University of TehranFinancial Research Journal1024-8153133220120220Jurisprudence, Legal and Supervision Study of Options Contracts in Iran's Financial MarketsJurisprudence, Legal and Supervision Study of Options Contracts in Iran's Financial Markets1142501710.22059/jfr.2013.25017FARezaRaei0000000348655316SajadSaiahGolam RezaMesbahi MoghadamJournal Article19700101A unique arrangement of option contract -Commitment to sell or buy by one of the parties and create some rights for the other party- has led this arrangement cannot be found similarly in the various contracts mentioned in the Civil or Sharia Law. On the other hand Approval of Securities Market Act of the Islamic Republic of Iran has provided legal environment for the design and issuance of option contract. The present study based on grounded theory focus on two specific subjects: (1) Given the numerous objection and suspicion posed against option contract, Jurisprudential nature of options will explain and a framework for Analysis of the accuracy or validity of different types of options contracts will be presented. (2) Legal infrastructure and paradigm of options studied and explained the appropriate framework of supervision and regulation of implementation of option contracts in Iran's financial markets will be presented.A unique arrangement of option contract -Commitment to sell or buy by one of the parties and create some rights for the other party- has led this arrangement cannot be found similarly in the various contracts mentioned in the Civil or Sharia Law. On the other hand Approval of Securities Market Act of the Islamic Republic of Iran has provided legal environment for the design and issuance of option contract. The present study based on grounded theory focus on two specific subjects: (1) Given the numerous objection and suspicion posed against option contract, Jurisprudential nature of options will explain and a framework for Analysis of the accuracy or validity of different types of options contracts will be presented. (2) Legal infrastructure and paradigm of options studied and explained the appropriate framework of supervision and regulation of implementation of option contracts in Iran's financial markets will be presented.University of TehranFinancial Research Journal1024-8153133220120220Portfolio Grouping of "Tose-e Melli Group Investment Company (TMGIC)" based on the Matrix Network and Compare the Performance of this Method Using the Upside Potential RatioPortfolio Grouping of "Tose-e Melli Group Investment Company (TMGIC)" based on the Matrix Network and Compare the Performance of this Method Using the Upside Potential Ratio15342501810.22059/jfr.2013.25018FAFereydoonRahnamay RoodposhtiMahmoudFiroozianLeilaMohammadiJournal Article19700101In the research we try to introduce “Network Matrix” in selecting optimizing Portfolio for Active Management in investment companies, to evaluating obtained Portfolio of this, with this aim that have high efficiency in relation to market Portfolio efficiency. First Matrix (Portfolio) is value-growth stocks that are classified by standards P/E and P/B and second Matrix (Portfolio) are an aggressive-defensive stocks that is planned by Rahnamaye roodposhti (2009) and is classified by Risk Systematic Standard (?). For calculating and evaluating of two Portfolio efficiency obtained from Network Matrix, we used upside potential ratio. For test of research hypothesis from text of Averages comparison with dependent sample t and “Mann-Whitney test” and for comparison of two Portfolios efficiency with regard to each other and also regard to market used Pierson Correlation Coefficient test. Finally the result of research indicates that Portfolio is not combined from Network Matrix with high efficiency in relation to Market index but we observed the significant positive correlation between two matrixes, but, second matrix indicates have high correlation in relation to market index.In the research we try to introduce “Network Matrix” in selecting optimizing Portfolio for Active Management in investment companies, to evaluating obtained Portfolio of this, with this aim that have high efficiency in relation to market Portfolio efficiency. First Matrix (Portfolio) is value-growth stocks that are classified by standards P/E and P/B and second Matrix (Portfolio) are an aggressive-defensive stocks that is planned by Rahnamaye roodposhti (2009) and is classified by Risk Systematic Standard (?). For calculating and evaluating of two Portfolio efficiency obtained from Network Matrix, we used upside potential ratio. For test of research hypothesis from text of Averages comparison with dependent sample t and “Mann-Whitney test” and for comparison of two Portfolios efficiency with regard to each other and also regard to market used Pierson Correlation Coefficient test. Finally the result of research indicates that Portfolio is not combined from Network Matrix with high efficiency in relation to Market index but we observed the significant positive correlation between two matrixes, but, second matrix indicates have high correlation in relation to market index.University of TehranFinancial Research Journal1024-8153133220120220Mutual Funds Cash Flow and Market Return: Evidences from Tehran Stock ExchangeMutual Funds Cash Flow and Market Return: Evidences from Tehran Stock Exchange35562501910.22059/jfr.2013.25019FAAliSaeediHossein SaeeidiSaeeidi0000-0002-9499-8769Journal Article19700101Issuance value, redemption value and net value of issuance and redemption of investment units is called cash flow to mutual funds. This cash flow to mutual funds is used as an investor sentiment index, when there is significant relationship between cash flow to mutual funds and market return. In this paper, relationship between these two items is to be evaluated. Monthly and weekly cash flow to 19 funds during 2008 to 2010 is considered. OLS used to assess the current relationship and for the lag relationship, VAR method is used. The results show that based on monthly data current issuance value affected the market return but weekly data doesn’t support it. On the basis of weekly data, first lag of market return affected net cash flow to mutual funds. However, first lag of market return affected current issuance value and the second lag of market return affected current redemption value. Based on monthly data, neither of market returns lags had the significant explanatory power.Issuance value, redemption value and net value of issuance and redemption of investment units is called cash flow to mutual funds. This cash flow to mutual funds is used as an investor sentiment index, when there is significant relationship between cash flow to mutual funds and market return. In this paper, relationship between these two items is to be evaluated. Monthly and weekly cash flow to 19 funds during 2008 to 2010 is considered. OLS used to assess the current relationship and for the lag relationship, VAR method is used. The results show that based on monthly data current issuance value affected the market return but weekly data doesn’t support it. On the basis of weekly data, first lag of market return affected net cash flow to mutual funds. However, first lag of market return affected current issuance value and the second lag of market return affected current redemption value. Based on monthly data, neither of market returns lags had the significant explanatory power.University of TehranFinancial Research Journal1024-8153133220120220Earning Management & the Long-Run Market Performance of Initial Public Offerings: Evidences from Tehran Stock Exchange (TSE)Earning Management & the Long-Run Market Performance of Initial Public Offerings: Evidences from Tehran Stock Exchange (TSE)57722502010.22059/jfr.2013.25020FASeyed JalalSadegh SharifMohamadAkbarosadatJournal Article19700101In this research, we investigate the influence of profit management on the long-term performance of IPOs in Tehran Stock Exchange. The IPOs in 1378 to 1384 are used as our sample and their long-term return in a three-year period after the IPO are calculated. We start calculating the return from the first day after the month in which the financial statement of IPO is published. Discretionary Current Accruals (DCA) is designated as profit management index. The results of this research show the long-term performance of the companies which manipulate their income by using profit management methods, when IPO is going to be done, is weaker than those which show their real income. This shows capital market is not efficient in realizing the real quality of income and stockholders simply believe the income published by the companies. The results are the same as researches in other capital markets of the world.In this research, we investigate the influence of profit management on the long-term performance of IPOs in Tehran Stock Exchange. The IPOs in 1378 to 1384 are used as our sample and their long-term return in a three-year period after the IPO are calculated. We start calculating the return from the first day after the month in which the financial statement of IPO is published. Discretionary Current Accruals (DCA) is designated as profit management index. The results of this research show the long-term performance of the companies which manipulate their income by using profit management methods, when IPO is going to be done, is weaker than those which show their real income. This shows capital market is not efficient in realizing the real quality of income and stockholders simply believe the income published by the companies. The results are the same as researches in other capital markets of the world.University of TehranFinancial Research Journal1024-8153133220120220The Effects of Iran Economic Conditions on Weak Performance of Islamic Banking System in IranThe Effects of Iran Economic Conditions on Weak Performance of Islamic Banking System in Iran73902502110.22059/jfr.2013.25021FAMohammadTalebiMohammad AliSahmani AslMohammadAshrafnezadehJournal Article19700101The newly established system of Islamic economy in Iran, specifically the non-usury banking system is in need of appropriate conditions to attain its goals. The special economic conditions of Iran (Stagflation Conditions) after the Islamic Revolution which was rooted in weak pre-revolutionary situation made non-usury banking system encounter problems and people have great doubt about the semi-usury system of banking. The major causes of the problem were related to the nature, structure and state of implementing of law. This article shows that the special economic conditions of Iran after the Revolution have acted as an obstacle in reaching a non-usury banking system. High inflation rate increases the interest rate; hence the sense of misgivings about the usurious condition of the existing system rises. High unemployment rate, weak technical and financial bases in economic institutions, speculative spirit instead of production in the country, economic misuses in different extents, high credit risks, restriction in the selection of external financing methods, etc. have made the implementation of Islamic contracts impossible.The newly established system of Islamic economy in Iran, specifically the non-usury banking system is in need of appropriate conditions to attain its goals. The special economic conditions of Iran (Stagflation Conditions) after the Islamic Revolution which was rooted in weak pre-revolutionary situation made non-usury banking system encounter problems and people have great doubt about the semi-usury system of banking. The major causes of the problem were related to the nature, structure and state of implementing of law. This article shows that the special economic conditions of Iran after the Revolution have acted as an obstacle in reaching a non-usury banking system. High inflation rate increases the interest rate; hence the sense of misgivings about the usurious condition of the existing system rises. High unemployment rate, weak technical and financial bases in economic institutions, speculative spirit instead of production in the country, economic misuses in different extents, high credit risks, restriction in the selection of external financing methods, etc. have made the implementation of Islamic contracts impossible.University of TehranFinancial Research Journal1024-8153133220120220Forecasting of Stock Returns with Non linear Models and the role of Trading Volume in Improving the Performance of These ModelsForecasting of Stock Returns with Non linear Models and the role of Trading Volume in Improving the Performance of These Models2502210.22059/jfr.2013.25022FAEbrahimAbbasiSaharBagheriJournal Article19700101Non-linear time series models have become fashionable tools to describe and forecast stock market returns in recent years. A significant amount of evidence supports a negative relationship between volume and future returns. This suggests that volume could act as a suitable threshold variable in LSTAR and TAR models. In this research, we compared the forecasting ability of LSATR and TAR models with ARMA. Moreover, we used lagged volume as the threshold in LSTAR and TAR. Daily stock returns and volume of 26 companies were used over the sample period 21/03/2001 to 20/03/2010 years. In order to conduct a forecasting exercise we used the 7 years data as the in sample estimation period and the reminder of the sample as the out of sample period. We used Diebold- Mariano test to compare forecasting power of the models. Results show that Non-linear models have higher forecasting power than ARMA. Also using volume did not improve the forecasting performance of LSTAR and TAR.Non-linear time series models have become fashionable tools to describe and forecast stock market returns in recent years. A significant amount of evidence supports a negative relationship between volume and future returns. This suggests that volume could act as a suitable threshold variable in LSTAR and TAR models. In this research, we compared the forecasting ability of LSATR and TAR models with ARMA. Moreover, we used lagged volume as the threshold in LSTAR and TAR. Daily stock returns and volume of 26 companies were used over the sample period 21/03/2001 to 20/03/2010 years. In order to conduct a forecasting exercise we used the 7 years data as the in sample estimation period and the reminder of the sample as the out of sample period. We used Diebold- Mariano test to compare forecasting power of the models. Results show that Non-linear models have higher forecasting power than ARMA. Also using volume did not improve the forecasting performance of LSTAR and TAR.University of TehranFinancial Research Journal1024-8153133220120220Forecast Error Analysis of State Tax Revenues in IranForecast Error Analysis of State Tax Revenues in Iran1091322502310.22059/jfr.2013.25023FAEzatollahAbbasianVahidMahmoudiImanShakerJournal Article19700101In this paper, forecasting error for state tax revenues is assessed. For this purpose, using the regression equation, statistical index, and mean percent error, root mean square error, mean absolute percent error and error analysis of tile inequality coefficients are applied on anticipated revenue from taxes on legal entities, income taxes, wealth tax, taxes on imports and taxes on consumption and sales during the years from 1350 to 1385. The results show that over the time period in this research, estimated income tax, wealth tax, taxes on imports and taxes on consumption and sale exceed the actual (optimistic) and the estimated tax on juridical persons is lower than actual level respectively. Also, the anticipated tax of legal entities, income taxes, taxes on imports and taxes on consumption and sale have nonsystematic error and forecast error of wealth tax has been systematic. Efficiency analysis to predict shows that the error predicted none of the pattern and trend of tax revenues over time.In this paper, forecasting error for state tax revenues is assessed. For this purpose, using the regression equation, statistical index, and mean percent error, root mean square error, mean absolute percent error and error analysis of tile inequality coefficients are applied on anticipated revenue from taxes on legal entities, income taxes, wealth tax, taxes on imports and taxes on consumption and sales during the years from 1350 to 1385. The results show that over the time period in this research, estimated income tax, wealth tax, taxes on imports and taxes on consumption and sale exceed the actual (optimistic) and the estimated tax on juridical persons is lower than actual level respectively. Also, the anticipated tax of legal entities, income taxes, taxes on imports and taxes on consumption and sale have nonsystematic error and forecast error of wealth tax has been systematic. Efficiency analysis to predict shows that the error predicted none of the pattern and trend of tax revenues over time.University of TehranFinancial Research Journal1024-8153133220120220The Comparative Study of Ijarah Sukuk between Iran, Malaysia and England LawThe Comparative Study of Ijarah Sukuk between Iran, Malaysia and England Law1331502502410.22059/jfr.2013.25024FAJalilGhanavtiMarziehDavari LangroodiJournal Article19700101This paper is a comparative study of legal aspect of Islamic securities (Sukuk), between Iran (as shia fiqh) Malaysia (as the first country that issued sukuk based on sonni fiqh) and England (as a chief western country in sukuk). Results indicate many similarities between Iran and Malaysia rules despite specifications with England rules. Different in definition of contract, asset valuation, limitation for securities profit, etc… show that Britain rules emphasized on issuing Sukuk due to making turnover and developing tax, without attention to real economical activities.Keywords: Islamic securities (Sukuk), Iran Law, Malaysia Law, England Law, Ijarah Sukuk.This paper is a comparative study of legal aspect of Islamic securities (Sukuk), between Iran (as shia fiqh) Malaysia (as the first country that issued sukuk based on sonni fiqh) and England (as a chief western country in sukuk). Results indicate many similarities between Iran and Malaysia rules despite specifications with England rules. Different in definition of contract, asset valuation, limitation for securities profit, etc… show that Britain rules emphasized on issuing Sukuk due to making turnover and developing tax, without attention to real economical activities.Keywords: Islamic securities (Sukuk), Iran Law, Malaysia Law, England Law, Ijarah Sukuk.