FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2013 | Volume:6 | Issue:17|Papers Count:8

According to the traditional view about stock return, stock price changes are due to systematic changes in the fundamental values of the firm. However, recent researches suggested that the investor sentiment plays a key role in price determination and explaining time series yields, especially for those stocks which valuations are highly subjective and difficult to arbitrage.This research investigates the impact of the investor sentiments on stock return of selected portfolios which were sorted by different parameters such as size, price, book-to-market value ratio and institutional ownership ratio during 2002 to 2010. Monthly return for each portfolio was calculated based on monthly return of each company by using equal weight strategy. Finally, the coefficients were estimated by using multivariable regression method on the model as time series. For this purpose, the four factor model of portfolio of market, the firm size, book-market-value ratio and investor sentiment were used in order to explain the return. According to the results of the study, there is a positive meaningful relationship between investor sentiments and stock return of the companies which have minimum size, book-market-value ratio and institutional ownership ratio.

Financial development and investment, including signs, symptoms and characteristics of financial depth on growth and the significant impact of economic development, has direct and positive. Financial Deepening, financial development and signs of financial system development are introduced. Different studies has shown that financial development, including components of development of industrial and developing countries respectively. Taghavi (2008) in a research based Gupta (2005), believethat greater financial depth in the economy represent the most financial development, to measure the need for indicators that are representative of this variable. This research used the historical understanding of the scientific principles and theoretical framework has been implemented library study that aims to provide indicators to measure financial depth and explain its relationship with development of the financial system and economic development based on research earlier. The results led to the identification and introduction of measurement indicators of financial depth was also shown that between financial deepening and development of the financial system and economic development and a significant positive relationship exists.

The purpose of this study is survey of relationship between accruals quality as index of information risk and cost of capital in Tehran Stock Exchange. In this study to measure the quality of accruals was used of McNichols model–based estimation error approach. While in previous research wasn’t distinguished between components of cost of capital, in this study showed that cost of capital to be divided into two components: 1. gross cost of debt, 2. adjusted common stock cost which was required at least four registered companies for estimation in each industry. Research’s hypothesis was examined and tested based on a statistical sample which was consist of 80 companies during 5–year period from 1384 till 1388 with using multivariate regression model and cross–sectional data. Accruals quality have been separated into innate and discretionary components in order to the result of both component to be considered on cost of capital. The result shows that there was meaningful relationship between accruals quality and cost of capital. In other word, the cost of capital in companies which have low accruals quality is more than ones which have high accruals quality, and also there was meaningful relationship between components of accruals quality and cost of capital but can’t be said that innate component of accruals quality have more influence over cost of capital than its discretionary component.

This research examines the effect of financial reporting quality on idiosyncratic return volatility in the companies listed in Tehran Stock Exchange during a period of ten years (from 2001 to 2010). In this research, earnings quality index based on Francis (2005) has been used to measure financial reporting quality and three-factor model of Fama and French (1993) has been used to calculate the idiosyncratic return volatility. For data analysis the linear multiple regression with use of panel data has been employed. The results show that financial reporting quality has the inverse effect on idiosyncratic return volatility. Results of the research also indicate that annual stock return, financial leverage and operating cash flow of next year have direct effect on idiosyncratic return volatility. Also the firm size has inverse effect on idiosyncratic return volatility.

The fast procedure of changes that has been happened in domain of information technology and communication specially in internet, is influence of that, for example in the field of accounting lead to a new field for financial reporting that nowadays we called that “Financial reporting under the web”.According to importance of this type of reporting that can have important effect to deciding of financial information’s users, researcher tries to study impact of internet financial reporting on stock price in accepted companies in Tehran stock Exchange during the years of 1388 & 1389.This test by using 1 sample “t” test has done. For testing second hypothesis for 2 independent samples, will be used “t” test. Results show that there is a difference between averages of stock price of companies that use internet financial reporting in after and before of internet financial reporting but There is not deep difference in average stock price between companies that use internet financial reporting and not use internet financial reporting.

The article study empirically IPO trading volume impact of the disposition of the loss aversion in Tehran Stock Exchange. The IPO data come from in Tehran Stock Exchange between 1382-1388. In IPOs all initial investors have a common purchase price and the disposition effect should thus be at its strongest. This is result of the two step method. The first step are used OLS as a second step are used data panel. in first step are calculated normal trading volume  and residuals then in second step are used residuals and dummy variables for examined disposition of the loss aversion.Based on the discussion above, It formulate the following hypotheses:There is an increase in trading volume for negative initial return IPOs as they exceed the offer price & There is an increase in trading volume for positive initial return IPOsas they fall below the offer price & There is an increase in trading volume for IPOs as their stock pricesreach new record highs or low.While this finding can be consistent with loss aversion, it isalso consistent with other explanations.

With increasing trade countries, exchange rate fluctuations in companies are considered as one of the main sources of risk. Elevating in the exchange rate, export companies gain the more efficiency. In this research, we investigated relationship between exchange rate fluctuations and stock returns in empirical model. Samples consisted of 75 exporting companies listed in Tehran Stock Exchange during the 36 month period from 2007 to 2010. In this study after study stationary data, panel data and multiple regression analysis with E-Views software and panel data models, assumptions and continuous research on the effect of having this relationship was used. In generally, it suggested that the contemporaneous exchange rate changes have a significant impact on stock returns and lagged exchange rate have not a significant impact on stock returns.

The present work examines the contra trading strategy in obtaining Average Cumulative Abnormal Return (ACAR) in Tehran Stock Exchange. Based on this strategy, the Loser Stocks should be purchased while the Winner Stocks should be sold out. The strategy is advised because the stock market and the stock holders show excessive reactions to financial information published, so that the Winner Stock tends to be priced higher and the Loser Stock tends to be priced lower than its real value. One of the reasons for an abnormal stock market is excessive reactions shown against financial information published. To test this strategy, winning and losing portfolios were produced for winner and loser stocks over a four-year and a six-year period. The test was administered on the data obtained from 76 firms listed in Tehran Stock Exchange between 2004 to 2011. The results of the data analysis computing t-student distribution show that investors cannot get an Average Cumulative Abnormal Return.