Univrsity Of Tehran PressFinancial Research Journal1024-8153102520080320Improving the Risk-Adjusted Return of the Portfolio by Implementing Capital Productivity in Tehran Stock Capital Productivity in Tehran Stock Exchange (2000-2007)Improving the Risk-Adjusted Return of the Portfolio by Implementing Capital Productivity in Tehran Stock Capital Productivity in Tehran Stock Exchange (2000-2007)27742FAJournal ArticleFor assessment of portfolio performance, it's crucial to adjust the
return by the risk which is taken. So it seems undeniable that for
measuring the risk-adjusted return of portfolio, we need an appropriate
and developed model for risk and asset pricing. Fama & French 3
factor model could explain several return anomalies. Recent studies
show that capital productivity effects on stock returns and the strategy
of selecting productive firms could lead to excess return on the base of
expected return of Fama & French 3 factor model. We in this research,
show that capital productivity in Tehran Stock Exchange (TSE) could
be a source of excess return too, and increases alpha in portfolio
assessment. We employed data of firms in TSE over 8 years from
2000 to 2007 to examine our hypothesis.:For assessment of portfolio performance, it's crucial to adjust the
return by the risk which is taken. So it seems undeniable that for
measuring the risk-adjusted return of portfolio, we need an appropriate
and developed model for risk and asset pricing. Fama & French 3
factor model could explain several return anomalies. Recent studies
show that capital productivity effects on stock returns and the strategy
of selecting productive firms could lead to excess return on the base of
expected return of Fama & French 3 factor model. We in this research,
show that capital productivity in Tehran Stock Exchange (TSE) could
be a source of excess return too, and increases alpha in portfolio
assessment. We employed data of firms in TSE over 8 years from
2000 to 2007 to examine our hypothesis.:https://jfr.ut.ac.ir/article_27742_f4f544fdb5f766db8ee639797d3c38cb.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320The Effect of Diversification Strategy on the Financial Performance of the Manufacturing Companies of Tehran Securities BourseThe Effect of Diversification Strategy on the Financial Performance of the Manufacturing Companies of Tehran Securities Bourse27743FARazaThehraniKiyanaKarimiJournal ArticleIn the recent years, the relationship between diversification and
performance became an important empirical subject in financial
management. Diversification strategies can affect the competitive
balance of an industry. In this survey we are to illustrate the
relationship between the two variables of diversification and financial
ratios as performance criteria based on accounting through statistical
tests. We use research based on correlation test. The results show that
using diversification strategy have no effect on manufacturing
companies.In the recent years, the relationship between diversification and
performance became an important empirical subject in financial
management. Diversification strategies can affect the competitive
balance of an industry. In this survey we are to illustrate the
relationship between the two variables of diversification and financial
ratios as performance criteria based on accounting through statistical
tests. We use research based on correlation test. The results show that
using diversification strategy have no effect on manufacturing
companies.https://jfr.ut.ac.ir/article_27743_a4dcbd303a3b5f5afcaad184601f66aa.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320An Investigation On the Presence of Mean Reversion in Stock Prices in Tehran Stock ExchangeAn Investigation On the Presence of Mean Reversion in Stock Prices in Tehran Stock Exchange27744FAJournal ArticleFinancial Scientists have always been eager to distinguish between
whether the price series could be random walk (unit root) or mean
reverting processes.By a random walk we mean that accruing shocks
to the system have permanent impacts and prices do not revert to their
previous trend path, in addition, regarding to random walk processes
the price series volatility could increase with out any limit or
restrictions. In this survey, using the time series of price and utilizing
Augmented Dickey-Fuller Test we have attempted to investigate a
sample of selected firms, listed in Tehran stock exchange. To start we
have developed a simple definition of mean reversion and tested the
presence of such a qualification in price series of the sample.Financial Scientists have always been eager to distinguish between
whether the price series could be random walk (unit root) or mean
reverting processes.By a random walk we mean that accruing shocks
to the system have permanent impacts and prices do not revert to their
previous trend path, in addition, regarding to random walk processes
the price series volatility could increase with out any limit or
restrictions. In this survey, using the time series of price and utilizing
Augmented Dickey-Fuller Test we have attempted to investigate a
sample of selected firms, listed in Tehran stock exchange. To start we
have developed a simple definition of mean reversion and tested the
presence of such a qualification in price series of the sample.https://jfr.ut.ac.ir/article_27744_9b00b137321ce666a91002e02a39b0eb.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320The Survey of the Relation between Size of the Leasing Debts and Agency Costs in Different Economic Partsof the Country ,The Survey of the Relation between Size of the Leasing Debts and Agency Costs in Different Economic Partsof the Country ,27745FAJournal Articlehttps://jfr.ut.ac.ir/article_27745_19f922993a891c3b0a87d7c85736533b.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320Determinants of Debt Ratio: the Static Trade-off and Pecking Order TheoriesDeterminants of Debt Ratio: the Static Trade-off and Pecking Order Theories27746FAJournal Articlehttps://jfr.ut.ac.ir/article_27746_9248afa3ae57517509334eae846760a2.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320A Comprehensive Trend of Capital Structure Case Study of Companies Listed In TSEA Comprehensive Trend of Capital Structure Case Study of Companies Listed In TSE27747FAJournal ArticleCapital structure puzzle is a challenging issue in Corporate Finance.
Different researchers attempt to identify ways to determine optimized
capital structure which minimizes firm’s cost of capital and
maximizes its value, by proposing variety of theories. In line with
forming new theories and introducing determinant variables, the
absence of comprehensive research which simultaneously tests
existing theories is obvious. Considering the issue literature perfectly,
we attempt to identify introduced determinant variables and propose
appropriate model using Forward Stepwise Data Reduction Algorithm
and Econometrics tools. To achieve this objective, we select 78
Companies listed in Tehran Stock Exchange and consider the effects
of Trade-off theory, Pecking Order theory and Market Timing theory
from 1380 to 1384. Finally we propose a regression model which is
the best estimation of existing data for the whole instance and each
cluster of industry.Capital structure puzzle is a challenging issue in Corporate Finance.
Different researchers attempt to identify ways to determine optimized
capital structure which minimizes firm’s cost of capital and
maximizes its value, by proposing variety of theories. In line with
forming new theories and introducing determinant variables, the
absence of comprehensive research which simultaneously tests
existing theories is obvious. Considering the issue literature perfectly,
we attempt to identify introduced determinant variables and propose
appropriate model using Forward Stepwise Data Reduction Algorithm
and Econometrics tools. To achieve this objective, we select 78
Companies listed in Tehran Stock Exchange and consider the effects
of Trade-off theory, Pecking Order theory and Market Timing theory
from 1380 to 1384. Finally we propose a regression model which is
the best estimation of existing data for the whole instance and each
cluster of industry.https://jfr.ut.ac.ir/article_27747_fdb72cbd0be58617706a18144e4edd05.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-8153102520080320Forecasting Value-at-Risk Using Conditional Volatility Models: Evidence from Tehran Stock ExchangeForecasting Value-at-Risk Using Conditional Volatility Models: Evidence from Tehran Stock Exchange27748FAJournal ArticleIn this paper, we investigate the performance of parametric ARCH
class models to forecast out-of-sample VaR for two portfolios of
Tehran Stock Exchange (TSE) companies (Market portfolio and a
portfolio of 50 liquid companies), using a number of distributional
assumptions and sample sizes at low and high confidence levels. We
find, first, that leptokurtic distributions are able to produce better oneday-
ahead and 10-day-ahead VaR forecasts; second, the choice of
sample size is important for the accuracy of the forecasts.In this paper, we investigate the performance of parametric ARCH
class models to forecast out-of-sample VaR for two portfolios of
Tehran Stock Exchange (TSE) companies (Market portfolio and a
portfolio of 50 liquid companies), using a number of distributional
assumptions and sample sizes at low and high confidence levels. We
find, first, that leptokurtic distributions are able to produce better oneday-
ahead and 10-day-ahead VaR forecasts; second, the choice of
sample size is important for the accuracy of the forecasts.https://jfr.ut.ac.ir/article_27748_544c7b05593e1ab33f23ab5738b3faca.pdf