Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application, Volume 2, Issue 4, Autumn 2017

مقالات

۱.

Effect of Business Groups Affiliation on Cash Holdings and Return on Equity

تعداد بازدید : ۳۵ تعداد دانلود : ۲۷
Nowadays, business groups play an outstanding role in financial markets. Corporates in the trading groups are able to use technology, capital, human resources, productions and services of other members in the group in addition to their own resources and capabilities. Thus, this paper studies the effect of business group affiliation on cash holdings and return on equity. The sample involves 94 corporates among those accepted in Tehran Stock Exchange. In this research, the effect of business group affiliation on cash holdings and return on equity during 2010-2015 has been investigated; in total, it includes 564 observations for the research. Statistical method applied here is the multivariate regression in the data panel way. Results achieved by the research hypotheses indicate that there is a significant relationship between business group affiliation, cash holdings and return on equity.
۲.

Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model

تعداد بازدید : ۳۵ تعداد دانلود : ۲۶
The present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systematic risk index is estimated using the ARFIMA-FIGARCH model. Then, based on the research background, 35 affective financial and accounting variables are simultaneously used with the help of the backward elimination and forward selection method for modeling. After analyzing and evaluating the variables in Eviews software, the four variables of debt ratio (CL. E), size (SIZE), net profit to sales ratio (NETP. S), and interest rate coverage ratio (ICR) are selected in the backward elimination method. In the forward selection method, in addition to the above variables, operating profit margin (OPM) is also chosen. The estimated model of these variables in both methods shows a low ratio of R2 coefficient that is approximately 7%. In the test case, the model of forward selection method has less error in all four criteria of root mean squared error (RMSE), mean absolute error (MAE), mean absolute percentage error (MAPE) and Tile coefficient (TIC) compared to the backward elimination method.
۳.

Investigating the Effect of Financial Constraints and Different Levels of Agency Cost on Investment Efficiency

تعداد بازدید : ۳۷ تعداد دانلود : ۲۳
This research attempts to investigate the effect of financial constraints and different levels of agency costs on the investment efficiency of companies in Iran. Following the design of the financial risk assessment indexes, the transaction information was collected from the Stock Exchange in the five-year period of 2011-2015. The statistical sample consists of 128 companies selected by sampling method based on Cochran formula in which totally obtained 640 year-firm data. Linear regression and correlation were used to investigate the hypotheses of the research. Also Eviews software was used to analyse the data and test the hypotheses. What is summarized in the overall conclusion of the research hypothesis test is that financial constraints are effective on investment performance based on the indicators (kz) and (ww), as well as the various levels of agency costs, including high and low agency costs effect on investment efficiency.
۴.

Investigating the Effect of Profitability and Operating Cash Flow on Trademarks Value

تعداد بازدید : ۳۷ تعداد دانلود : ۲۳
In the recent years, intangible assets and corporate brand have found a significant importance for corporates. These assets are accounted as essential for value making and even stabilizing the continuation of corporate trend. The purpose of the present study is to investigate the effect of profitability and operating cash flow on trademarks value in accepted corporate in Tehran stock exchange. The data were obtained from a sample of 76 different corporates from 2010 to 2015. The data were analysed using the least regular squares regression and integrated method. Considering the lack reassessment of assets in corporates and the effect of financial statement articles, to avoid the probable false distance between market value and stock book value per share (as assessment index of trademark) stock book value per share has been modified using annual inflation rate. Findings, both before and after modification of commercial values by annual inflation rate showed there was a positive and significant relationship between profitability and operating cash flow and trademarks value in the corporates studied.
۵.

Studying the Expected Returns Based on Carhart Model Com-pared to CAPM Model and Implicit Capital Cost Model Based on Cash and Capital Flow of Growth and Value stocks

تعداد بازدید : ۳۵ تعداد دانلود : ۲۶
The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies were selected as the statistical sample. The present research is an applied research and is naturally a descriptive study. Descriptive and inferential statistics were used to describe the data, and to analyze the data, SPSS software was used. Also, the results showed that there is a significant difference between the mean of total returns and returns from the capital profit of growth and value stock; while there is no significant difference between the average cash flow of growth and value stocks. In addition to growth stocks, the expected returns on the basis of Carhart model are closer to real returns compared to expected returns based on the capital asset pricing model. But about value stock, the expected returns on the basis of Carhart model are not closer to actual returns compared to expected returns based on the capital asset pricing model and the cost of capital, and ultimately for growth stocks, expected returns based on Carhart model compared with expected returns, the implicit capital cost model is closer to actual returns.
۶.

Investigating the Effect of Management Entrenchment on Speed of Cash Holding Adjustment in Companies Listed in Tehran Stock Exchange

تعداد بازدید : ۴۰ تعداد دانلود : ۲۶
In this study, the effect of management entrenchments on the speed of cash holding adjustment in Iran has been investigated. After designing the management entrenchment evaluation indicators, the transaction information was collected from the Stock Exchange in the five-year period of 2011-2015. The statistical sample consists of 155 companies selected by systematic deletion method. In this research, linear regression and correlation have been used to investigate the hypotheses of the research. Also Eviews software was used to analyse the data and test the hypotheses of the research. What can be summarized in the overall conclusion of the research hypothesis test is that the indicators of management entrenchments including deviation from target cash, deviation from target cash in companies with high financial leverage, deviation from target cash in companies with high free cash flows, deviation from target cash interacting the company size and deviation from target cash interacting the firm performance have a significant effect on the speed of cash holdings adjustment
۷.

Impact of Long-term Debt on Overinvestment Problem of Agency

تعداد بازدید : ۵۲ تعداد دانلود : ۳۲
Business units are always faced with investment opportunities and need to make logical decisions on an optimal investment. Indeed, the investment of each business unit should be done with regard to the resource constraints and its effectiveness through the criteria for evaluating the projects including the net present value (NPV). The paper aims to investigate the effect of long-term debt on the overinvestment of agency problem. The present research is applied in terms of its purpose and it is descriptive and correlation in terms of nature. The statistical population of the study was the financial information related to the performance of 540 companies listed in Tehran Stock Exchange during 2011 and 2015. 152 companies were selected by the systematic elimination sampling. The data collection was carried out using the Tadbir Pardaz and Rahavard-e-Novin software as well as the Research Management, Islamic Studies and Development of Stock Exchange Organization and Stock Exchange Organization websites. The research data are hybrid. The data were analyzed using the F-Limer and Hausman tests using Eviews9 software. Based on the results, the pre-investment declined by 36% at a significant level less than 0.05% while increasing long-term debt by 1%, and the overinvestment reduces 69% by a one-percent increase in the financial leverage. 
۸.

Using Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange

تعداد بازدید : ۳۳ تعداد دانلود : ۲۶
Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the power of liquidity of selected stocks and the acceptance of risk to market risk are set as objectives of the problem. In order to solve the problem of information in the Tehran Stock Exchange in 2017, 45 sample stocks have been identified and, with the assumption of normalization of goals, a genetic algorithm has been used. The results show that the selected model provides a good performance for selecting the optimal portfolio for investors with specific goals and constraints.