JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2014 | Volume:2 | Issue:3 (6) |Papers Count:8

This paper examines the market pricing of Jones (1991) model- estimated abnormal accruals (often termed "discretionary accruals" in the prior literature) by using the Xie (2001) approach to test whether stock prices rationally reflect the one-year- ahead earnings implications of these accruals. Using the Mishkin (1983) and hedge-portfolio test methods Sloan (1996) employs, we find that the market overestimates the persistence of abnormal accruals, and consequently overprices these accruals. These results also suggest that the overpricing of total accruals that Sloan (1996) documents is due largely to abnormal accruals.

In the past two decades many researchers have used some kinds of factor models for explanation of stock returns. The aim of this study is comparing the explanatory power of two main multi-factor models in relation to stock returns. This study is based on a Carhart four-factor model. The variables in this model are market risk premium, value, size and momentum factors. The aim of this study is evaluating the explanatory power of this model in Tehran Stock Exchange. The multivariate regression is used to analyze the propositions. The results show that the use of multi-factor models is better than one-factor model of capital asset pricing. The results also show that the four-factor model has not the advantage of Fama and French three-factor model, because only two variables (market risk and size) influence on stock returns.

Strong corporate governance system and high audit quality cause companies provide high quality and more transparent financial information through which information risk of creditors and investors reduces and thus may affect the company's cost of capital. Therefore, the main objective of the present study is to investigate the effect of corporate governance and audit quality on the cost of capital of listed companies in Tehran Stock Exchange. For this purpose, a sample of 840 firm-years during the years 2006-2011 was chosen to test the research hypotheses. For a more detailed study of the research subject, the sample divided into the sub- samples of firms audited by auditing organization or by the other audit firms of certified public accountants member, and also by large and small companies and eventually by income smoother and non-smoother companies. The results from testing the research hypotheses on the total sample indicate that there is no significant relationship between the mechanisms of corporate governance and audit quality with the cost of capital. In addition, the results shown that the big size of board of director and existence of controlling shareholders in large companies can cause to reduce the cost of capital.

Researchers have different opinions on the effects of trading halts. The positive and negative effects resulting from trading halts has not been proved conclusively in conducted researches. The purpose of this study is to investigate the effect of trading halts on quality of Tehran Stock Exchange during 2007 to 2011. Three quality variables that are used to measure quality include trading activity, liquidity and volatility. It is necessary to note that this study only examines the stops related to annual ordinary assembly. Statistical software has been used in order to adjust and classify data and test the hypotheses. Since, according to Kolmogorova Smirnov test the components of quality were abnormal, nonparametric methods have been used. Statistical results show that in general trading activity declines after trading halts and liquidity increases and trading halts have no significant effect on volatility.

Firm investment behaviour is a complex process which is influenced by many factors. In contrast to former studies, this study has a comprehensive approach and uses a metasynthesis method. This method primarily identifies factors affecting firm investments and separates financial factors from fundamental factors. Then, using causal method and identifying type of relationships, modeling is done. At last, the model is tested by neural network. The study uses 8 year data ending June 2011, so that the first five year data are used for explication and the last three year data are used for testing the model. Results indicate that capability of prediction of TSE companies investment behaviour using the model is more than 62 percent.

The influence of customer-base concentration on the firm performance can be investigated from two points of view: The first view considers customer-base concentration as the factor of pressure on the seller, but the second view considers it as a factor for enhancing production coordination, inventory management and information sharing along the supply chain. Increasing of customer-base concentration reduces sale costs and improves firm financial performance. This study is designed to investigate the influence of customer-base concentration on the improvement of financial performance. For this end, multiple regression models for combined data were estimated. The Data was gathered from 79 manufacturing firm (539 observations), accepted in Tehran Stock Exchange during 1381-1390. The results indicate that there is a positively significant association between financial performance and customer-base concentration. Thus, increasing in the customer-base concentration improves the company's financial performance. Also, firms with high customer-base concentration experience more efficient inventory management. The results of this study support the importance of the existence of major customers in market.

In recent decades, the privatization program by many developed and developing countries with different political systems has been followed. Financial and economic performance of the firms after privatization as one of the criteria for evaluating the mentioned policy, always has been one of the central issues in economic research in developing countries. In this paper, stochastic frontier analysis (SFA) is used to obtain the technical efficiency of transferred firms in Tehran Stock Exchange before and after entering to stock market. Then, panel data methods are used to measure financial performance on the technical efficiency. The sample consists of a panel data of 29 firms transferred during 1381 to 1388. The results indicate that technical efficiency for 28 firms decreased after entering the stock market and liquidity and return on equity ratios have a significant negative impact on the firmsa technical inefficiency component.