Pub Date : 2022-04-01DOI: 10.30699/ijf.2021.256924.1172
Ahmad Farahani Darestani, Mohammadreza Miri Lavasani, H. Kordlouie, Ghodratallah Talebnia
Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension fundsas Defined Benefit, Defined Contribution, or othersaccept reserves from contributors and try to invest them in a way to keep up with their obligations in the future or even pay more than that. The equity 96 Iranian Journal of Finance, 2022, Vol. 6, No. 2 (Farahani Darestani,A.) market has been one of the good choices for investment as pension funds try to reach a particular rate of return to maximize their wealth while considering not crossing red lines in taking risks. This paper will detail the new mathematical model for finding optimal stock portfolios using Generalized Co-Lower Partial Moment as a risk measure to minimize portfolio optimization. On the other hand, it introduces new tailored Expected Utility as a performance metric to maximize in this model. The proposed model's issue against previous studies is considering risk aversion and target rate of investment return as two significant investor characteristics. This is based on price returns' simulation of candidate stocks in TSE while using accurate and nonparametric Probability Density Function in historical data analysis.
资产配置一直是个人和企业在竞争激烈的世界中生存的一个具有挑战性的问题。其中一个著名的行业，对全世界人们的生活产生了巨大的影响，就是养老金行业。养老基金——固定收益基金、固定缴款基金或其他基金——从出资人那里接受储备，并试图以某种方式投资，以跟上他们未来的义务，甚至支付更多。伊朗金融杂志，2022,Vol. 6, No. 2 (Farahani Darestani, a .)股票市场一直是一个很好的投资选择，因为养老基金试图达到一个特定的回报率，以最大化他们的财富，同时考虑不越过冒险的红线。本文将详细介绍用广义协下偏矩作为风险度量来寻找最优股票投资组合的新数学模型。另一方面，它引入了新的定制的预期效用作为在该模型中最大化的性能指标。该模型与以往研究的不同之处在于将风险规避和目标投资回报率作为投资者的两个重要特征。这是基于对东京证券交易所候选股票的价格回报模拟，同时在历史数据分析中使用精确的非参数概率密度函数。
{"title":"Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return","authors":"Ahmad Farahani Darestani, Mohammadreza Miri Lavasani, H. Kordlouie, Ghodratallah Talebnia","doi":"10.30699/ijf.2021.256924.1172","DOIUrl":"https://doi.org/10.30699/ijf.2021.256924.1172","url":null,"abstract":"Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension fundsas Defined Benefit, Defined Contribution, or othersaccept reserves from contributors and try to invest them in a way to keep up with their obligations in the future or even pay more than that. The equity 96 Iranian Journal of Finance, 2022, Vol. 6, No. 2 (Farahani Darestani,A.) market has been one of the good choices for investment as pension funds try to reach a particular rate of return to maximize their wealth while considering not crossing red lines in taking risks. This paper will detail the new mathematical model for finding optimal stock portfolios using Generalized Co-Lower Partial Moment as a risk measure to minimize portfolio optimization. On the other hand, it introduces new tailored Expected Utility as a performance metric to maximize in this model. The proposed model's issue against previous studies is considering risk aversion and target rate of investment return as two significant investor characteristics. This is based on price returns' simulation of candidate stocks in TSE while using accurate and nonparametric Probability Density Function in historical data analysis.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132486398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-04-01DOI: 10.30699/ijf.2021.311328.1281
M. E. Fadaeinejad, Mohamad Taghi Vaziri, Hossein Asadi, Mohammad Javad Faryadras
Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based on the "weight-modified conditional value at risk (CVaR)" and its comparison with 71 Portfolio Optimization based on the Risk Minimization by... the "conditional value at risk (CVaR)" method in the Tehran Stock Exchange. Therefore, the price information of companies listed in the Tehran Stock Exchange and Over-the-counter (OTC) from 2012 to the end of September 2020 was collected, screened, and analyzed daily, and then the risk and return of the portfolios were examined by forming optimal portfolios. The results indicated that the efficiency limit of the stock portfolio and also the ranks of different companies were different according to the types of the optimization method. Based on the behavior of the TEDPIX, the investors' degrees of risktaking, and the risk management, diversification, and computational complexity of each method, the weight-modified CVaR had a better performance due to better diversification and risk management. Furthermore, the SCAD function added computational complexity to this method.
{"title":"Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method","authors":"M. E. Fadaeinejad, Mohamad Taghi Vaziri, Hossein Asadi, Mohammad Javad Faryadras","doi":"10.30699/ijf.2021.311328.1281","DOIUrl":"https://doi.org/10.30699/ijf.2021.311328.1281","url":null,"abstract":"Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based on the \"weight-modified conditional value at risk (CVaR)\" and its comparison with 71 Portfolio Optimization based on the Risk Minimization by... the \"conditional value at risk (CVaR)\" method in the Tehran Stock Exchange. Therefore, the price information of companies listed in the Tehran Stock Exchange and Over-the-counter (OTC) from 2012 to the end of September 2020 was collected, screened, and analyzed daily, and then the risk and return of the portfolios were examined by forming optimal portfolios. The results indicated that the efficiency limit of the stock portfolio and also the ranks of different companies were different according to the types of the optimization method. Based on the behavior of the TEDPIX, the investors' degrees of risktaking, and the risk management, diversification, and computational complexity of each method, the weight-modified CVaR had a better performance due to better diversification and risk management. Furthermore, the SCAD function added computational complexity to this method.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130591007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2021.293531.1249
F. Soltani, A. Soroushyar, Masoud Fooladi
Researchers examined anomalies in the market to understand the market dimensions. Prior studies considered the effects of biases on momentum strategy. Stock liquidity as one of the risk factors for assets was also considered by researchers. The purpose of this study is to examine the role of stock liquidity in the separately and jointly effect of anchoring bias and the disposition effect on momentum profit. The population of this study consists of all companies listed on the Tehran Stock Exchange. Based on systematic election sampling this study covers 136 companies over the period of 20072020. In this study, the effect of disposition effect is calculated using the approach of Greenblatt and Han (2005) and Frazzini (2006) and the anchorage bias is calculated according to George and Hwang (2004). This study calculates 84 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Soltani, F.) momentum profits according to Jegadeesh and Titman (1993). To test the hypotheses, multivariate regressions and the five-factor model of Fama and French (2015) have been used. The results of this study show that the disposition effect in stocks with low liquidity increases momentum profit. In addition, anchoring bias in stocks with low liquidity leads to an increase the momentum profit. Findings of this study document that the interaction effect of anchoring bias and disposition effect, while reinforcing each other, is also associated with increasing in momentum profit. Finally, when anchoring bias and disposition effect reinforce each other, and stocks have low liquidity, they do not increase momentum profits.
研究人员检查了市场中的异常现象，以了解市场规模。先前的研究考虑了偏差对动量策略的影响。股票流动性作为资产的风险因素之一也被研究者们所考虑。本研究旨在探讨股票流动性在锚定偏差和处置效应对动量利润的单独效应和共同效应中的作用。本研究的人口包括在德黑兰证券交易所上市的所有公司。基于系统的选举抽样，本研究涵盖了2007年至2020年期间的136家公司。本研究采用Greenblatt and Han(2005)和Frazzini(2006)的方法计算处置效应的效应，采用George and Hwang(2004)的方法计算锚定偏差。本研究根据Jegadeesh and Titman(1993)计算了84 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Soltani, F.)动量利润。为了检验这些假设，我们使用了多变量回归和Fama and French(2015)的五因素模型。研究结果表明，低流动性股票的配置效应会增加动量利润。此外，低流动性股票的锚定偏差导致动量利润增加。本研究发现，锚定偏见与处置效应的交互作用，在相互强化的同时，也与动量利润的增加有关。最后，当锚定偏差和处置效应相互强化，股票流动性较低时，它们不会增加动量利润。
{"title":"The Impact of Anchoring Bias and Disposition Effect on Momentum Profit: The Role of Stock Liquidity","authors":"F. Soltani, A. Soroushyar, Masoud Fooladi","doi":"10.30699/ijf.2021.293531.1249","DOIUrl":"https://doi.org/10.30699/ijf.2021.293531.1249","url":null,"abstract":"Researchers examined anomalies in the market to understand the market dimensions. Prior studies considered the effects of biases on momentum strategy. Stock liquidity as one of the risk factors for assets was also considered by researchers. The purpose of this study is to examine the role of stock liquidity in the separately and jointly effect of anchoring bias and the disposition effect on momentum profit. The population of this study consists of all companies listed on the Tehran Stock Exchange. Based on systematic election sampling this study covers 136 companies over the period of 20072020. In this study, the effect of disposition effect is calculated using the approach of Greenblatt and Han (2005) and Frazzini (2006) and the anchorage bias is calculated according to George and Hwang (2004). This study calculates 84 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Soltani, F.) momentum profits according to Jegadeesh and Titman (1993). To test the hypotheses, multivariate regressions and the five-factor model of Fama and French (2015) have been used. The results of this study show that the disposition effect in stocks with low liquidity increases momentum profit. In addition, anchoring bias in stocks with low liquidity leads to an increase the momentum profit. Findings of this study document that the interaction effect of anchoring bias and disposition effect, while reinforcing each other, is also associated with increasing in momentum profit. Finally, when anchoring bias and disposition effect reinforce each other, and stocks have low liquidity, they do not increase momentum profits.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131345470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2021.287131.1237
H. Haddadian, Morteza Baky Haskuee, G. Zomorodian
The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making and execution is the most important factor in the success of institutional and individual investors in capital markets. Algorithmic trading using machine learning methods has been able to improve the performance of investors by finding investment opportunities as well as time entry and exit of trading. The purpose of this study is to achieve a better portfolio performance by designing an intelligent and fully automated trading system that investors with the 2 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Haddadian, H.) support of this system, in addition to finding the best opportunities in the market, can allocate resources optimally. The present study consists of four separate steps. Respectively, tuning the parameters of technical indicators, detecting the current market regime (trending or non-trending), issuing a definite signal (buy, sell or hold) from the indicators’ signals and finally portfolio rebalancing. These 4 steps respectively are performed using genetic algorithm, fuzzy logic, artificial neural network and conventional portfolio optimization model. The results show the complete superiority of the proposed model in achieving higher returns and less risk compared to the performance of the TEDPIX and other mutual funds in the same period.
{"title":"A Hybrid Artificial Intelligence Approach to Portfolio Management","authors":"H. Haddadian, Morteza Baky Haskuee, G. Zomorodian","doi":"10.30699/ijf.2021.287131.1237","DOIUrl":"https://doi.org/10.30699/ijf.2021.287131.1237","url":null,"abstract":"The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making and execution is the most important factor in the success of institutional and individual investors in capital markets. Algorithmic trading using machine learning methods has been able to improve the performance of investors by finding investment opportunities as well as time entry and exit of trading. The purpose of this study is to achieve a better portfolio performance by designing an intelligent and fully automated trading system that investors with the 2 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Haddadian, H.) support of this system, in addition to finding the best opportunities in the market, can allocate resources optimally. The present study consists of four separate steps. Respectively, tuning the parameters of technical indicators, detecting the current market regime (trending or non-trending), issuing a definite signal (buy, sell or hold) from the indicators’ signals and finally portfolio rebalancing. These 4 steps respectively are performed using genetic algorithm, fuzzy logic, artificial neural network and conventional portfolio optimization model. The results show the complete superiority of the proposed model in achieving higher returns and less risk compared to the performance of the TEDPIX and other mutual funds in the same period.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126531394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2021.250031.1159
Javad Ghaznavi Doozandeh, M. Garkaz, Ali Khozein, Alireza Maetoofi
The present study aimed to identify the most effective causes of conflict of interest by examination of accounting literature and expert consensus. Understanding these factors, using cognitive psychology theories, can lead to a model for reducing conflict of interests. The dignity of the audit profession depends on fair and proper professional judgment by auditors, and achieving this requires identification and controlling of the key factors affecting judgment and decision-making. When auditors intentionally or unintentionally accredit 143 Identification of the Factors Affecting Auditors’ Conflict of ... financial statements in line with the opinion of their employers, public interests and the auditing profession are at serious risk. Several factors that can categorize into seven categories of structure, community, culture, environment, personality, audit firm characteristic, and ethics and behavior are rooted in a conflict of interests. However, no comprehensive research examining all the above factors and identifying the most effective ones has been done so far. By reviewing the research literature, major and minor factors were identified in domestic and foreign sources. Ten expert auditors were selected by the snowball method and interviewed. The considered major and minor factors were selected from among the introduced factors, and a questionnaire was sent to the experts using the Fuzzy Delphi (Screening) method. The results of the above statistical analysis identified eighteen of the most prominent sub-criteria of the factors affecting conflict of interests and identified structural factors the highest rank in this classification, which was agreed by the experts.
{"title":"Identification of the Factors Affecting Auditors’ Conflict of Interests Using Fuzzy Delphi Method","authors":"Javad Ghaznavi Doozandeh, M. Garkaz, Ali Khozein, Alireza Maetoofi","doi":"10.30699/ijf.2021.250031.1159","DOIUrl":"https://doi.org/10.30699/ijf.2021.250031.1159","url":null,"abstract":"The present study aimed to identify the most effective causes of conflict of interest by examination of accounting literature and expert consensus. Understanding these factors, using cognitive psychology theories, can lead to a model for reducing conflict of interests. The dignity of the audit profession depends on fair and proper professional judgment by auditors, and achieving this requires identification and controlling of the key factors affecting judgment and decision-making. When auditors intentionally or unintentionally accredit 143 Identification of the Factors Affecting Auditors’ Conflict of ... financial statements in line with the opinion of their employers, public interests and the auditing profession are at serious risk. Several factors that can categorize into seven categories of structure, community, culture, environment, personality, audit firm characteristic, and ethics and behavior are rooted in a conflict of interests. However, no comprehensive research examining all the above factors and identifying the most effective ones has been done so far. By reviewing the research literature, major and minor factors were identified in domestic and foreign sources. Ten expert auditors were selected by the snowball method and interviewed. The considered major and minor factors were selected from among the introduced factors, and a questionnaire was sent to the experts using the Fuzzy Delphi (Screening) method. The results of the above statistical analysis identified eighteen of the most prominent sub-criteria of the factors affecting conflict of interests and identified structural factors the highest rank in this classification, which was agreed by the experts.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130450323","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2021.232129.1131
Jamshid Bigdelo, Neda Bashiri, R. Tehrani, Fatemeh Kheilkordi
Corporate governance" includes mechanisms to monitor CEO's performance to assure efficient decision adoption and maximize firm value. One of the most effective aspects of firm performance is the degree of risk-taking. This study investigates the relationship between CEO power and institutional ownership with risk-taking behavior of member firms of Tehran Stock Exchange and Iran Fara Bourse during 2010-2019 by utilizing quintile regression. According to 118 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Bigdlo, J.) the results, by the increase of CEO's power and the company's benefit from powerful managers, the company risk (total risk and systemic risk) will decrease. As a result, managers are eager to safeguard their reputation as expert decision-makers and, as a result, they try to reduce company risk. In addition, the existence of institutional ownership among the shareholders of the company will reduce the risk, which can be referred to in the agency theory. Also, if the impact of these two variables is considered together, the risk will increase significantly. This very fact reflects the exercise of the power and influence of institutional owners. As a result, large shareholders have a supervisory role in the discipline of managers, but despite their impact on the relationship between managers' power and corporate risk, they do not alter the main negative relationship. JEL Classification: G10, G30, G32, G34
{"title":"CEO Power, Corporate Risk-Taking, and the Role of Institutional Owners: Pieces of Evidence of Tehran Stock Exchange Market and Iran Fara Bourse","authors":"Jamshid Bigdelo, Neda Bashiri, R. Tehrani, Fatemeh Kheilkordi","doi":"10.30699/ijf.2021.232129.1131","DOIUrl":"https://doi.org/10.30699/ijf.2021.232129.1131","url":null,"abstract":"Corporate governance\" includes mechanisms to monitor CEO's performance to assure efficient decision adoption and maximize firm value. One of the most effective aspects of firm performance is the degree of risk-taking. This study investigates the relationship between CEO power and institutional ownership with risk-taking behavior of member firms of Tehran Stock Exchange and Iran Fara Bourse during 2010-2019 by utilizing quintile regression. According to 118 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Bigdlo, J.) the results, by the increase of CEO's power and the company's benefit from powerful managers, the company risk (total risk and systemic risk) will decrease. As a result, managers are eager to safeguard their reputation as expert decision-makers and, as a result, they try to reduce company risk. In addition, the existence of institutional ownership among the shareholders of the company will reduce the risk, which can be referred to in the agency theory. Also, if the impact of these two variables is considered together, the risk will increase significantly. This very fact reflects the exercise of the power and influence of institutional owners. As a result, large shareholders have a supervisory role in the discipline of managers, but despite their impact on the relationship between managers' power and corporate risk, they do not alter the main negative relationship. JEL Classification: G10, G30, G32, G34","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131945652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2022.255430.1167
M. Goudarzi, A. Mohammadzadeh, M. Seighali
One of the characteristics of the financial market, especially the stock market, is the effects of behavioral factors and on other financial and non-financial markets. There are several factors that affect the return of a stock exchange. We can refer to political, socio-cultural, technological and finally economic factors. A stock market is an economic market in which securities are traded under specific rules and regulations. Accordingly, in this study, the effect of behavioral financial arguments and other financial markets on stock market returns based on quantitative analysis has been studied. This article tries to examine how exchange rates, gold, and oil as key factors of a model can 29 Investigation of the Effect of Behavioral and Macroeconomic... explain fluctuations of the stock market index. so the effect of those variables on the stock market index in the period 2008 to the first six months of 2018 has been analyzed using the FIAPGARCH-X model. The results of the analysis show that the effect of exchange rates on the stock market fluctuations is greater than the other two factors. The results also indicate that there are asymmetric effects of increased returns on the stock market, which is consistent with behavioral bias in behavioral finance.
{"title":"Investigation of the Effect of Behavioral and Macroeconomic Factors on the Volatility of Tehran Stocks Market: FIAPGARCH-X","authors":"M. Goudarzi, A. Mohammadzadeh, M. Seighali","doi":"10.30699/ijf.2022.255430.1167","DOIUrl":"https://doi.org/10.30699/ijf.2022.255430.1167","url":null,"abstract":"One of the characteristics of the financial market, especially the stock market, is the effects of behavioral factors and on other financial and non-financial markets. There are several factors that affect the return of a stock exchange. We can refer to political, socio-cultural, technological and finally economic factors. A stock market is an economic market in which securities are traded under specific rules and regulations. Accordingly, in this study, the effect of behavioral financial arguments and other financial markets on stock market returns based on quantitative analysis has been studied. This article tries to examine how exchange rates, gold, and oil as key factors of a model can 29 Investigation of the Effect of Behavioral and Macroeconomic... explain fluctuations of the stock market index. so the effect of those variables on the stock market index in the period 2008 to the first six months of 2018 has been analyzed using the FIAPGARCH-X model. The results of the analysis show that the effect of exchange rates on the stock market fluctuations is greater than the other two factors. The results also indicate that there are asymmetric effects of increased returns on the stock market, which is consistent with behavioral bias in behavioral finance.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"26 35","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132547093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-01-01DOI: 10.30699/ijf.2021.279013.1211
H. Salmanzadeh, G. Kordestani, Hossein Kazemi
The management control system provides valuable information on the managers' needs at different levels of the organization. Today, with changes in the political, social and economic dimensions, the management control system in the public sector also needs to be changed and adapted to new conditions and use new tools to meet stakeholders’ needs. The purpose of this study is to provide a model to investigate the role of the management control system and increase accountability in the public sector administrations and companies. In this regard, the present study explores the role of functions of management accounting in improving the management control system in the public sector. For this purpose, data were collected through interviewing 13 experts in the field of the management control system and functions of management accounting and reviewing related texts, articles and books in this field, and their content was analyzed through grounded theory and content analysis method and MAXQDA 2021 software was used for data analysis in 1399. The findings of this study showed that a management control system, if it has the necessary tools, can play a key role in preventing corruption, increasing 55 The Role of Management Accounting in Improving... transparency and accountability, performance-based budgeting, and performance-based auditing. The existence of a management control system is necessary for any organization; such a system will help identify resource flow, help management in decision making, motivate employees, make decisions related to outsourcing and contracting, reduce service delivery time, and many other issues in organizations, and it will ultimately lead to optimally allocate resources, prevent corruption, and increase legitimacy, transparency and accountability, Therefore, the optimal use of management accounting in the management control system, improves the achievement of organizational goals and the effectiveness of programs.
{"title":"The Role of Management Accounting in Improving Management Control System in Public Sector","authors":"H. Salmanzadeh, G. Kordestani, Hossein Kazemi","doi":"10.30699/ijf.2021.279013.1211","DOIUrl":"https://doi.org/10.30699/ijf.2021.279013.1211","url":null,"abstract":"The management control system provides valuable information on the managers' needs at different levels of the organization. Today, with changes in the political, social and economic dimensions, the management control system in the public sector also needs to be changed and adapted to new conditions and use new tools to meet stakeholders’ needs. The purpose of this study is to provide a model to investigate the role of the management control system and increase accountability in the public sector administrations and companies. In this regard, the present study explores the role of functions of management accounting in improving the management control system in the public sector. For this purpose, data were collected through interviewing 13 experts in the field of the management control system and functions of management accounting and reviewing related texts, articles and books in this field, and their content was analyzed through grounded theory and content analysis method and MAXQDA 2021 software was used for data analysis in 1399. The findings of this study showed that a management control system, if it has the necessary tools, can play a key role in preventing corruption, increasing 55 The Role of Management Accounting in Improving... transparency and accountability, performance-based budgeting, and performance-based auditing. The existence of a management control system is necessary for any organization; such a system will help identify resource flow, help management in decision making, motivate employees, make decisions related to outsourcing and contracting, reduce service delivery time, and many other issues in organizations, and it will ultimately lead to optimally allocate resources, prevent corruption, and increase legitimacy, transparency and accountability, Therefore, the optimal use of management accounting in the management control system, improves the achievement of organizational goals and the effectiveness of programs.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125062099","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-11-01DOI: 10.30699/ijf.2021.269599.1193
Sayed Mohammad Ebrahim Mirmohammadi, Mehdi Madanchi zaj, H. Panahian, H. Jabbary
Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio selection model of relative robust risk parity is introduced, which uses the worst-case scenario approach on the covariance matrix parameter appearing in the robust risk model in portfolio robustness. According to historical data, several scenarios are considered for the covariance matrix. The objective function value of the hybrid model for each portfolio (feasible point) is the worst result (with most volatility) among the set of scenarios. Finally, the model selects a portfolio for which the worst possible result has the least relative volatility. The research portfolio consists of 8 industries from Tehran Stock Exchange in the period 88 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Mirmohammadi, S.) 2011 to 2020. This portfolio has a higher Sharpe ratio than conventional models of mean-variance and weight parity, and is more resilient to market declines than the two models and produces less loss. Therefore, risk-averse investors are advised to use this stock portfolio selection model as a cover to face severe market declines.
{"title":"Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity","authors":"Sayed Mohammad Ebrahim Mirmohammadi, Mehdi Madanchi zaj, H. Panahian, H. Jabbary","doi":"10.30699/ijf.2021.269599.1193","DOIUrl":"https://doi.org/10.30699/ijf.2021.269599.1193","url":null,"abstract":"Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio selection model of relative robust risk parity is introduced, which uses the worst-case scenario approach on the covariance matrix parameter appearing in the robust risk model in portfolio robustness. According to historical data, several scenarios are considered for the covariance matrix. The objective function value of the hybrid model for each portfolio (feasible point) is the worst result (with most volatility) among the set of scenarios. Finally, the model selects a portfolio for which the worst possible result has the least relative volatility. The research portfolio consists of 8 industries from Tehran Stock Exchange in the period 88 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Mirmohammadi, S.) 2011 to 2020. This portfolio has a higher Sharpe ratio than conventional models of mean-variance and weight parity, and is more resilient to market declines than the two models and produces less loss. Therefore, risk-averse investors are advised to use this stock portfolio selection model as a cover to face severe market declines.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132403470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-11-01DOI: 10.30699/ijf.2021.278675.1210
Maryam Bazraei, S. Ghavidel, G. Emamverdi, M. Mahmoudzadeh
In this study, we examine the correlation between stock returns of Exportoriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The data consists of the stock return of the listed industries, and the daily exchange rate from 2008 to 2020. The results suggest that EOIs have a dynamic asymmetric conditional correlation, and IOIs have a dynamic 26 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Bazraei, M.) symmetric conditional correlation with the exchange rate. Moreover, the results indicate that in both currency crises, the weight of optimal portfolio in all industries except pharmaceuticals, in non-crisis period is over 50% and in the crisis period is less than 50%. Accordingly, and to reduce the risk of the portfolio, in the non-crisis period, investors should invest more than half of a one-Rial portfolio to dollar exchange, and in the crisis period, they should allocate less than half of a one-Rial portfolio to this currency. In case of the currency crisis, it is suggested that investors invest in the stock of basic metals, because this industry is a pioneer in attracting currency crisis and increasing stock value of the industry through future cash flow and replacement value, and reduce the stock of pharmaceuticals and computers in their portfolio, due to attracting negative effects of the exchange market. JEL: G10, F31, G11, C58
{"title":"Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction","authors":"Maryam Bazraei, S. Ghavidel, G. Emamverdi, M. Mahmoudzadeh","doi":"10.30699/ijf.2021.278675.1210","DOIUrl":"https://doi.org/10.30699/ijf.2021.278675.1210","url":null,"abstract":"In this study, we examine the correlation between stock returns of Exportoriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The data consists of the stock return of the listed industries, and the daily exchange rate from 2008 to 2020. The results suggest that EOIs have a dynamic asymmetric conditional correlation, and IOIs have a dynamic 26 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Bazraei, M.) symmetric conditional correlation with the exchange rate. Moreover, the results indicate that in both currency crises, the weight of optimal portfolio in all industries except pharmaceuticals, in non-crisis period is over 50% and in the crisis period is less than 50%. Accordingly, and to reduce the risk of the portfolio, in the non-crisis period, investors should invest more than half of a one-Rial portfolio to dollar exchange, and in the crisis period, they should allocate less than half of a one-Rial portfolio to this currency. In case of the currency crisis, it is suggested that investors invest in the stock of basic metals, because this industry is a pioneer in attracting currency crisis and increasing stock value of the industry through future cash flow and replacement value, and reduce the stock of pharmaceuticals and computers in their portfolio, due to attracting negative effects of the exchange market. JEL: G10, F31, G11, C58","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129192334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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