JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2018 | Volume:6 | Issue:3 (22) |Papers Count:6

The goal of the current study is performance evaluation of Iranian OTCs companies by using stochastic dominance and optimizing them by employing Artificial Neural Network and Particle Swarm Optimization hybrid model. To fulfill this objective, we used daily and weekly return of under investigation 36 companies of OTC During the period beginning from March 21, 2014 until March 20, 2015 in which the application of stochas tic dominance criteria for nonparametric orientation and proven performance of the hybrid model is particular interest. The research results indicated the first- order, second- order, and third- order dominances in the study companies. The portfolios were based on the shares of companies ranked with respect to the stochastic dominance criterion. Considering the minimum and maximum numbers of shares to be 2 and 10 for each portfolio, an eight-share portfolio was selected as the optimal portfolio with the combination of the activation function TPT. Compared with the index of Iran OTC during the research period, the selected portfolio indicated a significantly higher performance.

This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compares IME gold coin futures contracts short and long positions initial margin by coherent risk measures, specially Expected Shortfall and spectral risk measures such as Exponential weighting Function and Power weighting Function. GARCH, EGARCH and GJR GARCH models used for volatility process modeling. Fore models back testing, it applies Christoffersen conditional coverage likelihood ratio (LRcc) test and for models rating used lopez second loss functions and Blanco-Ihle loss functions, and Fore ES models evaluations uses MAE and RMSE loss functions. The paper finds that, GJRGARCH has outperformed the other models that support the asymmetric response of gold coin price to positive and negative shocks. The average margin quantity estimated for short positions with all risk measures, is significantly larger than long positions margin, that confirm asymmetric response of gold coin price to positive and negative shocks.

In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high- risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange.

The purpose of this research is to study studying the relationship between stock price synchronicity and tails of return distribution at Tehran Stock Exchange. The sample consists of 118 companies that have been chosen from among compaines listed in Tehran Stock Exchange during the period of 2010-2014, and hypothesis testing has been done with multiple regression based on panel data. The results of hypothesis testing show that firms with high stock price synchronicity have higher probability of generating positive tails than firms with low synchronicity, and also there is positive relation between stock price synchronicity and skewness. Investors of stocks with hig price synchronicity have lower reaction to bad news in respect to stocks with low price synchronicity. High stock price synchronicity show that market information reflected on stock return is more, and investors suffer only systematic risk. Therefore, it is suggested that investors in Tehran Stock Exchange invest on stocks with higher stock price synchronicity and with higher information transparency.

Stress testing is a simulation technique to evaluate portfolio reactions to several critical situations. In this paper, we review different stress testing methodologies to examine impacts of different stress scenarios on an Iranian equity portfolio. We identify the extreme tails of all risk factors in our portfolio by extreme value theory and model their dynamic and nonlinear dependence structures with copula functions. We performed three stress tests such as historical, hybrid and hypothetical stress scenarios to simulate the joint evolution of risk factors over time in a realistic way. According to the empirical findings, we find that historical scenario method is not a suitable tool for stress testing due to several drawbacks and show the importance of forward-looking analysis such as hybrid and hypothetical scenarios. We also indicate that the hypothetical stress approach is superior to the other two scenarios from the perspective of stress testing.

Short- term debt subjects managers to frequent monitoring, thus effectively reducing managerial discretion and enhancing information disclosure. Since lenders are more sensitive to decreases than increases in firm stock price, they have strong incentives to scrutinize borrowers and gather information about their financial conditions and future prospects. This research aims to study the economic concequences of debt maturity, to the impact of debt maturity choice on stock price crash risk of listed companies in Tehran Stock Exchange. In this regard, 120 companies were evaluated for the period 2008-2013. To test the hypothesis of the study panel data is used by software Eviews 7. We find that firms with a larger proportion of short- term debt tend to have lower future stock price crash risk, consistent with short-term debt playing an effective monitoring role over managers and constraining their bad news hoarding behavior. Our results also show that the inverse relation between short-term debt and future crash risk is more pronounced among firms with higher degree of information asymmetry. Overall, our paper shows that short-term debt not only preserves creditors’ interests, but also protects the value of shareholders.