JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2017 | Volume:5 | Issue:2 (17) |Papers Count:12

The current study estimates the effect of banking sector development on non-financial firms performance listed in Tehran Stock Exchange through possible effect on firm capital structure. To do so, the effect of banking sector development on capital structure on one hand and the effect of capital structure on firm performance on the other hand has been examined using unbalanced panel data with in the framework of a triangular equations system. In this regard, indicators related to size and activity of banking sector and performance criteria like market value added and Tobin's Q has been used. The results show that capital structure has a positive effect on firm performance, and banking sector development has a negative effect on capital structure and subsequently firm performance. The results also shows that variables like profitability, tax and growth opportunities are effective on capital structure and variables like size, profitability, growth opportunities and degree of asset tangibility are effective on firm performance.

According to predictions in the literature, sock price of firms with greater product market power is less sensitive to order flows which results in greater stock liquidity. This prediction was examined in a sample of 75 listed companies in Tehran Stock Exchange during 1388 to 1391 using three illiquidity measures (Amihud Ratio, Quoted Spread, Effective Spread) and two proxies for market power. The results of panel regressions showed that stock liquidity increases with market share (the first proxy of market power). Findings also showed the relationship between operational income ratio (second proxy of market power) and stock liquidity is not meaningful and consistent with theory. It seems that the reputation of firms in product market (respect to market share) results in higher stock market liquidity than their profitability. Other results confirmed that advertising in product market doesn’t influence stock market liquidity, directly.

Establishing balance between the available cash and cash requirements is one of the most important factors of economic health and sustainability of commercial activities. Therefore, the present study examined the sensitivity of external sources to liquidity in in firms with domestic and foreign financial constraints listed in Tehran Stock Exchange. In this study, both traditional and modern criteria have been used for separation of firms using financial constraints. In this study, panel data method was used to extract data from 85 companies listed in Tehran Stock Exchange during 1385-1392. The findings suggest that association between operating cash flow and firm size is positive and significant in companies with financial constraints. Also sensitivity of external sources of liquidity to foreign financial sources is higher in the firms with financial constraints compared to the others. The changes in amount of cash have a greater impact on investment in the firms with financial constraints in contrast to others.

According to prospect theory gains and losses are measured from a reference point. In this paper we attempted to examine the Reference Point Adaptation level and its effect on future selling decisions. For this purpose, the required data of all firms listed in the Tehran Stock Exchange were used. The required data were available for at least one year during the period from 2004 to 2013.The results showed that the two variables, including profit (loss) size and time in a profit (Loss) position, and their interaction with each other, are involved in formation and adaptation of reference point. So that when investors are in the profit point, the reference point is the adaptation to a new level, while when investors are in the loss area, the adaptability of the new reference point level is reduced. Also, a larger total loss size and a longer time in a losing position are related to a downward shift in the reference point. According to the results, considering two variables, profit (loss) size and time in a profit (Loss) position, and their interaction with each other, we can estimate the investor's reference point adaptation level and predict investor's decision to capitulate or hold stock.

Financing is the main problem of small and medium sized enterprises (SMEs) and of course their main financing source is bank facilities in our economy. Thus, the purpose of this study is to consider the dynamic interactions of effective variables and also internal and external problems in financing via heuristic approach and by using system dynamics method. Research systemic model and causal variables– with regards to the literature review and Khodabakhshian et al (2013) study- are developed, modeled, simulated and analyzed by this approach and applying Vensim DSS software. The overall results of this study shows, increasing ease of access to loans and business plan quality can increase privatization rate, banks financial resources and lending to SMEs and decrease corruption. It also shows, increasing the revenue and SMEs' cash flows will follow increasing loan repayment probability and decreasing bad debts.

Risk management is one of the new approaches to improve performance of organizations in terms of environmental uncertainty used. Risk management means the systematic application of management policies, procedures, and processes related to the activities of analysis, risk assessment and control. Given the mediating role of intellectual capital and financial leverage, present study aims to investigate the impact of risk management on financial performance. The study population consisted of some companies listed in Tehran Stock Exchange during 2008- 2013. The findings of the study show that effective risk management has positive impact on return on asset and market value growth. Financial leverage simply plays a mediating role in relationship between effective management of risk and return on assets. Mediating role of intellectual capital was also merely verified regarding the relationship between effective risk management and market value growth.

In this study, the effective strategy of financial assets allocation under uncertainty is investigated with the aim of risk reduction, cost control, transaction volume reduction and favorable return realization. In order to implement this strategy, the formation of an index fund using robust optimization framework and considering cardinality constraint became the agenda. Although asset allocation through an index fund is the basis of all new investment strategies, it is less considered in Iran’s capital market and on the other hand, its robust attribute in terms of response to uncertainty in expected return on assets has not yet been studied. Filtering the listed companies based on market capitalization to determine the composition of the portfolio and also modeling the index tracking problem as minimizing the absolute deviation between the expected return of the index fund and that of the benchmark was performed in this study. The results of the analysis imply on the selection of 20 stocks as the index fund composition and the portfolio rebalancing after three months. The results also indicate good performance of the index tracking funds based on criteria such as correlation, root mean square error and the excess return using out of sample data.

Today, herding behavior is one of the important behaviors among investment corporation, fund managers and investors which can play an important role in taking risk and return of stocks and portfolio. The purpose of this research is investigating the impact of herding behavior on the risk taking of fund managers. Statistical population of research is fund managers whom their fund has been listed in Tehran Stock Exchange. Structural equations modelling with the partial least squares (PLS) has been used in order to test hypotheses. Results show that all of the hypotheses have been confirmed. The results indicate that there is a negative relationship between risk taking and herding behavior of fund managers.

The purpose of this research is to examine herding by institutional and individual investors in micro and macro level and their effects on market volatility. In micro level, we compare herding by institutional and individual investors also examines the effect of firm’s characteristics on micro herding by panel data regression. In macro level, we test the influence of market factors on herding and the effect of macro herding on market volatility through time series regression. The results indicate that there is a herding tendency among both institutional and individual investors and shiw that the propensity to herd is higher in institutional investors. Herding depends on firm’s characteristics and institutional investors are more sensitive to these variables. In macro level results show that market return affects herding by institutional investors also market return causes herding, mainly by institutional investors, in the Granger causality sense. Finally, herding by institutional investors influences market volatility.

Using structural equation modeling, we investigated the direct and indirect links between corporate governance, industry competition structure and the cost of equity capital. Our investigation was motivated by analytical models that specify both a direct and an indirect link that is mediated by financial reporting quality and financial performance. For 61 companies listed in Tehran Stock Exchange during 1384-1393, we used Partial Least Squair (PLS) method to analyze the models and used Smart PLS2 software to do that. We found statistically reliable evidence of both a direct path from corporate governance to the cost of equity, and an indirect path that is mediated by financial reporting quality and financial performance, with the weight of the evidence favoring the direct path as the more important. Also, we found statistically reliable evidence of an indirect path that is mediated by financial reporting quality and financial performance from industry competition structure to the cost of equity. The direct path between them was not statistically significant.

Most of the organizations do not have enough knowledge about how to evaluate future investments in information technology. Most of these types of decisions are taken in management board. As a result, very few organizations have deep knowledge about the value of the funds invested in the field of information technology. In this research, investment in an ERP project considering expansion and contraction options based on real options theory is studied. The findings showed that the value estimated based on Real Options which considers flexibility in management decisions is different from the outcome of discounted cash flow method. Based on the value analysis of expansion option, current asset value is estimated 1998 million Rials for current project. If today's project is extended, the asset value will become 3086 million Rials which is much more than the asset value without imposing the right of expansion. So, imposing the right of expansion has 1088 million Rials added value. Also, imposing the right of project contraction, the estimated value is 1182 million Rials. So, project contraction is irrational. Finally, based on the evaluation of the options, a strategic road map is proposed for the one year life span of the project.

The main objective of this study is to evaluate the effect of weather on trading activities and returns in Tehran Stock Exchange. Trading variables include liquidity, turnover and volatility. In order to estimate regression models with time series data, the method of ordinary least squares (OLS) is used. The time period under study is from the beginning of 1387 to the end of 1394. The results show that the mood of persons that is changed according to weather changes has no significant effect on stock’s turnover. But variables such as snow, rain and wind speed have a significant effect on returns, liquidity and volatility. Therefore, in this study, the results show that environmental factors have effect on trading activities and returns except for turnover. So, the climate is one of the factors influencing people's everyday activity. In the meantime, seasonal affective disorder is one of the most important factors affecting the trading behavior of investment.