JOURNAL OF SECURITIES EXCHANGE
Year:2018 | Volume:11 | Issue:41 |Papers Count:6

This paper aims to investigate the short term return of IPOs in Tehran Stock Exchange. Short term return has always been a trending topic among investors and traders all around the world and many studies havebeen done on this interesting topic. At first, we reviewed the most common causes of IPO underpricing and then stated the main ways of IPO pricing. Then, we described variables and research method, which are used in this paper. Observing initial public offerings between the years of 2008 and 2017 and calculating the excess returns of one, three, five days and one month after the IPO day, we tested the determinants of IPOs underpricing. According to the interpretation of cross sectional regressions we found out that two variables have a strong effect on IPOs post 1 month returns. These two are EPS and Industry. In this way, EPS has a positive relation with IPOs short term returns. Furthermore, other variables tested in our regressions have no significant impact on IPOs short term returns.

In the Capital market, regardless of the range of transactions conducted in it, the performance of the concluded contract and fulfilling the obligations and settlement of them is determining and of great importance. Performing the obligation is one cause for eliminating it which in stock exchange transactions of shares is carried out through delivery of the shares from the seller to the buyer (performance of the obligation by the seller in favor of the buyer) and making payment by the buyer to the seller (the obligation of the buyer to the seller), via the Central Securities Depository. The deadline specified for the settlement of the listed shares’ transactions in the Iranian legal system differs based on the degree of involvement and the use of clearing house’ s functions, while in accordance with the principles and standards of International Organization of Securities Commissions (IOSCO), there have been stated some recommendations regarding decreasing the mentioned deadline as well as emphasizing on the three-day criterion for settlement of the transactions. In this paper, we will comparatively examine the obligations performa)nce time and the settlement of transactions in Iran’ s capital market and the principles, standards and recommendations of the above organization in parallel with demonstrating the concept and nature of the listed shares transactions.

Information transparency is one of the most effective tools in each market. Information transparency in the private sector is achieved within the framework of the regulatory requirements of the capital market However, since there was no legal means to control the transparency of information companies owned by the public sector, the legislator has tried to compensate for this vacuum at various times, in line with the requirement of the managers of the companies involved or the managers of the legal entities, with the prospect of certain sanctions. In this regard, the Securities and Exchange Organization was entrusted with control over the transparency, direction and method of disclosure, criminal prosecution and disciplinary actions against offenders. Lack of definite definition of indirect ownership, dispersion in explaining disclosed examples, disparity in the responsibility of disclosure to managers of owned or legal, entities the ambiguity in the definition of the institutions under the leadership, the lack of specification of the conduct of behavior, and the prediction of a fine for the directors of the legal entities of the owner and not the managers of the companies and the weaknesses in the predicted reaction are among the most important legislative issues in this area.

Financial challenges of government in recent years are caused to decrease development budget in annual budget law in Iran thus, financing development projects are faced to serious problems. The foundation of debt market in Iranian capital market in recent years can be used for financing government, public and private companies, and banking system. On the other hand, the most important requirement for partnership of private sector in developing infrastructure projects is existence of suitable financial instruments that is designed based on financial innovation and transportation sector needs including Jualah Sukuk. In this article, questions are answered by using analytical method: Can we design a new financial instrument based on Jualah contract and securitization concept (future cash flows of project), law and regulation of Iranian capital market & transportation sector needs designed an new financial instrument? The result show that we cn design two models of jualah sukuk by using the above concepts.

The purpose of this study is to provide an optimal selection model for multi-round equity portfolios based on the value of exposed risk periods, with transaction costs. Multi-stock portfolios allow the investor to revise the contents of the basket over time and adjust it to fit new information. For sample, ten portfolios of five shares were randomly selected from companies listed in Tehran Stock Exchange during the years of 1388-1393, which, with an annual risk-free return (20%), average quarterly returns of more than 0. 1, were selected. The proposed model is optimized using two continuous and cumulative particle genetic algorithms. In order to measure the efficiency of the results of the two algorithms, a risk-based value criterion has been used and the result of the research suggests higher efficiency of the results of the particle cumulative algorithm compared to the genetic algorithm.

In a few recent decades with increasing extension of capital markets, investigating effective factors on stock return has become the most important and the most challenging financial management issues. So, different models such as capital asset pricing model and multifactor Fama and French are introduced for examine effective factors on stock return. However, the firm's size factor has been the main factor that is investigated in different studies. In previous studies in multifactor Fama and French, the relationship between firm's size and stock return are investigated as a simple linear relationship, while it might not be a linear form. In this research, with adding firm's size factor square to Fama and French model, the hypothesis of non-linear relation between the firm's size and stock return is examined.