JOURNAL OF ASSET MANAGEMENT AND FINANCING
Year:2020 | Volume:8 | Issue:2 (29)|Papers Count:6

Objective: A question that always arises for some practitioners and academicians is why stock prices in firms are not consistent with traditional discounted cash flow (DCF) models. Method: To this end, firms’ stock market prices should be analyzed on the basis of scientific principles. In addition, real options and their role in firms’ stock market value is an issue that has always been considered implicitly in practice and needs to be studied scientifically. Hence, this paper examines the relationship between a portion of the firm's stock market value that is due to real options and variables that are related to real options. Results: The results of the study, based on data from 140 industrial-productive firms during an 11-year period, indicates that in all three approaches, net income (NI), free cash flow to equity (FCFE) and free cash flow to firm (FCFF), a part of the firm’ s stock market value is on average due to real options.

Objective: This research investigates the financing strategies of companies under normal and the economic crisis conditions over the years 2003-2016. Method: The statistical population of this research consists of companies listed on the Tehran Stock Exchange and Iran Over-The-Counter market (OTC). Research hypotheses have been tested through Multivariate Regression Equation. Results: The findings indicate that in both normal and crisis periods, the ROA (Return on Assets) and size of the company have a positive impact on the financing through the stock market. In addition, despite the negative impacts of sales growth, profitability, and average financial leverage on equity financing, tangible assets and market risk fail to indicate any effect on it. The results also demonstrate that the ROA and size of the company have negative effects on financing through the debt market over both normal and crisis periods. In addition, notwithstanding the negative impact of sales growth during the crisis period on debt financing, this effect is positive in the normal condition. Moreover, profitability and financial leverage have positive effects on debt financing during both normal and crisis times. Finally, it has been revealed that tangible assets have a positive impact on debt financing during the crisis period, but a negative effect during the normal period. Market risk has no effect on debt financing.

Objective: This study aims to determine the impact of working capital management on profitability in business cycles based on the output gap in companies listed inTehran stock Exchange. In this study, the combination of panel data is used. Method: For evaluating hypotheses, Factors such as Return on total Assets (ROA), Return of owner’ s Equity (ROE), Return Operating profit (OP) Were applied to evaluate corporate profitability. Moreover factors such as cash conversion cycle (ccc), Inventory Turnover In Day (ITID), Average collection period (ACP), Average payment period (APP), were utilized as criteria for evaluating working capital management. The business cycle has used been to evaluate output gap In this study, 85 companies during the period 2005 to 2014 is considered as the sample. Results: The results show that the cash conversion cycle and accounts receivable collection period in boom period has a significant and negative impact on operating profit.

Objective: Hardly are traders inclined to indicate sentiment in the classical finance, however the behavioral finance paradigm shows that in some cases stock price changes have no fundamental triggers, and just the emotional tendency of the investors play the stimulant role in determining prices. Method: Investor sentiment is defined as the tendency of market participants for speculation and this tendency can be related to the psychological state of the minds of investors. Given the fact that distressed traders are influenced by their emotions and the total emotion of the market, emotional tendency indicators are used to explain the behavior of these types of traders. In this research, the emotional tendency indicators are extracted in two ways: direct approach (survey method) and indirect approach (through the analysis of statistics and market data). Results: Furthermore, this study, based on literature review and stock market conditions in Iran, applied the principal component analysis method (PCA) with different sentiment variables and indicators for extracting a composite sentiment index for extracting noise traders in Iranian stock market. Regarding the special value of the first component and the factor load (coefficients) of the variables, three variables are used in the final index. These three variables are: "Monthly volume of retail transactions by the volume of total stock trades", "Monthly volume of online transactions by the volume of total stock trades", and "Monthly volumes of stock trades by wholesalers and wholesalers by the volume of total market transactions".

Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period. Thus, if individual investors show scant attention to the left tail risk, holding the risky stocks, high levels of negative return are almost inevitable. The purpose of this study is to investigate whether or not the attention of individual investors to the risk is limited. Method: Data from one hundred and twenty (120) companies listed in Tehran Stock Exchange during the period from 2010 to 2018 was analysed using Fama regression and Macbeth. Results: The results of the present research suggest that individual investors, due to their little capacity and confidence in accepting risks, pursue a conservative investment program and their selling of their stocks depends on the probability of the left tail risk persistence in the next period.

Objective: In this paper, three types of power options under special stochastic markets have been priced. In the considered market, a risky underlying asset follows a model with two stochastic volatilities, two jumps, and a stochastic intensity measure. Generally, a power option is supposed to generate more income and benefit than other options. There exist, nevertheless, some methods thwarting the opportunities and one of these methods is considering a barrier such as a cap for power option income. The aim of this study is to draw a comparison between the ability of capped and power options in generating arbitrage opportunities. Method: In this study capped and power options are compared in order to find probable arbitrage opportunities under the considered market. For this purpose, comparisons are made on the basis of a hypothetical condition, applying the Tehran Stock Exchange index as an underlying asset. Then, the profits of these two options extracted from the data of the Tehran Stock Exchange have been compared. Results: Our findings indicate that between the capped and power options, the former has a higher ability to handicap the profit of arbitrage opportunities.