THE IRANIAN ACCOUNTING AND AUDITING REVIEW
Year:2007 | Volume:14 | Issue:49|Papers Count:14

According to the theories of financial economic, the standard deviation of asset return is defined as risk measure. This risk measure includes both undesirable and desirable risks (total risk). But, in new financial theories, undesirable risks are more important than desirable risks, because these events ruin companies (and destruct their capital). One method of risk measurement is value at risk (VaR) for measurement of these risks. Of course, there ar three main methods for measuring of risk that includes: a. standard deviatio, b. coefficient of variation and c. VaR. In classic theories of portfolio, the optimal investments weights were determined by minimizing portfolio return variance, but, in new financial theories, minimizing VaR is used for determining these weights. In fact, the principle goal of this paper is introduction of VaR as a suitable method to calculate asset risk and optimal allocation of investment. In this paper, we initially define the VaR method and, consequently, calculate it by using of variance-covariance method based on ARCH and GARCH models. We have assumed that this portfolio includes stocks of 4 companies; therefore, we have calculated optimal weights of investment on these stocks in Tehran Exchange Market. In finally, we have cocluded that, typical investor must allocate highest and lowest wieght for the stock of Bank Melli Investment Co. and Qadir Investment Co., respectively.

This paper examines the presence of herding behavior of investors in Tehran Stock Exchange (TSE). Primary evidence denoted that, investors in TSE tend to suppress their private information and mimic the actions of other investors, rather than use quantitative techniques to assess stock value and make investment choices. We examine the herding behavior in TSE with two models. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index with daily, weekly and monthly data. Our findings indicate that herd formation does not exist in upward markets, but we find evidence of herding in down markets. However, comparing return dispersions for upside and downside movements of the market, we observe that return dispersions during extreme downside movements of the market are much lower than those for upside movements, indicating that stock returns behave more similarly during down markets. We didn't find any evidence of herding behavior with weekly and monthly data. The dispersion measure increases with the return interval. The weak evidence of herding behavior displayed in weekly and monthly data is consistent with the observation by Christie and Huang (1995) that “herd behavior is a very short-lived phenomenon”.

The most significant objectives of the present research are to determine performance measurement indicators to study the quality and capacity of current indicators, and to evaluate the capability of accounting systems as well as other systems responsible for information for universities and higher education centers. In this way they can satisfy operational and financial accountability. In order to achieve the above objectives we went through five operational stages as follows: 1) Studying theoretical foundations of performance measurement and indicators used in developed as well as developing countries 2) Seeking for experts and specialized figures of the countries concerning key indicators extracted from the theoretical foundations of performance measurement 3) Comparing current PMI to the indicators agreed on by the majority of the specialized members of the society throughout the country 4) Examining capabilities of report and accounting systems caused by universities and higher education centers, and 5) Evaluating the capabilities of other current systems responsible for information. The results of the research shows that universities and higher education centers in Iran lack acceptable performance measurement indicators they need in order to meet their operational and financial accountability. However, report and accounting systems used by universities and higher education centers as well as other systems responsible for information have capacities necessary for financial and non-financial information concerning indicators agreed on by all members of the specialized society of the country. Which is required in evaluating the performance of universities and higher education centers?

Many Studies have been conducted on the audit services in the United States, United Kingdom, and Australia. But to date very few have focused on other countries. This paper studies the market for audit services in Iran. The finding indicates broad similarities in the market for audit services in Iran and countries previously studied. The objective of this study is to understand how the effect of these factors (Industry Specialization, Audit Firm Reputation, Auditor Independence, Quality of Audit Report, Client Litigation, Stresses of Audit Report, and Client Reputation) identified by prior research on audit fee. Most prior studies have attempted to understand external auditors ranking about the importance of these factors. The results indicate that audit fee is influenced by Industry Specialization, Quality of Audit Report, Client Litigation, and Stresses of Audit Report. But Audit Firm Reputation, Auditor Independence, and Client Reputation don't have impact on the audit fee.

This Research is going to answer the question if the technical analyses help the people gain much return in Tehran Stock Exchange (TSE). Actually it wants to determine the benefits of using the technical analysis as tools to predict the price models & trends in TSE. Therefore, the Moving Average which is one of the most used technical tools in determining the price trends, price changes and movements, is used for this purpose. So this research is used to test the ability of Moving Average as tool to gain more profit than the other tools. This work is done in the period of 1371 till 1383 (Iranian Year). The results show that the Moving Average can predict the price models & trends and helps the investors to have better transactions and more chance to make profit in TSE. Also the results shows that the return gained by using the technical strategies was more than the fundamentals like buy & hold, in TSE. This trading rule had about 60% gains, which were more than 36% gain obtained by buy & hold strategy (in the same time) In TSE.

This article examines the disaggregating of earnings on predicting future operating cash flows in the firms listed in Tehran Stock Exchange. Our sample is 41 firms during the period of 1376-1384 (Iranian calendar). Specifically, our analysis is based on the panel data regression framework employed by Al-Attar and Hussain (2004). We develop a model for cash flow prediction that decomposes earnings into cash and accrual components. We find that earnings components do reflect better information relating to future cash flows. Furthermore we also decompose accruals into five components and investigate the ability of model to predict future cash flows. We find that the disaggregating can generate superior explanatory power in regard to future cash flows.

The theory of capital structure offers two competing models of financing decisions. In the trade-off model, firms identify their optimal leverage by weighting the costs and benefits of debts. In the pecking order model, firms finance new investments first with retained earnings, then with debts, and finally with outside equity. The empirical literature provides conflicting assessments about how firms choose their capital structures. We investigate the effect of delayed variables and factors that affect firm's leverage changes. For this purpose, we gathered data from 164 firms in Tehran Stock Exchange, during 1379-1383 years. Using panel data regression model, our results indicate that firm's past profitability has strong influence on their market leverage, and this effect last for over two years. Also, firm's past financial deficits have strong influence on their book leverage, and this effect last for over two years. The effect of stock returns on book leverage, last only for over one year. The market-to-book ratios of assets have short-run effect on market leverage as well as book leverage.