University of TehranFinancial Research Journal1024-815319420171222Table of ContentTable of Content146677210.22059/frj.2017.66772FAJournal Article20180708https://jfr.ut.ac.ir/article_66772_fd92820aae354516f142e08895f7aa34.pdfUniversity of TehranFinancial Research Journal1024-815319420171222A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock ExchangeA Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange5055206670510.22059/frj.2018.98551.1005730FARezaRaei. Prof., Financial Management, Faculty of Management, Tehran University, Tehran, Iran0000000348655316MahdiAsimaPh.D. Student, Finance-Banking, Faculty of Management, Tehran University, Tehran, Iran0000-0002-8026-5775Journal Article20140421<span style="font-family: Times New Roman; font-size: small;">The capital asset pricing model has been one of the most prevalent models in assessing investors’ expected rate of return. Provided that it is likely that the residuals of the estimated regression of this model resemble conditional heteroscedasticity, this paper aims to test the predictive power of standard CAPM and CAPM based on symmetric and asymmetric conditional heteroscedasticity. For this purpose, the expected returns during the time period of the research have been estimated based on three existing models. The findings were compared with obtained returns and mean squared error index was utilized for measurement of the predictive power of those models. The models were compared using Diebold-Mariano test on mean squared error index. The findings indicated that, with respect to the CAPM model, the consideration of the conditional heteroscedasticity (symmetric and asymmetric) can stimulate predictive power of the obtained return.</span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /> <br /> <span style="font-family: Times New Roman; font-size: small;">The capital asset pricing model has been one of the most prevalent models in assessing investors’ expected rate of return. Provided that it is likely that the residuals of the estimated regression of this model resemble conditional heteroscedasticity, this paper aims to test the predictive power of standard CAPM and CAPM based on symmetric and asymmetric conditional heteroscedasticity. For this purpose, the expected returns during the time period of the research have been estimated based on three existing models. The findings were compared with obtained returns and mean squared error index was utilized for measurement of the predictive power of those models. The models were compared using Diebold-Mariano test on mean squared error index. The findings indicated that, with respect to the CAPM model, the consideration of the conditional heteroscedasticity (symmetric and asymmetric) can stimulate predictive power of the obtained return.</span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /><span style="font-family: Times New Roman; font-size: small;"> </span> <br /> <br /> https://jfr.ut.ac.ir/article_66705_d80fc253fc3e6f09c5fa599ddee19537.pdfUniversity of TehranFinancial Research Journal1024-815319420171222Testing Agency Model in Capital Asset PricingTesting Agency Model in Capital Asset Pricing5215346670610.22059/jfr.2018.221841.1006335FAHosseinRezaei Dolat AbadiAssistant Prof. in Management, Faculty of Administrative and Economics Sciences, University of Isfahan, Isfahan, IranSaeedFathiAssociate Prof. in Management, Faculty of Administrative and Economics Sciences, University of Isfahan, Isfahan, IranNahidYousofanMSc in Business Management – Finance, Faculty of Administrative and Economics Sciences, University of Isfahan, Isfahan, IranJournal Article20161211A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models. So, we compared single-factor, FF three-factor and five-factor CAPM concerning agency and direct investment using the data obtained from Tehran Stock Exchange from 2009 to 2016. To test the capital asset pricing models, two methods of zero Alpha of time series models (using GRS statistics) and Beta pricing (based on Fama-Macbeth test) were used. The results of Fama-Macbeth test showed that all the capital asset pricing model, three-<em>factor and</em> five-<em>Factor Model of </em>Fama& French would yield better results in agency conditions compared to the direct conditions.A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models. So, we compared single-factor, FF three-factor and five-factor CAPM concerning agency and direct investment using the data obtained from Tehran Stock Exchange from 2009 to 2016. To test the capital asset pricing models, two methods of zero Alpha of time series models (using GRS statistics) and Beta pricing (based on Fama-Macbeth test) were used. The results of Fama-Macbeth test showed that all the capital asset pricing model, three-<em>factor and</em> five-<em>Factor Model of </em>Fama& French would yield better results in agency conditions compared to the direct conditions.https://jfr.ut.ac.ir/article_66706_09702ad52cb51ec54cb3bc05b668044d.pdfUniversity of TehranFinancial Research Journal1024-815319420171222Identifying Bull and Bear Periods in Iran’s Stock Market Using a Non-parametric ApproachIdentifying Bull and Bear Periods in Iran’s Stock Market Using a Non-parametric Approach5355566671310.22059/jfr.2018.252765.1006611FAAlirezaSaranjAssistant Prof. in Financial, Faculty of Management and Accounting, Farabi Campus, University of Tehran, Iran0000-0001-7921-9264MahmoodRamshiniPhD Candidate in Financial, Faculty of Management and Accounting, Farabi Campus, University of Tehran, IranSeyed MohammadAlavi NasabAssistant Prof. in Financial, Faculty of Management and Accounting, Farabi Campus, University of Tehran, IranMohammadNadiriAssistant Prof. in Financial, Faculty of Management and Accounting, Farabi Campus, University of Tehran, IranJournal Article20180215In this paper, we used Iranian stock market data (TEPIX) to identify the bull and bear phases and to analyze their characteristics during the period of 1991-2017 using a non-parametric approach. Having determined bull and bear phases, we calculated the following five indices (durations, amplitudes, cumulative movements, excess movements and ratio of big expansions and contractions) using a non-parametric approach. The results showed that there are some common facts about the cycles that average duration and amplitudes of the bull market are longer than that of the bear market which are also true in Iran Stock Market. However, the excess index of the bull market is not larger than that of the bear market in Iran. We also found that bull phases are longer and more intense (larger amplitude) than bear phases and the rate of the growth index in the bull periods is higher than the rate of its slowdown in bear periods.
In this paper, we used Iranian stock market data (TEPIX) to identify the bull and bear phases and to analyze their characteristics during the period of 1991-2017 using a non-parametric approach. Having determined bull and bear phases, we calculated the following five indices (durations, amplitudes, cumulative movements, excess movements and ratio of big expansions and contractions) using a non-parametric approach. The results showed that there are some common facts about the cycles that average duration and amplitudes of the bull market are longer than that of the bear market which are also true in Iran Stock Market. However, the excess index of the bull market is not larger than that of the bear market in Iran. We also found that bull phases are longer and more intense (larger amplitude) than bear phases and the rate of the growth index in the bull periods is higher than the rate of its slowdown in bear periods.
https://jfr.ut.ac.ir/article_66713_0fc76a2fbdfc7c23d97b719bb4128fdb.pdfUniversity of TehranFinancial Research Journal1024-815319420171222Industry Based on Style Investing and Retail InvestorsIndustry Based on Style Investing and Retail Investors5575786670410.22059/jfr.2018.253837.1006627FAMojtabaSoleymani MareshkPh.D. Student in Accounting, Faculty of Administrative & Economic Sciences, University of Isfahan, Isfahan, IranSeyed AbbasHashemiAssociate Prof. in Accounting, Faculty of Administrative & Economic Sciences, University of Isfahan, Isfahan, IranSaeedSamadiAssociate Prof. in Economy, Faculty of Administrative & Economic Sciences, University of Isfahan, Isfahan, IranJournal Article20180304<span style="font-size: small;"><span style="font-family: Times New Roman;">Style investing has been developed in behaviral finance literature. In style investing, the investors first classify the investment options based common attribute and then buy their target asset from the selected group. This common attribute is called "style". In this research, the use of "industry" as a style in "style investing" has been survied. Correlation of retail investors transactions at the industry level was investigated by controlling variables of size and book value to market value. In order to test the research hypotheses, a sample of 8 milions transactions related to 335 firms was selected through a systematic elimination from the listed firms in the Tehran Stock Exchange between 2008 and 2014. The results showed that industry is used as a "style" by retail investors. In addition, the use of size and book value as a "style" was observed.</span></span>
<span style="font-family: Times New Roman; font-size: small;"> </span><span style="font-size: small;"><span style="font-family: Times New Roman;">Style investing has been developed in behaviral finance literature. In style investing, the investors first classify the investment options based common attribute and then buy their target asset from the selected group. This common attribute is called "style". In this research, the use of "industry" as a style in "style investing" has been survied. Correlation of retail investors transactions at the industry level was investigated by controlling variables of size and book value to market value. In order to test the research hypotheses, a sample of 8 milions transactions related to 335 firms was selected through a systematic elimination from the listed firms in the Tehran Stock Exchange between 2008 and 2014. The results showed that industry is used as a "style" by retail investors. In addition, the use of size and book value as a "style" was observed.</span></span>
<span style="font-family: Times New Roman; font-size: small;"> </span>https://jfr.ut.ac.ir/article_66704_e335f2236f30d3bc604c51bad7099fcc.pdfUniversity of TehranFinancial Research Journal1024-815319420171222Banks Income Forecasting Based on Deposits Composition Using Response Surface MethodologyBanks Income Forecasting Based on Deposits Composition Using Response Surface Methodology5795946670810.22059/jfr.2018.248037.1006569FAEzatollahAbbasianAssociate Prof., Faculty of Economics and Social Sciences, Bu Ali Sina University, Hamedan, Iran0000-0001-8364-6461EhsanSanieePh.D. Student in Financial Economics ,Faculty of Economics and Social Sciences, University of Bu Ali Sina, Hamedan, IranJournal Article20171215<span style="font-size: small;"><span style="font-family: Times New Roman;">In this study, the impact of independent variables including current deposits, investment deposits, saving deposits, long-term investment deposits, short term investment deposits and other deposits on total bank income based onresponse surface methodology is evaluated. For this purpose, central composite design with 5 independent variables and 1 dependent variable is used. Data analysis was done using Quadratic regression. The statistical population of the study includes data from Eghtesade Novin, Parsian, Pasargad, Post Bank, Tejarat, Export Development Bank, Refah, Saman, Sepah, Sarmayeh, Sina, Karafarin, Bank of Industry and Mine, Melli, Mellat, Maskan and Keshavarzi banks during 2005-2013. The results showed that current deposits, investment deposits, saving deposits, long-term and short-term investment deposits have significantly positive impact on total bank incomes, but the other types of deposits have negative impact on bank income. In addition, the estimation accuracy for response surface methodology, in this research, is 95%.</span></span>
<span style="font-family: Times New Roman; font-size: small;"> </span><span style="font-size: small;"><span style="font-family: Times New Roman;">In this study, the impact of independent variables including current deposits, investment deposits, saving deposits, long-term investment deposits, short term investment deposits and other deposits on total bank income based onresponse surface methodology is evaluated. For this purpose, central composite design with 5 independent variables and 1 dependent variable is used. Data analysis was done using Quadratic regression. The statistical population of the study includes data from Eghtesade Novin, Parsian, Pasargad, Post Bank, Tejarat, Export Development Bank, Refah, Saman, Sepah, Sarmayeh, Sina, Karafarin, Bank of Industry and Mine, Melli, Mellat, Maskan and Keshavarzi banks during 2005-2013. The results showed that current deposits, investment deposits, saving deposits, long-term and short-term investment deposits have significantly positive impact on total bank incomes, but the other types of deposits have negative impact on bank income. In addition, the estimation accuracy for response surface methodology, in this research, is 95%.</span></span>
<span style="font-family: Times New Roman; font-size: small;"> </span>https://jfr.ut.ac.ir/article_66708_1800c0245c3ac64e13f5de29531b16ac.pdfUniversity of TehranFinancial Research Journal1024-815319420171222Reviewing the Effect of Investors’ Behavioral Bias on IPO Return and the Roll of Earning Quality in Reducing this EffectReviewing the Effect of Investors’ Behavioral Bias on IPO Return and the Roll of Earning Quality in Reducing this Effect5956146670910.22059/jfr.2018.252528.1006609FAGholamrezaKaramiAssociate Prof. in Accounting, University of Tehran, Tehran, IranAbbasHasaniPhD. Candidate of Accounting, University of Tehran, Tehran, IranJournal Article20180212This study aims to investigate IPOs return from the Investors’ bias point of view. Moreover, we intend to examine the reducing effect of investors’ bias on IPOs return through earning quality. We used the data from 93 companies of IPOs during 2007-2017 offered in TSE. We used Expected Skewedness as lottery preference measurement tool, and calculated IPOs return using BAH Return on a 7-day period. Modified Jones Accrual Quality model was used to measure earning quality. The hypotheses were tested using pooled cross-sectional regression. Our findings showed that there is a direct relationship between the investors’ preference for Skewedness and IPOs return. Besides, earning quality diminishes this effect. Results also showed that investors’ lottery preference has direct effects on IPOs return and more accounting quality in the year just before IPO, could reduce this behavioral bias. <br /> <br /> This study aims to investigate IPOs return from the Investors’ bias point of view. Moreover, we intend to examine the reducing effect of investors’ bias on IPOs return through earning quality. We used the data from 93 companies of IPOs during 2007-2017 offered in TSE. We used Expected Skewedness as lottery preference measurement tool, and calculated IPOs return using BAH Return on a 7-day period. Modified Jones Accrual Quality model was used to measure earning quality. The hypotheses were tested using pooled cross-sectional regression. Our findings showed that there is a direct relationship between the investors’ preference for Skewedness and IPOs return. Besides, earning quality diminishes this effect. Results also showed that investors’ lottery preference has direct effects on IPOs return and more accounting quality in the year just before IPO, could reduce this behavioral bias. <br /> <br /> https://jfr.ut.ac.ir/article_66709_8073be6c2d12bece4fea04c8ac0b3d91.pdfUniversity of TehranFinancial Research Journal1024-815319420171222The Effect of Profit Sensitivity Dimensions (Earnings Response Coefficient, Returns Abnormal Fluctuations and Earning Prediction Error) on Board of Director’s CompensationThe Effect of Profit Sensitivity Dimensions (Earnings Response Coefficient, Returns Abnormal Fluctuations and Earning Prediction Error) on Board of Director’s Compensation6156426671010.22059/jfr.2018.249698.1006580FASayed AliVaezAssistant Prof. in Accounting, Shahid Chamran University, Ahvaz, IranAmir HoseinMontazer HojatAssistant Prof in Economics and Applied Econometrics, Shahid Chamran University, Ahvaz, IranRahimBonabi GhadimPhD. in Accounting, Hashtrood Branch, Islamic Azad University, Hashtrood, IranJournal Article20180107<span style="font-size: small;"><span style="font-family: Times New Roman;">To create interests alignment between the owner and the manager, accurate index of performance should be usedas the rewarding criterion. One of the important indexes for performance measurement purposes in rewarding plans is the profit sensitivity, so that it can meet all of contract parties’ interests. Those profits carrying sensitivity cancause a change in the value of the company's market. So, the main purpose of this study is to survey the effect of profit sensitivity dimensions (Earnings response coefficient, abnormal returns fluctuations and earning prediction error)on board of directors’ reward. For this purpose, the data related to the Tehran Stock Exchange listed companies (121 companies) for the period from 2008 to 2016 were extracted and the multiple regression was used to test the hypothesis. The results showed that three criteria, namely, earnings response coefficient, adjusted earnings response coefficient and earnings value relevance, have a positive effect on board of director’s rewards, while two criteria, namely, abnormal returns fluctuations and earning prediction error have a negative effect on board of director’s rewards.</span></span><span style="font-size: small;"><span style="font-family: Times New Roman;">To create interests alignment between the owner and the manager, accurate index of performance should be usedas the rewarding criterion. One of the important indexes for performance measurement purposes in rewarding plans is the profit sensitivity, so that it can meet all of contract parties’ interests. Those profits carrying sensitivity cancause a change in the value of the company's market. So, the main purpose of this study is to survey the effect of profit sensitivity dimensions (Earnings response coefficient, abnormal returns fluctuations and earning prediction error)on board of directors’ reward. For this purpose, the data related to the Tehran Stock Exchange listed companies (121 companies) for the period from 2008 to 2016 were extracted and the multiple regression was used to test the hypothesis. The results showed that three criteria, namely, earnings response coefficient, adjusted earnings response coefficient and earnings value relevance, have a positive effect on board of director’s rewards, while two criteria, namely, abnormal returns fluctuations and earning prediction error have a negative effect on board of director’s rewards.</span></span>https://jfr.ut.ac.ir/article_66710_e938cf92fdca7289df5fa0f8a8f792a1.pdf