JOURNAL OF SECURITIES EXCHANGE
Year:2015 | Volume:8 | Issue:30|Papers Count:13

The process of accruals creation in identifying revenues and expenses leads to form errors in accruals estimation. Estimation error (abnormal accruals) is also accompanied by earnings quality reduction. A precise study of this process and recognizing the respective items lead to inequity of cash earnings and accrual earnings which are the good ways for measuring earnings quality. In this research, an organized structure is explained for identifying accruals estimation error with a precise analysis of accruals creation process at the time of company revenues and expenses recognizing and this organized structure becomes operational in a testable way.In this study, earnings quality measure of 123 listed companies in Tehran Stock Exchange during 2001 to 2013 was calculated and compared with Jones Adjusted Model and Dechaw and Dechow Model from the perspective of Type I and II errors.This comparison showed that the model of this study is better than other models from the perspective of Type I and II errors. In the other words, organized structure in the process of accruals identification and their time matching with cash flows, introduction of sticky accruals, using accruals in estimating their errors and developing models in industry level, improve accruals quality model.

Auto industry is a strategic industry, as it constitutes 5 percent’s of the GNP, holds relatively more jobs than other industries and deals with the economic life of more than 5 million people. Financial development of this industry will lead to the revivification of other industries. Ignoring this industry might make the achievement of Islamic Republic of Iran’s long-term development goals impossible. Hence, financing this industry is a major concern for policy-making and administrative bodies in Iran as well as automakers themselves.Using descriptive-analytical method, this research uses library resources for proving the hypothesis that “according to financial and economical criteria, standard parallel salam securities can be effectively used as an instrument for financing Iranian auto industry”. Findings show that salam securities can be a proper instrument for financing this industry, since it accords to microeconomic criteria, such as conformity with customers’ and investors’ goals and motivations and the degree of liquidity and efficiency. However, about macroeconomic criteria, such as influencing economic growth and development, distributional justice and the ability of monetary and financial policies, the success of salam securities will depend on a proper policy-making.

The purpose of this study was to investigate the influence of independent board members on the relationship between tax avoidance and the risk of falling stock prices of listed companies in Tehran Stock Exchange. To test the hypothesis,80 companies participated in a 6-year period (2007-2012). To test the hypothesis, a hybrid data model is used.The results show that there is no meaningful relationship between effective rate of tax in cash and long term tax in cash with the risk of falling stock prices, but there is a significant reverse relationship between the effective rate of commitment tax and long-term commitment tax with the risk of falling stock prices.

In this paper, the effect of the operating cash flow and capital structure decisions was examined on the investment decisions in the cases before and after the crisis separately for small, medium, and large firms. Sample of study included over 80 firms in the 12 years tested by using Estimated Generalized Least Squares (EGLS) estimation method and Generalized Moments (GMM) estimation method. The results indicate that there is significant and positive correlation between operating cash flows and investment decisions of Tehran Stock Exchange firms, while these firms have spent much operating cash in investment in periods after the crisis. In addition, there was significant and positive correlation between leverage and investment decisions of Tehran Stock Exchange firms in the period before and after the crisis, while this correlation declined in periods after the crisis. Results suggest that domestic cash flows have been used as sources of financing with significant application in three small, medium, and large firms. In this regard, medium and small firms significantly had the highest use of this resource for investment. Medium and large firms also significantly used debt for financing their investments.

Associated risks of an asset are unavoidable factors that affect the performance and return. One of the associated risks is cash flow volatility that affects stock return as an idiosyncratic risk. In this survey we investigate factors which affect stock return. In order to differentiate this survey from others our, focus is on relationship between cash flow volatility and stock return.This research is a descriptive-correlative investigation and the panel data is used for estimating model. This survey includes 116 listed firms of Tehran Stock Exchange during 2001 to 2010.There are 4 hypotheses in our research that survey the relation between cash flow volatility and return. Two hypotheses of this research are rejected and two of them are significant in 95% confidence level. Using panel data regression, the results show that stock return is negatively related to cash flow volatility and price momentum.

This paper aims to evaluate and analyze the relationship between value added intellectual coefficient and its elements with return on investments in companies stocks which are listed as food industry group in Tehran Stock Exchange during a ten year period of 2001-2010 and the necessity of financial reporting concerning the value added intellectual coefficient.The annual financial reports, specially income statement and balance sheet along with notes to the financial statements of observed companies during the above mentioned periods were used. The method of value added intellectual coefficient (VAICTM) was applied to measure the sum of capital employed efficiency and intellectual capital (human, structural) of mentioned companies.This empirical research was carried out by using multivariate linear regression test to analyze the data. The intellectual and physical capital of active food industries were measured, as well as their impact on return on investment in their stocks were tested statistically.The results of this test show that there is significant positive relationship between the value added intellectual coefficient and its elements with the return on investment in companies stocks. Hence, focus on proper management on the value added intellectual coefficient and each of its elements in food industry companies in particular and extending it to other industries can improve their return on stock. In this study, providing a suitable model in the financial reporting concerning the value added intellectual coefficient as a supplementary financial information can be useful for decision makers.

In this paper, efforts have been made so the suitable stochastic differential equation for Tehran Stock Exchange total index modeling to be chosen meticulously. To do so, first the necessity of stochastic models and derived stochastic calculus methods are explained, then the most important stochastic equations in finance (including geometric Brownian motion, model with jump term, nonlinear GARCH, variance-gamma model, Vasicek and Heston) are illustrated. Then the suitable model is selected using a practical approach and considering capability of each model to estimate value at risk and prediction of total index by Monte Carlo simulation method.Back test’s and fitness function’s results show that the model with a jump term is the most suitable one for value at risk calculation and nonlinear GARCH model is best for prediction of Tehran Stock Exchange total index.