earning management and liquidity of stocks between the listed firms of Tehran stock exchange and OTC of Iran
Mahdi Moradi Saeed Shayan Nazar Zakiyeh Marandi

Stock liquidity, including the factors affecting the financial decisions of investors in capital markets. On the other hand, earnings management influence over the content of the information released by the Company, indirectly affect the investment decisions.The purpose More

Stock liquidity, including the factors affecting the financial decisions of investors in capital markets. On the other hand, earnings management influence over the content of the information released by the Company, indirectly affect the investment decisions.The purpose of this study was to compare the earnings management and stock liquidity between the firms Stock Exchange and OTC Iran. The study is descriptive -correlational studies .This study have been carried based on data published by firms listed in Tehran Stock Exchange and OTC Iran, in the period of years 2011 to 2015 with a sample of 152 Stock Exchange and 35 OTC firm.The method used to test hypotheses panel data regression. The hypotheses analysis was performed using R statistical software. The results of hypotheses testing shows that real earnings management in companies in the OTC stock is greater than the Stock Exchange companies. The results also show accrual earning management in OTC is more than firms Stock Exchange. As for the liquidity of shares in the Stock Exchange and OTC companies in Iran there was no significant difference. Manuscript profile

Open Access Article

2 - Presenting a Model for Idiosyncratic Risk Effects on the Policies for Financing the Entire Manufacturing Companies Accepted in Tehran Stock Exchange.
Oveis Bagheri Reza Tehrani

The main purpose of this research is to present a model of the effects of idiosyncratic risk on the financing policies of the entire manufacturing companies accepted in the Tehran Stock Exchange by econometric approach of panel data during 2001-2014. Initially, we discu More

The main purpose of this research is to present a model of the effects of idiosyncratic risk on the financing policies of the entire manufacturing companies accepted in the Tehran Stock Exchange by econometric approach of panel data during 2001-2014. Initially, we discussed theoretical background of idiosyncratic risk and financing to investigate the background of the research. In the next step, the determination and estimation of the research model is done. The results of various estimates with and without control variables indicated confirmation of the fixed effect method for the final research model without the surplus / deficit control and trend variables. Estimation of the final model also shows a positive and significant relationship between independent variables (Market-to-book value, stock return, profitability and tangibility, as well as a negative and significant effect of the Z-Score variable on financial leverage. Therefore, each of the six sub-hypotheses of the research and consequently, the main hypothesis of the research was approved. Finally, suggestions based on the results of the research are presented along with suggestions for future studies. Manuscript profile

Open Access Article

3 - Influence of Emotional Trends of Investors and the Company's Borrowing on Deviations from Expected Investment
Majid Zanjirdar Mojtaba Leitani

The purpose of this study was to investigate the effect of investors 'emotional tendencies and the amount of company borrowing on deviations from the expected investment in Iran. After designing the evaluation indicators of investors' emotional tendencies, information f More

The purpose of this study was to investigate the effect of investors 'emotional tendencies and the amount of company borrowing on deviations from the expected investment in Iran. After designing the evaluation indicators of investors' emotional tendencies, information from the Stock Exchange was collected from 2011 to 2013. The sample consisted of 89 companies selected by sampling method based on Cochran formula, which was a total of 445 years old. In this research, linear regression and correlation were used to analyze the hypotheses and to analyze the data and test the research hypotheses. Eviews software is used. What is summarized in the general conclusion of the research hypothesis test is that the emotional tendencies of investors have a positive effect on the positive deviations from expected investment and have a negative effect on the negative deviations of the expected investment of the companies; also, the amount of borrowing has a positive impact on The positive deviations from the expected investment and the negative impact on the negative deviations of the expected investment of the companies. Finally, the results showed that investors' emotional tendencies exacerbated the negative deviations of expected investment through borrowing and exacerbated positive deviations from expected investments. Manuscript profile

Open Access Article

4 - Analyzing the Influence of Self-Esteem and Financial Knowledge on the Financial Behavior (Case study: brokerage of real investors of Eghtesade Novin Bank)
Hamid Reza Yazdani Habib Medikhani Dariush Ahmadi Amin Alivandi

A successful and reasonable financial behavior and return in the capital market require self-esteem and financial knowledge in financial decisions. This research studies the influence of self-esteem and financial knowledge on financial behavior in a sample of 251 member More

A successful and reasonable financial behavior and return in the capital market require self-esteem and financial knowledge in financial decisions. This research studies the influence of self-esteem and financial knowledge on financial behavior in a sample of 251 members of real investors with an online trading brokerage code in Eghtesade Novin who deal in Tehran Stock Exchange at least twice a weak. It is a descriptive correlation research, and questionnaire has been used to gather data. Data analysis has been done using structural equation modeling in LISREL software. The results show that self-esteem has a positive and significant impact on the financial behavior and mental financial knowledge. In addition, the objective financial knowledge has a positive and significant impact on the mental financial knowledge, but it does not have a positive and significant impact on the financial behavior. As a mediator variable, mental financial knowledge has a positive and significant impact on the financial behavior. Manuscript profile

Open Access Article

5 - Investigation the Un-Suretunetly of Exchange Rate On Index Price & Level of Investment In Tehran Stock Index (Using VAR and GARCH Models)
M. Hossein Ranjbar M. Feiz Fallah Shams Rouhollah Rezazadeh

the capital market decisions issue is constantly changing and developing and is dynamic as one of the most important and sensitive economic & financial sections of companies, it sometimes faces huge challenges for financial & economic and even political crisis & More

the capital market decisions issue is constantly changing and developing and is dynamic as one of the most important and sensitive economic & financial sections of companies, it sometimes faces huge challenges for financial & economic and even political crisis & it is sometimes developed by attempting and economic boom of social and political interactions and positive attitude toward investment, so, researchers have studied the changes and volatility of this market. For the importance of issue, the current research is studying trading volume, volatility and stock returns in Tehran Stock Exchange & their relationship using Multivariate regression analysis for model (GARCH,ARCH) and autoregressive models (VAR) on the data related to the years 1991-2012. The results of the research indicate that among the variables which are being studied, interest rates fluctuate Variable shock, rules stability and stock return volatility have the greatest effect on investment in the stock And then the stock turnover volume, rate of inflation, capital stock in the economy have the greatest effect on the investment in stock in the financial sector of the economy. On the other side, variables in long run have linear relationship in which the effects of change in interest rates Variables, volatility of stock returns, negative alternative assets will reduce the investment in stock. Therefore, the rules stability index, capital stock & turnover have the greatest effect on investment in the stock. Negative coefficient shows negative impact of bank interest rates, volatility of stock returns, negative substitute assets on investment in stock, because in Iran, this index shows concepts such as Restrictive regulations, government intervention in the economy, competition policy, bureaucratic obstacles and governmental rules &  regulations, access to capital markets. Efficient rules will realize the objectives of increasing investment attraction in stock imposed by government with lower costs. Manuscript profile

Open Access Article

6 - Investigation of Financial Advisors Competencies Role in Perceived Investment Value InTehran Stock Exchange
Zahra Shirazian

The most important microeconomic theory and theories of modern finance is that the value of the investment, to increase its profitability, rationality and perfect information, lies. But recent research shows that the value of the investment aspects and influenced by var More

The most important microeconomic theory and theories of modern finance is that the value of the investment, to increase its profitability, rationality and perfect information, lies. But recent research shows that the value of the investment aspects and influenced by various factors, including the role of financial advisor. This study aimed to investigate the role of the financial advisor in the perceived value of investment necessary competencies investors Stock Exchange of Hamadan. This kind of study is one of few studies, surveys, applied and quantitative and cross-sectional. The study population active investors in the Stock Exchange of Hamedan have been an infinite number randomly and without replacement sample of 387 members selected from among them. Data collection instrument was a questionnaire and field data collection. In order to analyze the data structure based on partial least squares path modeling methods were used. The results showed that the competencies necessary financial advisor significant impact on the perceived value of investments of investors. As well as direct evidence of a positive impact and ethical competencies, technical and financial advisor on the perceived value of the investment was emotional. Manuscript profile

Open Access Article

7 - Identify, rank and allocate critical risk the stages of public – Private partnership by Delphi technique in the context of resistance economy (case study: water and sewage industry Guilan Province)
Bahman Rassouli Sina Kheradyar Bahman Banimahd

Public-private partnership is one of the new financing tools in developed and developing countries. The purpose of this paper is to identify and evaluate risks and allocation of vital risks in water and wastewater industry projects in various stages of Guilan province a More

Public-private partnership is one of the new financing tools in developed and developing countries. The purpose of this paper is to identify and evaluate risks and allocation of vital risks in water and wastewater industry projects in various stages of Guilan province and within each stage. In this study, to extract critical risks of executives with direct responsibility in the contracts concluded by B.O.T was used for public-private partnerships. By systematically removing 37 samples were identified for the study. Delphi technique with the priority risk 17 times and more than 3 extracted from the sample questionnaires were distributed. Information collected at each stage and different stages of public–private partnership (feasibility, procurement, construction, operation and transfer) were analyzed by nonparametric statistical methods. The results showed that the risk of the importance of public-private partnerships the top three in various stages of Guilan water and sewage industry there is a significant relationship. The relationship of the individual risks within each stage with the exception of one case is significant. Manuscript profile

Open Access Article

8 - Dynamics of Investors’ Financial Literacy, Risk Perceptions and Emotions: Evidence from the Tehran Stock Exchange
Abolhassan Jalilvand Mojtaba Rostami Noroozabad

Financial literacy is believed to play an important role in understanding investors’ behavior both in advanced and emerging stock markets.  While previous studies have shown a positive association between improved financial literacy levels and the quality and More

Financial literacy is believed to play an important role in understanding investors’ behavior both in advanced and emerging stock markets.  While previous studies have shown a positive association between improved financial literacy levels and the quality and performance of investors’ decisions, the dynamics of this process has not been adequately examined. This study develops an empirical model explaining the decision-making process that integrates the impact of investors’ financial literacy, emotions, and risk perceptions on investment decisions focusing on the financial markets of the Islamic Republic of Iran, mainly represented by the Tehran Stock Exchange (TSE). In particular, a three-dimensional process is used to provide a more robust measure of financial literacy represented by financial attitude, financial behavior and financial knowledge covering both basic and advanced financial knowledge levels. Using a large data set on investment behavior at the TSE in 2016, we find, unlike previous studies, no evidence on the impact of financial literacy on investors’ risk perception in Iran. On the other hand, financial literacy, risk perception and emotions collectively and significantly affect investors’ decisions at the TSE. We further find some evidence of gender specific effects. Manuscript profile

Open Access Article

9 - The Effect of Financial Depth on Stock Return: The Bounds Testing Approach
Saman Ghaderi Saman Rahmani Noroozabad

Financial depth is one of the requirements of financial development. Countries whit the greater depth, financial resources are efficiently allocated between needs and can lead to greater efficiency and proper functioning of economic sectors. The purpose of this study is More

Financial depth is one of the requirements of financial development. Countries whit the greater depth, financial resources are efficiently allocated between needs and can lead to greater efficiency and proper functioning of economic sectors. The purpose of this study is to evaluate the effect of financial depth on stock returns. In this regard, the ratio of liquidity to GDP is employed as indicator of financial depth. Also, among the other macroeconomic variables affecting the stock return, inflation, market exchange rate and oil revenues are considered. This study applies the Bounds test and Autoregressive Distributed Lag (ARDL) models for Iranian economic during 1997-2015. The results provide a positive relationship between financial depth and stock return but insignificant.   Manuscript profile

Open Access Article

10 - Predicting financial distress risk of firms listed in Tehran Stock Exchange using factor analysis, decision tree and logistic regression models
Rasoul Tahmasebi Ali Asghar Anvary Rostamy Abbas Khorshidi Seyyed Jalal Sadeghi Sharif

This research predicts financial distress of companies listed on Tehran Stock Exchange using Factor Analysis, Decision Tree, and Logistic Regression models. For this purpose, 33 financial ratios have been investigated in the 5-year time horizon. In order to reduce the d More

This research predicts financial distress of companies listed on Tehran Stock Exchange using Factor Analysis, Decision Tree, and Logistic Regression models. For this purpose, 33 financial ratios have been investigated in the 5-year time horizon. In order to reduce the dimensions of the data and to find the internal relationship the variables, factor analysis model has been used. Then, the variables according to their relationships with financial distress are classified in eight factors. In the following, the results of the decision tree and the logistic regression models are compared with each other. The results show that both models have the ability to predict financial distress, but the decision tress model has a higher predictive power than the logistic regression model. Manuscript profile

Open Access Article

11 - Effect of price gap and inappropriate selection as information asymmetric measures on the level of cash holdings
Zohreh Hajiha Seyede Mahboobeh Jafari Rosam Ranjbar navi

In inefficient markets,the internal and external sources can't be easily replaced with each other, because for external financing of the company additional chargesmust be paid and this cost is due to information asymmetry, that is why managers through maintaining cash t More

In inefficient markets,the internal and external sources can't be easily replaced with each other, because for external financing of the company additional chargesmust be paid and this cost is due to information asymmetry, that is why managers through maintaining cash trying to reduce financing costs, thus, this study aimed to determine the effect of price gap and inappropriate selection as information asymmetry criteria on cash holdings in companies listed in the Tehran Stock Exchange.In this study, financial data of 94 companies listed on Tehran Stock Exchange during the period 2010 to 2015 has been studied and for this study, multiple regression applying panel data has been used. The results show that both information asymmetry criteria including price gap and inappropriate selection have significant positive effect on cash holdings, so when the information asymmetry that has been assessed by any of the price gap and inappropriate selection criteria, cash holdings by companies also increased and these results are consistent with the theory of hierarchy. Manuscript profile

Open Access Article

12 - Evaluate the Economic Consequences of the Social Responsibility of Firms (With Emphasis on Investment Efficiency)
Masoumeh Shahsavari Rasoul Salmani

With the rapid development of economic relations as well as reducing the state role in the economy, companies have more attention to society and social responsibility (CSR) for strengthening economic and trade relations. In this regard, the present study investigates th More

With the rapid development of economic relations as well as reducing the state role in the economy, companies have more attention to society and social responsibility (CSR) for strengthening economic and trade relations. In this regard, the present study investigates the effect of corporate social responsibility on the investment efficiency for companies listed in stock over the period 2011 to 2015. To measure corporate social responsibility reporting is used Barzegar Chech list (1392). The results show high social responsibility has reduced inefficient investment and thus has increased the investment efficiency. In fact, these findings suggest that social responsibility by reducing the information asymmetry between management and investors and resolving agency problems, has led to increased investment efficiency. Manuscript profile

Open Access Article

13 - Evaluating Extreme Dependence between Tehran security exchange and international Stock Markets Using multivariate Extreme Value Theory (MEVT)
Shahram Babalooyan Hashem Nikoomaram Hamid Raza Vakilifard Fraydoon Rahnamay Roodposhty

Estimation of extreme dependence between assets and financial markets plays a vital role in various aspects of financial risk. Extreme value theory (EVT) focuses on modeling the tail behavior of distribution using extreme values. The purpose of this paper is to investig More

Estimation of extreme dependence between assets and financial markets plays a vital role in various aspects of financial risk. Extreme value theory (EVT) focuses on modeling the tail behavior of distribution using extreme values. The purpose of this paper is to investigate asymptotic dependence and estimate the degree of tail dependence of the TSE daily returns with five other international markets (DFM, S&P-500, Nikkei-225, DAX and CAC All Shares) for right and left tails of the return distribution. The degree and type of extreme dependence of these stock markets is investigated by nonparametric measures based on multivariate EVT (MEVT) for the period from 2006 to 2015. We used a vector autoregressive (VAR) and MGARCH to filter out any serial correlation and heteroskedasticity between any two return series.  The results show that Tehran security exchange (TSE) is asymptotically independent from other stock markets. Furthermore, the highest degree of positive dependence is shown between TSE and DFM in both tails.   Manuscript profile

Open Access Article

14 - The investigation of relationship between stock liquidity and Stock price synchronicity using the simultaneous equations system in the accepted companies in the Tehran Stock Exchange
Ahmad Fallahzadeh Abarghooie Akram Taftiyan Forough Heyrani

The stock market liquidity is very important due to its various roles and effects in the capital market and plays an important role in the stock market quality. On the other hand, the Stock price synchronicity reflects the amount of market information relative to specif More

The stock market liquidity is very important due to its various roles and effects in the capital market and plays an important role in the stock market quality. On the other hand, the Stock price synchronicity reflects the amount of market information relative to specific information in the stock price of the companies. some studies have examined the effect of stock market liquidity on Stock price synchronicity and other studies that test the effect of the Stock price synchronicity on stock market liquidity. Therefore, the present study examines the relationship between stock market liquidity and Stock price synchronicity in listed companies in the Tehran Stock Exchange during the period from 2008 to 2015. In this study, 66 companies were selected as samples Using a systematic Omissive method and for the simulation of Stock price synchronicity, the model presented by Piotroski and Roulstone (2004) has been used. Then simultaneous equations system was estimated using a two-step regression method. The results of the estimation indicate the existence of a two-way relationship between the Trading volume, stock turnover, the stock market illiquidity ratio (Amihud), and the Amivest liquidity ratio as the criteria for assessing stock market liquidity and Stock price synchronicity in Tehran Stock Exchange.   Manuscript profile

Open Access Article

15 - Catastrophe Bonds Securitization in Iran's Insurance Industry
Abdul Majid Dehghan Alireza Fahimi Pooneh Farina

The life of issuance of insurance linked securities (ILS) in the world has been around for decades. The most famous of these securities is Catastrophe Bond or CAT BOND which has been widely advertised by insurance companies and reinsurance companies over the past few de More

The life of issuance of insurance linked securities (ILS) in the world has been around for decades. The most famous of these securities is Catastrophe Bond or CAT BOND which has been widely advertised by insurance companies and reinsurance companies over the past few decades. With a quick look at the history of these securities, we find that most of these securities have been published in disaster-prone countries, including the United States and Japan. In this research, while reviewing the conventional global models, the possibility of publishing these securities by insurance companies in Iran has been investigated. According to investigations carried out in Iran as an accident-prone country, we find that insurance companies and reinsurance companies because of their limited amount of capital to pay for their obligations and damages caused by natural disasters, can use this method to issue insurance linked securities (ILS). In this study, it has been shown that, in regard to good capacities of Iranian capital market and the active pillars in issuance of fixed income securities, as well as the need of insurance industry to reach new markets for financing and risk transferring, it is possible to design and issue Catastrophe Bond.   Manuscript profile

Open Access Article

16 - The application of interpretive structural modeling in designing a model for operational budgeting: A case of Ghadir Investment Company
Mohsen Vaez-Ghasemi Mohammad Taleghani Mohsen Shafieyan Fatemeh Bozorgi

Operational Budgeting is a type of budgeting in which resources are allocated to accomplish certain, measurable results. The main objective of operational budgeting is to clarify the budget and to help optimal allocation and use of organizational resources. The present More

Operational Budgeting is a type of budgeting in which resources are allocated to accomplish certain, measurable results. The main objective of operational budgeting is to clarify the budget and to help optimal allocation and use of organizational resources. The present study aims to use interpretive structural modeling (ISM) to design a model for operational budgeting in Ghadir Investment Company. First, the literature review and expertise opinions were applied to identify 14 factors underpinning operational budgeting. Then, an ISM-based structured matrix questionnaire was designed to find out the interrelationships of these factors, and the data were plotted at seven levels in an interactive network using ISM. The results revealed that the most influential factor in driving power-dependence matrix is “annual budget and five-year development plan” so that the company’s operational budget heavily depends on this factor.  Manuscript profile

Open Access Article

17 - Modelling of capital market returns fluctuations for Tehran Price Index Return: MRS-FI-TGARCH and FI-TGARCH models
Hajar Moradian Ali Haghighat Hashem Zare Mehrzad Ebrahimi

The aim of this paper is to expand flexibility of modeling in capital market fluctuations. We achieve the goal by introducing MRS-FITGARCH model for the first time in the world. We use weekly TEPIX changes from 2009 to 2017. The parameters could change through the regim More

The aim of this paper is to expand flexibility of modeling in capital market fluctuations. We achieve the goal by introducing MRS-FITGARCH model for the first time in the world. We use weekly TEPIX changes from 2009 to 2017. The parameters could change through the regimes. Results show that there are two regimes; regime one with high return mean and high return variance and regime two with low return mean and low return variance. Adding asymmetric effects and long memory potential prediction, are the novation of our new model. Valued Negative asymmetric effects coefficient results that bad news effects on the fluctuations were less than good news. It was not to be valued in regime tow and it means, good news and bad news has the symmetric effects in this regime. In regime one, there is unlimited long memory coefficient but in regime two fluctuations effects decreases in hyperbolic rate.   Manuscript profile

Open Access Article

18 - Efficient market in gold future market in high and low volatility
Mohamad Esmail Fadaienejad Ali Salehabadi Gholamhosein Asadi Mohamad Taghi Vaziri Hasan taati kashani

One of the most important topics in financial markets in recent decades is the market efficiency. The efficient market hypothesis states that all available information is fully and immediately reflected in asset prices, therefore it is not possible to achieve systematic More

One of the most important topics in financial markets in recent decades is the market efficiency. The efficient market hypothesis states that all available information is fully and immediately reflected in asset prices, therefore it is not possible to achieve systematic profits by price forecasting. The main purpose of this study is to evaluate the weak form of efficient market hypothesis for gold coin futures market in two settings of low volatility and high volatility of returns.  In order to test the weak form market efficiency in prices of gold coin futures market, Markov-switching GARCH and Markov-switching autoregression methods have been applied to the period from 2008 to 2017. The results of the FIGARCH and FARMA models indicate the fact that the series have long term memories of risk and average returns. The results of the estimation for the Markov-switching GARCH model (MS-E-GARCH) and the Markov-switching autoregression (MS-AR) imply that both risk and average return of gold coin futures market is predictable, and as a result the gold coin futures market does not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this mark   Manuscript profile

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