Iranian Journal of Finance

Iranian Journal of Finance

Iranian Journal of Finance, Volume 3, Issue 3, Summer 2019



Measuring the efficiency of firms listed in Tehran Stock Exchange Using Stochastic Frontier Production Function based on accounting data

تعداد بازدید : ۱۲ تعداد دانلود : ۸
One of the most important effective elements in economic growth is the efficiency of manufacturing units. Therefore, measuring the efficiency of firms is necessary in order to increase efficiency in future planning courses. In the current research, using Stochastic Frontier Production Function, the efficiency of firms in Tehran Stock Exchange has been measured. In the above method, the efficient frontier is determined by using the Trans log production function, and the efficiency of each firm measured by the efficient frontier. The most important superiority of Stochastic Frontier Production Function is to specify the role of random and environmental elements (out of firm authorities) and inter-organizational elements (in-firm authorities) to assess the inefficiency of firms as compared to other methods. Thus, 105 firms were selected using maximum likelihood method in 2008-2017 to evaluate the research model. Results indicated that the minerals industry and cement industry with the averages of 53% and 90% had the least and most efficiency values, respectively. Separating the inefficiency values showed that the food industry and chemicals industry had the least and most inefficiency resulting from the firm authorities as 33.6% and 95.2%, respectively. According to research results, financial analysts and investors are recommended to rank the efficiency and assess the performance based on the firm authorities. Due to the importance of efficiency measurement in operational auditing, the auditors are recommended to use the current research model to assess the firm’s efficiency. Also, Organization of Industries and Mines is suggested to tackle the obstacles after identifying the elements out of firm authorities which affect the inefficiency in the firms.

The Impact of Market Inefficiency and Environmental Uncert`ainty on CEO Risk-Taking Incentives

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This study investigates the effect of market inefficiency and environmental uncertainty on CEO risk taking. Prior research, however, have struggled to establish this relation empirically; moreover, some evidence points to the possibility that the CEO risk appetite is lower for firms active in inefficient markets. The opportunistic approach of managers leads to decisions about personal interests and imposing costs on shareholders by decreasing risk taking. In order to investigate the issue, data on companies listed in Tehran Stock Exchange, from 2008 to 2018, were extracted and a panel regression model was used to test the research hypotheses. Consistent with expected relation between market inefficiency, environmental uncertainty and CEO risk taking, the managers' risk taking decreases with respect to market inefficiency and environmental uncertainty. Managers may benefit from increased fluctuations in risk orientation, but are more sensitive than shareholders and have less restrictive choice that avoids higher risk.

Modeling Assets Pricing Using Behavioral Patterns; Fama-French Approach

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Behavioral finance is a new issue raised by some financial intellectuals over the past two decades and has been quickly addressed by professors, experts, and students throughout the world. Investigating the factors affecting investment decisions is carried out in the field of behavioral finance; in other words, the focus of behavioral finance is on the specific charac-teristics of human behavior and applying them in asset pricing. Empirically, pricing models rarely include psychological factors, but the noticeable point is that nowadays, researchers have found behavioral factors influencing empirical asset pricing models that can manipulate returns on asset mispricing. Behavioral asset pricing is the result of applying behavioral finance theories within traditional asset pricing theories. Thus, despite the existence of many asset pricing models, due to their weaknesses and lack of comprehensiveness, as well as the necessity of reviewing behavioral factors, this study aims to model asset pricing through behavioral models. Using the data from 141 listed firms in Tehran Stock Exchange over the years 2008 to 2017 and multivariate regression, this study is an attempts to model asset pric-ing through employing behavioral models and Fama-French approach. Using Fama-French approach, the results showed that accounting information risk, investors’ trading behavior, and investors' sentiment have a direct and significant impact on asset pricing.

Developing New Financing Instruments for Iran’s Higher Education System (Case Study: Mortgage Securities Model)

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Optimizing the financing of Iran's higher education system faces major challenges such as smallness of the private sector, lack of a competitive market in knowledge production, the state's small role in higher education, and also the absence of new financial instruments in the capital market along with the development of the money market. As a result, the most important financing resources and major clients of academic research projects are state-run organizations, which also raise finance through tuition. Apparently, there are a few reasons why the higher education system should change its financing methods to achieve great goals. These reasons include intensified economic sanctions, declined capacity of the state to finance this sector, decreased power of families and firms to cover educational and research expenses through private budgets, and the necessity of making higher education expenses efficient with respect to the need to train the future workforce. The method of this study is a descriptive-qualitative, which was carried out in two stages of the library and the implementation of the Delphi method by referring to 20 experts. Aiming to introduce new instruments to make banking asset-backed securities (of facilities type) to education and research clients (families and firms), this study seeks to prove the hypothesis that the mortgage-backed securities can be employed to achieve the following goals. The first goal is to grant facilities to the students who are financially unable to pay tuition. This relieves the pressure on the Students Welfare Fund. The second goal is to grant business financing facilities to talented students. Finally, the third goal is to finance the firms that have research needs but are unable to cover the expenses through their revenues. Regarding 17 indicators, the research findings indicate that experts reached a consensus (Kendall's W= 0.702).

The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory

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This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly data for ten years’ period of time(2008-2017) in Iran’s economy we design optimum model and test its capability and estimation power. The results illustrate the efficiency of the achieved model. Furthermore, taking the practical nature of this paper into account, we come up with optimum lag of time and the period of time required to achieve equilibrium in any market and the entire economy as a prototype in the frame of Stock Exchange.

Modeling and Rating Financial Soundness Indicators of Commercial Banks Using Confirmatory Factor Analysis and TOPSIS method

تعداد بازدید : ۱۴ تعداد دانلود : ۶
Several financial soundness frameworks, such as CAMELS, are currently present in the banking industry, but some evidence suggests that the present frameworks have inefficiencies in an Islamic banking environment. This study is aimed at identifying and prioritizing the adjusted financial soundness indicators in Iranian banks. In this paper, the factors affecting financial soundness in banking industry were investigated and rated based on the viewpoints of 382 banking experts. Data gathering is done by designing a questionnaire. The research method is descriptive-correlation. For data analysis and the testing of the hypotheses, R-test software and confirmatory factor analysis have been used. TOPSIS method is used to rate the indicators from the points of view of senior banking managers. The findings showed capital adequacy, asset quality, profitability, liquidity, management quality, sensitivity to market risk, Islamic banking, corporate governance, and facilities with technical and economic backing affect the financial soundness of banks, while the liquidity and profitability indexes have the most impact.