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Earnings Decomposition, Value Relevance and Predictability 盈余分解,价值相关性和可预测性
Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.230387.1124
S. Babaie
Compared with net earnings, the components of earnings are more informative in companies whose components have different qualities of persistence and volatility. We examine the issue of whether net earnings together with their components have more information content than only net earnings. We construct a model to describe the effect of components volatility and their persistence through disaggregation of earnings value relevance and predictability. The analyses in our study are based on 600 firm-year observations in Tehran Stock Exchange (TSE) for the period 20052019. Data are derived from RAHAVARD NOVIN Iranian software and firms' financial statements. The statistical tests for data analyses are the difference of means test (t-test) and regression analyses. The results of the current study indicate that as the persistence and volatility of selected components of earnings (sales, employee expenses, other selling, general and administrative expenses, and income taxes) increase, earnings disaggregation can improve earnings predictability. Furthermore, when the volatility of employee expenses increases, disaggregated earnings can improve earnings value relevance. As the value relevance of net earnings has been declined over the past decades, the results of the current study suggest that earnings disaggregation plays a major role in improving earnings value relevance and their predictability.
与净收益相比,那些组成成分具有不同质量的持续性和波动性的公司的收益组成部分更能提供信息。我们研究净收益及其组成部分是否比仅净收益具有更多的信息内容的问题。我们构建了一个模型,通过拆分盈余价值相关性和可预测性来描述成分波动性及其持久性的影响。我们研究中的分析基于德黑兰证券交易所(TSE) 2005年至2019年期间600家公司的年度观察结果。数据来源于RAHAVARD NOVIN伊朗软件和公司的财务报表。数据分析的统计检验是均值差异检验(t检验)和回归分析。当前研究的结果表明,随着盈余组成部分(销售、员工费用、其他销售、一般和管理费用以及所得税)的持续和波动性增加,盈余分解可以提高盈余的可预测性。此外,当员工费用的波动性增加时,分解盈余可以提高盈余价值相关性。由于净盈余的价值相关性在过去几十年中有所下降,本研究的结果表明,盈余分解在提高盈余价值相关性及其可预测性方面发挥了重要作用。
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引用次数: 0
Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange) 分级风险平价作为传统投资组合优化方法的替代选择——以德黑兰证券交易所为例
Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.289848.1242
Marziyeh Nourahmadi, H. Sadeqi
One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous of the Markowitz approach. The Markowitz mean-variance approach is widely known in the world of finance and, it marks the foundation of every portfolio theory. The mean-variance theory has many practical drawbacks due to the difficulty in estimating the expected return and covariance for different asset classes. In this study, we use the Hierarchical Risk Parity (HRP) machine learning technique and compare the results with the three methods of Minimum Variance (MVP), Uniform Distribution (UNIF), and Risk Parity (RP). To conduct this research, the adjusted price of 50 listed companies of the Tehran Stock Exchange for 2018-07-01 to 2020-09-29 has been used. 70% of the data are considered as in-sample and the remaining 30% as out-of-sample. We 2 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Nourahmadi, M.) evaluate the results using four criteria: Sharp, Maximum Drawdown, Calmer, Sortino. The results show that the MVP and, UNIF approach within the insample and, the UNIF and HRP approach out-of-sample have the best performance in sharp measure. Jel Codes: G10, G11
选择最优投资组合,平衡风险与收益,使投资收益最大化,投资风险最小化,是不同投资者面临的最关键的投资问题之一。到目前为止,已经引入了许多方法来形成投资组合,其中最著名的是马科维茨方法。马科维茨均值-方差方法在金融界广为人知,它是所有投资组合理论的基础。均值-方差理论由于难以估计不同资产类别的预期收益和协方差而存在许多实际缺陷。在本研究中,我们使用层次风险奇偶(HRP)机器学习技术,并将结果与最小方差(MVP)、均匀分布(UNIF)和风险奇偶(RP)三种方法进行比较。为了进行本研究,我们使用德黑兰证券交易所50家上市公司2018-07-01 - 2020-09-29的调整后股价。70%的数据被认为是样本内数据,剩下的30%被认为是样本外数据。[2]《伊朗金融杂志》,2011,Vol. 5, No. 4 (Nourahmadi, M.),用Sharp, Maximum Drawdown, Calmer, Sortino四个标准对结果进行了评价。结果表明,样本内的MVP方法和UNIF方法以及样本外的UNIF方法和HRP方法在锐测度中具有最好的性能。凝胶代码:G10, G11
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引用次数: 0
Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model 利用对数周期幂-低奇点模型检测德黑兰证券交易所泡沫
Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.144490
A. Namaki, Mehrdad Haghgoo
One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price bubbles in Tehran Stock Exchange's index (TEDPIX). Confidence multi-scale indicators for this model are presented by fitting the LPPLS model to the data of the TSE index from 2009 through 2020. The bubble is detected when the number of fits that are in our filter conditions increases which means the growth of the indicator's value. By applying this method on TSE data two significant crashes in 2013 and 2020 are detected. The proposed technique can be useful for market participants to detect financial crashes and bubbles.
导致金融市场严重混乱的一个重要因素是价格泡沫和随后的崩盘。已经开发了许多检测气泡的模型,其中之一(LPPLS)最近引起了相当大的兴趣。本研究旨在利用该模型检测德黑兰证券交易所指数(TEDPIX)的价格泡沫。通过对2009 - 2020年东京证交所指数数据的拟合,给出了该模型的置信度多尺度指标。当我们的过滤条件中的拟合次数增加时,就会检测到气泡,这意味着指标值的增长。将该方法应用于TSE数据,检测出2013年和2020年两次重大崩盘。所提出的技术可以帮助市场参与者发现金融崩溃和泡沫。
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引用次数: 0
Information Content of Rating Banks Using Early Warnings Indicators 利用预警指标对银行进行评级的信息内容
Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.274065.1201
Shoeib Abbasi, A. Nazemi, N. Namazi
It is necessary for decision-makers to have a rating system in the banking industry in order to reflect the banks' status and performance. Although most institutions across the countries have rating banks and financial institutions, there is a lack of a comprehensive rating system across Iranian banks. Rating requires identifying the appropriate criteria according to the environmental and macroeconomic conditions. For this purpose, 35 components are determined through the opinion of 34 banking and academic experts using the Delphi method and rating is done by the TOPSIS method for 15 banks listed on the Tehran stock exchange over the period of 5 years from 2015 to 2019. The results show that in addition to the quantitative aspects, the qualitative aspects and aspects related to environmental and macro aspects are effective in the native model of banks ratings. Also, there is a positive and significant relationship between banks stock prices variation and the suggested ratings. 65 Information Content of Rating Banks Using Early Warnings... The obtained results showed that there is a positive and significant correlation between the comprehensive model and early warning system so that the bank's position can be relatively described in the early warning system by identifying it within the model. This evidence addresses the need for a comprehensive consideration of proposed indicators to evaluate and rate banks.
为了反映银行的地位和绩效,决策者有必要在银行业建立一个评级体系。尽管各国的大多数机构都有评级银行和金融机构,但伊朗的银行缺乏全面的评级体系。评级需要根据环境和宏观经济条件确定适当的标准。为此,通过34位银行和学术专家的意见,使用德尔菲法确定了35个组成部分,并通过TOPSIS方法对2015年至2019年5年间在德黑兰证券交易所上市的15家银行进行了评级。结果表明,除了定量方面外,定性方面以及与环境和宏观方面相关的方面在银行评级的原生模型中是有效的。此外,银行股价变动与建议评级之间存在显著的正相关关系。65利用预警对银行进行评级的信息内容所得结果表明,综合模型与预警系统之间存在显著的正相关关系,通过在模型内识别银行,可以相对地描述银行在预警系统中的位置。这一证据表明,需要全面考虑评估和评级银行的拟议指标。
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引用次数: 0
The Dynamic Impact of Oil Price on Investor Sentiment in Tehran Stock Exchange: An Industry-Level Analysis 油价对德黑兰证券交易所投资者情绪的动态影响:一个行业层面的分析
Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.285242.1231
Seyed Hasan Masoudi Alavi, M. Nadiri, A. Saranj
Investor sentiment is one of the non-fundamental factors that affect the financial markets, which itself is influenced by various factors, including oil price changes. This study aims to investigate the impact of oil price on investor sentiment in stock market industries in the Tehran Stock Exchange (TSE) using monthly data from April 2010 to June 2020. To investigate this issue, stock exchange industries were grouped into three categories: total industries, oilrelated industries, and non-oil industries, and the effect of oil prices on investor sentiments in these three groups was examined using the pooled mean group (PMG) technique. The PMG approach considers both the shortand long-run relation between series and provides reliable results in the context of dynamic heterogeneous panel models. The implementation of PMG in all three models shows the impact of oil prices on investor sentiment over both the short and long run. Findings suggest also that oil price has positive and significant in all three models in the long run and the oil price coefficient is higher in oil-related industries than non-oil-related industries. These results are the opposite of the 39 The Dynamic Impact of Oil Price on Investor Sentiment in... results obtained by similar studies, which can be due to the special features of countries, e.g. being oil exporters or oil importers.
投资者情绪是影响金融市场的非基本面因素之一,金融市场本身受多种因素的影响,包括油价变化。本研究旨在利用2010年4月至2020年6月的月度数据,调查石油价格对德黑兰证券交易所(TSE)股票市场行业投资者情绪的影响。为了研究这一问题,我们将证券交易所行业分为三类:整体行业、石油相关行业和非石油行业,并使用混合平均组(PMG)技术检查了油价对这三组投资者情绪的影响。PMG方法考虑了序列之间的短期和长期关系,在动态异构面板模型的背景下提供了可靠的结果。在所有三种模型中,PMG的实施都显示了油价对投资者情绪的短期和长期影响。研究结果还表明,从长期来看,石油价格在三个模型中都具有正显著性,石油相关行业的石油价格系数高于非石油相关行业。这些结果与“石油价格对投资者情绪的动态影响”的结论相反。通过类似研究得出的结果,这可能是由于国家的特殊特征,例如石油出口国或石油进口国。
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引用次数: 0
The Event Research in the Effect of Clear Rumor Declarations on Abnormal Stock Returns Behavior 澄清谣言公告对股票异常收益行为影响的事件研究
Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.256891.1173
Javid Hatam, Maryam Bokharaeian Khorasani, A. Naderian, Jamadori Gorganli Doji
In this research, the impact of clear rumor declarations on the measurement of abnormal stock returns behavior has been investigated in Tehran Stock Market by means of event research so that to reveal well abnormal stock returns behavior. Following testing 169 clear rumor declarations during the period (2017-2019), Using Spss statistical software version 26 and Eviews version 12, the results of regression analysis and correlation tests indicate that content of clear rumor declarations may affect abnormal stock returns behavior. Confirmation of good rumors has increased the efficiency of abnormal stock returns 10 days after the date of the given declaration and approval of bad rumors has led to reducing the efficiency of abnormal stock returns upon declaration day. Similarly, the results showed that if rumors were disclosed 18 Iranian Journal of Finance, 2021, Vol. 5, No. 3 (Hatam, J.) during working hours in Tehran Stock Market they would reduce the efficiency of abnormal stock returns on the same day. After comparing the results of the research, the need to educate and promote the shareholding culture among shareholders is felt more than ever before. They also need to shift their focus from focusing on rumors to principled investing in futures stocks to avoid cross-sectional fluctuations, destructive rumors and other market risks and achieve a good return stock.
本研究采用事件研究的方法,在德黑兰股票市场中考察了明确的谣言声明对股票异常收益行为度量的影响,以期更好地揭示股票异常收益行为。通过对2017-2019年期间169份澄清谣言声明进行检验,运用Spss 26版统计软件和Eviews 12版统计软件进行回归分析和相关检验,结果表明澄清谣言声明的内容可能会影响股票异常收益行为。正面谣言的确认在公告日10天后提高了股票异常收益的效率,而负面谣言的批准在公告日降低了股票异常收益的效率。同样,研究结果表明,如果在德黑兰股票市场的工作时间披露谣言(18 Iranian Journal of Finance, 2021, Vol. 5, No. 3 (Hatam, J.)),会降低当天股票异常收益的效率。通过对研究结果的比较,我们比以往任何时候都更需要对股东进行股权文化的教育和推广。他们还需要将注意力从关注谣言转移到有原则地投资期货股票,以避免横断面波动,破坏性谣言等市场风险,实现良好的回报股票。
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引用次数: 0
Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models 基于半参数马尔可夫切换时间序列模型的股票买卖策略研究
Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.273273.1200
H. Naderi, M. Ghanbari, Babak Jamshidi Navid, Arash Nademi
The modeling of strategies for buying and selling in Stock Market Investment has been the object of numerous advances and uses in economic studies, both theoretically and empirically. One of the popular models in economic studies is applying the Markov Switching models for forecasting the time series observations based on stock prices. The semi-parametric estimators for these models are a class of popular methods that have been used extensively by researchers to increase the accuracy of estimation. The main part of these estimators is based on kernel functions. Despite the existence of many kernel 109 Developing a Strategy for Buying and Selling Stocks Based... functions that are capable in applications for forecasting the stock prices, there is a widely use of Gaussian kernel in these estimators. But there is a question if other types of kernel function can be used in these estimators. This paper tries to introduce the other kernel functions that can be a good replacement for this kernel function to increase the ability of Markov Switching models. We first test six popular kernel functions to find the best one based on simulation studies and then offer the new strategy of buying and selling stocks by the best kernel function selection on real data. .
股票市场投资买卖策略的建模一直是经济研究中众多进步和应用的对象,无论是理论还是经验。应用马尔可夫转换模型预测基于股票价格的时间序列观测值是经济学研究中流行的模型之一。这些模型的半参数估计是一类常用的方法,被研究人员广泛用于提高估计的精度。这些估计的主要部分是基于核函数的估计。尽管存在许多内核,但基于……制定买卖股票的策略在预测股票价格的应用中,高斯核在这些估计中得到了广泛的应用。但有一个问题是,其他类型的核函数是否可以用于这些估计。为了提高马尔可夫切换模型的性能,本文尝试引入其他核函数来替代该核函数。本文首先在模拟研究的基础上,对6种常用的核函数进行了测试,找出了最优的核函数,然后在实际数据上,通过最优核函数的选择,给出了新的股票买卖策略。
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引用次数: 0
Investigating the financial crisis of the Tehran Stock Exchange using the entropy method of transfer and comparing it with the US financial market 运用熵值转移法研究德黑兰证券交易所的金融危机,并与美国金融市场进行比较
Pub Date : 2021-07-01 DOI: 10.30699/IJF.2021.262236.1183
Arefeh Mohaghegh, M. Hamidian, Seyed Ali Hosseiny Esfidvajani, G. Jafari
This work aims to analyze the relationship between stocks in the financial market of the Tehran Stock Exchange embedded in their transfer entropy. In this regard, the behavior of the transfer entropy between indices of 180 corporations of the Tehran Stock Exchange has been studied. Then the footprint of crises of the market has been searched in the trends of the transfer entropy. The result has been compared with the result of the analysis imposed on the stocks included in the Dow Jones industrial index in the stock exchanges of the United States. In order to investigate the financial crisis of the Tehran Stock Exchange, the stock price data of 180 companies in this market that were active in the period from 2008 to 2018 are analyzed. It is observed that the average pairwise transfer entropy of indices in the Dow Jones group declines over the financial crises in the United States. In Iran, despite the United States, the financial crises have not left a footprint in the pairwise transfer entropy over the studied period. Such an observation suggests future studies on the pairwise and possibly collective behaviors of indices in Iran and the United States.
这项工作旨在分析德黑兰证券交易所金融市场中嵌入其转移熵的股票之间的关系。在这方面,研究了德黑兰证券交易所180家公司指数之间的传递熵行为。然后在传递熵的变化趋势中寻找市场危机的足迹。这一结果与对美国证券交易所道琼斯工业指数成分股的分析结果进行了比较。为了研究德黑兰证券交易所的金融危机,本文分析了2008年至2018年期间该市场上180家活跃公司的股价数据。我们观察到,道琼斯集团指数的平均两两传递熵在美国金融危机期间下降。在伊朗,除了美国之外,金融危机在研究期间并没有在两两转移熵中留下足迹。这样的观察提示了未来对伊朗和美国指数的成对和可能的集体行为的研究。
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引用次数: 0
Offering Catastrophic Risk Management Framework by Alternative Risk Transfer Instruments to Islamic Capital Market with Cat Takaful (CT) Sukuk 以伊斯兰债券为例,通过另类风险转移工具为伊斯兰资本市场提供巨灾风险管理框架
Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.247524.1156
Hosaine Hasangholipoure, E. Chirani, Seyed Mozaffar Mirbargkar, S. Kheradyar
Out of 64 possible catastrophic events in the whole world, about 34 of them have been experienced in Iran; more than 80% of the regions are exposed to natural disasters risks such as earthquakes exposure. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance capacity is always felt. Catastrophe bonds structure as a financial & insurance innovative solution (Alternative Risk Transfer Instruments) allows an issuing institution to transfer catastrophic exposures and risk to capital market's investors by creating capital relief and additional risk capacity for our insurance industry. We adjusted the formal cat bonds structure with the Islamic 79 Offering Catastrophic Risk Management Framework by... jurisprudence. According to the systematic review research method 8 steps, the Sukuk model was implemented based on the extracted concepts from 23 Farsi articles and 50 English articles. After that interviews by 18 experts who were selected by purposive & Snowball sampling, The Delphi method was used to obtain the opinion of experts and their opinion was modified and implemented in the final model. In the open coding stage, 415 concepts were extracted which were classified into 10 categories and finally presented in 4 Propositions/themes. The trustworthiness and authenticity did base on the fourstage model of Lincoln and Guba and also its complementary step. We finally suggested that the catastrophe bond instrument could be issued in the form of a cat takaful (CT) sukuk contract template, as a solution for transferring catastrophic risks to the Islamic financial market.
在全世界可能发生的64起灾难性事件中,伊朗经历了大约34起;80%以上的地区面临地震等自然灾害风险。国内保险能力无法涵盖这一风险量,因此始终感到需要外部再保险能力。巨灾债券结构作为一种金融和保险创新解决方案(替代风险转移工具),允许发行机构通过为我们的保险业创造资本减免和额外的风险能力,将巨灾暴露和风险转移给资本市场的投资者。我们根据伊斯兰79提供灾难性风险管理框架调整了正式的cat债券结构…法学。根据系统综述研究法8个步骤,从23篇波斯语文章和50篇英语文章中提取概念,实现伊斯兰kuk模型。通过目的抽样和雪球抽样选出18位专家进行访谈后,采用德尔菲法获得专家意见,并对专家意见进行修正并在最终模型中实施。在开放编码阶段,提取415个概念,将其分为10个类别,最终呈现为4个命题/主题。可信性和真实性是建立在林肯和古巴的四阶段模型的基础上的,也是它的补充步骤。最后,我们建议巨灾债券工具可以以伊斯兰债券合约模板的形式发行,作为将巨灾风险转移到伊斯兰金融市场的解决方案。
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引用次数: 0
Studying the Moderating Role of Audit Committee Independence in the Relationship between CEO Narcissism and Real Earnings Management 审计委员会独立性在CEO自恋与真实盈余管理关系中的调节作用研究
Pub Date : 2021-07-01 DOI: 10.30699/ijf.2021.247085.1155
Roozbeh Sardari, M. Setayesh, H. Kordlouie, B. Banimahd
A manager’s personality and psychological attributes may influence his or her performance, thereby affecting the quality of financial reporting by companies. On the one hand, today there is an increasing requirement for protecting the interests of investors as providers of investment and the most important group of accounting information and financial report users. The development of audit committees is among the mechanisms expected to be effective in protecting the interests of different groups of accounting information and financial report 59 Studying the Moderating Role of Audit Committee Independence... users. In order to act effectively, an audit committee must be independent. Therefore, the present study aims to examine the role played by the independence of audit committee members as a quality of an audit committee to identify how it may moderate the relationship between managers' narcissism and real earnings management in the firms listed in the Tehran Stock Exchange (TSE) using a statistical sample consisting of 642 observations (year-firm) over the period 2013-2018. The findings obtained through hypothesis testing using statistical analysis of panel data suggest that independence of audit committee members does not moderate the relationship between CEO's narcissism and real earnings management through abnormal cash flow, real earnings management through abnormal production, and real earnings management through abnormal discretionary expenses. Thus, the independence of audit committee members as a moderator cannot moderate the relationship between CEO's narcissism and real earnings management.
管理者的性格和心理属性会影响其绩效,从而影响公司财务报告的质量。一方面,作为投资的提供者和最重要的会计信息和财务报告使用者群体的投资者的利益保护要求越来越高。审计委员会的发展被认为是保护不同会计信息群体和财务报告利益的有效机制之一。用户。为了有效行事,审计委员会必须是独立的。因此,本研究旨在检验审计委员会成员的独立性作为审计委员会的质量所起的作用,以确定它如何调节在德黑兰证券交易所(TSE)上市的公司中管理者的自恋与真实盈余管理之间的关系,使用了2013-2018年期间由642个观察值组成的统计样本(年公司)。通过面板数据统计分析的假设检验发现,审计委员会成员的独立性并没有调节CEO自恋与通过异常现金流量进行的真实盈余管理、通过异常生产进行的真实盈余管理以及通过异常可自由支配费用进行的真实盈余管理之间的关系。因此,审计委员会成员的独立性作为调节因素不能调节CEO自恋与真实盈余管理之间的关系。
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引用次数: 2
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Iranian Journal of Finance
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