ECONOMIC RESEARCH REVIEW
Year:2008 | Volume:- | Issue:2|Papers Count:10

This paper investigates the relationship between Fundamental analysis and abnormal rate of returns at Tehran Stock Exchange (TSE) during 2001-2004. Using a collection of signals that reflect traditional rules of Fundamental analysis related to contemporaneous changes in inventories, accounts receivables, gross margins, capital expenditures, selling and administrative expenses, effective tax rates, labor force productivity, audit qualification, and interest expenses. Also, this study extends the search for value-relevant fundamentals both by using a guided choice of candidate variables and by conditioning the returns-fundamentals relation on macroeconomic variables. To examine the incremental value-relevance of 9 candidate fundamentals, we use cross-sectional regression. We find that fundamental signals do not provide significant information about future returns. These findings are inconsistent with the underlying focus of fundamental analysis on the prediction of earnings. Also, our finding indicates that the reaction of investors to fundamental signals in different economic conditions is different.

Previous research shows that political risk as one of the risk sources might have a considerable effect on stock returns. This paper focuses on Iran as a country that in recent periods has experienced a number of diverse political events and happenings. The paper is an attempt to capture the effect of political risk on stock return volatility as evidenced by Iran. The paper's findings indicate that political risk has significantly affected stock returns in Iran during the 1379-1384 periods. However, the reaction of stock returns to positive and negative political news and events was asymmetrical. The conclusions can be used to manage political risk and stock market transactions.

The main purpose of this paper is to assess the effects of stock issues and Institutional factors (Such as Non-Security, ownership rights, laws and regulations quantity and etc) on private investment. The long-run relationship between studied variables and its relation with Short - time, have estimated with using of Variance Decomposition and Error correction mechanism techniques.The results show that Institutional factors have a negative effect on private Investment, and the stock issue has a positive effect on. The fact is that, the Institutional negative effect is greater than the stock issues positive effect. In addition, the government expenditure for Investment is negatively related with Private investment, but the growth of gross domestic product has a positive effect on private investment. Moreover, the small coefficient of Error Correction mechanism shows the slow velocity of convergences to the long-run equilibrium.

Since the mid - 1990 s, models geared to apply knowledge about market risk from portfolio selection theory to credit portfolios have been proposed in the relevant technical literature, several methods and (software) products for measuring credit portfolio risk have been developed and become available. It is striking that most of the publications in current literature are still critiques and application tests referring to the four standard models from 1997 and 1998 or related approaches. This paper reviews the credit Risk+ model.

In this paper, we investigate the effects of financial development variable on the rate of economic growth. The subject was discussed for the first time by Md Kinnon and Shaw in 1973 and then was developed by other economists.Variable effecting financial development are indices for financial intermediation and financial depth. In the paper we have taken a sample of countries data and have used juhansen and jusilius method to confirm that a long run relationship exist in our model and then by using a panel data regression (fixed effect) we estimated the model and tested the effects of independent variable on rate of growth of Iranian and other countries in our sample.

This paper investigates effective factors on earnings management among companies listed in TSE. This study is based on a semi experimental analysis on data collected from statistical indices using logistic regression model, correlation coefficient, X-square and comparison of means. Findings of this study indicate that factors such as changes in firm's evaluation, growth forecasts of future earnings have positive relation with earnings management. The results have not shown any relationship between earnings management and factors such as firm size and ownership structure.

Since 1997, Iran Stock Exchange made use of advanced IT-using internal networks, internet and local networks, etc in it's planning’s. Could advanced IT affect on trade aspects like trades volume, yield instability, cash on hand and efficiency of market? This paper is going to elaborate effects of advanced IT on Iran Stock Exchange Market. Investigation of daily data of 56 companies in stock exchange market related to 2000 and 2003 has been evidenced of that, advanced IT causes some rises in trades volume and cash on hand. And little augmentation in output continuous correlation shows that market has become more inefficient, but reduction in extension and increasing in bump indicate the improvement in Iran stock exchange market information structure.

Current article examines the CAPM and Fama- French three-factor (1993) models for Iranian emerging equity market using daily stock returns from 50 listed companies in Tehran Stock Exchange (TSE) for the period of 2000 through 2004. In order to improve the results obtained, the Dimson improved approach to estimate beta has been applied in the study. The CAPM's central prediction for the intercept is that it should equal zero and the slope should equal excess returns on the market portfolio. The empirical findings of the study approve this hypothesis but it provides no conclusive evidence in support of the validity of the CAPM. Additionally, this study offers additional out of sample evidence that size, book-to-market and E/P ratios are major systematic risk proxies in the TSE, although despite the evidence documented in finance literature, the relationship of the above- mentioned variables and the cross-section of stock returns are in contrast. Finally, the empirical findings confirm that the Fama-French three-factor model (1993) holds for the Iranian Equity namely Tehran Stock Exchange.