FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2014 | Volume:6 | Issue:20|Papers Count:7

Value-at-risk is an important criterion for measuring risk in the financial markets that states market risk in a number‎. ‎There are some methods to calculate this criterion‎, ‎such as parametric methods‎, ‎historical simulation and monte carlo simulation that are expressed in the most contexts related to financial mathematics and financial engineering‎. ‎But all these methods of calculation follow the four-step process that are rarely seen in these contexts‎. ‎The complexity of the case in the financial modelings‎, ‎using these calculation methods is not efficient enough‎, ‎because of this‎, ‎using these methods need to consider the series of assumptions such as considering the specific distribution of the probability distribution of return on assets or a linear relation between risk factors and market value of assets and other assumptions‎. ‎Therefore‎, ‎this study in addition to describe the process of calculating value at risk‎,  how to implement it on an optimization model of investment‎, ‎considering the constraint on the value at risk‎, ‎without considering the specific assumption is expressed.

This paper aims to investigate and compare different ownership structure, dividend policy of Shareholders And concentration of ownership separate in listed companies in Tehran stock exchange. This study is Descriptive-applied which using cross-sectional data about 82 companies listed in Tehran Stock Exchange during the period 1383-1389 have been analyzed. Research hypothesis testing using analysis of variance (ANOVA) and significance test for comparison was done by Duncan test. According to the research hypothesis that there is a significant difference in the ratio of dividends to earnings per share(DPR) in different ownership structures in terms of both shareholders and ownership concentration. Research findings indicate significant differences compared to dividends pay-out ratio (DPR) The different Shareholders of institutional ownership, managerial, corporate and individual ownership and no significant difference in terms of ownership was concentrated or dispersed.The results indicate that companies generally do not follow the dividend policy of the specific process and specific and more based on random walk model act. However, Evidence indicates that firms with institutional shareholders, compared with corporate ownership, managerial and individual shareholders divided into more profits between its shareholders. Also be concentrated or dispersed ownership is not a significant difference in the ratio of dividends.

Analyzing most of world financial crises showed that, illiquid assets were the most important factor in the occurrence of these crises. So, it's necessary for investment institutes to consider liquidity risks in addition to calculate returns volatility risk in their long term investment strategies to gain the highest revenue. This research is going to suggest the optimum portfolio of Tehran Stock Exchange industries with focus in relationship between these industries and their bid-ask spread by VAR-Multivariate GARCH and Value at Risk approach. For this purpose, optimum portfolio of these industries was comprised in two cases-considering liquidity risk and regardless of this risk. Results showed that, Multidisciplinary industrial, Communication and Bank industries had the most quotas in portfolio, when we didn't consider liquidity risk. However Automobile industry will replace Bank industry if we consider liquidity risk parameters.

Prior studies studying the relationship between equity value and accounting information ignored the effect of investment growth. In this study, Using Zhang (2000) theory, we investigate the effect of investment growth on the relation of equity value and accounting variables in firms Listed with Tehran Stock Exchange from 2000 to 2010 using multiple regression models. The findings indicate that (1) growth increases the intensity of value earnings relation for high-profitability firms (consistent with growth having positive NPV), But for firms with low profitability, the intensity reduces, (2) given earnings, growth increases the intensity of relation between equity value and equity book value for low-profitability firms, but reduces the intensity of relationship and causes equity value to decrease with book value forhigh-profitability firms. Here investment growth is influential, and (3) given profitability (ROE), equity value uniformly increases with book value, in other words the relationship is positive and growth increases the intensity of this relationship.

The aim of this study is to investigate the empirical relationship between fiscal and monetary policies and nominal stock returns in Iran using quarterly data during the period 1999-2008. The results show that the stock market of Iran is inefficient with respect to fiscal policies since the lags of governmental expenditures and taxes have significant effect on stock returns. This means that market participants do not place much faith on news about fiscal policies while fiscal policies could adversely impact the stock market. According to the results of the estimated model, the lags of money supply have no effect on nominal stock return. Therefore, stock market of Iran is efficient with respect to monetary policies. The results confirm that, contrary to fiscal policies, market participants consider monetary policies as an important factor influencing stock returns and take the changes of these policies into account in their decision makings.

Generally, this species is thought that the presence of institutional owners may lead to changes incorporate behavior. Institutional owners are large investors such as banks, insurance companies, investment companies and pension funds. This study is an attempt to investigate the effects of different types of dominant institutional owners on the value of the accepted companies in the Tehran stock exchange. To measure the value of firms, Tobin's Q criterion is used as the dependent variable of research. The different types of dominant institutional owners (banks, investment funds) and the number of large owners (Second and Third Significant Shareholders) in the ownership structure are assumed as explanatory variables and variables such as firms’ size, firms’ leverage and age of the firm also assumed as control variables.For testing the hypotheses, the statistical "panel data" technique was employed. The statistical population included 63 companies during the period 2004 to 2009. The findings reveal a significant positive relationship between the dominant institutional owners and firms’ value in each of the types of dominant institutional owners, and the relationship between the level of voting rights in the hands of the second and third significant shareholders and firms’ value is significantly positive in dominant institutional owners of bank and investment fund.

This Study examines the role of foreign trade and Innovation by achievement of foreign technology on Economic Growth of Iran based on advanced theoretical models of Grossman and Helpman and Barro and Sala-i-Martin from1981-2010. Along with, the importance of net capital stock, foreign direct investment and intellectual property right has also been studied. By using the time series data, stationary variables and consistency of model checked and regression model have been estimated. The results show that factors such as Net capital stock, Innovation and   intellectual property rights respectively increase Economic growth of the country. However foreign direct investment has negative effect on it. Additionally, this paper indicates that the import of foreign technology do not effect on economic growth