Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application (AMFA)

Advances in Mathematical Finance and Application, Volume 3, Issue 2, Spring 2018

مقالات

۱.

Assessment of the efficiency of banks accepted in Tehran Stock Exchange using the data envelopment analysis technique

تعداد بازدید : ۶۳ تعداد دانلود : ۲۰
The research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. The purpose of this research is to apply the research method. Also, the data collection method is a direct observation, interview and library method and a tool for collecting data from stock databases. The statistical population of this study is Tehran Stock Exchange member banks. Selection of inputs and outputs of this research has been done according to similar research. Inputs include public and administrative costs, income and output, including net profit. Also, according to the analysis done by the DEA models, it is selected for performance evaluation. Finally, the unit is either efficient or inefficient, and efficient units with The Anderson and Pearson models were ranked and eventually the Bank of Pasargad and the Gwain Bank ranked.
۲.

Modelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH

تعداد بازدید : ۴۱ تعداد دانلود : ۲۴
Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the benefit of high process accuracy, suggesting that the evaluation of the similarity in the volatility of return at the level of market or industry constituent units is better than the simple technique of time series GARCH model for the entire market (instead of evaluation at unit levels). Therefore, the present study intends to investigate complete similarities or differences in the volatility of return in Iran's industries. Results showed that the assumption of complete difference in the volatility of return in the industries did not hold. The results of this process for Iran's industries covering the timespan between 16/2/2013 to 18/3/2017 showed that there are similarities in terms of the y-intercept of conditional mean and variance equations (1.1) PANEL-GARCH between the volatility of stock returns of 23 industries in the Tehran Stock Exchange as confirmed by LRT test. 
۳.

Improving the Banks Shareholder Long Term Values by Using Data Envelopment Analysis Model

تعداد بازدید : ۳۶ تعداد دانلود : ۱۸
Given the rapid development of the banking sector, it is reasonable to expect that the performance of banks has become the centre of attention among bank managers, stakeholders, policy makers, and regulators. In order to maximizing the share-holders’ satisfactory level, two bank efficiency measurement approaches, i.e. the production approach and the user cost approach, which are financial evaluations, are employed. The evaluations are done by means of data envelopment analysis method. The proposed methodology is run on the 15 privet bank branches in Markazi province. By using this approach, four regions that show the various performances are obtained. In addition the status of returns to scale for each bank branch is calculated.
۴.

Predict the Stock price crash risk by using firefly algorithm and comparison with regression

تعداد بازدید : ۵۱ تعداد دانلود : ۳۸
Stock price crash risk is a phenomenon in which stock prices are subject to severe negative and sudden adjustments. So far, different approaches have been proposed to model and predict  the  stock price crash risk, which in most cases have been the main emphasis on the factors affecting it, and often traditional methods have been used for prediction. On the other hand, using  Meta Heuristic Algorithms, has led to a lot of research in the field of finance and accounting. Accordingly, the purpose of this research is to model the Stock price crash risk of listed companies in Tehran Stock Exchange using firefly algorithm and compare the results with multivariate regression as a traditional method. Of the companies listed on the stock exchange, 101 companies have been selected as samples. Initially, 19 independent variables were introduced into the model as input property of the particle accumulation algorithm, which was considered as a feature selection method. Finally, in each of the different criteria for calculating the risk Stock price crash risk, some optimal variables were selected, then using firefly algorithm and multivariate regression, the stock price crash risk was  predicted  and results were compared. To quantify the Stock price crash risk, three criteria for negative skewness, high fluctuations and maximum sigma have been used. Two methods of MSE and MAE have been used to compare the methods. The results show that the ability of meta-meta-heuristic methods to predict the risk Stock price crash risk is not  generally higher than the traditional method of multivariate regression, And the research hypothesis was not approved.
۵.

Evaluation of the association between company performance and Iran’s stock market liquidity

تعداد بازدید : ۳۸ تعداد دانلود : ۲۱
This research studies the companies’ effectiveness and performance relationship with stock market liquidity in Tehran Stock Exchange during 2010-2015. Simultaneously, in the study, the three indicators: return on assets, return on investment and Tobin's Q ratio were applied as a measure of the performance and bid-ask spread as a measure of liquidity, bid-ask spread to the stock market. This research has a practical purpose and descriptive correlation in research nature and also post-event research. The under study population comprises all companies accepted in Tehran Stock Exchange during the intended period, 198 companies selected with systematic elimination sampling to be studied and analyzed. The results show a positive and significant association between companies’ performance and Stock market liquidity.
۶.

Investigating the relationship among information asymmetry, dividend policy and ownership structure

تعداد بازدید : ۳۳ تعداد دانلود : ۲۲
The purpose of a financial manager in dividend policy is to maximize the wealth of its owners while providing adequate funds for the company. In this research, the aim is to determine the relationship between information asymmetry, dividend policies and ownership structure. After designing information asymmetry evaluation indicators, the transaction information has been collected from the Stock Exchange in the five year period of 2011-2015. A statistical sample of 155 companies was selected using a systematic elimination method, which was a total of 775 years-firm. In this research, linear regression and correlation were used to analyze the hypotheses of the research. What can be said in the summing-up and conclusion of the general test of research hypotheses is that the company with a higher information asymmetry is less likely to pay dividends, as well as government-affiliated companies with higher information asymmetry pay more dividends compared to non-governmental corporations. Finally, the results indicated that structural reform in order to increase the transparency of information leads to a positive moderating effect on the relationship between information asymmetry and dividend policies
۷.

Effect of Conservative Reporting on Investors' Opinion Divergence at the Time of Earnings Announcement

تعداد بازدید : ۳۶ تعداد دانلود : ۲۶
This research aims to investigate the effect of conservative reporting on the investors' opinion divergence at the time of earnings announcement in a 5 year period during 2012-2016; the required data have been collected from Tehran Securities and Stock Exchange Organization and the population is consisted of 585 corporates-years which have been selected by the systematic removal sampling. To investigate the research hypotheses, linear regression and correlation were used and to analyze data and test the hypotheses, Eviews software has been utilized. In conclusion, it can be pointed out that the conservative measures are negatively related to the proxies of investors' opinion divergence at the time of earnings announcement and the relationship is stronger when the corporate reports bad news; also, conservation information content is stronger when the market is shocked by an announcement.Key words: Investors' opinion divergence at the time of earnings announcement, conservative reporting, bad news
۸.

Effective strategies for the establishment of integration model for succession planning and career progression path of iranian azad universities administrators (Qualitative Research Based Grounded Theory Approach)

تعداد بازدید : ۲۹ تعداد دانلود : ۲۸
• AbstractThis research was done to provide effective strategies for the establishment of integration model for succession planning and career progression path of azad universities administrators from the perspective of higher education administrators and professionals based on the systematic theoretical design of Strauss and Corbin grounded theory. Accordingly, using a targeted sampling method, semi-structured interviews were made with 22 middle and executive managers of universities, authors in the field of succession planning and career progression path, and key scholars on human resource management and higher education, and the data were extracted from the interviews.The approach used in this study is a mix approach and hence, for developing the comprehensive research model, qualitative and quantitative approaches (in combination with one another) were used.. For selecting sample volume, snow ball method was used and finally, the research model was developed based on the opinions of 22 experts. In the second stage, the presented research model was tested by using SPSS 20, Lisrel8.8 and results indicated that the relationships and components of the proposed model are significant. During a three-step coding process (open, axial and selective), the data analysis revealed seven main categories as the effective strategies for the establishment of integration model for succession planning and career progression path of governmental universities administrators, which included acquaintance, participation of university administrators, organizational learning, trust-making, futurism, academic independence and systemic insight