Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application, Volume 2, Issue 1, Winter 2017

مقالات

۱.

Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method

تعداد بازدید : ۴۸ تعداد دانلود : ۳۴
Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year2011to the end of 2015that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem.
۲.

ANN-DEA Approach of Corporate Diversification and Efficiency in Bursa Malaysia

تعداد بازدید : ۳۶ تعداد دانلود : ۲۵
There is little consensus on the corporate diversification-efficiency relationship in the diversification literature. According to the corporate diversification, firms have a tendency to get more market share with diversifying in the local segment or in the international market. Theoretically, a contradictory exists between the profitable strategy and the value reducing strategy in the diversification strategy. In this paper, we measure firm’s efficiency by applying Data Envelopment Analysis (DEA) in manufacturing firms listed in Bursa Malaysia for five years. Meanwhile, a feed forward multilayer perceptron neural network is applied to model the mapping function between the input and output data to the efficiency score. Back propagation (BP) learning algorithm is applied to update network’s weights through minimizing the cost function, and the best topology of the network is conducted. The result of this study shows that there is a negative relationship between total product diversification and efficiency, and international diversification has a non-linear effect on the efficiency.
۳.

Comparing Relative and Additive Contents of Return with Cash Recovery Rate

تعداد بازدید : ۳۳ تعداد دانلود : ۲۴
One of the goals of financial reporting is to provide the useful information in order to facilitate the decision making. Accounting information system is of high importance for the users to make specific decisions. The information should be analyzed to present the valuable information to the investors so that in this paper, the relative content and return additive with cash recovery have been addressed in the corporates of Tehran Stock Exchange. This research population includes the accepted corporates by Tehran Stock Exchange during a five year period (2010-2014). Finally, considering the research limitations and using the systematic deletion method, the information related to 109 corporates has been gathered and with respect to the defined goals, this research is regarded as an applied one. In terms of the research design, it is an event one because of background data and its deduction method is an induction and correlation one. Current study involves a primary hypothesis and six secondary hypotheses; here, a linear regression method has been used to examine the hypotheses. In order to analyze the data and test the research hypotheses, the software Eviews has been utilized.
۴.

Impact of the Management Performance Evaluation Methods on the Data Quality in Accounting

تعداد بازدید : ۳۳ تعداد دانلود : ۲۳
The impact of the management performance evaluation methods on the information quality in accounting will be studied in this paper. The information plays two roles in the market-oriented economies; first, it allows the investors to evaluate the potential opportunities of the investment (prospective role) and, secondly, it enables the investors to monitor how to allocate and use their capital by the establishment of some mechanisms. The statistical sample includes the 112 companies in Tehran Stock Exchange during 2010 to 2013 that are selected by the systematic elimination method. These companies were totally 560 years old. The hypothesis of the linear regression test was used in this study to analyze the data and Eviews software is used for hypothesis test.
۵.

Fair Value Accounting for Liabilities and Own Credit Risk

تعداد بازدید : ۴۱ تعداد دانلود : ۲۹
Changes in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage, asset value, and asset risk. This study examines whether the equity value reflects the profits and losses associated with the changes in the debt value consistent with the predictions of Merton [21]. The insurance companies listed in the Stock Exchange during 2010-2015 were selected to test the desired hypotheses. It has been found that the stock returns are negatively related to the increase in credit risk as reflected in the changes of estimated bond ratings. More importantly for the research question, it has been realized that the relationship between risk changes and equity returns is negative when the leverage is higher.
۶.

The Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange

تعداد بازدید : ۳۰ تعداد دانلود : ۲۱
In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software is used. The results show a direct linear relationship between the number of business deal with price volatility as a factor in companies listed on the Tehran Stock Exchange respectively. In addition, liquidity and credit risks and price fluctuations affect the relationship between business activities
۷.

The Study of the Effect of Diversification Strategy, Cost Leader-ship Strategies and Product Differentiation on Business Unit Value

تعداد بازدید : ۳۳ تعداد دانلود : ۲۴
Changes in credit risk may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage, asset value, and asset risk. This study examines whether the equity value reflects the profits and losses associated with the changes in the debt value consistent with the predictions of Merton [21]. The insurance companies listed in the Stock Exchange during 2010-2015 were selected to test the desired hypotheses. It has been found that the stock returns are negatively related to the increase in credit risk as reflected in the changes of estimated bond ratings. More importantly for the research question, it has been realized that the relationship between risk changes and equity returns is negative when the leverage is higher.
۸.

The Survey Relationship between Growth Opportunities, Corpo-rate Risk and Changes in Cash Holdings

تعداد بازدید : ۲۹ تعداد دانلود : ۲۱
The aim of this study was to investigate the relationship between growth opportunities, risks, and relative changes in the Company's cash assets. This study is a literature study and analysis was based on an analysis of panel data. In this study, a financial data of 112 companies listed in Tehran Stock Exchange during the period 2009 to 2014 have been reviewed. The results in relation to the first hypothesis of the present study suggest that between growth opportunities and significant relationship of changes in cash holdings is straight forward. Also according to the analysis done in relation to the second hypothesis, we determined that between now and the risk of changes in cash holdings is an inverse relationship.