Iranian Journal of Finance最新文献_第4页

Earnings Decomposition, Value Relevance and Predictability 盈余分解，价值相关性和可预测性

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.230387.1124

S. Babaie

{"title":"Earnings Decomposition, Value Relevance and Predictability","authors":"S. Babaie","doi":"10.30699/ijf.2021.230387.1124","DOIUrl":"https://doi.org/10.30699/ijf.2021.230387.1124","url":null,"abstract":"Compared with net earnings, the components of earnings are more informative in companies whose components have different qualities of persistence and volatility. We examine the issue of whether net earnings together with their components have more information content than only net earnings. We construct a model to describe the effect of components volatility and their persistence through disaggregation of earnings value relevance and predictability. The analyses in our study are based on 600 firm-year observations in Tehran Stock Exchange (TSE) for the period 20052019. Data are derived from RAHAVARD NOVIN Iranian software and firms' financial statements. The statistical tests for data analyses are the difference of means test (t-test) and regression analyses. The results of the current study indicate that as the persistence and volatility of selected components of earnings (sales, employee expenses, other selling, general and administrative expenses, and income taxes) increase, earnings disaggregation can improve earnings predictability. Furthermore, when the volatility of employee expenses increases, disaggregated earnings can improve earnings value relevance. As the value relevance of net earnings has been declined over the past decades, the results of the current study suggest that earnings disaggregation plays a major role in improving earnings value relevance and their predictability.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127602454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange) 分级风险平价作为传统投资组合优化方法的替代选择——以德黑兰证券交易所为例

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.289848.1242

Marziyeh Nourahmadi, H. Sadeqi

{"title":"Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange)","authors":"Marziyeh Nourahmadi, H. Sadeqi","doi":"10.30699/ijf.2021.289848.1242","DOIUrl":"https://doi.org/10.30699/ijf.2021.289848.1242","url":null,"abstract":"One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous of the Markowitz approach. The Markowitz mean-variance approach is widely known in the world of finance and, it marks the foundation of every portfolio theory. The mean-variance theory has many practical drawbacks due to the difficulty in estimating the expected return and covariance for different asset classes. In this study, we use the Hierarchical Risk Parity (HRP) machine learning technique and compare the results with the three methods of Minimum Variance (MVP), Uniform Distribution (UNIF), and Risk Parity (RP). To conduct this research, the adjusted price of 50 listed companies of the Tehran Stock Exchange for 2018-07-01 to 2020-09-29 has been used. 70% of the data are considered as in-sample and the remaining 30% as out-of-sample. We 2 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Nourahmadi, M.) evaluate the results using four criteria: Sharp, Maximum Drawdown, Calmer, Sortino. The results show that the MVP and, UNIF approach within the insample and, the UNIF and HRP approach out-of-sample have the best performance in sharp measure. Jel Codes: G10, G11","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"271 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123015367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model 利用对数周期幂-低奇点模型检测德黑兰证券交易所泡沫

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.144490

A. Namaki, Mehrdad Haghgoo

引用次数: 0

Information Content of Rating Banks Using Early Warnings Indicators 利用预警指标对银行进行评级的信息内容

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.274065.1201

Shoeib Abbasi, A. Nazemi, N. Namazi

{"title":"Information Content of Rating Banks Using Early Warnings Indicators","authors":"Shoeib Abbasi, A. Nazemi, N. Namazi","doi":"10.30699/ijf.2021.274065.1201","DOIUrl":"https://doi.org/10.30699/ijf.2021.274065.1201","url":null,"abstract":"It is necessary for decision-makers to have a rating system in the banking industry in order to reflect the banks' status and performance. Although most institutions across the countries have rating banks and financial institutions, there is a lack of a comprehensive rating system across Iranian banks. Rating requires identifying the appropriate criteria according to the environmental and macroeconomic conditions. For this purpose, 35 components are determined through the opinion of 34 banking and academic experts using the Delphi method and rating is done by the TOPSIS method for 15 banks listed on the Tehran stock exchange over the period of 5 years from 2015 to 2019. The results show that in addition to the quantitative aspects, the qualitative aspects and aspects related to environmental and macro aspects are effective in the native model of banks ratings. Also, there is a positive and significant relationship between banks stock prices variation and the suggested ratings. 65 Information Content of Rating Banks Using Early Warnings... The obtained results showed that there is a positive and significant correlation between the comprehensive model and early warning system so that the bank's position can be relatively described in the early warning system by identifying it within the model. This evidence addresses the need for a comprehensive consideration of proposed indicators to evaluate and rate banks.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"160 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129015623","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Dynamic Impact of Oil Price on Investor Sentiment in Tehran Stock Exchange: An Industry-Level Analysis 油价对德黑兰证券交易所投资者情绪的动态影响:一个行业层面的分析

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.285242.1231

Seyed Hasan Masoudi Alavi, M. Nadiri, A. Saranj

{"title":"The Dynamic Impact of Oil Price on Investor Sentiment in Tehran Stock Exchange: An Industry-Level Analysis","authors":"Seyed Hasan Masoudi Alavi, M. Nadiri, A. Saranj","doi":"10.30699/ijf.2021.285242.1231","DOIUrl":"https://doi.org/10.30699/ijf.2021.285242.1231","url":null,"abstract":"Investor sentiment is one of the non-fundamental factors that affect the financial markets, which itself is influenced by various factors, including oil price changes. This study aims to investigate the impact of oil price on investor sentiment in stock market industries in the Tehran Stock Exchange (TSE) using monthly data from April 2010 to June 2020. To investigate this issue, stock exchange industries were grouped into three categories: total industries, oilrelated industries, and non-oil industries, and the effect of oil prices on investor sentiments in these three groups was examined using the pooled mean group (PMG) technique. The PMG approach considers both the shortand long-run relation between series and provides reliable results in the context of dynamic heterogeneous panel models. The implementation of PMG in all three models shows the impact of oil prices on investor sentiment over both the short and long run. Findings suggest also that oil price has positive and significant in all three models in the long run and the oil price coefficient is higher in oil-related industries than non-oil-related industries. These results are the opposite of the 39 The Dynamic Impact of Oil Price on Investor Sentiment in... results obtained by similar studies, which can be due to the special features of countries, e.g. being oil exporters or oil importers.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116976304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Event Research in the Effect of Clear Rumor Declarations on Abnormal Stock Returns Behavior 澄清谣言公告对股票异常收益行为影响的事件研究

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.256891.1173

Javid Hatam, Maryam Bokharaeian Khorasani, A. Naderian, Jamadori Gorganli Doji

{"title":"The Event Research in the Effect of Clear Rumor Declarations on Abnormal Stock Returns Behavior","authors":"Javid Hatam, Maryam Bokharaeian Khorasani, A. Naderian, Jamadori Gorganli Doji","doi":"10.30699/ijf.2021.256891.1173","DOIUrl":"https://doi.org/10.30699/ijf.2021.256891.1173","url":null,"abstract":"In this research, the impact of clear rumor declarations on the measurement of abnormal stock returns behavior has been investigated in Tehran Stock Market by means of event research so that to reveal well abnormal stock returns behavior. Following testing 169 clear rumor declarations during the period (2017-2019), Using Spss statistical software version 26 and Eviews version 12, the results of regression analysis and correlation tests indicate that content of clear rumor declarations may affect abnormal stock returns behavior. Confirmation of good rumors has increased the efficiency of abnormal stock returns 10 days after the date of the given declaration and approval of bad rumors has led to reducing the efficiency of abnormal stock returns upon declaration day. Similarly, the results showed that if rumors were disclosed 18 Iranian Journal of Finance, 2021, Vol. 5, No. 3 (Hatam, J.) during working hours in Tehran Stock Market they would reduce the efficiency of abnormal stock returns on the same day. After comparing the results of the research, the need to educate and promote the shareholding culture among shareholders is felt more than ever before. They also need to shift their focus from focusing on rumors to principled investing in futures stocks to avoid cross-sectional fluctuations, destructive rumors and other market risks and achieve a good return stock.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128887194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models 基于半参数马尔可夫切换时间序列模型的股票买卖策略研究

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.273273.1200

H. Naderi, M. Ghanbari, Babak Jamshidi Navid, Arash Nademi

{"title":"Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models","authors":"H. Naderi, M. Ghanbari, Babak Jamshidi Navid, Arash Nademi","doi":"10.30699/ijf.2021.273273.1200","DOIUrl":"https://doi.org/10.30699/ijf.2021.273273.1200","url":null,"abstract":"The modeling of strategies for buying and selling in Stock Market Investment has been the object of numerous advances and uses in economic studies, both theoretically and empirically. One of the popular models in economic studies is applying the Markov Switching models for forecasting the time series observations based on stock prices. The semi-parametric estimators for these models are a class of popular methods that have been used extensively by researchers to increase the accuracy of estimation. The main part of these estimators is based on kernel functions. Despite the existence of many kernel 109 Developing a Strategy for Buying and Selling Stocks Based... functions that are capable in applications for forecasting the stock prices, there is a widely use of Gaussian kernel in these estimators. But there is a question if other types of kernel function can be used in these estimators. This paper tries to introduce the other kernel functions that can be a good replacement for this kernel function to increase the ability of Markov Switching models. We first test six popular kernel functions to find the best one based on simulation studies and then offer the new strategy of buying and selling stocks by the best kernel function selection on real data. .","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"330 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116454117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market 运用熵值转移法研究德黑兰证券交易所的金融危机，并与美国金融市场进行比较

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/IJF.2021.262236.1183

Arefeh Mohaghegh, M. Hamidian, Seyed Ali Hosseiny Esfidvajani, G. Jafari

{"title":"Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market","authors":"Arefeh Mohaghegh, M. Hamidian, Seyed Ali Hosseiny Esfidvajani, G. Jafari","doi":"10.30699/IJF.2021.262236.1183","DOIUrl":"https://doi.org/10.30699/IJF.2021.262236.1183","url":null,"abstract":"This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of 180 corporations of the Tehran Stock Exchange has been studied. Then the footprint of crises of the market has been searched in the trends of the transfer entropy. The result has been compared with the result of the analysis imposed on the stocks included in the Dow Jones industrial index in the stock exchanges of the United States. In order to investigate the financial crisis of the Tehran Stock Exchange, the stock price data of 180 companies in this market that were active in the period from 2008 to 2018 are analyzed. It is observed that the average pairwise transfer entropy of indices in the Dow Jones group declines over the financial crises in the United States. In Iran, despite the United States, the financial crises have not left a footprint in the pairwise transfer entropy over the studied period. Such an observation suggests future studies on the pairwise and possibly collective behaviors of indices in Iran and the United States.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117034326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Offering Catastrophic Risk Management Framework by Alternative Risk Transfer Instruments to Islamic Capital Market with Cat Takaful (CT) Sukuk 以伊斯兰债券为例，通过另类风险转移工具为伊斯兰资本市场提供巨灾风险管理框架

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.247524.1156

Hosaine Hasangholipoure, E. Chirani, Seyed Mozaffar Mirbargkar, S. Kheradyar

{"title":"Offering Catastrophic Risk Management Framework by Alternative Risk Transfer Instruments to Islamic Capital Market with Cat Takaful (CT) Sukuk","authors":"Hosaine Hasangholipoure, E. Chirani, Seyed Mozaffar Mirbargkar, S. Kheradyar","doi":"10.30699/ijf.2021.247524.1156","DOIUrl":"https://doi.org/10.30699/ijf.2021.247524.1156","url":null,"abstract":"Out of 64 possible catastrophic events in the whole world, about 34 of them have been experienced in Iran; more than 80% of the regions are exposed to natural disasters risks such as earthquakes exposure. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance capacity is always felt. Catastrophe bonds structure as a financial & insurance innovative solution (Alternative Risk Transfer Instruments) allows an issuing institution to transfer catastrophic exposures and risk to capital market's investors by creating capital relief and additional risk capacity for our insurance industry. We adjusted the formal cat bonds structure with the Islamic 79 Offering Catastrophic Risk Management Framework by... jurisprudence. According to the systematic review research method 8 steps, the Sukuk model was implemented based on the extracted concepts from 23 Farsi articles and 50 English articles. After that interviews by 18 experts who were selected by purposive & Snowball sampling, The Delphi method was used to obtain the opinion of experts and their opinion was modified and implemented in the final model. In the open coding stage, 415 concepts were extracted which were classified into 10 categories and finally presented in 4 Propositions/themes. The trustworthiness and authenticity did base on the fourstage model of Lincoln and Guba and also its complementary step. We finally suggested that the catastrophe bond instrument could be issued in the form of a cat takaful (CT) sukuk contract template, as a solution for transferring catastrophic risks to the Islamic financial market.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116926819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Studying the Moderating Role of Audit Committee Independence in the Relationship between CEO Narcissism and Real Earnings Management 审计委员会独立性在CEO自恋与真实盈余管理关系中的调节作用研究

Iranian Journal of Finance Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.247085.1155

Roozbeh Sardari, M. Setayesh, H. Kordlouie, B. Banimahd

{"title":"Studying the Moderating Role of Audit Committee Independence in the Relationship between CEO Narcissism and Real Earnings Management","authors":"Roozbeh Sardari, M. Setayesh, H. Kordlouie, B. Banimahd","doi":"10.30699/ijf.2021.247085.1155","DOIUrl":"https://doi.org/10.30699/ijf.2021.247085.1155","url":null,"abstract":"A manager’s personality and psychological attributes may influence his or her performance, thereby affecting the quality of financial reporting by companies. On the one hand, today there is an increasing requirement for protecting the interests of investors as providers of investment and the most important group of accounting information and financial report users. The development of audit committees is among the mechanisms expected to be effective in protecting the interests of different groups of accounting information and financial report 59 Studying the Moderating Role of Audit Committee Independence... users. In order to act effectively, an audit committee must be independent. Therefore, the present study aims to examine the role played by the independence of audit committee members as a quality of an audit committee to identify how it may moderate the relationship between managers' narcissism and real earnings management in the firms listed in the Tehran Stock Exchange (TSE) using a statistical sample consisting of 642 observations (year-firm) over the period 2013-2018. The findings obtained through hypothesis testing using statistical analysis of panel data suggest that independence of audit committee members does not moderate the relationship between CEO's narcissism and real earnings management through abnormal cash flow, real earnings management through abnormal production, and real earnings management through abnormal discretionary expenses. Thus, the independence of audit committee members as a moderator cannot moderate the relationship between CEO's narcissism and real earnings management.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130215050","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2