Portfolio Optimization Using Krill Herd Metaheuristic Algorithm Considering Different Measures of Risk in Tehran Stock Exchange
Reza
Tehrani
Prof., Department of Financial and Insurance Management, Faculty of Management, University of Tehran, Tehran, Iran
author
Sima
Fallah Tafti
M.Sc. Student, Department of Financial Systems, Faculty of Management, University of Tehran, Tehran, Iran
author
Sepehr
Asefi
M.Sc. Student, Department of Financial Systems, Faculty of Management, University of Tehran, Tehran, Iran
author
text
article
2018
per
Objective: Portfolio optimization is one of the most important issues in investment. Harry Markowitz was the first person who applied risk with this regard. This issue was later studied from different perspectives, using various risk measures, optimization methods, and considering transaction costs. In this research, we aim to use the Krill Herd metaheuristic algorithm in portfolio optimization, and examine its possible advantages. Methods: In the present study, we try to solve the portfolio optimization problem and to find the efficient frontier using Krill Herd’s novel algorithm. We also consider three different measures for risk: variance, semi-variance, and expected shortfall. Our data consists of adjusted returns of the top fifty stocks in Tehran Stock Exchange from 2012 to 2018. Results: Atfirst, the efficient frontiers of the optimal portfolios, using different measures for risk were plotted. The relative similarity of the three plots indicates the stability of the Krill Herd Algorithm in obtaining efficient frontiers. Then, we observed that the Sharpe Ratios of this algorithm are higher than those of Imperialist Competitive and Particles Swarm Algorithms. Conclusion: The Krill Herd Algorithm has a better performance finding efficient frontier and optimized portfolios in comparison to the other common algorithms; therefore, it can be used instead of the other algorithms to obtain better results.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
409
426
https://jfr.ut.ac.ir/article_70018_99f545f5aa27b9e338c81f147d60ec64.pdf
dx.doi.org/10.22059/frj.2019.244004.1006538
The Effect of Sokuk Issuance on Risk-adjusted Return and Stock Trading Value
Ali
Salehabadi
Assistant Prof., Department of Financial Management, Islamic Science and Management, Imam Sadeq University, Tehran, Iran
author
Mohamad Esmail
Fadaienejad
Associate Prof., Department of Financial Management, Faculty of Management & Accounting, Shahid Beheshti University, Tehran, Iran
author
Ebrahim
Joshan
Ph.D. Candidate, Department of Financial Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran
author
text
article
2018
per
Objective: The company’s decisions about its capital structure and financial are the influential factors that can shape or change investors’ ideas about a company trades and stock price. In this research, the effect of Islamic financial instrument (Sukuk) on risk adjusted return and stock trading value is investigated. Methods: To examine the relationship between the variables, The Event Study method was implied for 5 days (one day prior to the distribution to three days afterwards). The sample is chosen from Sukuk issuers listed in Tehran Stock Exchange within the period of 2010-2015. Based on the data gathered from Tehran Stock Exchange database, the sample includes 20 issuing events. Results: The empirical tests and robustness test (different event windows implied) results show that the research hypotheses (the existence of relationship between issuing Sukuk and risk adjusted return and daily trading value of the company stock) are rejected. Conclusion: This research concludes that there is no significant relationship between issuing Sukuk and risk-adjusted return. In addition, there is no significant relation between issuing Sukuk and daily trading value of the company stock. These results might be due to the fact that using such stock exchanges in Iran has just flourished; hence, the effects of applying these instruments are not yet specified for the investors.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
427
444
https://jfr.ut.ac.ir/article_70020_b2727e9e3bc189b8a9f6608f093c344c.pdf
dx.doi.org/10.22059/frj.2018.206769.1006199
Investigating the Impact of Non-Banking Financial and Banking Commerce Activities Regulations on Their Liquidity in Developing Countries
Tahmasb
Mazaheri
Assistant Prof., Department of Finance and Insurance, Faculty of Management, University of Tehran, Tehran, Iran
author
Saeid
Shirkavnd
Assistant Prof., Department of Finance and Insurance, Faculty of Management, University of Tehran, Tehran, Iran
author
Ali
Jamali
Ph.D. Candidate, Department of Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
author
text
article
2018
per
Objective: The purpose of this study is to investigate the effect of the structure of regulations regarding non-banking activities on liquidity of the banking industry in 107 developing countries from 2000 to 2012. Methods: The dependent variable in this study is the ratio of cash assets and short-term investments on current deposits and short-term bank debts. While the independent variables include the limitation on non-banking financial activities and banks' commercial activities such as insurance, stock and real state and also investment in non-banking firms.. The effects of macroeconomic and industry-specific variables are also studied. Due to the changeable nature of the variables, dynamic analysis of panel data and the GMM method are used for data analysis. Results: The results showed that there is asignificantly positive relationship between commerce-finance-banking restrictions and banking liquidity. However, there is no significant relationship between regulation of capital market, insurance market and real state market and banking liquidity respectively. Conclusion: The results of the present research showed that the more strict regulation of the non-bank financial activities, the more significantly positive effect on the liquidity situation of the banks. Besides, more stringent regulatory structure regarding banks commerce activities has a positive and significant relationship with liquidity.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
445
466
https://jfr.ut.ac.ir/article_70021_d13fc86510f3db26079e086be3951533.pdf
dx.doi.org/10.22059/frj.2018.262674.1006704
Investigating the Relationship between Predicted Financial Distress and Earnings management Approaches Based on Structural Equations
Ali
Ashtab
Assistant Prof., Department of Accounting, Faculty of Economic and Management, University of Urmia, Urmia, Iran
author
Hamid
Haghighat
Associate Prof., Department of Accounting, Faculty of Social Science, Imam Khomeini International University, Ghazvin, Iran
author
Gholam Reza
Kordestani
Associate Prof., Department of Accounting, Faculty of Social Science, Imam Khomeini International University, Ghazvin, Iran
author
text
article
2018
per
Objective: The main objective of this paper is to investigate the relationship between predicted financial distress and earnings management approaches. Methods: We predict financial distress for 312 stock market listed and out-listed companies from 2006 to 2015 using C5 decision tree model. Then the relationship between financial distress prediction and earnings management approaches was observed using multivariate linear regression model (structural equation modeling approach). Results: The results showed that there is a significantly negative relationship between predicted financial distress and the first actual activity earnings management index, while there was a significantly positive relationship between the predicted financial distress and the second actual activity earnings management index and the accrual earnings management index. Conclusion: We concluded that distressed companies in comparison with other companies will be able to manipulate their earnings significantly by increasing operating cash flows and accrual items and also by decreasing costs. It was also found that earnings management tools are influenced by the type of industry and the predicted financial distress and earnings management tools affected each other through the cause and effect relationship.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
467
488
https://jfr.ut.ac.ir/article_70022_96858fca783b9fe5dabd0060878e5f48.pdf
dx.doi.org/10.22059/frj.2018.232156.1006437
Which Approach will be Used by Company Managers of Various Industries in Working Capital Financing?
Shokrollah
Khajavi
Prof., Department of Accounting, Faculty of Management Economics and Social Sciences Shiraz University, Shiraz, Iran
author
Akram
Fathali
M.Sc., Department of Accounting, Faculty of Management Economics and Social Sciences, Shiraz University, Shiraz, Iran
author
Alireza
Pourgoudarzi
M.Sc., Department of Accounting, Faculty of Management Economics and Social Sciences, Shiraz University, Shiraz, Iran
author
text
article
2018
per
Objective: This research is looking forward to study how working capital financing is confirmed by various industries companies’ managers of Tehran Stock Exchange, focusing on financing hierarchy theory. The research investigates data from 2007 to 2017. Methods: Through purposive sampling, a sample of size including 170 companies in nine different categories was selected. The statistical methods of research were SUR and OLS regression. Results: The SUR test results hold that if liabilities are considered in general, it can be concluded that financing hierarch theory is not regarded in any of the industries; while, if liabilities are divided to short-term and long-term categories, financing hierarchy theory will be observed in three categories of food, chemical and petroleum and machinery industries, ignoring short-term liabilities. Moreover, OLS regression test results show that financing hierarchy theory is regarded by managers within food, chemical and petroleum and machinery industries. Conclusion: The results of the research showed that the managers of some industries observe the financial hierarchy theory in working capital financing. Thus, in general, the results indicate that company mangers in various industries do not pursue the same approach in their financing decisions.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
489
508
https://jfr.ut.ac.ir/article_70024_cffad7a5366946eb3446d4b6c2738019.pdf
dx.doi.org/10.22059/frj.2018.254733.1006634
The Effect Manipulation of Firm Actual Activities on Stock Trading Cost
Ahmad
Khodamipour
Associate Prof., Department of Accounting, Faculty Management and Economics,
University of Shahid Bahonar Kerman, Kerman, Iran
author
Esmaeil
Amiri
Ph.D. Candidate, Department of Accounting, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran
author
text
article
2018
per
Objective: The present research investigates the effect of manipulation of actual activities in a firm in order for profit management on stock trading cost. Methods: For this goal, the financial data of 66 companies listed in the Tehran Stock Exchange from2008 to 2015 were investigated. The multivariate regression model based on data panel and the fixed effect approach were used to verify the research hypothesis. Results: The results of these research hypothesis show that all three components of manipulation of the firm's actual activities (abnormal cash flows, abnormal optional costs and abnormal production costs) have led to an increase in the Stock trading cost. Conclusion: The results showed that, the increase in stock trading cost is because of the intensified phenomenon of information asymmetry in the capital market by managers who mainly intend to achieve their own goals and positions. Furthermore and because of incorrect valuation of investors in the capital markets, stock trading costs resulting from the implementation of the trading increased. This indicates that the firm's actual activities manipulation could lead to symmetric effects on Stock trading cost.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
509
530
https://jfr.ut.ac.ir/article_70025_d97248748ba7128db0bd91880bd8e968.pdf
dx.doi.org/10.22059/frj.2018.240599.1006501
Pricing of Information Distribution Based on Comparability and Market Inefficiency
Mohsen
Rashidi Baqhi
Assistant Prof., Department of Accounting, Faculty of Economics and Administrative Sciences, Lorestan University, Khoram Abad, Iran.
author
text
article
2018
per
Objective: Flow of information is a key parameter in an economic activity and acts as a crucial factor in the emergence, stability and efficiency of capital markets. The purpose of this paper is to investigate the effect of the comparability and ineffectiveness of the market on the value of information and changes in the distribution of accounting information. Methods: For this purpose, the data of the firms listed in Tehran Stock Exchange for the period of 2006 to 2016 were extracted and the regression model of the pooled data was used to test the research hypothesis. Results: The results of the research show that information asymmetry, comparability and market inefficiency have a significant effect on the expected returns (cost of capital) of investors. On the other hand, the interactive effects of comparability and imperfect market on the relationship between information asymmetry and cost of capital have been confirmed. Finally, the results of the research show that information asymmetry is a function of comparability and that the capital cost resulting from information asymmetry fluctuate and varies at different levels of comparability. Conclusion: Information asymmetry and market inefficiency can increase the firm's cost of capital, as less informed traders recognize that they are in a bad state of information and therefore maintain fewer assets within the market. The comparability along with creating high-quality information reduces the overall ambiguity and thus reduces the benefits that particular investors receive from private information about the company.
Financial Research Journal
University of Tehran
1024-8153
20
v.
4
no.
2018
531
553
https://jfr.ut.ac.ir/article_70026_e6ade6eda495dd348c338603db00c2a5.pdf
dx.doi.org/10.22059/frj.2018.263423.1006711