THE IRANIAN ACCOUNTING AND AUDITING REVIEW
Year:2008 | Volume:15 | Issue:53|Papers Count:9

Markowitz, in his Portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. Accordingly, he presented his mathematical model. One of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. Liquidity is one of the most important criteria in forming portfolios. The present research aims at merging this criterion with Markowitz’s suggested model in Iran’s market using liquidity filtering, liquidity constraints and thus forming a model by using of which investors form a portfolio whose return, risk and liquidity is optimal. The research results show that liquidity in high levels has an effect on investors decisions and their efficient frontiers. 

The development of the bankruptcy or financial distress prediction model has long been regarded as an important research in the academic and business entities. Financial distress of companies imposes many costs to the companies. One method that can help companies to prevent from financial distress is prediction of financial distress. This prediction also can help banks and other financial institution to have better credit scoring and rating systems. In this study we used Support Vector Machines (SVM) for predicting financial distress of companies and Logistic Regression (LR) as a comparative method. We found that SVM has a better performance than LR. Results show that SVM not only has a better accuracy rate of prediction but also has a better generalization power. 

The orithecally the existence, growth and diversity of agency relation is expected to effect on audit pricing by affecting size, complexity and risk of the auditee. But no adequate evidences have been documented. This study investigates the association of audit services pricing with agency costs. For this purpose, agency costs’ factors are used as independent variables and audit fee is used as dependent variable. The purpose of this study is to find whether there is a significant relationship between agency costs and audit services pricing. The necessary information for testing correlation of variables through a regression model gathered from production companies of Tehran Stock and Exchange (TSE) for the financial year of 2005. The results of this study show that for the some of independent variables there is a relationship between agency costs and audit services pricing and on this basis it is possible to propose that there are agency costs or conflict of interests among various groups of involving parties in corporations in Iran and, this conflict affects audit services pricing. 

Analytical procedures have become an increasingly important part of financial statement auditing and have received significant attention in the Auditing literature. The use of Analytical procedures is prescribed by auditing standards at both the planning and conclusion stages of the audit. This study describes how auditors perform analytical procedures at the planning, Substantive testing, and overall review stages of the audit. I conducted an experiment in which subjects performed analytical procedures and answered the questions. Study participants were 76 advanced–in–charge auditors attending a week audit training seminar. They had an average of 188 months of audit experience, ranging form 84 to 318 months. The results show that auditors apply the analytical procedures at planning of almost half of Audit contracts. The study also shows that Analytical Procedures use in Final review almost in all of contracts and Auditors Use The Analytical procedures as the substantive test in more of half of Audit contracts. 

In this study, the effect of accruals quality on cost of capital for firms accepted in Tehran Stock Exchange has been analyzed.(accruals, has defined as difference between accounting earnings and cash flows). The aim of this study is to determine, if accruals quality (AQ) has meaningful effect on cost of capital (cost of debt and cost of equity). Therefore 85 firms in the period of 1376-1384 have been studied. The selected approach for test hypotheses is panel data analysis. AQ is separated to discretionary and nondiscretionary, to test the results of these two components on cost of capital. The results show that, the cost of capital of firms isn't influenced by AQ and its components. On the other words, we couldn't accept that there is a meaningful difference between cost of capital of firms with poor AQ and those of with high AQ.

This study is an attempt to investigate the effects of ownership structure on the performance of the accepted companies in the Tehran Stock Exchange. For testing the hypotheses, the statistical "panel data" technique was employed. For testing each hypotheses, four models based on different independent variables were introduced. The statistical population included 66 companies in the period between 2003-2008. Based on the research results, all the hypotheses except the fourth one, were confirmed. The findings reveal a significant negative relationship between the "institutional ownership" and companies’ performance; and the relationship between the "corporate ownership" and companies’ performance is significantly positive. "Management ownership" would affect the performance significantly and negatively. For "foreign ownership", there is no information that would indicate the ownership of foreign investors in our samples companies. In "private ownership", it is better for corporate investors to handle the principal ownership. In general, there is a significant relationship between companies’ ownership structure and their performance. 

Regarding the importance of the relationship between risk and return, the effect of illiquidity risk and liquidity factors such as excess market return, firm size and book to market value ratio on excess stock return are investigated in this research. By using time series method, this investigation was conducted on Iranian companies listed in Tehran stock exchange monthly over the period 1378-1384. Portfolio construction approach is applied for the reduction of correlation coefficient among these variables. The results show that all of the applied independent variables have significant effect on the dependent variable. Namely, the impact of illiquidity and firm size on excess stock return is negative; however the effect of excess market return and book to market value ratio on excess stock return is positive.