JOURNAL OF FINANCIAL MANAGEMENT STRATEGY
Year:2018 | Volume:6 | Issue:2 (21) |Papers Count:8

The purpose of this research is to investigate the relationship between tax avoidance and stock price crash risk for the companies listed in Tehran Stock Exchange (TSE). Besides, this research is to study the role of managerial ability on the relationship between tax avoidance and stock price crash risk. As a result, it utilizes NCSKEW, EXTR_SIGMA, and DUVOL as proxies for stock price crash risk. The research population consists of total companies listed in TSE and statistical sample consisting 103 companies listed in TSE which have been studied during 2008 to 2015. The multivariate linear regression is used for testing hypotheses of the research. The results suggest that there is a positive relationship between tax avoidance and stock price crash risk proxies. Also, the results showed that managerial ability has not a moderating role in the relationship between tax avoidance and stock price crash risk.

In this research, the application of "industry based style investing" and the momentum strategy among retail investors have been studied. In style investing, selection process takes place in two steps. First, target style and then one of the members of target style are chosen. In this research, target style is industry. In industry based style invesing, the choice of investment is not based on the information of a particular firm, but with the attention of industry level information. A sample of 22 industries was selected through a systematic elimination from the listed firms in Tehran Stock Exchange between 2008 and 2014. The results showed that the industry is used as a "style" by retail investors. However, the use of the momentum strategy among retail investors has not been observed and is seen against the reverse strategy. It seems that in the industry level, negative news is more effective and herd behavior for selling is significant. High activity on sell side may be due to the pessimism of retail investors.

The advent of financial crises often lead to a banking crisis and if the economy is not able to overcome this, it can endanger the country into bankruptcy. Therefore, on the one hand, perusing different dimensions of banking system and influential factors can deter destructive events in system and on the other hand in case of a meltdown can pave the way to conquer. In this research after studying the principles of market power and income structure in banking sector, the impact of these two factors on banking performance from profitability and insolvency risk perspectives will be discussed. The results of this research which has been done using the financial information of 17 banks in the period of 2007 to 2015 show that the more market power measured by Lerner index, the better the profitability would be and in this circumstance banks will be more stable. It has also shown that the incremental share of noninterest income in total revenue leads to higher profitability in general but after 2011 this effect has reversed. Furthermore, more noninterest income led to more insolvency risk.

This study attempts to cross borders and disciplines of traditional approaches using interdisciplinary sciences to make the mental models of Iran's capital market applicable. Hence, this study using a variety of sciences in the context of financial discussions, presents an equilibrium theoretical framework in the stock market. The research method used a randomized dynamic path mapper within the framework of the Black Scholes model to simulate the stock price index of Tehran stock exchange behavior. Thus, the daily time series data of the stock price index has been used since December 2008 to August of 2017. The results indicate that simulation of long-term trend is provided to some extent. Although the model is excused of forecasting the crisis and volatilities along the period, the results of comparison test suggest that simulated data distribution forms are very close to actual data. In addition, laboratory results indicate that the decrease in risk aversion parameter and the ratio of liquidity to the shares held by investors make the simulated price index curve shift upward and downward respectively

In inefficient markets, returns are not distributed normally and they have serial correlations. It is obvious that the price changes are not independent, so there is a pattern in price changes which help investors to gain unusual benefits. One of the patterns which are concerned with an inefficient market is the lead-lag effect. This research investigates the existence of this effect between small and large size portfolios in Tehran Stock Exchange during the period of 2011-2017. This relationship was examined both in short-run by using cross-correlation approach and vector auto-regressive model and long-run by employing cointegration methodology. Cross-correlation matrices imply that there is a lead-lag effect in short-run. Existence profiles and variance decomposition are used for further validation, the results show that all of the shocks were fully absorbed after three weeks but there is no pattern for big portfolios indicating that they absorbed the shocks more rapidly than small portfolios, and also overreaction is observed only in one out of two small portfolios of the sample. With confirming the existence of lead-lag effect in long-run by Cointegration approach, the ability of ECM models in out of sample forecasting is concerned which is measured by root mean squared error and Wilcoxon's signed-rank test. However, the results indicate that the error correction model has superior forecasting performance relative to models without the error correction terms but the Wilcoxon's signed-rank test does not reject the null hypothesis that the two RMSEs are the equal.

How the behavioral pattern and investors` sentiment affect excess return is one of the challenges of today behavioral financial. The finance literature shows that a large part of the excess stock returns is not easily explained by fundamental factors. The purpose of this study is to investigate the effect of investors` sentiment index and volume of stoke traded to explain stock excess returns in Tehran stock exchange. In this study, an attempt was made to use the data of 155 companies listed in Tehran Stock Exchange during the period 2011-2015. Regressions were used to examine the effect of the trading behavior of investors, investor’ s sentiment on the excess return. The results show that the trading behavior of investors has effects on the value of assets (excess return) and investors` sentiment affects the value of assets.

The purpose of this study was to investigate the relationship between Tehran stock exchange price index and exchange rate changes using the time-scale approach. This study using discrete wavelet transform and continuous wavelet transform tries to investigate the correlation and coherence of different scales and frequencies of two variables. Accordingly, the monthly data of free market exchange rate and the stock return for the period 1997q11 to 2017q3 were collected and then two variables were decomposed using discrete and continuous wavelet transform to different scales, and finally correlation and partial wavelet coherence were studied. The results show that there is a negative relationship between two variables in long-run from 2004 to 2016 with inflation as a control variable. According to the results of this study, in the long term, exchange rate is a leading variable for stock price at recent years.

The purpose of this research is to investigate the relationship between managerial overconfidence and stock price crash risk because managers like to hide bad news and report only good news. The accumulation of bad news after a few months or years is impossible and the news releases in the capital market and causes abnormal decrease in stock price. This phenomenon is called stock price crash risk. Three and four criteria were used for managerial overconfidence and stock price crash risk, respectively: overinvestment, capital expenditure and earning forecast were used for overconfidence measurement. Using data of 71 firms listed in Tehran Stock Exchange from 2003 to 2015, we find that there is a positive and significant relationship between managers` overconfidence and stock price crash risk. The findings support this theory that non-conservative managers` appointment will cause crash in stock price. Therefore, it is recommended that companies limit these managers and enjoy less crash in their stock prices