JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2018 | Volume:6 | Issue:1 (20) |Papers Count:12

Skewness of stock return is one of the phenomena observed in the financial markets, indicating psychological bias or tendencies to specific numbers in the market. This study examined the association between systematic risk and skewness in stock's return. To this end, two hypotheses were developed and the data of 98 companies listed on Tehran Stock Exchange, during 2008-2013 and multiple regression with panel data was used to test the hypotheses. The results of the first study suggest that there was a significant correlation between systematic risk of stocks and positive skewness of stock returns. The results of the study also suggest that there was a significant and direct correlation between negative skewness and systematic risk of stock. In other words, the higher the systematic risk, the higher the skewness of stock returns and vice versa. Therefore, the direct relationship between risk and return is confirmed.

The aim of this study is to investigate the effect of investments in intangible assets in the explanatory impact of financial health and agency problems on the market value company's in the company at listed in the Tehran Stock Exchange. For this purpose five hypotheses are developed and data on the 120 companies in Tehran Stock Exchange for the period between the years 2009 to 2014 were analyzed. This regression model using panel data with fixed effects approach, reviews and tests. The results showed that the intangible asset helps to companies to create value. In other words, the results confirm that intangible assets the major driver for growth and value creation in many sectors of the economy. In addition, the results showed that intangible assets has a significant effect on the explanatory relationship between financial health of the company's (variable performance) and agency costs (profit distribution policy) on the company's market value. Also, the results indicate that the intangible asset on the explanatory impact other two variables (the solvency and debt) No significant effect on the market value of the company.

The purpose of this study is to investigate the factors influencing firms ' stock return using meta-analysis approach. The study population consists of studies that had examined factors affecting stock returns of listed firms in Tehran Stock Exchange. Accordingly, a total of 89 different research are selected. Based on the literature review, the following factors are considered; liquidity ratios, leverage ratios, activity ratios, profitability ratios, multiple ratios cash flow ratios, risk indicators, earning management indicator, earning forecast, real investment and firm characteristics. The results show that the effect of liquidity ratios, leverage ratios, activity ratios, earning management indicator and firm characteristics on stock return are not significant. But the positive effect of profitability ratios consists of return on equity, profit and profit margin, market-based ratios consist of market return, cash flow ratios consist of cash flow based on operations, risk indicators including market risk premium, indices of earning forecast including the time horizon of profit forecasts and eventually real investment are confirmed.

Financial performance measurement has been known as an important tool for assessing and guiding strategies, projects, and strategic decisions of organizations. Since assessment of financial performance is multidimensional, dynamic, and time-dependent, system dynamics approach is used in this study. Considering a 15-year horizon, this study, using this approach and application Vensim DSS software models and simulates the performance of the financial system of a sand and gravel firm (private joint stock company) which is going to increase its productive capacity. The main purpose of this study is to assess and analyze the investment project for increasing productive capacity and its cost effectiveness. On the other hand, receivable and payable accounts are analyzed and assessed to improve the performance of the financial system. The results suggest that increasing the productive capacity is affordable project. Further, aggressive and moderate scenarios for management of receivable and payable accounts in current situation and conservative and moderate scenarios in increasing productive capacity situation lead to an increase in the financial system variables. Financial experts can use this model as a tool for supporting the company’s development programs and for managing the performance of its financial system.

Creating value for stockholders is one of the important objectives of the companies, and will be realized when the firm enjoy financial health. Financing structure–as one of the important managerial decisions, affect the firms’ behavior in product market, their efforts to compete, and finally their competitive return. In financing decisions, it’s important to concern about market competition to achieve target return. In this study we examined the effect of capital structure on firm performance concerning product market competition. The sample includes 81 manufacturing companies listed in Tehran Stock Eschnage, and the time period includes 2009-2014. The results show negative effect of financial leverage on ROA. Also the mediation role of capital market competition is negative and significant. But this mediation role is significantlye positive when the dependent variable is economic value added.

Financing policies made by managers can play a key role in the risk and wealth creation for stochkholders. However, identifying effective factors in managers` financing decisions is of great importance. Overconfidence is one of the most important personality traits of managers. Overconfidence is effective in risk taking. Overconfident managers overestimate future returns of business projects due to false confidence. Therefore, they might overestimate the likelihood and impact of positive shocks of future cash flows for these projects. Meanwhile, they may underestimate the negative shocks. They believe that their business entities have been undervalued in the capital market and can choose shorter maturity debt and increase shareholder wealth. They prefer to issue bonds rather than stocks. This study aims to examine the effect of a psychological factor (managerial overconfidence) on debt maturity structure. The sample consisted of selected companies listed in Tehran Stock Exchange from 2007 to 2014. Two scales which are based on managers` bias to forecast earnings and investment decisions are employed to measure the managerial overconfidence. The results show that managerial overconfidence has a positive and significant effect on debt maturity structure. Overconfident managers take shorter debt maturity structure by applying higher percentage of short-term debt. Liquidity risk related to this financing policy would not prevent them from such behavior.

With respect to financial decisions in daily life of investors, in this research we assess the mental state of investors on their risk taking behavior in Tehran stock exchange. Risk taking is the degree of encouragement investors has in order to take innovation and do extraordinary jobs. Mental state is composed of sustainable emotions with external expression in different degrees and continuity for kinds of investors. All Tehran stock exchange investors were among the study and 386 samples were selected. For mental state and risk taking behavior data gathered on the basis of PANAS and risk taking standard questioners in turn. Hypothesis tested by structural equation modeling with partial least square approach. Results show risk taking is positively affected by high positive affection and low negative affection besides negatively affected by low positive affection and high negative affection. High positive affection has the highest impact and low positive affection has the lowest impact on risk taking behavior.

This research investigates the effect of audit quality on the relationship of collateral value of assets with the firm's financing and investment decisions. Moreover, the firms' audit quality responses to the change in firm's real estate assets were examined. We used changes in a firm’s collateral values caused by changes in real estate prices as an exogenous change to the financing capacity of a firm. The audit firms ranks (carried out by Iranian Association of Certified Public Accountant (IACPA)) were used as a proxy of audit quality. A sample consists of 126 firms listed in the Tehran Stock Exchange for the period 2007 to 2014, 1003 firm-year observations, and multivariate regressions in panel data mode were used to test the hypotheses. The results show that financing and investment by firms with higher audit quality is less affected by changes in real estate values than are financing and investment by firms with lower audit quality. Further, firms select auditors with higher quality in response to decreases in financing capacity. The results also show that changes in collateral value have a significant negative effect on the investment of firms that are more likely to under-investment and audit quality plays decreasing role in this relation.

Financing decisions of the firms are one of important tasks for management and according to its nature, it is considered as a Multi-Criteria Decision problem. In this research, a comprehensive review on capital structure theories and its determinants has been made, then the effect of this determinants on the financial leverage of the firms is investigated in three levels: firm specific, industry and economy. In this regard, stepwise regression and pooled mean group model are used. This models specified both short-term and long-term effects of detected factors on capital structure. In this models, as the number of independent variables increase, the co-linearity in the model increases. So, the reliability of model declines and the model can't be a good pattern for financing decisions. In the next step, the identified factors were employed as decision criteria in a hybrid MCDM model that combining DEMATEL and ANP. The ANP weights of the model were used in a Goal programing model and a satisfactory solution for the case study was obtained. By using this model, decision makers can systemically structure a multi-criteria network framework and derive priority weights of those criteria, and then deal with the quantitative financial constraints for a satisfactory solution.

The considerable increase of mutual funds in recent years drove supervising and controlling organizations of these funds to impose some risk management directives based on value-at-risk. However the concept’s flexibility raises many questions concerning the choice of the most accurate and suitable estimation model which can be used for risk management. The purpose of this study consists of selecting between the three esimation methods, namely, parametric, historical, and Monte Carlo simulation method, to determine the most accurate method for providing the prediction of potential losses which confront Iranian mutual funds. For this purpose, we tried firstly to present the different estimation’s approached of VaR. Secondly, we analyzed the statistical descriptive characteristics of mutual funds, the subject of this study. After that, empirical study’s results have been exposed, and therefore, allowed us to highlight that there is no significant difference between different methods and 99 percent confidence level is the best level for estimation.

The main objective of this study was to investigate the moderating effect of financial constraints of Kaplan-Zingales Index (1997) on the relationship between the structure of collateral assets and financing structure of the companies listed in Tehran Stock Exchange (TSE). To this end, the study was carried out using systematic elimination skewed sample consists of 155 firms over the period of 11 years -from 2004 to 2015. The results show that moderating effect of financial constraints on the relationship between and the total collateral assets with financial leverage and components collateral assets (property, plant and equipment, inventory, accounts receivable) with the company's financial leverage is direct and significant. The test of the third hypothesis showed that there is no moderating effect of financial constraints on the relationship between long-term assets and long-term securities held by financial leverage. Furthermore, testing the moderating effect of financial constraints on the relationship between short-term bond funds with short-term financial leverage impose a direct and significant relationship; as well as the moderating effect of short-term financial constraints on components of collateral assets (inventory, accounts receivable) with short-term financial leverage denote that there is a direct and significant relationship and non-relationship for the aforementioned issues, respectively.

Oil futures contracts make it possible for all market participants to remain safe against the crude oil price fluctuations. Islamic Republic of Iran needs to import oil futures contracts to energy exchange for two reasons: First, its national income is highly dependent on crude oil price and instability in oil price leads to unstable economic situation. Second, Oil futures markets provide necessary instruments to reduce risk of oil deals, reduce volatility, increase flexibility and provide broader commercial dimensions to refiners and other buyers of petroleum and related industries. But now, exchange energy, due to jurisprudential constraints, is not able to use this powerful instrument of hedging risk, and this is incompatible with the implementation of economic resistance and resilience policies. This study analyzes financial nature of oil futures contracts and investigates the intend of the parties to the contract and shows that oil futures contracts are not, in any way, type of selling or obligation to selling because the acquisition and consequently delivery of asset are not intended by parties. Therefore, all of those jurisprudential obstacles are wrong about these contracts and are caused by the poor in recognizing the issue.