FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2012 | Volume:2 | Issue:9|Papers Count:10

The aim of this paper is evaluating performance of 50 active companies in Tehran stock exchange. A long research, between 2006 and 2009 were considered. Convenient sampling was the sampling method of choice in this study, thus we just selected the companies that during period their stock was actively traded on the Stock Exchange and their relevant financial information was available. In order to measure their performance, according to the Post modem portfolio theory Excess Return on VaR, Sortino Ratio and M3 Measure used test the hypothesis that through statistical tests to Independent Samples Test and ANOV A with Tukey test was performed after the Results showed that the performance 50 active companies in Tehran Stock Exchange according to the M3, SORTINO, EROV Measures average differ with each other. Of course, with significantly different performance EROV Measure was better. And Sortino Measure were in second place. Finally using the statistical test, 50 active companies of performance evaluated compared with market in the stock that any of the Measures better performance the companies against the market did not show.

The main object of this paper is use of AHP-Fuzzy & Goal programming for ALM on resource allocation. This study examined Goal programming for resource optimization allocation. The results indicate that goal programming help to managers for resource optimize allocate.

According to the efficient market hypothesis, prices in stock market follow the random walk theory. In such market, data are published rapidly and affect on stock price, so stock returns can not be predicted based on past prices. So a large proportion of financial theory is extended based on random walk models for asset prices and returnes. Long memory is one of violation of efficient market that tells time series of capital market index do not follow from random walk theory. This study examined long memory as one of the properties of time series for Tehran dividend stock price index and industrial index. to test the assumptions, Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is used. The results indicated that the concept of long memory existed for two index in Tehran stock exchange.

Achieving maximum of profit is the main goal of any company. As the decision makers, managers, need to find the best combination of debt and equity structure as the main sources of financing. Capital structures theories are the result of the attempts to find the optimum combination of the funding-resources. This research surveys the Market Timing theory in 225 companies for 9 years. This research applies Artificial Intelligence analysis besides Ordinary Least Square (OLS) analysis and will compare them. The results indicate the significant relationships between Size, Market to Book Value ratio and Profitability with dependent variable. Higher explanatory power of Artificial Neural Networks model (ANN) versus OLS regression is the result of the comparison.

This study analyses momentum strategies in Tehran stock exchange (TSE). The first phase examined that which strategies exist in TSE. In late phase was examined that four factors: Trading volume, Institutional Investor holding rate, free float stock and base volume are effective on return-base investment strategies. Additionally, study follows a five-factors model to determine share every factor for anticipate cross- sectional returns of momentum portfolios.The finding in this paper show that a strong moment effect, in short term, present in this market, this strategy can create abnormal return in shorter holding periods of up to 12 weeks. Further analyses reveal that the profits generated by such investment strategies can not be explained by either the institutional investors or free float effects. But trading volume and base volume is useful for predicting cross - sectional returns for portfolios with different ranking and holding periods, especially for short term periods.

This research exploits Roy and Maiti model (1993) which is in respect of Fuzzy Goal Programming (FGP) in order to determine optimal portfolio and research goal is to determine (identify) optimal portfolio model using of Fuzzy Goal Programming and including it (its involvement) for two unique investment companies which are accepted in Tehran Stock Exchange. In data analysis, percentages scale less-making is used. Regarding to exerting the model in two unique investment companies during the years 1387 and 1388, research results represent that model application can provide a particular position for better and, more precision adjustment recognition- of investment companies portfolio in order for easier decision -making of investors.

Exchange Risk can be defined as losses resulted from volatility of Exchange Rate and also asset prices. This applied research studies the foreign currency assets of the Mellat Bank, using daily Value at Risk (VaR) in the year 2010. Data is gathered from ledger of the Bank.Moreover, daily market risk was measured by Marginal VaR (M-VaR). According to the research hypothesis the foreign currency asset-independent variable- has an increasingly risk through 2010. Considering the results of the tests such as means comparison and t-test, the hypothesis sounds significant. Also, analytical regression model confirms the efficiency of the model.

The aim of the study, determining factors in attracting investment capital The Aras is free. The method of study, survey, and as objective, is applied. The research instrument was a questionnaire consisting of five variables. the statistical community, including contract personnel, officials (experts) and the executive authorities of the Aras Free Zone Organization, capital Other experts makersr-and experts in this field, about 350 people that are the sample size based on table Morgan, 191 is selected. To test the Assumptions SPSS16 software and statistical T-test was used. After identifying the factors attracting investment in Aras Free Zone,. prioritize and determine the role of each of the factors affecting the absorption of capital by using the software Expert Choice software and hierarchical analysis model (AHP) was used. The results of all cases (operating facilities, operating rules and regulations, operating policies, management agent, locate causes) among the factors attracting investors are Aras Free Zone. Results Analytical Hierarchy (AHP) revealed the fact that the abusive policies of government in the macro level of society and lack of transparency and efficiency of some of the rules relating to free zones, respectively, with a coefficient of priorities in 0.11290, 0.1230, the most difficult area in attracting domestic and foreign capital is considered. Lack of strong and efficient executive management level in Aras Free Zone with a coefficient of preference 0.1119, lack of infrastructure and public services in Aras Free Zone with a coefficient of preference 0.1085 and Built with a coefficient of 0.0986 are the next category.

Movements and changes in the panels of stock market, represent the firms' status. So, predicting the firms' future position in the panels of stock market, is one the important issues in selecting stock. This study examines the ability of MCDM techniques (FAHP & TOPSIS) to anticipate the firms' future place in the panels of Tehran stock market.Results show that registered capital and cash flows are the most influential factors to predict the firms' future position. Also, the ability of MCDM techniques in anticipating the firms' future status in the panels of Tehran stock market is 73.3 percent.

Liquidity refers to quickly convert investments into cash or assets with minimal cost and in less time. An important role and impact of investment attractiveness, is that investors make decisions and allocate resources properly. In fact, the lack of liquidity that is liquidity risk may have a negative effect on shareholder value.. In the present study with regard to the importance of the relationship between risk and shareholder value, the influence of the risk of liquidity and risk factors; size, ratio of book value to market value (BM) and P/E of pricing the shares for the period 2001-2009 at the Tehran Stock Exchange was investigated.Amihud illiquidity-is used as proxy liquidity risk, for this-panel data regression approach-Panel least, square (LS). models was used due to advantages such as reduction of co-linearity between variables and estimation bias and measuring the effects on cross-sectional and time series data is identified. The results show that liquidity risk and firm size have statistically significant impacts on the stock price at the Tehran Stock Exchange, and P/E, ratio of book value to market value of companies have statistically insignificant effect on prices and further indicate the importance of liquidity and risk variables as compared to P/E and BM in pricing Tehran Stock Exchange.