FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2012 | Volume:5 | Issue:13|Papers Count:8

Investors try to gain more profit through investing in stocks. They often intend to invest in industries which have high return and less risk. Optimum decision making for investment in enterprises requires transparent and comparable financial information. Net income and related components are among information which is considered in decision making by users. As informational content of earning، by companies have the capability to influence the decisions of buying, selling or holding the shares by investors, so this study was conducted with the goal of determining the informational role of earnings on price and buy -hold return of shares. To do this, the effect of informational variables on the performance of 60 companies listed in Tehran stock exchange was investigated during 1383-1388. The methodology used in this study is correlation. To analyse data, we used multiple regression with cross-section panel data. Results show the direct and significant effect of earning on share market price, buy-hold return, buy-hold cumulative abnormal return and buy-hold abnormal return.

Investment in stock exchange is one of investments to increase investor’s wealth. There are three various methods for investment of stock exchange: fundamental analysis, technical analysis and Buy & Hold strategy. In this research, effectiveness of using technical analysis in Tehran Stock Exchange researched by focus on several important and applied indicators.Seven valid indicators in two type of technical analysis; trend and oscilators.This research is period of 4 years from beginning of 1380 to ending of 1383 s.br. Including of both Bull period (beginning of 1380 to mid of 1382) and Bear period (mid of 1382 to end of 1383) and 62 of best companies aspect of the number of trading days and with considering of trading costs.The results demonstrate that each of technical analysis indicators individually and combination of trend technical analysis indicators compared with Buy & Hold strategy cannot create high and abnormal return for their investors and chartists.But, combination of oscilator technical analysis indicators, specially relative strength index and stochastics, can create high return relative to Buy & Hold strategy significantly.

Correlated default risk plays a significant role in financial markets and business. Primarily because the risk, alongside time value of money and asset valuation are three components financial analysis. In general, risk and more specifically, Correlated default risk are basic elements affecting the financial behavior. There are also risks in the real world and an important part of the financial system is responsible for the distribution of risk.With the probability distribution of the assets of the institution, we can and will be enable calculated risk. In this context, Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo simulation. The standard simulation method, which leads to biased simulation estimators. In This study, we reviews and develops an exact simulation method for intensity-based models that leads to unbiased estimators of credit portfolio loss distributions, risk measures, and derivatives prices.The new method includes two steps. In a first step, we construct same distribution of Markov chains with the default status and in a second step; we compute function obtained in first step, using accepted / rejected method.

One of the most important concerns of investors in financial market is to select a stock or portfolio which is optimal in profitability. So a lot of methods related to stock selection have been introduced. The purpose of this study is to make optimal portfolio by hybrid of data development analysis (DEA) and goal programming (GP). Therefore the data which is related to 6 industries among Tehran Stock Exchange (250 firms) have been collected from October 2009 March 2010. The ratio efficiency of every industry’s firms has been calculated and the most efficient ones selected, and finally 48 efficient firms have been determined. In next phase after collecting data related to the criteria of investing for efficient firms, in order to determine F the linear programming has been used and to ensure the goals attainment with the low priorities, the result has been brought to goal programming model after a little coordination. In final phase investor has decided by considering priorities and his goals and using goal programming. The result show the complete achievement of (Beta), (Return), (Di) and (liquidity) goals and the incomplete achievement of (risk) goal and (Ci) goal has 2.27 units positive derivation and it was made a various portfolio includes 8 stocks among 250 stocks.

From 1980, when behavioral Faineance was raised, rationality of investors and stock exchange efficiency were criticized. The behavioral finance literature assumes that investors are subject to behavioral biases and overreact or under react to information received those results in stock misevaluation.In this paper stock misevaluation is measured following Rodes-Kropf et.al. (2005) and based on financial information of individual firms and industries.This model presents a new measure of examining misevaluation and predicting future stock return.After examining the models in Tehran Stock Exchange (TSE), we construct portfolios on Misv and then investigate investor’s reaction to the information trends.The results show that there are overreactions and under reaction in TSE affected by Representativeness bias and overconfidence and MISV is related with firm size, B/M ratio, and liquidity rate, firm age, past stock price and return and EPS.

This paper examines the main macroeconomic variables, including inflation and interest rates will. Some policymakers and experts believe the increase in interest rates increase production costs and consequently increase the price level and inflation. On the other hand, according to economic theory, Increase in interest rates will rise in inflation rate. The aim of this research is to study relationship inflation rate with one year short term interest rate, Three-year medium-term interest rate and Long-term interest rates (5 years) by using Least squares estimation methods and econometric models Fisher is a particular model. Purpose of interest rate in this study, Bank deposit interest rate is to be announced by the Central Bank of Iran and the inflation rate based on the total index of consumer prices for goods and services in urban areas of Iran where the annual percentage change in prices (inflation) has been calculated by the Central Bank, Is extracted. Data used in this study for a period of 18 years (1991-2009) is. Results indicate a significant relationship between inflation and interest rates are one year. And the inflation rate with The three-year and five years interest rate Not found a significant relationship.

This paper propounds to examine the day of the week effect on the returns of daily stock price entire index, in Tehran Stock Exchange market during 1383 to 1388. Various approaches have been presented for investigation about calendar effects on stock returns. We apply "Fuzzy regression with triangular membership function". This approach's base is, the fuzzification of the dummy variables through fuzzy logic. In fact, fuzzy logic regression enables us to capture the impression and nonlinearities in finance and human behavior which are main characteristics in finance industry and furthermore, avoids the classification of dummy variables to values of one and zero, as we do in the traditional statistical and econometric methodology. The paper concludes that using fuzzy regression will lead to a positive effect on the returns on Sunday and negative returns on Tuesday.

One of the most important goals of economic policy maker is accessing to low inflation. Accessing to this goal, promote the life standards. For this purpose varied policy is decided. One of these in Iran is financial repression. Financial repression inclusive decreasing at interest rate, increasing at liquidity rate and legal reserve rate.In this essay we analyses effect of financial repression on inflation. To carry out this analysis, we employed vector auto regressive method from 1352 t0 1387, time series data of Iran. The result shows increasing at legal reserve rate, increasing inflation.