JOURNAL OF FINANCIAL MANAGEMENT STRATEGY
Year:2018 | Volume:6 | Issue:20 |Papers Count:8

This study investigates the relationship between idiosyncratic risk and return based on the model (GARCH)-in-mean for individual by individual securities in Tehran Stock Exchange during the period from 2001 to 2015. The evidence suggests that, on average, 27% of stocks experienced a significant relationship between idiosyncratic risk and return. This is the way that companies with a negative relationship comprise a far greater proportion than those with a positive relationship in changes with the proportion of all securities (19%). The results of investigating the effect of characteristics on the probability of a significant relationship between returns and idiosyncratic risk indicate that some characteristics influence the probability of a positive and a negative relationship, while the rest of characteristics appear to affect only a positive or negative relationship. This evidence implies that the factors that explain a positive connection between idiosyncratic risk and returns are different from the factors that explain a negative connection.

In recent years, with the expansion of family-owned companies in emerging economies, carrying out numerous studies is necessity. To this purpose, the present study investigates financial structure relationship in such firms. We try to compare the cash holdings, financing through long-term-debts and dividends paid in family firms and comparison them with non-family firms. The sample of this study includes 27 family firms and 105 non-family firms in a 10-year-priod from 2005 to 2014 in Tehran Stock Exchange Market. The results show that a part of a firm's equity owned by the founder or a member of the family affects the usage of cash, debt structure and dividend policy. In other words, family firms usually less depend on funding through long-term-debts, pay less dividend and hold more cash.

In order to measure hedge funds operating under the wings of two documented, many financial institutions tend to use the loss distribution approach. But a loss distribution approach requires a large number of internal loss data in order to have the necessary performance, so due to limitations in the database operating losses and the cost of internal loss data collection, in order to increase performance and reliability the operational risk capital should be calculated from other data sources used for operational risk. The biggest challenge facing financial institutions is how to combine different data sources of operational risk. In this regard, expressed in this research has been how to combine a variety of data source. So, in this paper the parameter estimation of frequency of operational risk loss distribution approach using Bayesian inference is explored. In this research, assuming dependencies between data sources, operational risk, the experts and internal loss data is intended. To validate the estimated models for the posterior distribution of numerical tests of goodness of fit is used. In addition, to calculate dependencies between data sources, detailed functions family of Gauss is used. The results indicate that with the assumption of experts dependence between the source data and internal data loss, by increasing the number of predictive parameters, frequency distribution, reduced the value of the parameter distribution, which represents a decrease of profile risk over time.

Fraudulent financial reports are a major threat to investors. However, in practice, there is no method of instant detection of fraud. Therefore, the consideration of indirect measures for fraud is very necessary. Theoretically, along with the traditional criteria of fraud, which are generally quantitative measures, qualitative measures can also be useful in detecting fraud possibility. Accepting the assumption that traditional measures of fraud are the relatively accepted academic benchmark for fraud, this study assesses one of the qualitative criteria, the word-based metrics, in detecting fraud possibility. The findings of the research indicate that there is no significant relationship between the conventional measures, such as voluntary accruals, financial leverage, tax evasion, auditor's opinion, employee growth, income growth, current ratio and working capital to assets ratio and positive, negative, judicial and uncertainty words.

In recent years, the Value at Risk as a useful tool has been able to assist investors and activists in the financial sector to estimate and forecast the amount of risk involved and its management greatly. In this paper, multiple-step-ahead method forecasted Value at Risk of the Auto and bank indices from March 2011 to September in 2016 with confidence levels of 95% and 99%. Holt-Winters Exponential Smoothing Multiplicative method that balances the model in level, trend, and season with three parameters is also considered as one of the most powerful members of the exponential smoothing family. To evaluate the accuracy of the aforementioned model, the Kupiec proportion of failure test, Christoffersen independence test and Conditional coverage test are used. Also, the proposed method and the classical method were compared with the Lopez and Blanco & Ihle loss function tests. The results show that Holt-Winters Exponential Smoothing Multiplicative method is reliable and accurate in predicting the risk factors in the stock indices.

Achieving an optimal leverage is one of the main goals and priorities of corporate finance managers to achieve more revenue through cost management. Since the lack of an inappropriate capital structure in each company affects the different fields of company activity, it can lead to issues such as inefficiency and lack of codification of appropriate strategies for financing. The purpose of this research is investigating the effect of corporate asset restructuring sensitivity on the target leverage ratios of companies listed in Tehran Stock Exchange. The research period is 5 years from 2011 to 2015. The statistical population of this study is all of the companies listed in Tehran Stock Exchange. 102 companies were selected by systematic sampling. Based on this, 510 views were taken on the basis of the year-company. The results of this study showed that according to the variable coefficient and level of error, the sensitivity of asset restructuring, respectively, has a negative and significant relationship with the leverage deviation. It was also found that the first quartile companies (which are most sensitive to asset restructuring), adjusting their real leverage towards the target leverage at 85% per annum. Capital structure adjustment speed for the first quartile companies is 16% higher than the total companies surveyed.

The purpose of this study is to investigate the effect of mimetic behavior of peer companies on capital structure of companies listed in Tehran Stock Exchange during 2006 to 2016. The multivariate linear regression model was used to test the hypothesis. Based on the systematic elimination method, 126 companies in 11 industries were selected. The statistical method in this research was panel data methods. The results show that the average of industry external finance, average of industry net income ratio, the average of industry market to book ratio and the average of industry volatility net profit do not affect the company's capital structure. But, the average logarithm of industry net sales affects the company's debt structure. In general, the results suggest that there is not mimetic behavior in peer companies to external finance in companies listed in Tehran Stock Exchange.

Recently, regulating institutions and stock exchange have emphasized the requirement for disclosing corporate social responsibility reporting to ensure transparency and responsibility in capital market. Therefore, the present study is concerned with investigating the effect of corporate social responsibility on market value of the firm’s cash holdings. To do so, a checklist of 39 items of disclosure which are compatible with Iranian reporting environment was used as a proxy for social responsibility. With a sample of 96 firms listed in Tehran stock exchange during the years 2011 to 2015 and using multiple regression model based on panel data techniques, the research hypothesis was tested. The results indicate that corporate social responsibility disclosure increases the market value of the firm’s cash holdings. In other words, investors assign a higher value to cash held by firms that have a high social responsibility disclosure level.