Keyword Index

A

  • Accrual earnings management Effect of Accrual-based and real Earnings Management on Firm Value: A Case Study of Companies listed on the Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 568-593]
  • Active Management The Effect of Active Management on Mutual Fund Performance in Tehran Stock Exchange Market [Volume 22, Issue 3, 2020, Pages 366-387]
  • Agency Cost Model Determination for Equilibrium Valuation of Startup Companies Using Real Option Method in the Presence of Agency Cost [Volume 22, Issue 2, 2020, Pages 182-205]
  • Arbitrage risk Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [Volume 22, Issue 3, 2020, Pages 343-365]
  • Asymmetric tail dependence Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 542-567]

B

  • Back-testing Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 27-43]
  • Basel Committee statements Developing a Model for Evaluating the Effectiveness of Risk Management in the Banking Industry [Volume 22, Issue 4, 2020, Pages 496-520]
  • Bayesian approach of Markov Switching Method The Impact of World Commodity Price Index on Tehran Stock Exchange Returns: The Bayesian Approach of Markov Switching Method [Volume 22, Issue 1, 2020, Pages 90-109]
  • Behavioral finance Herd Behavior Analysis in Tehran Stock Exchange with Chiang and Zheng Model [Volume 22, Issue 3, 2020, Pages 388-407]
  • Boom and Recession of Financial Sector Capital Structure Adjustment Speed and the Effect of Boom and Recession on that: Evidence from Tehran Stock Exchange Listed Companies [Volume 22, Issue 2, 2020, Pages 160-181]
  • Boom and Recession of Real Economy Capital Structure Adjustment Speed and the Effect of Boom and Recession on that: Evidence from Tehran Stock Exchange Listed Companies [Volume 22, Issue 2, 2020, Pages 160-181]
  • Business Cycle Analysis of the Relationship between Business Cycles and Financial Market Indices in Iran Using an Error Correction Model [Volume 22, Issue 1, 2020, Pages 110-130]

C

  • Candlestick charts Trades Return Based on Candlestick Charts in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 69-89]
  • Capital asset pricing models Designing a Tax Risk Assessment Model and Its Effect on the Value of Companies Listed on the Iranian Capital Market [Volume 22, Issue 2, 2020, Pages 266-296]
  • Capital structure Adjustment Speed Capital Structure Adjustment Speed and the Effect of Boom and Recession on that: Evidence from Tehran Stock Exchange Listed Companies [Volume 22, Issue 2, 2020, Pages 160-181]
  • Commodity price The Impact of World Commodity Price Index on Tehran Stock Exchange Returns: The Bayesian Approach of Markov Switching Method [Volume 22, Issue 1, 2020, Pages 90-109]
  • Company value The Role of Performance and Governance Criteria in Determining the Price of Shares with an Artificial Intelligence-based Approach [Volume 22, Issue 1, 2020, Pages 131-147]
  • Company value Designing a Tax Risk Assessment Model and Its Effect on the Value of Companies Listed on the Iranian Capital Market [Volume 22, Issue 2, 2020, Pages 266-296]
  • Conditional Heteroscedasticity Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [Volume 22, Issue 2, 2020, Pages 149-159]
  • Conditional value at Risk (CvaR) Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [Volume 22, Issue 2, 2020, Pages 149-159]
  • Conditional Value at Risk (ΔCoVaR) Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [Volume 22, Issue 4, 2020, Pages 451-475]
  • Consequences Developing a Working Capital Management Model [Volume 22, Issue 4, 2020, Pages 612-641]
  • Corporate governance Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [Volume 22, Issue 2, 2020, Pages 206-226]
  • COSO Committee statements Developing a Model for Evaluating the Effectiveness of Risk Management in the Banking Industry [Volume 22, Issue 4, 2020, Pages 496-520]
  • Cost of capital The Impact of Operational Diversification and Investment Opportunities on the Relationship between Cost of Capital and CEO Change [Volume 22, Issue 3, 2020, Pages 428-450]
  • Cross-sectional absolute deviation Herd Behavior Analysis in Tehran Stock Exchange with Chiang and Zheng Model [Volume 22, Issue 3, 2020, Pages 388-407]

D

  • Dynamic GARCH models Static & Dynamic Models & Stock Market Efficiency Evaluation of T.S.E. Listed Companies’ [Volume 22, Issue 4, 2020, Pages 476-495]

E

  • Economic Value Added Effect of Accrual-based and real Earnings Management on Firm Value: A Case Study of Companies listed on the Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 568-593]
  • Edgeworth box Model Determination for Equilibrium Valuation of Startup Companies Using Real Option Method in the Presence of Agency Cost [Volume 22, Issue 2, 2020, Pages 182-205]
  • Expected shortfall Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 27-43]
  • Expected shortfall of capital Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [Volume 22, Issue 2, 2020, Pages 206-226]
  • Expense ratio The Effect of Active Management on Mutual Fund Performance in Tehran Stock Exchange Market [Volume 22, Issue 3, 2020, Pages 366-387]
  • Expert advice Online Portfolio Selection Based on Follow-the-Loser Algorithms [Volume 22, Issue 3, 2020, Pages 408-427]
  • External corporate governance Associate Prof., Department of Finance, Faculty of Management and Economics, Urmia University, West Azarbaijan, Urmia, Iran. [Volume 22, Issue 2, 2020, Pages 227-248]
  • External factors Developing a Working Capital Management Model [Volume 22, Issue 4, 2020, Pages 612-641]
  • Extreme event Tehran Stock Exchange Underreaction Following Extreme Market Events [Volume 22, Issue 4, 2020, Pages 521-541]
  • Extreme losses values Time Series Modeling of Extreme Losses Values Based on a Spectral Analysis Approach [Volume 22, Issue 4, 2020, Pages 594-611]
  • Extreme value theory Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 542-567]

F

  • Financial Liberalization The Effect of Financial Liberalization on Informational Efficiency in Developing Economies: Evidence from State Space and GMM Models [Volume 22, Issue 2, 2020, Pages 249-265]
  • Firm Value Effect of Accrual-based and real Earnings Management on Firm Value: A Case Study of Companies listed on the Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 568-593]
  • Five Factor Fama-French Model Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [Volume 22, Issue 3, 2020, Pages 343-365]
  • Follow-the-Loser algorithm Online Portfolio Selection Based on Follow-the-Loser Algorithms [Volume 22, Issue 3, 2020, Pages 408-427]
  • Free Cash Flow Effect of Accrual-based and real Earnings Management on Firm Value: A Case Study of Companies listed on the Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 568-593]

G

  • GARCH-DCC Model Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran [Volume 22, Issue 3, 2020, Pages 297-319]
  • GDP growth Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran [Volume 22, Issue 3, 2020, Pages 297-319]
  • GMM model The Effect of Financial Liberalization on Informational Efficiency in Developing Economies: Evidence from State Space and GMM Models [Volume 22, Issue 2, 2020, Pages 249-265]

H

  • Herd behavior Herd Behavior Analysis in Tehran Stock Exchange with Chiang and Zheng Model [Volume 22, Issue 3, 2020, Pages 388-407]
  • High frequency data Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 1-26]
  • Hodrick Prescott filter Analysis of the Relationship between Business Cycles and Financial Market Indices in Iran Using an Error Correction Model [Volume 22, Issue 1, 2020, Pages 110-130]

I

  • Idiosyncratic Volatility Pricing Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [Volume 22, Issue 3, 2020, Pages 343-365]
  • IFRS Developing a Model for Evaluating the Effectiveness of Risk Management in the Banking Industry [Volume 22, Issue 4, 2020, Pages 496-520]
  • Informational efficiency The Effect of Financial Liberalization on Informational Efficiency in Developing Economies: Evidence from State Space and GMM Models [Volume 22, Issue 2, 2020, Pages 249-265]
  • Informational efficiency Static & Dynamic Models & Stock Market Efficiency Evaluation of T.S.E. Listed Companies’ [Volume 22, Issue 4, 2020, Pages 476-495]
  • Information Asymmetry Associate Prof., Department of Finance, Faculty of Management and Economics, Urmia University, West Azarbaijan, Urmia, Iran. [Volume 22, Issue 2, 2020, Pages 227-248]
  • Insider trading Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 1-26]
  • Internal corporate governance Associate Prof., Department of Finance, Faculty of Management and Economics, Urmia University, West Azarbaijan, Urmia, Iran. [Volume 22, Issue 2, 2020, Pages 227-248]
  • Intraday data Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 27-43]
  • Intraday pattern Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 1-26]
  • Investment Efficiency Associate Prof., Department of Finance, Faculty of Management and Economics, Urmia University, West Azarbaijan, Urmia, Iran. [Volume 22, Issue 2, 2020, Pages 227-248]
  • Investment opportunity The Impact of Operational Diversification and Investment Opportunities on the Relationship between Cost of Capital and CEO Change [Volume 22, Issue 3, 2020, Pages 428-450]
  • Issuer Studying the Regulatory Framework and Implementation of the Principle of Fair and Equitable Treatment of Shareholders by Issuers in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 44-68]

K

  • Kalman Filter Static & Dynamic Models & Stock Market Efficiency Evaluation of T.S.E. Listed Companies’ [Volume 22, Issue 4, 2020, Pages 476-495]

L

  • Local Kernel Regression Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [Volume 22, Issue 3, 2020, Pages 343-365]
  • Low Sequence Dependence (LTD) Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [Volume 22, Issue 4, 2020, Pages 451-475]

M

  • Machine learning method The Role of Performance and Governance Criteria in Determining the Price of Shares with an Artificial Intelligence-based Approach [Volume 22, Issue 1, 2020, Pages 131-147]
  • Manager change The Impact of Operational Diversification and Investment Opportunities on the Relationship between Cost of Capital and CEO Change [Volume 22, Issue 3, 2020, Pages 428-450]
  • Marginal expected shortfall Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [Volume 22, Issue 2, 2020, Pages 206-226]
  • Marginal Expected Shortfall (MES) Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [Volume 22, Issue 4, 2020, Pages 451-475]
  • Market Microstructure Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 1-26]
  • Markov Switching Model Analysis of the Relationship between Business Cycles and Financial Market Indices in Iran Using an Error Correction Model [Volume 22, Issue 1, 2020, Pages 110-130]
  • Mean reversion principle Online Portfolio Selection Based on Follow-the-Loser Algorithms [Volume 22, Issue 3, 2020, Pages 408-427]
  • Multi-Criteria Decision-Making Techniques Designing a Tax Risk Assessment Model and Its Effect on the Value of Companies Listed on the Iranian Capital Market [Volume 22, Issue 2, 2020, Pages 266-296]
  • Multifractal Volatility Model Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 27-43]
  • Mutual Funds The Effect of Active Management on Mutual Fund Performance in Tehran Stock Exchange Market [Volume 22, Issue 3, 2020, Pages 366-387]

O

  • Online portfolio selection Online Portfolio Selection Based on Follow-the-Loser Algorithms [Volume 22, Issue 3, 2020, Pages 408-427]
  • Operational diversification The Impact of Operational Diversification and Investment Opportunities on the Relationship between Cost of Capital and CEO Change [Volume 22, Issue 3, 2020, Pages 428-450]
  • Overreaction Tehran Stock Exchange Underreaction Following Extreme Market Events [Volume 22, Issue 4, 2020, Pages 521-541]

P

  • Peak-over Threshold Model Estimation of Expected Shortfall Based on Conditional Extreme Value Theory Using Multifractal Model and Intraday Data in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 27-43]
  • Performance The Effect of Active Management on Mutual Fund Performance in Tehran Stock Exchange Market [Volume 22, Issue 3, 2020, Pages 366-387]
  • Performance Criteria The Role of Performance and Governance Criteria in Determining the Price of Shares with an Artificial Intelligence-based Approach [Volume 22, Issue 1, 2020, Pages 131-147]
  • Periodogram Time Series Modeling of Extreme Losses Values Based on a Spectral Analysis Approach [Volume 22, Issue 4, 2020, Pages 594-611]
  • Portfolio optimization Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [Volume 22, Issue 2, 2020, Pages 149-159]
  • Portfolio risk measurement Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 542-567]
  • Price impact Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 1-26]

R

  • Ranking Designing a Tax Risk Assessment Model and Its Effect on the Value of Companies Listed on the Iranian Capital Market [Volume 22, Issue 2, 2020, Pages 266-296]
  • Real Earnings management Effect of Accrual-based and real Earnings Management on Firm Value: A Case Study of Companies listed on the Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 568-593]
  • Real option Model Determination for Equilibrium Valuation of Startup Companies Using Real Option Method in the Presence of Agency Cost [Volume 22, Issue 2, 2020, Pages 182-205]
  • Reporting Studying the Regulatory Framework and Implementation of the Principle of Fair and Equitable Treatment of Shareholders by Issuers in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 44-68]
  • Return Continuation The Style Momentum and Its Origin [Volume 22, Issue 3, 2020, Pages 320-342]
  • Return stock The Impact of World Commodity Price Index on Tehran Stock Exchange Returns: The Bayesian Approach of Markov Switching Method [Volume 22, Issue 1, 2020, Pages 90-109]
  • Risk management effectiveness assessment indicators Developing a Model for Evaluating the Effectiveness of Risk Management in the Banking Industry [Volume 22, Issue 4, 2020, Pages 496-520]

S

  • Semi-Paremetric Model Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [Volume 22, Issue 3, 2020, Pages 343-365]
  • Shareholders rights Studying the Regulatory Framework and Implementation of the Principle of Fair and Equitable Treatment of Shareholders by Issuers in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 44-68]
  • Skewness and kurtosis adjusted Black-Scholes Model Model Determination for Equilibrium Valuation of Startup Companies Using Real Option Method in the Presence of Agency Cost [Volume 22, Issue 2, 2020, Pages 182-205]
  • Spectral analysis Time Series Modeling of Extreme Losses Values Based on a Spectral Analysis Approach [Volume 22, Issue 4, 2020, Pages 594-611]
  • SRISK Index Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran [Volume 22, Issue 3, 2020, Pages 297-319]
  • Startup Model Determination for Equilibrium Valuation of Startup Companies Using Real Option Method in the Presence of Agency Cost [Volume 22, Issue 2, 2020, Pages 182-205]
  • State space model with GARCH effect The Effect of Financial Liberalization on Informational Efficiency in Developing Economies: Evidence from State Space and GMM Models [Volume 22, Issue 2, 2020, Pages 249-265]
  • Style momentum strategy The Style Momentum and Its Origin [Volume 22, Issue 3, 2020, Pages 320-342]
  • Systemic Expected Shortfall (SES) Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [Volume 22, Issue 4, 2020, Pages 451-475]
  • Systemic Risk Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [Volume 22, Issue 2, 2020, Pages 206-226]
  • Systemic Risk Evaluation of the Effect of the Banking Sector Systemic Risk on the Macroeconomic Performance of Iran [Volume 22, Issue 3, 2020, Pages 297-319]
  • Systemic Risk Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [Volume 22, Issue 4, 2020, Pages 451-475]

T

  • Target capital structure Capital Structure Adjustment Speed and the Effect of Boom and Recession on that: Evidence from Tehran Stock Exchange Listed Companies [Volume 22, Issue 2, 2020, Pages 160-181]
  • Tax Risk Designing a Tax Risk Assessment Model and Its Effect on the Value of Companies Listed on the Iranian Capital Market [Volume 22, Issue 2, 2020, Pages 266-296]
  • Technical Analysis Trades Return Based on Candlestick Charts in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 69-89]
  • Tehran Stock Exchange Herd Behavior Analysis in Tehran Stock Exchange with Chiang and Zheng Model [Volume 22, Issue 3, 2020, Pages 388-407]
  • Tehran Stock Exchange Market Trades Return Based on Candlestick Charts in Tehran Stock Exchange [Volume 22, Issue 1, 2020, Pages 69-89]
  • TOPSIS Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [Volume 22, Issue 2, 2020, Pages 206-226]
  • Transition of regimes The Impact of World Commodity Price Index on Tehran Stock Exchange Returns: The Bayesian Approach of Markov Switching Method [Volume 22, Issue 1, 2020, Pages 90-109]

U

  • Underreaction Tehran Stock Exchange Underreaction Following Extreme Market Events [Volume 22, Issue 4, 2020, Pages 521-541]

V

  • Value at Risk Tehran Stock Exchange Underreaction Following Extreme Market Events [Volume 22, Issue 4, 2020, Pages 521-541]
  • Value at Risk Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange [Volume 22, Issue 4, 2020, Pages 542-567]
  • Value at Risk (VAR) Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [Volume 22, Issue 2, 2020, Pages 149-159]
  • Volatilities Time Series Modeling of Extreme Losses Values Based on a Spectral Analysis Approach [Volume 22, Issue 4, 2020, Pages 594-611]

W

  • Weak-form market efficiency Static & Dynamic Models & Stock Market Efficiency Evaluation of T.S.E. Listed Companies’ [Volume 22, Issue 4, 2020, Pages 476-495]
  • Working capital management Developing a Working Capital Management Model [Volume 22, Issue 4, 2020, Pages 612-641]