FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)
Year:2021 | Volume:14 | Issue:49|Papers Count:11

The purpose of this study is to investigate the relationship between conservatism and stock price crash risk with emphasis on debt maturity in the life cycle of companies listed in Tehran Stock Exchange. For this purpose, the financial statements of 106 companies were collected during the period 2011-2017. Multivariate regression with combined data was used to test the hypotheses. The Givoly & Hayn criteria were used for conservatism and the negative skewness criterion was used to stock price crash risk. The findings of the first hypothesis test suggest that there is a relationship between accounting conservatism and the stock price crash risk. In other words, conservative practices will reduce the stock price crash risk. The findings of the second hypothesis test also suggest that debt maturity has a moderating role on the relationship between accounting conservatism and stock price crash risk. In the life cycle stages, the above hypotheses were confirmed in the maturity and growth stages. In other words, conservatism reduces the likelihood of bad news coming into the market, thereby reducing the stock price crash risk. Debt maturity also increases the ability of conservatism to reduce the stock price crash risk.

Given that investing in the stock market is associated with risk, measuring it is one of the most important issues for investors. The present study measures risk measurement by the measure of risk. In this study, the value at risk, using the GARCH, APARCH and GJR models with normal distributions, T-stents, T-stents, strings and strings, including string distributions; the reverse distribution of normal GIG (NIG) and generalized hyperbolic distribution (GHyp) is estimated. In this study, to measure risk, the efficiency of Tehran Stock Exchange index in chemical industries and total index has been used. The time period in this study includes a seven-year period with a daily frequency during the period of 05/01/1392 to 28/12/1398. The results showed that the Garc models were more accurate with the Levy distribution, and among the Garc models, the GJR model was more accurate, considering the Lou distribution and the Skewed-t distribution used among the other models.

The main purpose of this study is to investigate moderating effect of investor's attention and investor's participation on the relationship between initial returns and divergence of investor's opinion in companies with initial public offering. The total of 124 IPO companies during 2006 to 2018 at Tehran Stock Exchange was analyzed. This is an applied research in terms of purpose and descriptive-post-event research regarding data collecting method. The research hypotheses are examined using Eviews8 software. The findings indicate investors' attention has a negative and significant effect on the relationship between initial returns and divergence of IPO investor’ s opinions. Moreover, the micro investor's participation has a positive and significant effect on the relationship between initial returns and the divergence of IPO investor's opinions. The finding is consistent with the view that the level of individual investors’ participation has an implication on behavioral bias, which affects divergence of investor's opinion in the after-market.

By the fact that most of the public and private sector financing comes from the country's banking sector, It is important to maintain stability and prevent a crisis in the banking system. The purpose of this study is to identify the banking crisis using the Banking Stress Index in the Iranian economy for the period of 1398-1388. The Banking Stress Index is the best benchmark for assessing the banking crisis that reflects uncertainty, instability and financial friction in the banking system. In this study, the design of a bank stress index was performed using a dynamic factor model. This model is estimated by the maximum likelihood method and the stochastic pattern of missing data. Using six variables determining the banking crisis in the country, two banking stress indices with two different natures have been estimated in time series to examine the stability of the banking system. Finally, both indices of stress showed estimation; there is a precise timing of the coincidence between the greatest amounts of bank stress and the shocks to the Iranian economy. It was also concluded that bank stress indicators reflect the effects of external factors, including sanctions on the banking system fundamental weaknesses of the banking system, as well as being able to predict banking crises

In the context of defining financial stability and systemic risk, the occurrence of phenomena such as bank panic and credit crunch can be considered as examples of instability in the banking system. Most studies in this field rely on definite and post-event events, which, along with other factors such as lack of attention to the different structure of banking systems, lack of localization of indicators and over-simplification of patterns used, has led to emerging markets and economies. Developments such as Iran do not report the occurrence of events indicating bank instability, so studies aimed at covering the shortcomings of previous studies and using theMarkov switching model were designed based on the monetary market pressure index approach for the Iranian banking system. That the findings indicate the existence of a signal Lehigh banking crises forThe voting period of the fourth season is 1979 to the third season of 1980, the period of the first season is 1984 to the fourth season of 1986, the period of the second season is 1991 to the third season of 1996 and the period of the second season is 2011 to the third season of 2015.

One of the most arguable discussions in financial and investment scope is cash interest division of companies and has considered by the great numbers of economists and directors. Therefore, this article shall be study the relationship among shareholders, creditors and government considering to dividend policies approach to game theories. Playing of three players is kind of pure Constant-sum gamer considering to Perfect Information and Non-zero sum game, and any of the players has three strategies in decreasing of paid cash interest and increasing and preserving of current status. The balance point among three players is viewpoints that shareholders are tend to conserve current status and government and debtors tend to decreasing of cash interest. But Board of Director members, managing directors and other directors are assigned directly or indirectly by the shareholders, therefore directors’ decisions may be different from balance point and it shall result in their viewpoints be considered more preferable than the others.

Each set of wavelet coefficients contains part of the time series at different time scales. Implementing wavelet transforms by utilizing the best wavelets at the right levels will have a significant impact on financial analysis results. Therefore, the present study seeks to present a proposed model for measuring firm financial sustainability by using an economophysical method using a sample of 86 companies listed in Tehran Stock Exchange during 2015-2019. The results of the research hypothesis show that the prediction of financial sustainability based on the economophysical method can provide better results. According to the findings of the study, it can be stated that the dendrogram observed in the Dabshiz wavelet is more accurate in decoupling and consequently clustering.

The purpose of this study is to test the transmission of price fluctuations of physical assets to the returns of selected industries including the chemical, pharmaceutical, food, construction and basic metals industries. For this purpose, the data of selected industries return index, dollar rate, Bahar Azadi coin price (representative of gold market), Iranian crude oil price and housing price from mid-December 2008 to March 2019 were prepared with daily frequency and using conditional heterogeneity variance method and state space approach and Kalman filter, conditional standard deviation of returns is considered as a measure of fluctuations. Then, using the ARDL method, how the fluctuations in the price of physical assets are transmitted to the index of returns of selected industries is described. The results show that the chemical industry from the fluctuations of the foreign exchange market, housing and gold, the pharmaceutical industry from the fluctuations of the oil, foreign exchange and housing markets, the construction materials industry from the fluctuations of the foreign exchange market, the food industry from the fluctuations of the oil market and the basic metals industry from the market fluctuations gold has a contagious linear system that provides evidence of information inefficiency in the Tehran Stock Exchange industry.

one of the basic foundations of decision making is financial statements, especially income statement, Which is the result of the performance of an entity. In times of crisis, because of low profits, Leads the Decrease of firm value and decrease Directors bonus, companies are more motivated to manage earnings and Analysis the quality of earnings is especially important in times of crisis. In this study, the relationship between the quality of earnings and return of companies and the impact of currency crises on this relationship was investigated. To evaluate the quality of earnings three criteria was used: gross profit Realization, cash flow of earnings and real profit management, and the exchange market pressure index is used to measure the crisis. For this purpose, a sample of 77 companies listed in the Stock market during 2008-2018 was surveyed by Systematic Removal Method. And to test the Hypothesis, Eviews software and dynamic models were used. The results indicate that there is a positive relationship between earnings quality criteria and return and The reverse effect of the currency crisis has been on this relationship.

One of the most important risks of the banking system is the credit risk. Considering the portfolios of institutes and the mutual relationship of their items, any tension in refunding the overdone facilities can lead to essential problems such as liquidity risk, interest rate, and even bankruptcy. In this way, finance and credit institutes look for models, achieving experience, and improving credit evaluation models they use to validate the credit of their credit customers. However, the list of the important variables for credit validation and selection of the more appropriate and effective model has been a crucial question for many of these institutes. The present study investigates the LOGIT, PROBIT, and Z Altman models, using a set of qualitative and quantitative variables of the legal customers of depository institutions. The findings prove that qualitative and financial variables of the legal customers for this institute proved to be explanatory for the credit risk probability at a high degree of confidence. These models successfully predicted credit risk for 80% of the facilities and LOGIT was more successful than other models.

Investigating the causality between the futures and spot markets of a commodity is always an important question for market traders and policy makers. By launching financial derivatives including futures and options for saffron in Iranian commodity exchange since 1397, this question has also been raised in the Iranian saffron market. The main purpose of this paper is to determine the causality between the spot and futures markets of saffron. The required data were obtained daily from the Iranian commodity exchange as well as the Saffron World database during June 2018 to November 2019 and analyze based on Granger causality test and generalized autoregressive conditional heteroskedasticity (GARCH) models. The results show that, in general, there are no explicit causal direction, but by distinguishing between ascending and descending periods, it is clear that in the descending periods, absolutely, causality has been from futures market to spot market and in ascending periods, For some, causality has been from spot market to the futures.