University of TehranFinancial Research Journal1024-815315220131023Analysis of Legal Framework of Self-regulatory Organizations in Iran’ Capital Market with Comparative Study in the US Legal SystemAnalysis of Legal Framework of Self-regulatory Organizations in Iran’ Capital Market with Comparative Study in the US Legal System1491605107410.22059/jfr.2013.51074FAAliAnsariAssistant Prof. of Law, Kharazmi University, Tehran, IranMohammadIsayi TafreshiProf. of Law, Tarbiyat Modares University, Tehran, IranSeyed MiladHossainiM.Sc. Student in Private Law, Tarbiyat Modares University, Tehran, IranJournal Article20130417In this paper, it’s been tried to examine the legal<br />framework of self-regulatory organizations in Iran and the US’s<br />capital markets and to clarify this matter in Iran and the US (as the<br />innovator of self-regulation method in some way for setting rules and<br />regulations), with emphasis on laws and practices. To achieve this<br />purpose, we analyzed this matter from the most important angles;<br />Therefore, in this paper we examined legal origin of self-regulatory<br />organizations, their nature, the way they are formed, suspended and<br />disbanded, the authority for regulating and making rules, adjudication<br />and authorities investigating members’ (regulatory and criminal)<br />offences. Besides discussing the issues above in detail, we come to the<br />conclusion that the US legal system in this context is similar to Iran,<br />except for a few minor differences.In this paper, it’s been tried to examine the legal<br />framework of self-regulatory organizations in Iran and the US’s<br />capital markets and to clarify this matter in Iran and the US (as the<br />innovator of self-regulation method in some way for setting rules and<br />regulations), with emphasis on laws and practices. To achieve this<br />purpose, we analyzed this matter from the most important angles;<br />Therefore, in this paper we examined legal origin of self-regulatory<br />organizations, their nature, the way they are formed, suspended and<br />disbanded, the authority for regulating and making rules, adjudication<br />and authorities investigating members’ (regulatory and criminal)<br />offences. Besides discussing the issues above in detail, we come to the<br />conclusion that the US legal system in this context is similar to Iran,<br />except for a few minor differences.https://jfr.ut.ac.ir/article_51074_1cb022d480700103f4adbaffc345d074.pdfUniversity of TehranFinancial Research Journal1024-815315220131023The Legal Relationship between Special Purpose Vehicle and Investors in Lease (Ijra), Interest Sale (Murabaha) and Profit Sharing (Mudarabah) SecuritiesThe Legal Relationship between Special Purpose Vehicle and Investors in Lease (Ijra), Interest Sale (Murabaha) and Profit Sharing (Mudarabah) Securities1611805107510.22059/jfr.2013.51075FAMahdiBagheriM.Sc. in Private Law, University of Shahid Bahonar, Kerman, IranAliRafiee MoghaddamAssistant Prof. in Private Law, University of Emam Sadeq, Tehran, IranJournal Article20130629Sukuk are of the new financial instruments which have<br />been welcomed in Islamic countries. In the process of sukuk<br />publication various institutions and individuals are involved which<br />cause different legal relationships. Understanding the legal nature of<br />these relationships is important to determine the legal rights and<br />obligations of each party. One of the relationships that exists in all<br />sukuk is the Special Purpose Vehicle (SPV) and the Investors<br />relationship. SPV takes certain legal actions on behalf of investors and<br />by using their money. The legal nature of this relationship is<br />analyzable by varies contracts such a shire of persons, commissioning<br />and attorney. The nature and the type of this article is analytical and<br />descriptive and it has been conducted in library style and using<br />electronic resources. In this article, after examining the probability of<br />these contracts’ governance over the mentioned agreement, we<br />concluded that in present circumstances, the best option for governing<br />this relationship is article 10 of the civil code.Sukuk are of the new financial instruments which have<br />been welcomed in Islamic countries. In the process of sukuk<br />publication various institutions and individuals are involved which<br />cause different legal relationships. Understanding the legal nature of<br />these relationships is important to determine the legal rights and<br />obligations of each party. One of the relationships that exists in all<br />sukuk is the Special Purpose Vehicle (SPV) and the Investors<br />relationship. SPV takes certain legal actions on behalf of investors and<br />by using their money. The legal nature of this relationship is<br />analyzable by varies contracts such a shire of persons, commissioning<br />and attorney. The nature and the type of this article is analytical and<br />descriptive and it has been conducted in library style and using<br />electronic resources. In this article, after examining the probability of<br />these contracts’ governance over the mentioned agreement, we<br />concluded that in present circumstances, the best option for governing<br />this relationship is article 10 of the civil code.https://jfr.ut.ac.ir/article_51075_d548c116da75ae98184190febe2cc261.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Study of Asymmetric Risk Premium in Value and Growth Stocks Based on P/E RatioStudy of Asymmetric Risk Premium in Value and Growth Stocks Based on P/E Ratio1812005107610.22059/jfr.2013.51076FAMohamadrezaPourebrahimiAssistant Prof., Dep. of Management and Accounting, University of Tehran, IranAhmadPouyanfarPh.D. of Financial Management, University of Tehran, IranSeyed MohsenMousaviMaster of Finance, University of Shahid Beheshti, Tehran, IranJournal Article20121201In this thesis we predict asymmetric risk premium in both<br />value and growth stock portfolios. There are two competing<br />approaches to explain value premium: Market Over-reaction<br />Hypothesis based on which agents overstate future returns on growth<br />stock, and Rational Market Risk Hypothesis that says value stocks are<br />inherently riskier than growth stocks. Rational Market Risk<br />Hypothesis has two different explanations: Leverage Effect and<br />Volatility Feedback. We use asymmetric GARCH-M model (whose<br />codes are written by Dr. Shapoor Mohamadi, University of Tehran) to<br />study which of these hypotheses can explain asymmetric risk premium<br />in6 portfolios (3 value and 3 growth stock portfolios).Using<br />asymmetric QGARCH-M model, this paper tests the predictions of the<br />two hypotheses. Also we examine whether returns exhibit a positive<br />(negative) risk premium resulting from a negative (positive) shock and<br />the relative size of any premium. The population of this study includes<br />all stock companies and non-financial stock companies during 2002 to<br />2010. The results of this study confirm Volatility Feedback<br />hypothesis. Further, the impacts for value stocks are more than that of<br />growth stocks, and for negative shocks are more than that of positive<br />shocks.In this thesis we predict asymmetric risk premium in both<br />value and growth stock portfolios. There are two competing<br />approaches to explain value premium: Market Over-reaction<br />Hypothesis based on which agents overstate future returns on growth<br />stock, and Rational Market Risk Hypothesis that says value stocks are<br />inherently riskier than growth stocks. Rational Market Risk<br />Hypothesis has two different explanations: Leverage Effect and<br />Volatility Feedback. We use asymmetric GARCH-M model (whose<br />codes are written by Dr. Shapoor Mohamadi, University of Tehran) to<br />study which of these hypotheses can explain asymmetric risk premium<br />in6 portfolios (3 value and 3 growth stock portfolios).Using<br />asymmetric QGARCH-M model, this paper tests the predictions of the<br />two hypotheses. Also we examine whether returns exhibit a positive<br />(negative) risk premium resulting from a negative (positive) shock and<br />the relative size of any premium. The population of this study includes<br />all stock companies and non-financial stock companies during 2002 to<br />2010. The results of this study confirm Volatility Feedback<br />hypothesis. Further, the impacts for value stocks are more than that of<br />growth stocks, and for negative shocks are more than that of positive<br />shocks.https://jfr.ut.ac.ir/article_51076_bf76cc75eb542af4c135c77773ba6649.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Investigating the Relationship between Mutual Funds Flows and the Stock Index in Tehran Stock MarketInvestigating the Relationship between Mutual Funds Flows and the Stock Index in Tehran Stock Market2012145107710.22059/jfr.2013.51077FASeyed AliHosseiniAssistant Prof. in Accounting, University of Tehran, Tehran, IranSeyed HosseinHosseiniM.Sc. in Finance, Allameh Tabataba’i University, Tehran, IranEhsanJafari BagherabadiM.Sc. in Finance, Allameh Tabataba’i University, Tehran, Iran0000-0001-9493-5656Journal Article20130424The purpose of this study is to investigate the relationship<br />between the mutual funds flows and the return of stock index using 65<br />mutual funds in the period of 2008 to 2011.In this study, the daily<br />changes of the total number of units of mutual funds and the changes<br />of the total values of units of mutual funds were considered as a<br />criteria for the net of mutual funds flows. The results of Johansen test<br />show that the series are integrated and there is a significant<br />relationship between the total net of mutual funds flows and the index<br />of Tehran stock market in a long term period. After running the<br />Granger causality test, the results indicated that there is a mutual<br />causal relationship between the total number of units of mutual funds<br />and the index. The same relationship is seen between the changes of<br />total values of units of mutual funds and the index.The purpose of this study is to investigate the relationship<br />between the mutual funds flows and the return of stock index using 65<br />mutual funds in the period of 2008 to 2011.In this study, the daily<br />changes of the total number of units of mutual funds and the changes<br />of the total values of units of mutual funds were considered as a<br />criteria for the net of mutual funds flows. The results of Johansen test<br />show that the series are integrated and there is a significant<br />relationship between the total net of mutual funds flows and the index<br />of Tehran stock market in a long term period. After running the<br />Granger causality test, the results indicated that there is a mutual<br />causal relationship between the total number of units of mutual funds<br />and the index. The same relationship is seen between the changes of<br />total values of units of mutual funds and the index.https://jfr.ut.ac.ir/article_51077_b614b2ef421340fd927651d1a77bfa76.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Using MGARCH to Estimate Value at RiskUsing MGARCH to Estimate Value at Risk2152285107810.22059/jfr.2013.51078FAMohammad RezaRostamiAssistant Prof., Finance, Alzahra University, Tehran, IranFatemehHaqiqiM.Sc., Finance, Alzahra University, Tehran, IranJournal Article20121218In this paper we compared multivariate GARCH models to<br />estimate Value-at-Risk. We used a portfolio of weekly indexes<br />including TEDPIX, KLSE, XU100 during ten years. To estimate<br />Value-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tse<br />and Tsui, Dynamic Equi correlation models by OxMetrics. Then,<br />optimum lags were estimated by minimizing the information criteria.<br />To estimate VaR, the models accuracy was validated by using<br />variance-covariance matrix. The results show that although CCC<br />model estimates variance matrix better, Dynamic Equi correlation is<br />preferable to estimate Value-at-Risk, employing more complete<br />correlation matrix.In this paper we compared multivariate GARCH models to<br />estimate Value-at-Risk. We used a portfolio of weekly indexes<br />including TEDPIX, KLSE, XU100 during ten years. To estimate<br />Value-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tse<br />and Tsui, Dynamic Equi correlation models by OxMetrics. Then,<br />optimum lags were estimated by minimizing the information criteria.<br />To estimate VaR, the models accuracy was validated by using<br />variance-covariance matrix. The results show that although CCC<br />model estimates variance matrix better, Dynamic Equi correlation is<br />preferable to estimate Value-at-Risk, employing more complete<br />correlation matrix.https://jfr.ut.ac.ir/article_51078_275fcfcaeb6c8b29ffef78e103f90b1b.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Determining the Relationship between Credit Risk & Profitability in Iranian BanksDetermining the Relationship between Credit Risk & Profitability in Iranian Banks2292465107910.22059/jfr.2013.51079FASaeedShavvalpourAssistant Prof., Research Institute of Petroleum Industry (RIPI), Tehran, IranElhamAshariM.Sc., Financial Management, Management and Accounting Faculty, Tehran, IranJournal Article20121223In this paper we analyze the relationship between credit<br />risk & profitability in Iranian banks. The credit risk is measured by<br />non-performing loans ratio &loan loss provision ratio. Also, the<br />profitability has been measured by return on assets &return on equity.<br />The survey data are from fifteen Iranian banks& credit institutes<br />during the time period of 2003 to 2009.Results show that there is a<br />significant negative relationship between credit risk & profitability. In<br />other words, the increase in credit risk results in the increase in the<br />costs of banks and therefore the decrease in their profibility. The<br />results also imply that bank managers need to focus on monitoring and<br />controlling the credit risk in order to maximize their profit.In this paper we analyze the relationship between credit<br />risk & profitability in Iranian banks. The credit risk is measured by<br />non-performing loans ratio &loan loss provision ratio. Also, the<br />profitability has been measured by return on assets &return on equity.<br />The survey data are from fifteen Iranian banks& credit institutes<br />during the time period of 2003 to 2009.Results show that there is a<br />significant negative relationship between credit risk & profitability. In<br />other words, the increase in credit risk results in the increase in the<br />costs of banks and therefore the decrease in their profibility. The<br />results also imply that bank managers need to focus on monitoring and<br />controlling the credit risk in order to maximize their profit.https://jfr.ut.ac.ir/article_51079_f41c0790be53038682a85cbee5f025b2.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Study of Security Selection and Market Timing Abilities in Mutual Funds in Iranian Capital MarketStudy of Security Selection and Market Timing Abilities in Mutual Funds in Iranian Capital Market2472685108010.22059/jfr.2013.51080FAHosseinAbdoh TabriziPh.D. (Finance), Manchester University, Manchester, EnglandBehrangAsadiPh.D. Student in Finance, Tehran University, IranSasanMazaheriM.Sc. Student in Industrial Management, Shahid Beheshti University, Tehran, IranJournal Article20130120This study is an attempt to apply the market timing and<br />security selection models to evaluate the performance of Iranian<br />mutual funds. The research shed light on the questions of ‘how<br />successful are mutual funds in earning excess returns over those of the<br />market?’ ‘Do the excess returns during research period have any<br />meaningful trend for these financial intermediaries or is it the result of<br />the ability for active management of portfolio?’ To answer these<br />questions, a sample of 8 mutual funds were chosen to investigate the<br />ability for active management, including market timing & security<br />selection, based on Treynor-Mazuy & Henriksson –Merton model.<br />The results indicated that there is no statistically significant market<br />timing ability in any of these cases, and positive security selection is<br />only observed in two mutual funds.This study is an attempt to apply the market timing and<br />security selection models to evaluate the performance of Iranian<br />mutual funds. The research shed light on the questions of ‘how<br />successful are mutual funds in earning excess returns over those of the<br />market?’ ‘Do the excess returns during research period have any<br />meaningful trend for these financial intermediaries or is it the result of<br />the ability for active management of portfolio?’ To answer these<br />questions, a sample of 8 mutual funds were chosen to investigate the<br />ability for active management, including market timing & security<br />selection, based on Treynor-Mazuy & Henriksson –Merton model.<br />The results indicated that there is no statistically significant market<br />timing ability in any of these cases, and positive security selection is<br />only observed in two mutual funds.https://jfr.ut.ac.ir/article_51080_c50bcfde42f356e96c9f4c2c3c0ff7df.pdfUniversity of TehranFinancial Research Journal1024-815315220131023Predicting Stock Price Movement Using Support Vector Machine Based on Genetic Algorithm in Tehran Stock Exchange MarketPredicting Stock Price Movement Using Support Vector Machine Based on Genetic Algorithm in Tehran Stock Exchange Market2692885108110.22059/jfr.2013.51081FASaeeidFallahpourAssistant Prof. Finance Management, University of Tehran, IranGholamhosseinGolarziAssistant Prof. Finance Management, University of Semnan, Semnan, IranNaserFatourechianMSc. MBA-Finance, University of Semnan, Semnan, IranJournal Article20130721According to recent developments of predicting methods<br />in financial markets, and since the stock price is one of the most<br />important factors for investment decision-making, and its prediction<br />can play an important role in this field, the aim of this study is to<br />provide a model to predict the stock price movement with high<br />accuracy. Accordingly, a hybrid model for predicting the stock price<br />movement using Support Vector Machine (SVM) based on genetic<br />algorithms is presented. Thirty companies from the top 50 companies<br />in Tehran Stock Exchange in 2011 are selected as sample. Then, for<br />each company, 44 variables have been calculated. These variables are<br />the inputs of the hybrid model and are optimized using genetic<br />algorithm. The results show that the hybrid model of Support Vector<br />Machine based on genetic algorithms has better performance in<br />predicting the stock price movement and it has a higher accuracy<br />compared with the simple Support Vector Machine.According to recent developments of predicting methods<br />in financial markets, and since the stock price is one of the most<br />important factors for investment decision-making, and its prediction<br />can play an important role in this field, the aim of this study is to<br />provide a model to predict the stock price movement with high<br />accuracy. Accordingly, a hybrid model for predicting the stock price<br />movement using Support Vector Machine (SVM) based on genetic<br />algorithms is presented. Thirty companies from the top 50 companies<br />in Tehran Stock Exchange in 2011 are selected as sample. Then, for<br />each company, 44 variables have been calculated. These variables are<br />the inputs of the hybrid model and are optimized using genetic<br />algorithm. The results show that the hybrid model of Support Vector<br />Machine based on genetic algorithms has better performance in<br />predicting the stock price movement and it has a higher accuracy<br />compared with the simple Support Vector Machine.https://jfr.ut.ac.ir/article_51081_7b62bf20041a4c2bd73a890dc8a3a0ec.pdfUniversity of TehranFinancial Research Journal1024-815315220131023English AbstractsEnglish Abstracts185108210.22059/jfr.2013.51082FAJournal Article20140805https://jfr.ut.ac.ir/article_51082_62624452c74aab53ee537131240ca2a4.pdf