JOURNAL OF FINANCIAL MANAGEMENT STRATEGY
Year:2022 | Volume:10 | Issue:37|Papers Count:10

Introduction: Value at Risk (VaR) is a measure for estimating potential portfolio losses due to market risk (Yu et al., 2018). Despite the simple concept, measuring the VaR is a difficult statistical problem due to the normality assumption and time-varying conditional quantiles. The introduction of CAViaR model and its extent to the multivariate CAViaR approach (MCAViaR) have solved these deficiencies. The main drawback of this model is that it only considers linearly conditioned quantiles. Furthermore, there is some instability in the optimization technique, which does not always ensure convergence to the unique minimizer. To address these issues, copula models have been developed that provide a flexible non-linear multivariate representation among quantiles. Copula functions are easily able to extend the measurement of market risk to a multivariate state (Hotta, Lucas, Palaro, 2008). In this study, we present the VaR model that establishes a nonlinear relationship between univariate quantiles estimated by univariate CAViaR models. An important parameter of Copula functions is the degree of dependency between tail distributions, the incorrect estimation of which also leads to inaccurate interpretation. The portfolio dependency coefficient was calculated using optimized copula models and thePSO meta-heuristic algorithm...

Introduction: The aim of this research is to investigate the impact of Supply Chain Finance (SCF) and financial development on the profitability of properties firms registered on the Tehran Stock Exchange and Iran Farabourse (2009-2016). Supply Chain Finance (SCF) leads to the optimization of a company’, s working capital, and financial development is a factor that improves the distribution of resources. These independent variables investigate the effect of micro and macro factors. In today's highly competitive and changing business environment, where optimizing all of an organization's resources is prominent, efficient supply chain creation seems necessary. An efficient supply chain means creating coordination in business sectors using strategic thinking and in a systematic way, as well as using the tactics used in these sectors to improve the long-term performance of each company and the entire supply chain. The supply chain in any company is an important part of the company's marketing policies and approaches. As a result, the supply chain meets the requirements of the market, and in this regard, supports the main strategies of the organization. Business strategies in any organization include programs to meet the current needs of customers, as well as their future needs and customer needs that determine the optimal combination of responsiveness and chain efficiency. The more efficient the supply chain is in satisfying customer needs, the more market shares it will achieve, and ultimately the higher its profitability. Supply chain financing is an effective way to reduce financing costs and improve financial efficiency and effectiveness and has been considered by researchers over the years. In other words, supply chain financing, reduces the cost of capital, increases cash flow, enhances the financial relationship between supply chain participants, and enhances supply chain performance by increasing the payment period for the buyer and allowing the supplier access to appropriate financial resources. A shorter cash conversion cycle means that the company's cash recovery time is shorter so that the company can have more working capital to pay for expenses or invest, which will ultimately be profitable. The cash conversion cycle has been introduced as a measure of supply chain financing. Financial development can be seen in the overall development of the financing efficiency of the participants. Increasing the amount of financing will give companies more benefits to gain capital, and companies will make more profit through more investment. Domestic credit to the private sector (%GDP) is one of the indicators for measuring financial development. MATERIALS AND METHOD: In this study, we use a regression analysis method to investigate the effect of independent variables on the dependent ones. The cash conversion cycle is a variable that can be used to test supply chain financing. Also, domestic credit to the private sector (%GDP) is a suitable variable for estimating the financial development of an economy. For examining the effect of these two factors on the profitability of companies, these variables can be considered as independent variables of research. Given that the company's profitability is related to financial leverage and company size, these two variables were selected as control variables. To investigate the relationships described in the model, multivariate linear regression and regression analysis has been used. The method of calculating the variables and the mathematical form of the regression model is as follows: FPi. t = β, 0 + β, 1 CCCi. t+ β, 2FDt + β, 3 LEVi. t + β, 4 SIZEi. t + ϵ,i. t The study's sample is real estate companies listed on the Tehran Stock Exchange and Iran Farabourse, which reported financial information regularly and in a relatively uniform format between 2009-2016. Overall, 15 companies have been studied. RESULTS AND DISCUSSION: The results show that the cash conversion cycle, as representative of SFC, indirectly affects the profitability of real estate firms. Also, the proportion of awarded credits to the private sector to Gross Domestic Production (GDP), as representative of financial development, has an indirect effect on the dependent variable. CONCLUSION: Real estates have a crucial role in the economy as a whole and the life of households specifically. Indeed, housing is one of the main issues in developing countries. The results show that the cash conversion cycle has a negative and significant effect on the profitability of real estate companies. It is also clear that important industries such as the construction and housing industry are also affected by macroeconomic factors. Businesses provide their required capital through the financial system, and if they have access to cheap, easy, and efficient sources, they will gain a comparative advantage and ultimately more profit. The results indicate a negative and significant effect of Domestic credit to the private sector (%GDP) on the profitability of real estate companies.

INTRODUCTION AND OBJECTIVE: In a series of papers, Amihud and Mendelson (1988, 1991, 2000, 2008) advocate that firms can and should actively pursue corporate policies aimed at increasing the liquidity of their publicly traded shares. The incentive is that improved liquidity leads to a lower cost of equity capital and higher stock price, which increases the market value of the firm (Chia, et al. 2020). Evidence from Fang et al. (2009) shows that companies have a positive effect on firm value through strategies to increase liquidity, including stock price information channels and stock-based management rewards. Although these authors outline five positive theoretical channels (liquidity premium, sentiment, positive feedback, pay-for-performance sensitivity, and block holder intervention), they also highlight two negative mechanisms (activist exit and negative feedback) through which liquidity might reduce firm value. In practice, maintaining liquidity is not a costless effort, and thus corporate managers must often weigh the tradeoff between potential costs and the well-reported valuation premium. For instance, Amihud and Mendelson (2000, 2008) highlight the direct costs incurred when providing more information to investors and expanding the investor base, and their indirect effects on firms’,competitive advantage and agency costs, respectively. While the negative channels are not dominant in developed markets, the same cannot be expected for emerging stock exchanges due to differences in an institutional setting, regulatory framework, level of information efficiency, shareholder activism, and investor sophistication. According to different theories and different and sometimes contradictory results that previous research has presented and given the countervailing positive and negative effects, as predicted by competing theoretical models, there is expected to be a non-linear relationship between liquidity and firm value. Also, research has shown that company owners, through the corporate governance channel and stock price information, affect the relationship between liquidity and company value, and given the possibility of feedback effects from stock prices to firms’,real investment decisions (Chia, et al. 2020). According to the above discussion, the purpose of this study is to study the effect of ownership structure on the relationship between liquidity and the value of companies listed on the Tehran Stock Exchange. Given the purpose, this study seeks to answer the question of whether there is a relationship between liquidity and company value? Also, does corporate governance have a significant effect on the relationship between liquidity and firm value? MATERIALS AND METHODS: The sample consists of all companies listed on the Tehran Stock Exchange that have been active in the stock exchange between 1393 to 1399. In selecting the companies, the following conditions have been considered: to control the time effect and to increase the comparability, the end of the fiscal year of the studied companies should lead to the end of March in each year,to homogenize the statistical population, companies did not change the financial year during the research period,some listed companies include banks and financial institutions (investment companies, financial intermediaries, holding companies, banks, and leasing companies) in which the financial disclosures and structures of the company's governing principles are different, are deleted,for companies' shares to be fluid, and as a result, stock prices and returns to be reliable, and for better comparison, companies should not have a trading interval of more than three months,the necessary data in the research period should be fully available. The 125 companies that met the above conditions were selected to test the research hypotheses. After collecting the data, Excel software was used to summarize and calculate. Then, the final analysis was performed by multivariate regression patterns using Eviews software. RESULTS AND DISCUSSION: The results of testing the hypotheses showed that there is a significant nonlinear (U-shaped) relationship between stock liquidity and corporate value. This finding means that at the basic levels of liquidity (before the threshold point of 2. 194), there is a negative and significant relationship between liquidity and the value of companies. However, at levels above the baseline level of liquidity, there is a positive and significant relationship between liquidity and the value of companies. Also, institutional shareholders, real shareholders, and the largest shareholder have a moderating (inverse U) effect on the nonlinear relationship between liquidity and firm value. Findings from the inverted U-curve show that, before the threshold point, a higher percentage of liquidity is associated with a higher firm value. However, when the liquidity base exceeds a certain threshold level and becomes too large, the value of the company decreases. CONCLUSION AND SUGGESTIONS: The nonlinear (U-shaped) relationship between stock liquidity and corporate value shows that after the threshold point, enhanced liquidity leads to a lower cost of equity and higher stock prices and, consequently, increases the market value of the firm. But before the threshold point, this relationship becomes negative. The results also showed that stocks with higher institutional owners, higher real owners, and shares of the largest shareholder should have a relatively lower level of liquidity (before the threshold of 3. 176 for institutional owners, 3. 662 for real owners, and 2. 988 for the largest shareholder) to be traded to increase the value of the company. This indicates the dominance of information competition and the costs of incorrect selection on all sides of the threshold. Regarding the experimental comparison of the evidence obtained from this study with other studies, it should be said that these results are fully consistent with previous studies such as Chia et al. (2020). To justify these findings, it should be noted that the nonlinear relationship not only challenges the existing view that "more is better", but rather, it recommends a maximum level of liquidity threshold beyond which the firm's value will increase or decrease. Therefore, the managers of companies listed on the stock exchange can provide the grounds for the growth and development of the company by managing their company's share liquidity. Also, the capital market officials of the country can make policies and legislations by considering the threshold levels introduced in this research.

Introduction: For the past several decades, understanding the determinants of corporate investment decisions has been a major issue for corporate and financial research. Recently, some studies have highlighted the role of product market characteristics in shaping corporate investment policies (Aguerrevere, 2009,Gu, 2016,Stoughton et al., 2017). Following fundamental changes in the competitive environment in various countries, including Iran, many studies have focused on how product market competition affects corporate investment. However, most of this literature relates to corporate investment in capital expenditure, research and development, and innovation (e. g., Akdoğ, u and MacKay, 2012,Jiang et al., 2015,Fré, sard and Valta, 2016,Ebrahimi et al., 2016,Nikkar, 2019). Meanwhile, the effect of product market competition on companies’,investment in labor has not been considered while it is as important as other variables (Boubaker et al., 2021). Accordingly, in this paper, the effect of product market competition on the efficiency of investment in labor is examined with emphasis on the role of constraints in financing. Therefore, the following hypotheses have been formulated. Hypothesis 1: There is a significant relationship between product market competition and the efficiency of investment in labor. Hypothesis 2: The intensity of the relationship between product market competition and the efficiency of investment in labor depends on the level of companies’,financial constraints. Materials and methods: This study is quantitative and post-event research. The sample is based on data related to 122 active companies on Tehran Stock Exchange (TSE) and is based on the financial statements of all companies listed on TSE. In this regard, data from all active companies whose fiscal year ended in Esfand (the final month based on the Iranian the data collection could have covered the 2007 to 2020 period. But because of the limitation of some variables, our data only covers the 2011 to 2020 period. Research analyzes were performed using SPSS 24 and EVIEWS 9. The independent variable of this research is product market competition, which was measured by the Herfindahl-Hirschman index (HHI). The efficiency of investment in labor is a dependent variable. In this study, align with the studies of Rezaei et al. (2020 a and b), the criterion is taken from the model of Pinnuk and Lillis (2007), Li (2011), and Ben-Nasr and Alshwer (2016). Also, in the present study, according to the purpose of the research, financial constraints have been considered as a moderating variable. The KZ Financial constraint Index is used to distinguish between constraint and non-constraint firms. Finally, in accord with the existing literature, such as Biddle and Hilary, 2006,Jang et al., 2016,Lara et al., 2016,Chen and Wan, 2017,Zhang et al., 2020 and Aflatooni and Khazaei, 2016, we have controlled some factors to test the hypotheses. Results and discussion: Findings related to the descriptive statistics indicate that in terms of the size of the variables of this study, they are very similar to previous studies (Biddle et al., 2009,Hoberg et al., 2014,Jung et al., 2014,Boubaker et al., 2021). For example, according to descriptive statistics, the mean of the dependent variable (labor investment inefficiency) is 0. 141 (0. 068), which indicates the actual mean change in the number of employees deviated up to about 14% of its optimal level. This amount has been between 11 to 15 percent in previous studies. The results of regression analysis also showed that there was a positive and significant relationship between product market competition and investment efficiency in labor. The relationship between financial constraints and investment efficiency in labor is also negative and significant. Also, the evidence showed the relationship between product market competitions and over (under) investment in labor is negative and significant. In addition, the intensity of the positive (negative) relationship between product market competition and the efficiency of labor investment (over or under investment in labor) in companies with financial constraints is less. Conclusion: The results of this paper showed that greater product market competition leads to greater efficiency in labor investment. Further analysis also showed that more product market competition could lead to a reduction in over-investment and a reduction in under-investment in the labor. Therefore, it can be said that product market competition for investment decisions in labor has acted as an effective external governance mechanism and in this regard, directed the managers' decisions to the optimal level. Other findings showed that the intensity of the positive effect of product market competition on the efficiency of investment in labor is less in companies with financial constraints. Also, this evidence was confirmed in the over-investment and under-investment groups in the labor. The evidence of this research contributes significantly to the existing literature. In particular, the evidence from this study contributes to the current understanding of the determinants of investment labor decisions beyond the company level. These findings have important political implications for government policies to increase employment.

Introduction: The stock market crisis is an important subject to all market participants. Shiller (1987) finds that a stock market crisis is caused by a change in investor sentiment. One of the paramount issues in behavioral finance is the investors' sentiment and its effect on the stock prices. That means financial decisions, like other decisions, are partly exposed to investors' emotions. The impact of emotions on financial decisions is somewhat undeniable, but sometimes because of fear, agitation, and greed, its effect may be higher than usual. In general, whenever investors become over-optimistic, the stock prices rise too much and bubbles form. When prices start to correct, a market crisis appears. In addition to investor sentiment, other economic variables such as interest rates, inflation, GDP, and the P/E and ROA ratios, explain the crisis in the stock market. Brown and Cliff (2005) believe that stock prices tend to be overvalued when investor sentiment is high. As their expectations are not met, prices begin to revert toward intrinsic value, and with falling securities prices, a crisis in the market may occur...

Introduction: The capital market is one of the essential resources for companies and governments to finance and is recognized as a good option for investment worldwide. Stock liquidity is a paramount factor for capital market participants. Liquidity is one of the concerns of those who trade stocks or manage the trading infrastructure. One of the most critical indicators in examining the market situation is the liquidity of the securities. The other factor is the size of the company which indicates the volume and scope ofits activities. Instead of physical capacity, indexes that represent a firm's performance are often used as an indicator of company size. Company size is measured in different ways such as company sales, daily or book value of total company assets, etc. Considering the liquidity and size of the company, all living things, including plants, animals, and humans, all follow the life curve. According to life cycle theory, companies and enterprises, like all beings, have a curve or life cycle. Life cycle theory states that companies are following a specific procedure, including birth, growth, maturity, and decline. Purpose: The primary purpose of this study is to answer the question: Does the size of the company affect the liquidity of stocks? Another question that needs to be answered is: whether the relationship between firm size and stock liquidity is affected by the firm life cycle. Research hypotheses: Main hypothesis: Company size has a significant impact on stock liquidity. Sub-hypotheses: The company size has a significant effect on the liquidity of the stock during its growth period. The company size has a significant effect on the liquidity of the stock during its maturity period. The company size has a significant effect on the liquidity of thestock during its decline period. Research Methodology: This study is descriptive in aim and uses correlation and causal methods to interpret the results. The required information was collected from specialized journals. The Kodal site has also been used to access the needed data. The software used for data analysis was SPSS, STATA14, and Eviews10. The statistical population is composed of companies accepted on the Tehran Stock Exchange between 1977-2008. The sampling was done through the systematic removal method, and finally, 115 companies were selected. Results: Test of research hypotheses Hypotheses were tested using multiple regression and a hybrid data model. Discussion and conclusion: This research sought to answer the question of whether the size of the company is influential on the company's stock liquidity and whether the relationship between these two variables is affected by the firm life cycle. Based on the results of the hypotheses test, it was found that the size of the company had a positive and significant effect on the liquidity of the stock,that is, as the company size increases, the liquidity of the stock significantly increases. With the introduction of the life cycle as a modulator variable, it was found that the size of the company, except in the growth phase, increased the liquidity of the stock. It was also found that the life cycle variable has no adjustment effect between the size of the company and the liquidity of the stock. Suggestions: According to the results of this study, it is recommended that the Securities and Exchange Organization (SEO) encourages companies to increase their floating shares. Also, we suggest to investors buy stocks that are determined by criteria such as the percentage of floating stocks so that they can buy a high liquidity-power stock. Because the investors' behavior is different in small and large companies, we suggest that investors pay attention to the size of the company as an indicator of its stock liquidity. Since corporate liquidity rank indicates the amount of liquidity of their stocks, future researchers are suggested to examine the effect of the company's size on the liquidity rank to determine to what extent the rank announced by the Stock Exchange impacts the company's size. Also, since there are various criteria for calculating liquidity, instead of what we used in this paper, researchers can use other liquidity criteria, such as the modified Amihud index, the Liua index, the zero-return index, and the turnover volume index. In addition, the impact of the company's size on stock liquidity can also be examined based on the type of the industry and the type of the company (stock market or OTC market).

Introduction: Financial provision through the capital market has grown significantly in recent years with the development of guidelines for the issuance and supply of debt securities. On the other hand, due to the young nature of the issuance of these bonds in the capital market, the dimensions and elements of financial provision through these instruments have not been completed. Based on these cases, the current research has extracted the evaluation indices of Islamic debt securities centered on Sukuk in the capital market. These indices are the basis for measuring quality. Debt bonds have been published and are used in many cases, especially in the formulation of credit rating or value rating of these bonds. In this research, after studying the theoretical foundations, including the laws and instructions issued by the capital market supervisory body, the theoretical and scientific principles regarding the evaluation of securities, and the procedure of prominent financial institutions in the field of evaluation of securities such as credit rating agencies, indices The evaluation of this type of paper has been extracted. Then, the indicators were prepared, using the Delphi research method, subject to the opinion of experts. Finally, based on the comments received, the final indicators for the evaluation of Islamic debt securities in the capital market of Iran have been compiled...

Introduction: This study aims to introduce a multicriteria decision-making pattern based on quantitative and qualitative indexes to explain expected returns based on stock resilience and liquidity measures. The central purpose, which has the top priority in this study, is to weigh and prioritize decision options (stock resilience and thirteen liquidity measures) and then present a pattern based on the gained weights. This pattern is used in selecting the most suitable financial asset to attain a higher expected return. MATERIALS AND METHODS: The objective is to weigh and prioritize decision options (liquidity measures) and introduce patterns based on obtained weights. This goal is the first level of the Analytical Hierarchy Process (AHP) of decision-making. The fourteen liquidity measures are used as decision options. To set priority, we used four quantitative and qualitative indexes, including "users" competence, reliability, forecast value, and coefficient of determinant. In order to evaluate each decision option based on the qualitative indexes, the first questionnaire and paired comparisons were used. For evaluating each decision option based on qualitative indexes, the second questionnaire and correlation coefficients were used. In correlation relationship, by considering Fama and French's control variables, among 151 companies listed on the Tehran Stock Exchange from 1392 to 1397, the explanatory power of options of the decision was evaluated. RESULTS AND DISCUSSION: According to the experts, supervisor, and consulting advisor's point of view, three qualitative indexes, including users’,competence, reliability, forecast value, and coefficient of determination, which were suitable options in the capital market, were chosen. Then these indexes and a coefficient of determination were used to prioritize the decision options. The first questionnaire enables us to measure the weight vector of these indexes by pairwise comparison and the judgment of the experts in the stock market. The results were respectively as follows: 0. 3105, 0. 2911, 0. 2061 and 0. 1923 Based on three main qualitative indexes, the user’, s competence, reliability, and predictive value of each fourteen indexes were ranked by the second questionnaire. The average scores of each index were calculated based on the opinion of forty experts, and each index's priority coefficient was obtained. Also, the coefficient of determination was evaluated using the correlation coefficient between expected returns and liquidity measures. After that, the normalized matrix for decision options was measured based on the four qualitative and quantitative indexes. Finally, this matrix was multiplied by the weighted vector of main indexes, which were mentioned above, and the result was the final score of decision options. CONCLUSION: The fourteen criteria based on the final scores were ranked and prioritized. The result shows that the exchange volume stands at the first rank, and the other indexes' rank is as follows: liquidity power, the number of exchanged stocks, days without transaction, trading days, the percentage of free float stocks, stock turnover rate, number of transactions, market depth, Amihud illiquidity measure, Amivest liquidity measure, absolute spread, relative spread, and stock resilience. At last, the final pattern was introduced based on calculated weight for decision-making options.

This research is based on an eight-factor model consisting of the Fama and French five-factor model plus the variables of market stress, market fragility, and market liquidity risk in order to investigate the explanatory power of this model in the Tehran securities market during the years 2009 to 2018 for 117 companies on a monthly basis. The results of the research indicated that the explanatory capability of the eight-factor model is better than the Fama and French five-factor model in the Iranian capital market. The results also show that fragility and stress have a significant negative relationship with stock returns and liquidity risk has a significant positive relationship with stock returns. This result can be of interest to policymakers in the field of finance and investment and other stakeholders...

Introduction: With the comprehensive development of psychology, in particular, behavioral sciences and the natural influence of the achievements of this science in other humanities, the theoretical framework of these sciences such as sociology, economics, management, accounting, and financial management in the comparative process was gradually influenced by behavioral sciences. And in practice, there was a theoretical turning point in humanities research. The key point in this process is the readiness and willingness of investors (real and legal) in the financial and capital markets to invest. In fact, capital holders in these markets need two reassurances to encourage investment. First, to ensure profitability, and second, to ensure that their capital is not invaded. The stability of laws and regulations and the rule of law, which leads to respect for contracts and protection of private sector capital, can be considered a prominent factor in investors' assurance of non-aggression to protect their capital. In fact, investors want high returns and avoid risk. As a result, it can be concluded that they are looking for confidence in their investment. Maintaining and protecting the interests of shareholders are considered as one of the main pillars of each capital market, which, while increasing the level of financial transparency, reduces stock crash risk. Accordingly, companies are always trying to strengthen shareholders' trust and confidence by enhancing the level of protection of shareholders' rights through effective ways such as raising the level of incentives for managers, while reducing the cost of representation. The purpose of this research is to investigate the effectiveness of operant conditioning behavior theory on the effect of investor protection on stock crash risk in Companies listed on the Tehran Stock Exchange. MATERIALS AND METHODS: The present study is applied research in terms of purpose and terms of data collection method is a post-event semi-experimental research in the field of positive accounting research that has been done using multivariate regression method and econometric models. The statistical population studied in this study consists of companies listed on the Tehran Stock Exchange during the years 2014 to 2018. In this research, to measure Investor protection of rights, the criteria used such as the quality of accounting information, the effectiveness of internal controls, the voting rights of shareholders, the index of ownership concentration, and the corporate governance index based on the multi-criteria decision-making model by TOPSIS and weight method entropy. Also, for measuring the stock crash risk, two criteria for negative stock skewness (NCSKEW) and (DUVOL) were used. To assess the behavior of the actor (stimulus-response), we used the competitive motivation of managers using the managers' compensation gap. RESULTS AND DISCUSSION: The results showed that protection of investor's rights has a negative and significant effect on the stock crash risk. Estimation coefficient and t-statistic related to the variable of investor protection in both models were negative and significant at the error level of 5%, which indicates a significant negative relationship between investor protection and the stock crash risk. Accordingly, the first research hypothesis is not rejected at the 5% error level. It was also found that competitive incentives negatively impacted the protection of investors' rights on the stock crash risk. The estimation coefficient and t-statistic related to the interactive variable (competitive motivation × investor protection) are significant in both models and at a 5% error level. Thus, the second hypothesis of the research is confirmed at an error level of 5%. That is, competitive incentives intensify the effect of protection of shareholders' rights on reducing the stock crash risk of the company. CONCLUSION: Companies can help strengthen the protection of shareholders' rights by presenting financial statements and strengthening their areas of governance oversight, which will reduce the stock crash risk, and the presence of such oversight may reduce the accumulation of bad news in companies. In other words, companies try to strengthen their oversight role to the extent of regulatory laws and regulations by strengthening and consolidating areas of oversight through their management system, and in this way, it strengthens the confidence in protecting the interests of shareholders by reducing the stock crash risk in shareholders. Also, the result of the second hypothesis of the research showed that competitive incentives reinforce the negative effect of protection of shareholders' rights on the stock crash risk. In fact, competitive incentives enable managers to take steps to protect shareholders' rights because according to the operant conditioning behavior theory, individuals provide appropriate responses to stimuli such as financial stimulus, which can also be highly considered in the discussion of behavioral financial theories and used in corporate governance strategies.