By demonstrating the inability of standard financial models that are based on perfect rationality, behavioral finance school turned to psychology and behavioral decision knowledge. Behavioral finance means the study of investment behavior by using the ideas and beliefs that investors may act irrationally. According to behavioral finance model, because many factors are involved in investors' decisions and only one of these factors is valuation models, so biases can be seen in investors’ behavior. Using the data from 155 listed firms in Tehran Stock Exchange. This study attempts to investigate the relations between accruals quality, and conditional volatility. The results showed that accruals quality have an inverse impact on conditional volatility in Tehran Stock Exchange.

The present article explains the effect of some macroeconomic indicators on stock return fluctuations. Artificial exchange rate pricing in the years before the crisis and preventing it from adjusting to the economic conditions is one of the main reasons for the recent currency crisis. Also, the calculation of the foreign exchange market pressure index indicates that the highest numbers obtained for this index are related to the time when the gap between the free exchange rate and the official exchange rate has increased. The results also showed that the effect of exchange rate fluctuations on stock return fluctuations is positive and significant, which indicates that there is a high correlation between stock returns and the exchange rate market. Also, the positive sign of the coefficient indicates a positive and significant effect of interest rates on the variability of stock returns. This result shows that higher interest rates have led to more fluctuations in stock returns. Finally, GDP per capita was not significant in any of the error levels of 1, 5 and 10%, which indicates that it did not have a significant effect on stock fluctuations.

Investors consider macroeconomics variables in making decision about their investments. This implies that they seek to decline investment risk (systematic risk) and obtain expected returns. The goal of this study is to investigate the effect of macroeconomic variables of employee rate, Gross Domestic Product (GDP), inflation and growth of stock price index on stock returns in Tehran Security Exchange in period 1379-1385 using the regression model. The results of research indicate that growth of employee rate do not have significant effect on returns and GDP (limit effect), inflation (negative limit effect) and growth of stock price index (significant effect) affect returns affect returns. To understand the effect of macroeconomic variables on share returns can help investors to make decisions appropriately and also can help policymakers to direct macroeconomic policies and to determine the effect of these policies on security exchange.

One of the serious problems which managers of enterprise have faced with is recognition and explanation of divided distribution determiner elements. Having a good knowledge from this elements show not only the solvency of the company but also can predicate some of the future behavior of the company this knowledge also can in flounce on financial long-range planning and divided distribution payment to stock holders on this base, Different theories are presented by the financial researchers that some of them are bellows: 1) Non relative divided distribution theory between return on owner’s equity and the value of the firm. Such as Miller and Modgiliani.2) The theory of relation between divided distribution and return on owner’s equity and the value of the firm. Such as Gordon model, Walter model.In this study in addition to information of foreign Researches, we were interested to Tehran stock market exchange. At first the hypothesis of research and then the variables which are related to this data are mentioned. in addition , the necessary information is collected for 86 company which are concern with this research by software parcels in the market and the date Tehran stock market exchange during the period of 8 years from 2000 to 2008 for the analysis the date, however some statistical approaches and used on the base regression with SPSS soft ware. The result of this research in dictates that there is a direct relation between dividend payout fluctuations and return on owners’ equity.

Long term and short term volatility in cash flow, can prepare relevant information in stock return prediction. Always operational cash flow has been one of the most important items in financial statement. Results of different researches indicate that cash flows can influence on investors decision because of including information content. Researches which done by now, have focused on relative and incremental and have had lower intonation on short term and long term cash flow volatilities. This research wants to study information content of short term and long term cash flow volatilities.Cash flows annual volatilities percent relative to prior period considered as short term cash flow volatility (CFVOL1).Operational cash flow variances applied to calculate long term cash flow volatilities (CFVOL5). Statistical population in this research is firms listed in Tehran Stock Exchange (TSE), based on considered condition 50 firms selected over 2002-2009. Panel analyses are used for analyzing data.Findings show that volatilities of short term operational cash flows is a relevant information to predict stock return, while volatilities of long term operational cash flows don’t have meaningful impact on stock return. Other achievements confirm that among control variables like beta, size and BE/ME, just BE/ME have effect on stock return.

In the present research, the main issue is the modeling of stock market volatility fluctuations in emerging markets. In the first step, by using Hadrik Prescott's filter and Garch model (1. 1), for extraction of economic cycle, by using the GDP we are indicating business cycles of conteries, the desired economics of modeling are carried out and the results obtained using Regression has been implemented on the returns of sample markets in 24 countries. The study period was between 1992 and 2016. The results show the significance and ability of models presented in the modeling of stock market fluctuations, and the relationship between economic cycles and capital market returns has been confirmed in some countries.

The main objective of this study it to test the relation between stock return and idiosyncratic volatility in the three aforesaid models and compare the explanatory power of stock return by idiosyncratic volatility in each of these models. The sample used in this study obtained through screening method includes 118 companies admitted to Tehran Stock Exchange from 2011 to 2017 and Panel Data method is used to tests hypotheses. The results of hypotheses testing indicate that there is significant relation between stock return and idiosyncratic volatility in the three models investigated under this study and the explanatory power of stock return by idiosyncratic volatility in Carhart four-factor model is higher compared to other two models.

The major purpose of this research was to investigate and determinate the effect of some risk variables in the stock returns of the companies listed in Tehran Stock Exchange Market (TSEM). In approaching this study, the effects of firm size in the stock return volatility in different capital market conditions in TSEM during the years 1374 through 1384 were analyzed. The population of the study encompasses all firms listed in TSEM with the exception of banks, investment companies and leasing companies.The sample of this research was the firms whose stocks during the period of study at least six month of a year was exchange. Consequently, 53 firms were finally selected and analyzed.In choosing the conditions of market, used 3 criterions include stock market index and monetary exchanges volume and this numeric in TSEM. Then by using “the regression analysis technique and dummy variable “, the effects of selected variables in stock returns were studied.The results of this study show that, there is positive and significant relation between firm size and stock return volatility, when market condition is not importance, and when market condition include the model, this relation is still positive and significant. We concluded that, market condition does not effect on relationship between firm size and stock return volatility (Beta).

AbstractIn most return forecasting models, the return of the total market is used as one of the factors affecting the return of securities. In most of these models, such as the pricing model of capital assets and Black-Scholes, the data distribution is assumed to be normal. This is while the distribution of the total return is not necessarily normal and often has a significant difference from the normal distribution. If such a hypothesis is confirmed, the expected return predicted by these models will not be very effective in financial decisions. The purpose of this research is to model the total return of Tehran Stock Exchange based on the Laplace distribution and examine the dependence of the total return fluctuations on the desired distribution. In order to examine the distribution of the total daily return and its weekly fluctuations, data related to a 15-year period between 1387 and 1401 and R statistical software were used. The data analysis showed that the total daily return followed the Laplace distribution and the weekly fluctuations of the total return followed the distribution obtained based on the Laplace distribution. These findings make the use of models with the assumption of normality of total return to predict stock returns in Tehran Stock Exchange a major challenge and are a clear proof of the ineffectiveness of these models