FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2019 | Volume:12 | Issue:41 |Papers Count:17

This research analyzed the impact of debt maturity and financial reporting quality on under-over investment. Investment inefficiency (under-over) is measured based on the model presented by Biddle et al (2009) and financial reporting quality is measured based on the model presented by Dechow & Dichev (2002). The research sample includes 219 companies listed in Tehran Securities and Exchange over the period 2010-2014. Results showed that financial reporting quality and short debt maturity have significant and negative impact on Investment inefficiency. These analyzing also have done in two categories such as over investment observations and under investment observations. Results suggested that financial reporting quality has significantly negative impact on over investment, but no impact on under investment. Short term debt maturity has no significant impact on over investment and under investment. Other results showed operational cash flow, tangibility and volatility in operational cash flow have significant and positive impact on over investment; sales volatility has significant and negative impact on over investment. But age, growth opportunity, loss and size have no significant impact on over investment. Also, size has significant and positive impact on under investment; growth opportunity and tangibility have significant and negative impact on under investment. But age, operational cash flow, loss, sales volatility and volatility in operational cash flow have no significant impact on under investment.

In stock market studies, instead of estimating returns and their distributions at a given time interval, extraction of optimal time and time distribution can be obtained to achieve a certain return. Distribution of time, is called distribution of investment horizon and optimal time is called optimal investment horizon. In this study, distributions of investment horizons and optimal investment horizons through Inverse Gamma Statistics method based on Johansen, Jenson and Simonsen(2006), for the TEPIX and several price indices of the world's major stock exchanges (Nasdaq, Dow Jones Industrial Average, Nikkei 225, Paris Stock Price Index, and S & P 500) is estimated. According to the results, achieving a yield of +5% in TEPIX takes 14 days and a 5% loss takes 15 days. Results on other stock market indices of the world are also examined.

Today, understanding the concepts and skills associated with financial literacy and intelligence is essential, because it is capable of maintaining the consumer in order to survive in modern society and resist the diversity and complexity of existing financial products and services. This article aims to explore the impact of financial intelligence on the behavior of customers that using credit cards in branches of Bank Mellat in Tehran. In other word, this paper aim to realizing customer's behavior and planning for appropriate action for the optimal use of credit cards by them. For this purpose, out of the 3, 600 customers of the Mellat Bank, 347 persons has been selected by Cochran's sample size formula at the level of %5. A standard questionnaire has been used in order to collect data. With Cronbach's alpha 0. 962, the reliability of it has been confirmed. In other side to questionnaire content validation and verify the factor structure of a set of observed variables used from Confirmatory factor analysis (CFA) Method. Also, to analyze the results of the questionnaire using structural equation method via Lisrel software. The results show that the financial intelligence on the behavior of customers using credit cards in branches of Bank Mellat in Tehran is effective. Also the financial behavior and financial education are directly and indirectly effective on the behavior of using credit cards among customers of Mellat Bank Branches in Tehran, but financial literacy has no effect on the behavior of using a credit card.

The classical efficient market hypothesis states that it is not possible to beat the market by developing a strategy based on historical price series. In this paper we propose a profitable automatic trading system based on the divergence definition in relative strength index and using other technical analysis tools which presents empirical evidence confronting the classical efficient market hypothesis. In order to validate the developed solution an extensive evaluation was performed, comparing the designed strategy against the market itself and several other investment methodologies. An intraday database comprised of 59 symbols from NYSE in The time span 2010 to 2016 was employed. The whole sample is categorized over two sub-periods, training and widening its validity. By enjoying Meta-heuristic algorithms the rules in the first sub-period was improved. Then, in the second division the improved model was evaluated. The results indicates that this model improved predictability power and its performance is better than buy and hold and random strategies.

Investors and traders in financial markets, use fundamental analysis, technical analysis or their combination to achieve abnormal returns and beat the market. In recent decades, although numerous researches are done to assess the usefulness of technical analysis methods, a large number of techniques that are more subjective and abstract and hard to quantify, are left out. In this research, based on previous studies that have shown momentum effect in stock returns in the short-term and reversal effect in stock returns in the long-term, and by using stock’ s major historical highs and lows, that are systematically and directly identified through price charts, three trading strategies are developed and designed and after being implemented in 226 stocks in the Tehran stock exchange over the six year period of 1390 to 1395, results indicates that the returns of all three designed trading strategies, in gerenal, are considerably higher than buy and hold strategy.

Purpose of this study is to investigate relationship between book leverage adjustments on market leverage in Tehran Stock Exchange companies. The research period is from 1390 to 1395 and 121 companies were selected as samples. In order to analyze research data in panel, a multivariate regression model has been used in the Eviews econometric software. In this research, dependent variables of leverage changes were used. The difference between book leverage and market leverage is independent variable, and firm size, profitability, cash flow fluctuations, ratio of tangible assets and book value to the market are also used as control variables. The results obtained using the modified regression model for research hypothesis show that there is a significant relationship between changes in book leverage and difference between book and market leverage. However, there is a significant relationship between dependent variable (changes in book leverage) and control variables of profitability, market to book value, ratio of tangible assets and firm size.

In this study, in order to investigate the hypothesis of Heterogeneous agents in the Tehran Stock market and for examine empirically the importance of fundamental analysts and technical analysts in Tehran Stock market and the effects of macroeconomic variables on the share of the decision-makers in the stock market, we have used Tehran Stock Exchange data and Iran's macroeconomic time series data to estimate the STAR model with multivariate transition function over the seasonally period 1376 to 1393. The results of the model indicate that the share of market fundamentalist analysts when high risk and high volatility in stock price indices in the market there is more than technical analysts. Economic growth also took a larger share of the market analysts use technical analysis agents Therefore market prices diverge from their fundamental value. Also during that industrial production in the economy increases fundamentalist analysts are dominant in the stock market and Prices gradually converge towards the base price.

Formal portfolio optimization methodologies describe the dynamics of financial instruments price with Gaussian Copula (GC). Regardless of the skewness and kurtosis of assets return rate, optimization with GC underestimates the optimal CVaR of portfolio. In the present paper, we develop an approach to portfolio optimization by introducing Lé vy processes. It focuses on describing the dynamics of assets’ log price with Variance Gamma copula (VGC) rather than GC. Doing a case study on three Indexes of Iran Stock Market, the best hedge positions of Total Index, Market Index and Industry Index with the performance function CVaR under VG model were calculated. The results indicate that (a) VG copula can efficiently overcome the shortcomings of Gaussian copula which underestimates the CVaR of portfolio; (b) optimal portfolio, VaR and CVaR keep stable each time one parameter of sample’ s skewness or kurtosis was changed, but the optimal portfolio change significantly when the sample’ s mean increases or decreases; (c) different copula lead to different optimal CVaR; and (d) fat-tailedness and kurtosis are extremely important in portfolio optimization framework.

Due to the dynamic changes in the economic environment, particularly in financial markets, to improve the financial knowledge of investors, financial literacy is a necessity leading to informed financial decisions. This study aimed to identify the consequences of financial literacy on investors' decisions and investment performance in Tehran Stock Exchange. In this field study, a standardized questionnaire was used for data collection. The population was composed of individual investors in the Tehran Stock Exchange, and of this population, 344 investors were selected by simple random sampling and were analyzed using Cochran formula. The structural equation modeling and LISREL software were used to assess the relationships between variables. The results of goodness of fit indices such as RMSEA, GFI and AGFI represented the good fit of the model and the utility of results. The results indicated that the impact of the financial attitude and behavior on financial investment decisions was significantly positive. The investment decision also had a significantly positive effect on investment performance

The most important microeconomic theory and theories of modern finance is that the value of the investment, increase profitability, rationality and perfect information, lies. But recent research shows that the value of investment in various aspects and influenced by various factors, including the role of financial inclusion and literacy. Leading financial inclusion and financial literacy study to evaluate the impact on the perceived value of investing in the stock market took place. This is a usability study of its kind, was a cross-sectional survey was conducted. The population of Hamedan an unlimited number of active investors in the stock exchange were estimated from a sample of 384 members was selected randomly and without replacement. Data collection instrument was a questionnaire and field data collection. In order to analyze the data structure based on partial least squares path modeling was used. The results showed that inclusion and financial literacy and Mvlfhhayshan significant impact on the perceived value of the investor's investment. As well as evidence of a direct and positive impact on the inclusion of financial literacy and financial parameters were observed.

Investors are always looking to achieve and use strategies to gain abnormal returns and to beat the market. In this regard, the use of quantitative models in recent years has attracted the attention of many investors. So far, several studies have examined the profitability of Momentum Trading Strategies, but few studies have been conducted in the field of stock selection based on the price momentum strategy, taking into account the relevant risk. The present study, considering changes in price and risk, propose a new model for stock selection based on the momentum strategy. The results show that there is a significant difference between the optimal portfolio returns resulting from the selection of the stock using the proposed model and the market portfolio returns (Tehran Exchange Price Index), and the optimized portfolio has a higher returns at times 3, 6, 9 and 12 monthly compared to the market portfolio.

The observed crises in the banking systems of the countries are mainly due to inefficiencies in credit risk management. Due to the large volume of bank facilities, the risk of repaying them is a big challenge for banks. Therefore, in this paper, we have designed and developed a credit risk model in the banking system of the country by multilevel models. As a result, we use a logistic regression method to analyze the credit risk of legal clients of the country's banking system in a multi-level manner. The total number of observations used in the estimation of this model includes 5925 records of legal persons who have received Persian, Entrepreneur, Sine and Diet facilities. Determination of variables in the estimation of this model has been selected based on the step-by-step method. The results show that changing business at the first level will not change the credit risk of legal customers. Also, given that the coefficient of the third level is much higher than the first and second levels, displacement and change in the business within the second level, compared to the first and third levels, will have a much higher effect on the credit risk of legal customers. Therefore, the banking system should be more sensitive to the activities of the second level.

The aim of this research is to examine the performance of a trading strategy based on stochastic dominance in Iran’ s stock market. To achieve this purpose, we used a sample including the daily returns of the stocks listed on Tehran stock exchange, between 2001 and 2015, and exploited the portfolio study approach. In this way, for each month portfolios are constructed based on second and third degree stochastic dominance, by buying the dominance stocks and selling the dominated ones. Then the performance of this trading strategy is tested with the respect to the obtained alphas from an extended five-factor model. The results show that the arbitrage portfolios based on stochastic dominance produce positive, statistically significant, excess returns. In addition, these returns are robust even after being adjusted to risk premiums (Market, Size, Value, Liquidity and Momentum premiums). Consequently, the results support the fact that the stochastic dominance factor is engaged in pricing of the Tehran stock exchange. Moreover, it is crucial to notice that the potential price distortions related to infrequent trading have an enormous impact on the results of the study.

The nature criticized usury bonds and the need to replace the legitimate means of monetary policy, such as Musharaka securities and Ijarah securities, to fight inflation and recession on the one hand and on the other hand inefficiency of Musharaka securities in practice, leading some Islamic countries in the Ijarah securities and ability to provide assets and liquidity of the natural and legal persons, in conditions of severe financial restrictions and sanctions of country, by issuing Ijarah securities, are other factors and causes the necessity of applying the attractiveness of Ijarah securities in Iran. This paper seeks to understand the necessity of using financial instruments, as a requirement of undeniable economic and explain the characteristics of Ijarah securities, reviews devoid of the financial instruments from the elements of interest, Gharar and simulation as important criteria of Islamic jurisprudence and concern of the Islamic scholars as an important issue, and with half a glance at the problems and shortcomings Musharaka securities in practice, because of the benefits of Ijarah securities, rather than the Ijarah securities, and the conclusion of it will explain, which has been less attention.

The role of corporate governance in today’ s corporate world is gaining importance day by day. That is the very reason academicians around the world are paying more attention developing and testing the existing and new practices of corporate governance. The board of directors is considered as one of the most important dimensions of effective corporate governance since it becomes a key mechanism to mitigate conflicts between shareholders and managers. The aim of this paper is to investigate and rank the Board of Directors and committees of 36 bank and credit institution operating in the IRAN non-usury banking system from the perspective of corporate governance. In this paper, after reviewing the literature of Board of Directors and committees and previous research on this subject, extract the board of directors and committees of Iranian banks to assess this subject in the Iranian bank, and then ultimately rank Iranian bank on this basis. The research method used in this research is content analysis. The results show the inappropriate status of board of directors and its committees in state banks and appropriate status in some private banks.

The aim of this paper is to investigate the relationship between the restatement of information and information asymmetry amongst the companies listed in Tehran Stock Exchange. In this paper, the extent of the relation between leverage, return on the assets, size of the company, operating cash flow as control variables with information asymmetry before and after annual general meetings has been tested. To test the hypothesis, totally 76 listed companies in Tehran Stock Exchange in the time period of 5years (from 2009 to 2013) have been selected randomly in panel structure. The results show a significant and positive relationship between information asymmetry before general annual meeting and prior period adjustment as well as negative significant relationship with size of the companies. While, the significant relationship between information asymmetry before the meeting and the other variables including return on the assets, leverage and operating cash flow is not approved. Furthermore, no significant relationship between information asymmetry after general annual meeting and prior period adjustment and the other variables such as size of the companies, leverage status, return on the assets and operation cash flow has been approved.

Field: In organizational arena, outsourcing processes and creating company networks considering new period of globalization are outdating. In recent framework, some mechanisms like crowdsourcing are defined as outsourcing to crowds, getting, managing, or utilizing what is called ‘ massive capital’ are considered as the ability of large number of people in relation to organization and responses to recent changes. Purpose: This research aims to propose a model for crowdsourcing in Keshavarzi Bank with science-based companies’ centrality. Method: this research is qualitative which is done by data-based method using precise interviews with experts to propose a model for crowdsourcing, the sampling is snowball and for analyzing the qualitative data, Max Kiva Software has been used. Results: Analyzing the qualitative data is done according to three-stage Strauss and Corbin coding approach and the results show that major components for crowdsourcing in Keshavarzi Bank with science – based companies centrality including crowd sourcing factors( structural factors, relation factors) crowdsourcing phenomenon(cognitive factors making smart organizational process, making smart financial resources, making smart human resources, informational smart making), accelerating or slowing crowdsourcing(outside issues and costumers), the groundwork factors of crowdsourcing( psychological and emotive factors and inter organizational factors), procedures for extending crowdsourcing (designing unified entrepreneurial human resource management system, designing protective system for spiritual and mental resources, social accountability, designing value-creating system) and the results of crowdsourcing (individual, organizational, social level).