Univrsity Of Tehran PressFinancial Research Journal1024-815317120150321The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying betaThe intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta1205191410.22059/jfr.2015.51914FAHojjatollahBagherzadehPh.D., Financial Economics, University of Tehran, IranAli AsgharSalemAssistant Prof., Economics Department, Allameh Tabatabaee University, Tehran, IranJournal Article20140207The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman Filter method. Based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. Significance of risk aversion and insignificance of intercepts revealed that there is ICAPM in Iran’s Stock Market. The result also showed that assets with high correlation with market conditional volatilities have low expected returns in the next transaction period. In addition, assets having high correlation with exchange rate growth are induced by additional risk premium in exchange rate risks and will have high expected returns in the next transaction period.https://jfr.ut.ac.ir/article_51914_7f67583c0ff2279a47fd225106eb7bdb.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Investor type trading behavior and trade performance in Tehran Stock ExchangeInvestor type trading behavior and trade performance in Tehran Stock Exchange21385461210.22059/jfr.2015.54612FAAhmadBadriAssistant Prof., Faculty of Management and Accounting, Shahid Beheshti University, Tehran, IranBahareEzabadiMSc., Financial Management, Shahid Beheshti University, Tehran, IranJournal Article20140309 In this study, trading patterns and constituents of trading performances of individual and institutional investors have been investigated in a weekly manner, using an Auto Regressive model and a Grinblatt & Titman portfolio performance measure spanning 2008-2012. The results show that while individual investors have a herding behavior, institutional investors take contrarian trading strategies. Evidence suggests that adopting the contrarian trading strategy by institutional investors resulted in better trading performance during most trading intervals, and the total net cash gains of this group has been achieved through a scheduled market timing. However, a poor stock selection has influenced part of the cash gain. On the other hand, adhering to the herding behavior by individual investors has resulted to a poor trading performance. Also, unsatisfactory market timing has undone the cash gains of a clever stock selection. In this study, trading patterns and constituents of trading performances of individual and institutional investors have been investigated in a weekly manner, using an Auto Regressive model and a Grinblatt & Titman portfolio performance measure spanning 2008-2012. The results show that while individual investors have a herding behavior, institutional investors take contrarian trading strategies. Evidence suggests that adopting the contrarian trading strategy by institutional investors resulted in better trading performance during most trading intervals, and the total net cash gains of this group has been achieved through a scheduled market timing. However, a poor stock selection has influenced part of the cash gain. On the other hand, adhering to the herding behavior by individual investors has resulted to a poor trading performance. Also, unsatisfactory market timing has undone the cash gains of a clever stock selection.https://jfr.ut.ac.ir/article_54612_cf98fd12fd50d8049063f7eaf2aa283f.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321The effects of corporate governance mechanisms and financial variables on the financial restatement of the firms listed on the Tehran Stock ExchangeThe effects of corporate governance mechanisms and financial variables on the financial restatement of the firms listed on the Tehran Stock Exchange39585143210.22059/jfr.2015.51432FAYahyaHassas YeganehAssociate Prof., Accounting Department, Allameh Tabatabai University, Tehran, IranSomayyehTaghizadehMSc., Accounting Department, University of Economic Sciences, Tehran, IranJournal Article20131006This paper examines the effects of Corporate Governance (board structure and ownership structure) and some financial variables on financial statement restatements. For this purpose, citing firms have been divided into two groups: a group comprising firms (48 firms) that have maximum amount of the annual adjustment (more than 5% of EBIT) and a group (control group; 46 firms) comprising firms that have minimum amount of the annual adjustment. They were subsequently analyzed using a t-test and logistic regression. The results show that there is a positive relationship between CEO duality and financial statement restatement, and there is a positive relationship between board size and financial statement restatement. Other independent variables have been studied, though no significant relationship has been observed. Among the financial variables, there was shown a positive relationship between Gearing ratio and financial statement restatement; moreover, bankruptcy probability has a negative relationship with financial statement restatement.This paper examines the effects of Corporate Governance (board structure and ownership structure) and some financial variables on financial statement restatements. For this purpose, citing firms have been divided into two groups: a group comprising firms (48 firms) that have maximum amount of the annual adjustment (more than 5% of EBIT) and a group (control group; 46 firms) comprising firms that have minimum amount of the annual adjustment. They were subsequently analyzed using a t-test and logistic regression. The results show that there is a positive relationship between CEO duality and financial statement restatement, and there is a positive relationship between board size and financial statement restatement. Other independent variables have been studied, though no significant relationship has been observed. Among the financial variables, there was shown a positive relationship between Gearing ratio and financial statement restatement; moreover, bankruptcy probability has a negative relationship with financial statement restatement.https://jfr.ut.ac.ir/article_51432_36073ecedc7b62ba80d9da5a5877650c.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Estimation of value at risk of return in Tehran Stock Exchange using wavelet analysisEstimation of value at risk of return in Tehran Stock Exchange using wavelet analysis59825200810.22059/jfr.2015.52008FAMojtabaRostami NoroozabadPh.D. Candidate in Financial Management, Member of Young Researchers Clubs and Elite, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran.AbdonaserShojaeiAssistant Prof., Economic Department, Islamic Azad University of Sanandaj, Sanandaj, Iran.MohsenKhezriPh.D. Candidate in Economics, Tarbiat Modarres University, Tehran, Iran.SamanRahmani NoorozabadMSc. of Business Administration (Finance), Member of Young Researchers Clubs and Elite, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran.Journal Article20131008Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons, measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk<em>,</em> VaR measure with a new approach provides the ground for calculation of market risk. Common approaches to risk measurement due to complicated, nonlinear and changing nature of risk have both weak explanatory power and limited functionality. Thus, the current study presents a new semi-parametric paradigm combining wavelet analysis and GARCH models which uses wavelet analysis to deal with properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper compared to traditional approaches, such that this method leads to a higher degree of reliability and accuracy of the estimates of the value at risk.Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons, measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk<em>,</em> VaR measure with a new approach provides the ground for calculation of market risk. Common approaches to risk measurement due to complicated, nonlinear and changing nature of risk have both weak explanatory power and limited functionality. Thus, the current study presents a new semi-parametric paradigm combining wavelet analysis and GARCH models which uses wavelet analysis to deal with properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper compared to traditional approaches, such that this method leads to a higher degree of reliability and accuracy of the estimates of the value at risk.https://jfr.ut.ac.ir/article_52008_166e3c6fb95c5dcef2ae75d403bf7150.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Cross sectional variation in cash flow asymmetric timeliness and its effect on conditional conservatismCross sectional variation in cash flow asymmetric timeliness and its effect on conditional conservatism831025070710.22059/jfr.2015.50707FASeyed HoseinSajadiProf., Accounting Department, Faculty of Economics and Social Sciences, Shahid Cahmran University, Ahvaz, IranMohsenRashidy BaghiPh.D. Candidate in Accounting, Faculty of Economics and Social Sciences, Shahid Cahmran University, Ahvaz, IranJavadNicKarPh.D. Candidate in Accounting, Faculty of Economics and Social Sciences, Shahid Cahmran University, Ahvaz, IranJournal Article20140503The current study aims to review the cross sectional variation in cash flow asymmetric timeliness and its effect on conditional conservatism. In this study, data from 120 firms in Tehran Stock Exchange for the period spanning 1384- 1390 were examined. The regression model used in this research is panel data method with fixed effects approach. The most common measure of conditional conservatism in accounting is asymmetry timeliness in recognizing profits and losses. Nevertheless, this measure combines both asymmetry timeliness of accruals and cash flows from operation. Given that asymmetry timeliness of operating cash flow does not belong to the domain of profits and losses, it causes variation in the test of conservative. In this research, with respect to good and bad news, it was shown that asymmetry timeliness of operating cash flow is cross sectionally different with lifecycle variable of company (size, age, growth and capital expenditure). The results show that conservatism is higher in the early stages of the company lifecycle.The current study aims to review the cross sectional variation in cash flow asymmetric timeliness and its effect on conditional conservatism. In this study, data from 120 firms in Tehran Stock Exchange for the period spanning 1384- 1390 were examined. The regression model used in this research is panel data method with fixed effects approach. The most common measure of conditional conservatism in accounting is asymmetry timeliness in recognizing profits and losses. Nevertheless, this measure combines both asymmetry timeliness of accruals and cash flows from operation. Given that asymmetry timeliness of operating cash flow does not belong to the domain of profits and losses, it causes variation in the test of conservative. In this research, with respect to good and bad news, it was shown that asymmetry timeliness of operating cash flow is cross sectionally different with lifecycle variable of company (size, age, growth and capital expenditure). The results show that conservatism is higher in the early stages of the company lifecycle.https://jfr.ut.ac.ir/article_50707_c00212f0bbaf15bb112beb0aa8a0c92f.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321A review of investors’ reaction to unexpected events in Tehran Stock ExchangeA review of investors’ reaction to unexpected events in Tehran Stock Exchange1031225275910.22059/jfr.2015.52759FASaeidSaeida ArdakaniAssociate Prof., Business Management, Tehran, IranAynazBahlakehMSc., Business Management, Yazd, IranNegarMirzadMSc., Business Management, Yazd, IranTahereh SadatTavassolyMSc., Business Management, Yazd, IranJournal Article20131004Unexpected economic and political events are considered important elements impacting investment decisions of the investors during stock transactions and changing the stock price in desirable or undesirable ways. The current study aims to provide a review on investors’ reaction to unexpected events in Tehran Stock Exchange market. For this purpose, the daily returns of the period spanning 1386-1391 have been reviewed as a sample of investors’ behavior based on the uncertain information hypothesis. The findings indicate that occurrence of unexpected events will increase returns oscillation. Also, the results show that, regarding the desirable news, the reaction of investors corresponds to prediction of uncertain information hypothesis, that is, the unusual revenue of stocks after desirable information is positive, but it would not verify the hypothesis of the prediction of undesirable news. In other words, behavior, after the desirable news, will follow the uncertain information hypothesis; however, after the bad news, it would not follow this hypothesis. Also, for both, desirable and undesirable events, moderating and adjusting the stock price have gone downward.Unexpected economic and political events are considered important elements impacting investment decisions of the investors during stock transactions and changing the stock price in desirable or undesirable ways. The current study aims to provide a review on investors’ reaction to unexpected events in Tehran Stock Exchange market. For this purpose, the daily returns of the period spanning 1386-1391 have been reviewed as a sample of investors’ behavior based on the uncertain information hypothesis. The findings indicate that occurrence of unexpected events will increase returns oscillation. Also, the results show that, regarding the desirable news, the reaction of investors corresponds to prediction of uncertain information hypothesis, that is, the unusual revenue of stocks after desirable information is positive, but it would not verify the hypothesis of the prediction of undesirable news. In other words, behavior, after the desirable news, will follow the uncertain information hypothesis; however, after the bad news, it would not follow this hypothesis. Also, for both, desirable and undesirable events, moderating and adjusting the stock price have gone downward.https://jfr.ut.ac.ir/article_52759_e27193811481344752594c26ac23f2ad.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Optimal design of securitization in a principal-agent relationship based on Bayesian inference for moral hazardOptimal design of securitization in a principal-agent relationship based on Bayesian inference for moral hazard1231405070810.22059/jfr.2015.50708FAEzatollahAbbasianAssociate Prof., Faculty of Economic and Social Sciences, Bu Ali Sina University, Hamada, IranMohsenEbrahimiAssociate Prof., Faculty of Economic and Social Sciences, Bu Ali Sina University, Hamada, IranElhamFarzaneganPh.D. Candidate in Economics, Faculty of Economic and Social Sciences, Bu Ali Sina University, Hamada, IranJournal Article20140502 In the securitization process, by selling the mortgage loans to risk-lover investors, originator can allocate the mortgage loans risk to them. In this case, originator may not have an incentive to screen out borrowers, resulting in the moral hazard problem. This paper, within a principal-agent framework, analyzes this agency problem. Investor, to reduce asymmetric information, uses compensation scheme for giving incentives to the originator and by using the Bayesʼ rule, deals with inferring various dimensions of undertaken effort, and incorporates her joint posterior beliefs of the pooled loans’ credit position data and inferred various dimensions of effort into the designing contract problem. The results indicate that the shape of optimal contract is a function of the information content of investors’ observations and inferred knowledge about efforts, suggesting that using additional information prevents originator’s opportunism, the originator more likely performs the obligated tasks when lending the loans to the applicants. In the securitization process, by selling the mortgage loans to risk-lover investors, originator can allocate the mortgage loans risk to them. In this case, originator may not have an incentive to screen out borrowers, resulting in the moral hazard problem. This paper, within a principal-agent framework, analyzes this agency problem. Investor, to reduce asymmetric information, uses compensation scheme for giving incentives to the originator and by using the Bayesʼ rule, deals with inferring various dimensions of undertaken effort, and incorporates her joint posterior beliefs of the pooled loans’ credit position data and inferred various dimensions of effort into the designing contract problem. The results indicate that the shape of optimal contract is a function of the information content of investors’ observations and inferred knowledge about efforts, suggesting that using additional information prevents originator’s opportunism, the originator more likely performs the obligated tasks when lending the loans to the applicants.https://jfr.ut.ac.ir/article_50708_d74f10f8eb9b81e5c7b0c1ffc555a436.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Portfolio optimization with simulated annealing algorithmPortfolio optimization with simulated annealing algorithm1411585203610.22059/jfr.2015.52036FASaeidQodsiMaster of Financial Management, University of Tehran, IranRezaTehraniAssociate Prof., Financial Management, University of Tehran, IranMahdiBashiriAssociate Prof., Industrial Engineering, University of Shahed, IranJournal Article20140506The Markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. On the other hand, most managers prefer to manage a small Portfolio of available assets in place of a huge Portfolio. It can be analogized to cardinal constrains, that is, constrains related to minimum and maximum current assets on Portfolios. This study aims to solve the problem of optimizing Portfolios with cardinality constrains, using simulated annealing algorithm. Therefore, by using the information of 50 companies which have been more active in Tehran’s exchange stock from April 2010 to April 2012, Portfolios’ efficient frontier has been supposed from 10 to 50. Results shows that first, simulated annealing algorithm has been successful in solving the above problem, and second, by selecting shares appropriately and determining suitable weights from it, smaller Portfolios with more suitable performances can be selected.The Markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. On the other hand, most managers prefer to manage a small Portfolio of available assets in place of a huge Portfolio. It can be analogized to cardinal constrains, that is, constrains related to minimum and maximum current assets on Portfolios. This study aims to solve the problem of optimizing Portfolios with cardinality constrains, using simulated annealing algorithm. Therefore, by using the information of 50 companies which have been more active in Tehran’s exchange stock from April 2010 to April 2012, Portfolios’ efficient frontier has been supposed from 10 to 50. Results shows that first, simulated annealing algorithm has been successful in solving the above problem, and second, by selecting shares appropriately and determining suitable weights from it, smaller Portfolios with more suitable performances can be selected.https://jfr.ut.ac.ir/article_52036_5a7c55adf5a172c06cf1cbb964a97c89.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Prediction of stock market crash using self-organizing mapsPrediction of stock market crash using self-organizing maps1591785286110.22059/jfr.2015.52861FAArashMohamad AlizadehPh.D. in Finance, University of Tehran, Tehran, IranRezaRaeiAssociate Prof., Finance Department, University of Tehran, Tehran, IranShapourMohammadiAssociate Prof., Finance Department, University of Tehran, Tehran, IranJournal Article20140128Market crash is a phenomenon which occurs in stock markets occasionally and leads to loss of the investors’ wealth and assets in a relatively short period of time. Therefore, attempts for prediction of this phenomenon are of much importance for the investors, financial institutions and government. To this date, numerous and varied studies have been carried out for predicting and modeling stock markets and their crash. Each of these studies has tried to fulfill this important task more precisely from a different point of view. A brief review of the theories and models presented for prediction of stock market crash indicates that there is no agreement among the researchers in relation to the observed patterns of variables such as trading volume, returns, volatility, fundamental factors, behavioral indicators, etc. in the stock markets in the pre-crash period. One of the very suitable methods proposed for finding the existing patterns in the data is the self-organizing map neural networks method which is considered as a non-parametric and non-linear method. In this study, a method is proposed for prediction of the crash in the Iranian stock market using the self-organizing map neural networks. The results of implementation of the model and out-of-sample prediction indicate that the model has a relatively acceptable performance in prediction of the pre-crash periods in the stock market.Market crash is a phenomenon which occurs in stock markets occasionally and leads to loss of the investors’ wealth and assets in a relatively short period of time. Therefore, attempts for prediction of this phenomenon are of much importance for the investors, financial institutions and government. To this date, numerous and varied studies have been carried out for predicting and modeling stock markets and their crash. Each of these studies has tried to fulfill this important task more precisely from a different point of view. A brief review of the theories and models presented for prediction of stock market crash indicates that there is no agreement among the researchers in relation to the observed patterns of variables such as trading volume, returns, volatility, fundamental factors, behavioral indicators, etc. in the stock markets in the pre-crash period. One of the very suitable methods proposed for finding the existing patterns in the data is the self-organizing map neural networks method which is considered as a non-parametric and non-linear method. In this study, a method is proposed for prediction of the crash in the Iranian stock market using the self-organizing map neural networks. The results of implementation of the model and out-of-sample prediction indicate that the model has a relatively acceptable performance in prediction of the pre-crash periods in the stock market.https://jfr.ut.ac.ir/article_52861_96b11e2ea2a14ddfcc3294136ad19f0c.pdfUnivrsity Of Tehran PressFinancial Research Journal1024-815317120150321Examining the relationship between board structure and financing constraints for the companies listed on Tehran Stock ExchangeExamining the relationship between board structure and financing constraints for the companies listed on Tehran Stock Exchange1791985276010.22059/jfr.2015.52760FAGholamhosseinMahdaviAssociate Prof., Accounting Department, Shiraz University, Shiraz, Tehran, IranGholamrezaRezaeiPh.D. Student in Accounting, Young Research Club, Islamic Azad University, Arsanjan Branch, Arsanjan, IranJournal Article20140505The purpose of this research is to study the effects of board of director structure on financing constraints for the companies listed on Tehran Stock Exchange (TSE). For this purpose, indigenised Kaplan and Zingales (KZ) index has been used as a proxy for financing constraints. The population consists of 56 companies of TSE spanning 2007-2013 and the multivariate logistic regression is used. The results suggest that there is no significant relationship between board structure (including independence, size, degree, changes in the membership and CEO duality) and financing constraints. In addition, the research results concerning control variables show that there is a significant negative relationship between firm size and financing constraints, but thereis a significant positive relationship between firms’ age and their financing constraints.The purpose of this research is to study the effects of board of director structure on financing constraints for the companies listed on Tehran Stock Exchange (TSE). For this purpose, indigenised Kaplan and Zingales (KZ) index has been used as a proxy for financing constraints. The population consists of 56 companies of TSE spanning 2007-2013 and the multivariate logistic regression is used. The results suggest that there is no significant relationship between board structure (including independence, size, degree, changes in the membership and CEO duality) and financing constraints. In addition, the research results concerning control variables show that there is a significant negative relationship between firm size and financing constraints, but thereis a significant positive relationship between firms’ age and their financing constraints.https://jfr.ut.ac.ir/article_52760_f5b21b04b37f2b5025ae3504f3067a0e.pdf