Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application, Volume 2, Issue 3, Summer 2017

مقالات

۱.

Effect of Profitability Indices on the Capital Structure of Listed Companies in Tehran Stock Exchange

تعداد بازدید : ۳۶ تعداد دانلود : ۳۳
The main objective of this research is the index of profitability on the capital structure of listed companies on the Stock Exchange of Tehran. Statistical population consisted of all above companies that 138 companies were selected in time zone of 2011-2014 after screening method (systematic elimination). The research method is descriptive and correlation and study variable is profitability index that was tested by statistical techniques. Research findings indicate that there is a significant inverse relationship between indicators of profitability and capital structure. Also, there is a significant inverse relationship between short-term and long-term profitability and debts
۲.

Assessment of Transparency Impact of Accounting Information on the Cost of the Audit for each Type of Industry

نویسنده:
تعداد بازدید : ۳۱ تعداد دانلود : ۲۶
One of the main instruments of accountability in economic activities is auditing. But despite the extent of audit work, determining the fees for this service in our country is not based on a scientific model and reasonably we cannot claim, according to firm's characteristic and with what cost, the work would be done. In this regard, we have tested the impact of transparency of accounting information on audit fees. This paper statically sample consists of 64 firms that are analysed in period of 2011-2016 which obtaining total 320 firm-years; for data analysis, we used Kolmogorov-Smirnov for normality of the data, Durbin-Watson test for test of errors independence or absence of autocorrelation, and finally with the help of t-statistical tests, calculated probability is judged and assessed for each of the hypothesis. There are five main hypotheses in present study. Testing hypotheses is taken using panel data and for data analysis we used multivariate regression estimation and SPSS19, EXCEL and Eviews7 software. After designing and testing hypotheses for each hypothesis, it was concluded that the relationship between transparency of accounting information and auditing costs is established at all levels of the company and also at the corporate level companies with low financial leverage. If the relation between transparency of accounting information and auditing costs at the corporate level with high financial leverage is high, there is no significant linear relationship between high cash and low cash.
۳.

Examining the Relationship between Corporate Governance and the Corporate Performance Valuation

تعداد بازدید : ۲۵ تعداد دانلود : ۲۶
<span lang="EN-GB">The aim of this study was to investigate the relationship between corporate governance characteristics and valuation of the firm's performance in Iran. After designing performance evaluation indexes, information of transactions made during the five-year study from 2011 to 2015 from the Stock Exchange were collected and the sample consists of 129 companies was selected by systematic elimination that was a total of 645 year-firm. In this study we used the linear regression and correlation for testing the research hypotheses, and Eviews software for analysing the data and testing hypotheses. What can be said in summary and conclusion of research hypotheses test is that, there are a significant and positive relationship between the intensity of supervision, the stock in the hands of the board, executive's changes and board size with the company's performance; in addition, we found a significant and negative relation between firm size and financial leverage with the company's performance. The other results showed no significant and positive relationship between the number of board meetings and the firm's performance; the results in this study corresponded to the documentation mentioned in the theoretical framework and financial literature.</span>
۴.

Performance Analysis and Rating of Insurance Companies Using DEA in Iran Capital Market

تعداد بازدید : ۴۵ تعداد دانلود : ۲۸
In this research, we evaluated performance analysis and ranking of insurance companies listed on the capital market of Iran using data envelopment analysis. In respect of the target the research is applied. The type of research design relying on historical data, is event following and inductive method is inference. The study is consisted of a key question and three sub-questions. This research studies the insurance companies listed on the capital market over a three-year period (2013-2015). Finally, according to the study, data was collected from 9 companies. To document the results of the statistical analysis and providing solutions, using SPSS software, Excel and GE MS we attempted to analyse the questions. At the end, the ranking resulted to the conclusion that the most efficient insurance companies of capital markets, are as follows: Alborz, Dana, Sina, Moalem, Asia, Pasargad, Parsian and Saman. 
۵.

Investigating the Effects of Large Block Transactions and Owner-ship Nature on Non-Financial Disclosure

تعداد بازدید : ۳۰ تعداد دانلود : ۲۲
Having adequate, sufficient and timely information and data is very important for investors' decision making. Processing information and allocating the asset are two fundamental tasks in the securities market and the stock price is more likely to have the nature of disclosure, information effectiveness and asset allocation efficiency. Thus, in this research, the effects of large block transactions and ownership nature on the non- financial disclosure have been investigated in the corporates accepted in Tehran Stock Exchange. Research population involves the corporates accepted in Tehran Stock Exchange for a 5-year period (2010-2014) that according to research constraints and using the systematic deletion method, the data related to 133 corporates were gathered. In this study, five main hypotheses have been suggested. To analyze the desired data and test the research hypotheses, the software of Eviews has been implemented. Results indicated that the number of large block transactions and nature of ownership are effective in non-financial information disclosure at the whole and the corporates with high transactions, those with low transactions, those in a business group and those in a diverse business group but the effect and explanatory of dependent variables by the independent ones vary at each level.
۶.

American Option Pricing of Future Contracts in an Effort to Investigate Trading Strategies; Evidence from North Sea Oil Exchange

تعداد بازدید : ۳۹ تعداد دانلود : ۲۹
In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than without price. Moreover, it suggests call option rather than put option. Using t hypothesis test, price differences were obtained, which can serve as a useful strategy for traders interested in arbitrage practice and risk hedging. This research introduces an optimal strategy (both for call and put option states and buy and sell of future contract ) for all options of buy and sell future contracts with and without price. In this research, six-month data of the end of 2015 about oil option and option of future contracts of North Sea oil for three different maturities were used.
۷.

Inflation, Operating Cycle, Cash Holding

تعداد بازدید : ۳۰ تعداد دانلود : ۲۰
The purpose of this paper is to examine the effects of inflation and operating cycle on cash holding in Tehran Stock Exchange in the period 2010 to 2014.The sample is comprised of 103 companies which are selected by systematic elimination method and total of 515 year-firm collected. In this study for testing the hypothesis is used of linear regression and correlation. To analyse data and test hypotheses is used of Eviews software. After designing and testing hypotheses for each main hypothesis, it was concluded that inflation and operational cycle has not a significant impact on the level of firm's cash holding. The results show no significant effect of inflation through the operating cycle on cash holding.
۸.

Impact of Institutional Ownership and Board Independence on the Relationship Between Excess Free Cash Flow and Earnings Management

تعداد بازدید : ۴۱ تعداد دانلود : ۲۴
However, the free cash flows scale is important for the financial health of the company, but it has also its own limitations. Moreover, it’s not immune from accounting tricks. Free cash flows can be considered as a measure of value for shareholders of listed companies on Tehran Stock Exchange. The managers of these companies have tended to use the earnings management for managing the free cash flow and ultimately shareholder value and wealth. The main objective of this study is to investigate the interactive effect of institutional ownership and board independence on the relationship between excess free cash flow and earnings management in the Tehran Stock Exchange. The study is applied and correlation research by its objective and nature. The variables used in this study have been extracted from the financial reports of listed companies in Tehran Stock Exchange and the web page of Tehran Stock Exchange in the period of 2009 to 2015. The results suggest that, "institutional ownership" and "board independence" on the relationship between "surplus free cash flow and earnings management" had no significant effect.