The Impact of Downside Risk on Performance Appraisal of Investment Companies in the Tehran Stock Exchange(TSE).
حسین عبده
تبریزی
author
روح الله
شریفیان
author
text
article
2007
per
Many performance measures, such as the classical Sharpe ratio have difficulty in evaluating the performance of investment companies whose return distributions are skewed. Common causes for skew ness are the use of options in the portfolio or superior market timing skills of the portfolio managers. In this article, we examine the ability of the downside risk and the upside potential ratio (UPR) in evaluating the skewed return distributions. We have used a sample of the active investment companies in the Tehran Stock Exchange (TSE) for the period of ??-march-???? to ??-march-????. In order to make a fair comparison between the Sharpe ratio and UPR, we assume that MAR in UPR plays the role of the risk-free rate in Sharpe ratio. We constructed a ranking based on both criteria, and we find a very high correlation between the Sharpe ratio and the UPR. This has seen to be the result of negative skew-ness in the return distributions. We has concluded that the skew-ness is a significant determinant. Therefore, we prefer to use the UPR as an alternative to the Sharpe ratio, as it gives a more adequate evaluation of the forecasting skills.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27216_377d2e5374d78e6393364839afe7c0d9.pdf
The Relationship between “Operational Cash Flow” and “Accrual Profit” with “Equity Return” from Companies Enlisted Tehran Stock Exchange since 1378 to 1380
رضا
تهرانی
author
محسن فنی
اصل
author
text
article
2007
per
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27217_cfc3da014134698ca23b5bdb19a82f49.pdf
A Critique On Common Methods Of Valuation And Introducing Comprehensive Methods
حسن قالیباف
اصل
author
محمد رضا
رستمی
author
حجت اله
انصاری
author
text
article
2007
per
Valuation is one of the main subjects in investment management which plays an important role in efficient capital allocation. Valuation has become an important subject since supreme leader addressed the 44th principal of constitutional law. Considering many problems which have arrised in valuation and stock pricing by Privatization Organization during resent years,it is essential to pay more attention in valuation of the different companies which are being privatized in the near future.
In this article we surveyed different valuation methods which was presented by Iranian Board of Ministers along with addressing the different valuation methods such as Discounted Cash Flow(DCF),Economic Value Added(EVA),Ajusted Present Value(APV) and Gordon Model. Finally we proposed DCF showing an example.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27218_35f01a133582a1f12b7e8fffcc10396d.pdf
Analysis of SME's Capital Structure
سید حسین
سجادی
author
علیرضا
جعفری
author
text
article
2007
per
Making decision about capital structure is one of the hardest and challengeable problems for the companies, and also it is the greatest importance decision about their permanence.
This paper investigates factors affecting capital structure among 70 samples of small business in Ahwaz.
Data was gathered from accounting evidences and data questioners. Parametric and nonparametric statistical techniques used for data analysis.
The results of research shows that, there is a relation between the size of company, the age of managers, the level of education, their priorities and the owner of the companies age with capital structure; priorities. But there is no relation between company age and the level of manager acquaintance with financial concepts with company capital structure.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27219_20c86eef8786dc54e15883c0fab16219.pdf
The Investigation of Relationship between Financial Ratios and Stock Return: Income Smoother Firms Versus Non-Income Smoother ones
بیتا
مشایخی
author
داود
پناهی
author
text
article
2007
per
The relationship between financial ratios and stock return has been studied in many researches and the presence of income smoothing in Tehran Stock exchange (TSE) has been verified. Because of importance of financial reports in predicting and decision making process, income smoothing would be a critical factor in this area. In this paper, the income smoothing impact on relationship between financial ratios and stock return has been studied, during 1382-1386. According to a random selection, the financial data for 70 firms listed in TSE was gathered and analyzed. By using SPSS and Excel, some relevant statistical methods were employed for testing the research hypotheses. “Eckel Model” is the income smoothing model in this paper.
The results show that income smoothing behavior exists in TSE and TSE firms do income smoothing in the operation income, gross profit, and net income levels. Moreover, in spite of significant relationship between some financial ratios and stock return, there is not any significant difference between income smoother firms an non-income smoother ones.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27220_91dcd5e58e82dda63b91caf14dd66eaf.pdf
Evaluation of Relationship between FinancialLeverage And Income smoothing In The Stock Exchange Of Tehran
مهدی
مرادی
author
text
article
2007
per
The management of the firms with the high incremental debt usually has more incentives to satisfy the creditors via the earning management. Of course, the demand of annually auditing reports by professional auditing institutions that is one of the provider's (creditor's) conditions, cause to management face chief limitations and forbiddances in the field of earning management. Accordingly, the firms with high increment in the financial leverage manipulate income lesser. In this study the relationship between financial leverage and income smoothing has been surveyed. The research has been investigated in the Tehran Stock Exchange from 1377 to the end of 1384. The results indicate that there is a meaningful and negative relationship between financial leverage and income smoothing. There is a further negative and meaningful relationship between financial leverage and income smoothing in the firms with the higher free cash flows, too.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27221_88d37bb5bdd5b113b60709a6d319cdb5.pdf
Predicting Daily Stock Returns of Companies listed in Tehran Stock Exchange Using Artificial Neural Networks
محمد
نمازی
author
محمد مهدی
کیامهر
author
text
article
2007
per
This study has been conducted to investigate the predictability of stock returns behavior of the companies listed on "Tehran Stock Exchange" and also to predict the stock returns by using "Artificial Neural Networks". In order to predict the returns, in the first stage, the historical data relating to time series of the companies plus three variables of technical analysis (stock index, volume of exchanged stock and the closed price) for a five year period (July 1998 - 2003) were used. The optimum model for prediction of stock daily return for each company was designed via changes in parameters of the artificial neural network. In the second stage, prediction of daily return during the same period was done based only on past information or historical process of time series. In this study, "Multi Layered Perceptron(MLP)"artificial neural network with different learning functions were used.
The results showed that:
- The behavior of companies' stocks' daily return is not a random process and has memory.
- The artificial neural networks are able to predict the daily return with an acceptable error level.
Financial Research Journal
University of Tehran
1024-8153
9
v.
24
no.
2007
https://jfr.ut.ac.ir/article_27222_9f6cf7baed101a445ba4da0439fa545e.pdf