JOURNAL OF FINANCIAL MANAGEMENT STRATEGY
Year:2019 | Volume:7 | Issue:26|Papers Count:8

According to modern portfolio theory, investors can control idiosyncratic volatility via diversification of investing portfolio. Therefore, it is assumed that investors seek returns only because of systematic risk tolerance. In practice, however, it is observed that idiosyncratic volatility has a price, which is inconsistent with assumptions of modern portfolio theory. The relationship between idiosyncratic volatility and expected returns as well as the factors affecting the pricing of idiosyncratic volatility has been studied so far. In this study, it was attempted to examine how idiosyncratic volatility is priced in Iran’ s capital market by explaining arbitrage risk during the 2007-2017 period. For this purpose, one of the current trading restrictions in Iran’ s capital market as well as other common measurement variables and Fama and French’ s five-factor model were employed to estimate arbitrage risk and idiosyncratic volatility, respectively. This is the first study using Fama and French’ s five-factor model and arbitrage risk in order to price idiosyncratic volatility and asset, respectively. To answer the research question and test the hypothesis, portfolio analysis methods and Fama-MacBeth regression were employed. The results indicated that, while taking into account arbitrage risk, the relationship between idiosyncratic volatility and expected return is significant and negative.

Stock price synchronicity measures the degree to which market change can explain stock price movement, and stock price informativeness measures the degree to which information can explain this movement. The effect of information release on price is higher in optimal information environments than other environments and, as a result, informativeness is higher. In this situation, the effect of market and industry changes on stock price will be reduced, consequently reducing stock price synchronicity. Theoretically, stock price synchronicity and stock price informativeness are two sides of the same coin, but studies have shown different results. These two criteria have different behaviors in various environments based on the company’ s fundamental variables. As a result, the goal of this study was examining the role of stock price synchronicity and stock price informativeness on portfolio optimization. Thus, by collecting 300, 000 pieces of data from 130 sample companies during 10 years, we computed stock price synchronicity and stock price informativeness. Then, by analyzing these data using data envelopment analysis (DEA) and fuzzy Delphi techniques, we made several portfolios and compared them. The result demonstrated that these two criteria have different behaviors in different situations and if stock price synchronicity and stock price informativeness are considered in portfolio selection, then portfolios will have a better return. Considering stock price synchronicity improves the return of portfolio by 86% and stock price informativeness improves it up to 75%, while this value will be reduced to 47% on average without considering these crtieria.

Despite the importance of the dynamics of shareholders’ general meetings, few studies have been conducted in this regard, and the theoretical findings have predicted the inconsistency in outcomes. The purpose of this study was to investigate the relationship between shareholder participation in the shareholders’ general meeting with financial and tax performance. In this descriptive correlational study, three criteria of return on assets, return on equity returns, and Tobin's Q ratio were adopted for measuring financial performance, and tax avoidance criterion was selected for measuring tax performance. Using a multivariate regression model, the results of examining 95 companies listed in the Tehran Stock Exchange between 2009 and 2017 showed a significant positive relationship between shareholder participation rate and corporate performance. Thus, in companies with more dynamic meetings, the rate of return on assets, return on equity, and Tobin's Q ratio is higher. In addition, the results demonstrated that there is no significant relationship between the level shareholder participation in the shareholders’ general meeting and tax avoidance.

The present study aimed to examine herding or collective behavior as a behavioral bias among investors. For this purpose, using the daily stock price data of 184 active companies listed in the Tehran Stock Exchange during the years 2013 to 2017, the existence of herding behavior in the Tehran Stock Exchange was investigated with a new approach. The severity and weakness of this behavior during these years and effective observations on its occurrence were also explored and verified. The data were analyzed based on the principle of time series data and using standard scoring techniques and impact points. Findings confirmed the existence of herding behavior in all the mentioned years, and showed the distribution of the severity and weakness of the incidence of this behavior in a daily manner along with effective observations. With the aid of the effective point identification technique, the times of occurrence of collective behavior were extracted. The results of this study demonstrated that this behavior occurs with more intensity in downtrend than upward trends.

Recently, with the expansion of social networks, the term crowdfunding has often been discussed, although this is not a new concept and has been active in its traditional form for long. The focus is on involving the target community in activities such as problem-solving, production, idea creation, and innovation. Crowdfunding focuses specifically on the economic participation of individuals to make benevolent or economic investments that may have material gain or spiritual goals. The challenges of successful implementation of crowdfunding projects are the recognition of the indicators affecting the maximum community participation. Therefore, the present study aimed to identify the indicators affecting the success of crowdfunding and validate them in the form of a structural model. To this end, after reviewing previous studies and designing survey tools, the opinions of the statistical population, including Yazd citizens who had a history of participation in such projects were analyzed by exploratory-confirmatory factor analysis. The results of the model test based on the participation of a sample of 410 people showed that, in general, the four objectives of purposefulness of the crowdfunding project, proper informing, trusting the executives, and encouraging investors are most influential on the success of these projects.

The Black-Scholes pricing theory is one of the most important methods for valuating transaction options. This equation is used to price a variety of European options. In this paper, a new method was developed to prove and improve the Black-Scholes equation by focusing on the Black-Scholes main Schrö dinger-like equation and solving this equation using the Nikiforov-Uvarov method. While investigating the possibility of improving the Black-Scholes equation with this method, a new equation for the pricing of transaction options was presented and tested. The goals of this study include increasing the accuracy of pricing options by using the equation provided, especially for high-value trades; checking a logical solution in a new way; comparing outputs with the numerical solution; and innovating the final formula based on Lagrange polynomial functions. The results showed that a different proof for the Black-Scholes equation is possible by solving the differential equation by the Nikiforov-Uvarov method and, at the 95% confidence level, there is no significant difference between the price of the two main Black-Sholes groups and the new model. In order to compare the output of the new model with that of the Black-Sholes main model, the data of 50 coin options in Iran Fara Bourse from 2015 to 2018 were used, and two independent groups were compared using the Mann-Whitney U test.

Managerial cognitive biases, particularly managerial overconfidence, have always been influential factors on the research and development and innovation processes of firms. The present study thus aimed to investigate the impact of managerial overconfidence on research and development expenditures of firms. To this end, managerial overconfidence was proxied by two measures based on investment decisions. The research hypothesis was also built upon 51 firms listed on the Tehran Stock Exchange over the period of 2012-2016, and then tested using multivariate regression model based on panel data. The findings revealed that managerial overconfidence tends to enhance research and development expenditures.

The price of a fixed income portfolio is a function of future cash flows and expected market rates. Since future cash flows are fixed, the price changes of the bonds will occur in response to changes in the expected market rate of return. The main problem for holders of securities is determining the sensitivity of the bonds’ price to the expected rate of return. Major measures for this purpose include convexity and modified duration. In addition to these two criteria, in this study, the yield to maturity at risk criterion was also defined and examined. The main purpose of the research was to find a measure which is more suitable to price estimation. Since one of the most important factors influencing the price of a security is its risk, the measure that has the best performance in estimating the price of a security is the most efficient measure in determining its risk. To this end, the ability to estimate each of the above measures was compared using regression, which indicated that the yield to maturity at risk has the best estimation power. Therefore, the best measure for determining the risk of Iranian debt market is yield to maturity at risk, and financial analysts and potential investors can use this criterion as a risk factor in optimal portfolio investment models, existing portfolio modification, and analysis of the risk of fixed income securities.