Iranian Journal of Finance

Iranian Journal of Finance

Iranian Journal of Finance, Volume 5, Issue 1, Winter 2021

مقالات

۱.

The Relationship between Corporate Reputation and Different Types of Earnings Management

تعداد بازدید : ۸۰ تعداد دانلود : ۷۸
The present study's main objective is to assess the relationship between corporate reputation and different types of earnings management (accrual-based, real, and reductive earnings management). In other words, this paper attempts to figure out whether corporate reputation can contribute to the amount of accrual-based, real, and reductive earnings management or not. This paper's method is descriptive-correlational based on published information from listed firms on the Tehran Stock Exchange during 2012-2018 with a selected sample of 187 firms (1309 observations). The method applied for hypothesis testing is linear regression using panel data. The obtained results from hypothesis testing show that corporate reputation has a negative and significant relationship with accrual-based, real, and reductive earnings management, which means highly-reputed firms, are less likely to embark on different earnings management types. Since this paper analyzes the emergent financial markets, like Iran, with extremely competitive audit markets to determine the effect of corporate reputation on different types of earnings management of listed firms on the Tehran Stock Exchange, it can provide useful information in this field.
۲.

Auditors' deviant decision-making model based on conflict of interest

تعداد بازدید : ۶۸ تعداد دانلود : ۸۲
When auditors intentionally or unintentionally approve financial statements in line with the views of their employers, the public interest and the auditing profession are at serious risk. The purpose of this study was to examine the process by which auditors' interests will influence decision making. To achieve this goal, first in the qualitative part of the research, by studying the background of accounting research and interviewing experts through the fuzzy Delphi method, the effective components on conflict of interest were identified. In the second part of the study, using social-cognitive meta-theory and operational decision-making power in the stimulus-organism-response (S-O-R) paradigm, data obtained from 362 certified public accountants. Smart-PLS software and Structural equations have been implemented for data analysis and hypotheses testing. Cognitive processes, including expected positive outcomes, understanding the problems of consistent decision-making, and ethical judgment, play a mediating role between the conflict of interest and deviant decision-making, and through these intervening variables, conflict of interest can be monitored and reduced. The results show that professional ethics with the confirmation of all hypotheses are considered as the most effective component. It also showed that reducing the expected positive results, increasing the understanding of problems, and reducing the auditors' ethical judgment in the assigned tasks will lead to deviant decisions. By implementing the proposed algorithm, cognition processes can be directed towards consistent decision making.
۳.

Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

تعداد بازدید : ۷۳ تعداد دانلود : ۷۳
Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products). For this purpose, the VaR of returns on index should first be extracted through parametric models of the (GARCH) family in each of the above industries by using regime transitions. After the risk of return on index is obtained for each industry, the optimal portfolio is created in the next step based on VaR minimization, and the optimal value of each industry is determined in the portfolio. According to the results, (MRS-FIEGARCH) model had no superiority in VaR estimation over the other parametric models of the GARCH family. In fact (MS-EGARCH-t) was introduced as the optimal model. Among the designated industries, returns on indices followed regime transitions only in chemical products and investment by showing asymmetric reactions to external shocks. Moreover, the optimal weights were on the rise in the industries where VaR decreased over time, whereas the optimal weight of the portfolio decreased in the industries where VaR increased over time. The higher share of an optimal portfolio belonged to the industries where stock returns had lower rates of VaR. The risk-return-ratio was employed to show that the optimal portfolio with a risk rate was measured by considering the switching regime was superior over the optimal portfolio with a risk rate extracted without considering the switching effects. To create an optimal portfolio, it is then recommended to make investments in the industries characterized by higher stability in prices and lower fluctuations in stock returns in the long run. This approach can be employed to obtain the best results from optimal portfolio preparation in the worst-case scenario of the market fluctuations.
۴.

Modeling the effect of environmental corporate governance rating in the pricing information asymmetry

تعداد بازدید : ۸۳ تعداد دانلود : ۱۶۴
Information flow is a key parameter in an economic activity that acts as the main factor in the capital market emergence, stability, and efficiency. The purpose of the current research is to investigate the effect of the environmental points of cooperate governance on the pricing of information asymmetry. In this regard, we have extracted data related to companies accepted in the "Tehran Stock Exchange" from 2009 to 2018, and a panel-data regression model was utilized to test research hypnosis. The results show that information asymmetry and environmental points of cooperate governance have a significant effect on the expected return (cost of capital) on an investment. In addition, the effect of environmental points of cooperate governance on the relationship between the information asymmetry and the cost of capital has been verified. Finally, the results show that environmental points of cooperate governance leads to the differences in the cost of capital in the different levels of information asymmetry.
۵.

The Quantitative Diversity Index in Multi-Objective Portfolio Model

تعداد بازدید : ۶۲ تعداد دانلود : ۸۰
The primary purpose of investors is maximizing the utility that is characterized by two essential criteria include risk and return. Regarding investors' uncertainty about the future, one of the main ways to reduce risk is to diversify the investment portfolio. In this research, we proposed an index conducted by Euclidean distance for assessing portfolio diversity. Besides, we designed a multi-objective model to select optimal stock portfolios with considering value at risk (VaR), which is one of the critical indicators of unacceptable risk, portfolio Beta as systematic risk, and portfolio variance as unsystematic risk simultaneously. The model presented in this paper aims to maximize diversification while minimizing value at risk and stock risks. Furthermore, maximizing returns are considered as a limitation of this model. Since the proposed model is nonlinear and concerning computational complexity, it is NP-hard; therefore, we utilized the PSO and the GE metaheuristic algorithms that are improved for solving multi-objective problems to solve the model. The results of the model implementation in multiple iterations showed that the average yield of selected portfolios by the model is higher than the desirable condition. The evaluation of stock performance indicators also shows the satisfactory performance of the multi-objective model.
۶.

Exchange Rate Movements and Monetary Policies: Which Has Greater Influence on Petroleum

تعداد بازدید : ۱۰۵
The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December 2008 to February 2020, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control variables, such as OPEC oil price, inflation rate, and international sanctions, have also been used to model these relationships more accurately. Secondly, it is an empirical attempt to trace the historical changes in the PSI behavior through distinguishing the precise regime numbers, and the relationships between the exogenous variables and the PSI. Our results confirm that the effects of both exchange rate movements and monetary policies on the petroleum stock market return are direct and significant. More interestingly, the more we move from regime one to regime three, the greater the effects of the research variables on the index, except for the impact of OPEC oil prices. Our empirical findings further suggest as the effects of sanctions intensify, the influences of monetary policy and exchange rate movements would have a more significant impact on the petroleum stock index returns.