JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2014 | Volume:1 | Issue:3 (3)|Papers Count:8

The main purpose of this paper is analysis of total asset growth anomaly in Tehran Stock Exchange that emphasizes on the test of relation between total asset growth and net operating asset. On account of scrutiny in asset growth anomaly, an anatomic approach is used to break down total asset growth to its three components and then its effect on cross-section stock return is investigated using dual portfolio analysis and Fama-MacBeth (1973) model over the period 1379 to 1389. The results confirm asset growth positive effect and reject the effect of net operating asset growth. The latter effect, depending on weighting scheme and time horizon of subsequent stock return, can be positive, negative or even statistically insignificant. The research evidences indicate asset growth is self- inclusive and its explanatory power does not appertain to anyone of its subcomponents. So, we cannot seek the sources of the asset growth anomaly appearance in net operating asset anomaly. It seems that the source of asset growth financing (based on asset growth decomposition) does not matter in asset growth anomaly occurrence.

Capital is an important source for all of the companies which preparing of that can't be clear, and this reason is one of the factors that make able the financer to control and observe on companies. Therefore, the way to prepare financing is an important factor for financial managers. Financing traditional method as base on that, the company has no transaction cost related to capital structure, but as Williamson (1988) opinion threat finance has important role in finance mechanism in this study, we test these hypotheses using data from companies listed on the Tehran Stock Exchange, during 2000-2010. We run panel regression with STATAl2 software. We find negative correlation between the asset specificity and financing through debt and a positive Correlation between assets specificity and the firms are financed through equity.

The purpose of this research is to investigate the impacts of changes (inclusion & exclusion) in the index of top 50 active companies in Tehran Stock Exchange on the price and trading volume of these companies. We use the event study methodology & analyze data of 165 firm-year within period of first quarter of year 1382 to first quarter of year 1391. Results indicate that market do not show significant price reaction to changes in the list of top 50 active companies. However, results of analyzing abnormal stock trading volume and bid-ask spread difference show changes in assets' liquidity due to inclusions and exclusions. We also compare systematic risk and idiosyncratic risk, before and after the announcement day. Results show that systematic risk of these companies has not changed in both inclusions and exclusions events before and after announcement. In other words, the announcement of inclusions and exclusions do not have effect on Systematic risk. About idiosyncratic risk, there is no significant difference between before and after the announcement of inclusion in the index, but in exclusion events, the idiosyncratic risk before the announcement is more than the idiosyncratic risk after the announcement. Also exclusion event has decreased the idiosyncratic risk.

The purpose of this research is to investigate the effects of largest shareholder type (including inside shareholder, financial companies, state shareholder and holding companies) on dividend payout policy of the companies listed in Tehran Stock Exchange. The results show that dividend payout policy is affected by ownership structure in the companies which their largest shareholder is inside shareholder or state shareholder so that as the ownership of the largest shareholder increases, dividend payout ratio also increases. However, in the companies which their largest shareholder is a financial company or a holding company, the influence of ownership majority of the largest shareholder on dividend payout policy cannot be proved. We also show that between different types of the largest shareholder, the insider shareholders are in favor of a lower dividend payout ratio and prefer to retain earnings.

Although appropriate diversification is one of the most important features of mutual funds, but nowadays financial markets are faced with funds that invest more in one or limited number of industries and therefore, by decreasing the costs and increasing the risk, offer higher returns to their customers. A precise and appropriate definition for sector funds and their function and purposes has not yet been presented in literature. In this paper we first classify active mutual funds in Iran financial market into four groups using a decision tree. Then by making fund of funds, we draw efficient frontiers for each group and show that return and risk increase as sectorial property increases. Next, by calculating volatility and beta for each group we show that sectorial property increase of risk and especially nonsystematic risk of the portfolio. Finally, to take the most advantage of sector investing, we suggests that there should be at least two industries in sector fund with more than twenty percent of the capital having invested in them.

The purpose of this research is to examine the effect of stock market misvaluation on firm's investment decisions. Stock market misvaluation is a condition in which the value of stock in the capital market is different from its fundamental value. Statistical population of this research includes all companies listed on Tehran Stock Exchange and Statistical sample includes of 1 .. Tehran Stock Exchange manufacturing firms over the period 1381-1390. Panel data for these firrns are analyzed using GLS regression model with fixed effects. The results show that the non-fundamental element of stock value has a positive and significant impact on the firm's investment. Moreover, thee results indicate that the market value of stocks in Tehran Stock Exchange provide information for managers relating to the firm's investment decisions.

The purpose of this study is to evaluate the effect of changes in working capital on investment opportunities for the companies that are listed in Tehran Stock Exchange. For this purpose, we study a panel data of 151 listed companies in Tehran Stock Exchange, over the period 1384-1390 (seven years). We use Limer test and Hausman test to identify the appropriate regression model (fixed effects or random effects) to test the hypotheses. The results of the study show that there is a significant and negative relation between changes in a company's working capital and investment opportunities.

This paper investigates the relation between product market competition and earnings management of the companies listed in Tehran Stock Exchange (TSE). Therefore, the Herfindahl-Hirschman, Lerner, and Modified Lerner indexes were employed as a proxy for product market competition. In this research, the discretionary accrual is used as a proxy for earnings management. The research population composes of 67 companies listed on Tehran Stock Exchange which have been studied during the years 2004 to 2011. Multivariate linear regression statistical analysis was used to test the hypotheses of the research. The results suggest that there is a significant negative relationship between product market competition (i.e., Herfindahl-Hirschman, Lerner, and Modified Lerner indexes) and earnings management.