University of IsfahanJournal of Asset Management and Financing2383-11896320180923Margin Setting to Short and Long Futures Contract Positions by Coherent Risk MeasuresMargin Setting to Short and Long Futures Contract Positions by Coherent Risk Measures1142138410.22108/amf.2017.21384FAAliSaghafiProfessor, Department of Accounting, Management and Accounting Faculty, University of Allameh Tabataba'i, Tehran, IranMir FeyzFallahshamsAssociate Professor, Department of finance, Management Faculty, Islamic Azad University,Tehran, IranAlirezaNaserpoorPh.D. Student in financial Management, Department of finance, Management and Accounting Faculty, University of Allameh Tabataba'i, Tehran, IranJournal Article20160723This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compares IME gold coin futures contracts short and long positions initial margin by coherent risk measures, specially Expected Shortfall and spectral risk measures such as Exponential weighting Function and Power weighting Function. GARCH, EGARCH and GJR GARCH models used for volatility process modeling. Fore models back testing, it applies Christoffersen conditional coverage likelihood ratio (LRcc) test and for models rating used lopez second loss functions and Blanco-Ihle loss functions, and Fore ES models evaluations uses MAE and RMSE loss functions. The paper finds that, GJRGARCH has outperformed the other models that support the asymmetric response of gold coin price to positive and negative shocks. The average margin quantity estimated for short positions with all risk measures, is significantly larger than long positions margin, that confirm asymmetric response of gold coin price to positive and negative shocks.This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compares IME gold coin futures contracts short and long positions initial margin by coherent risk measures, specially Expected Shortfall and spectral risk measures such as Exponential weighting Function and Power weighting Function. GARCH, EGARCH and GJR GARCH models used for volatility process modeling. Fore models back testing, it applies Christoffersen conditional coverage likelihood ratio (LRcc) test and for models rating used lopez second loss functions and Blanco-Ihle loss functions, and Fore ES models evaluations uses MAE and RMSE loss functions. The paper finds that, GJRGARCH has outperformed the other models that support the asymmetric response of gold coin price to positive and negative shocks. The average margin quantity estimated for short positions with all risk measures, is significantly larger than long positions margin, that confirm asymmetric response of gold coin price to positive and negative shocks.https://amf.ui.ac.ir/article_21384_19efa2942e3ddf05d1bdeae135af488c.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923Performance Evaluation of Iranian OTC's Companies by Using Stochastic Dominance Criteria and Optimizing with PSO and ANN Hybrid ModelPerformance Evaluation of Iranian OTC's Companies by Using Stochastic Dominance Criteria and Optimizing with PSO and ANN Hybrid Model15362281610.22108/amf.2018.91647.0FASajadJamshidiSistan & Baluchestan University, Zahedan, IranGholam RezaZamanianSistan & Baluchestan University, Zahedan, IranJournal Article20160624The goal of the current study is performance evaluation of Iranian OTCs companies by using stochastic dominance and optimizing them by employing Artificial Neural Network and Particle Swarm Optimization hybrid model .To fulfill this objective, we used daily and weekly return of under investigation 36 companies of OTC During the period beginningfrom March 21, 2014 until March 20, 2015 in which the application of stochas tic dominance criteria for nonparametric orientation and proven performance of the hybrid model is particular interest. The research results indicated the first-order, second-order, and third-order dominances in the study companies. The portfolios were based on the shares of companies ranked with respect to the stochastic dominance criterion. Considering the minimum and maximum numbers of shares to be 2 and 10 for each portfolio, an eight-share portfolio was selected as the optimal portfolio with the combination of the activation function TPT. Compared with the index of Iran OTC during the research period, the selected portfolio indicated a significantly higher performance.The goal of the current study is performance evaluation of Iranian OTCs companies by using stochastic dominance and optimizing them by employing Artificial Neural Network and Particle Swarm Optimization hybrid model .To fulfill this objective, we used daily and weekly return of under investigation 36 companies of OTC During the period beginningfrom March 21, 2014 until March 20, 2015 in which the application of stochas tic dominance criteria for nonparametric orientation and proven performance of the hybrid model is particular interest. The research results indicated the first-order, second-order, and third-order dominances in the study companies. The portfolios were based on the shares of companies ranked with respect to the stochastic dominance criterion. Considering the minimum and maximum numbers of shares to be 2 and 10 for each portfolio, an eight-share portfolio was selected as the optimal portfolio with the combination of the activation function TPT. Compared with the index of Iran OTC during the research period, the selected portfolio indicated a significantly higher performance.https://amf.ui.ac.ir/article_22816_b2072f68c1649e5ebbc63585bd816af1.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923The Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock ExchangeThe Beta Reversal Behavior through Different Levels of Portfolio Risk in Tehran Stock Exchange37502303410.22108/amf.2017.100287.1000FAGholamrezaMansourfarAssociate Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranMehdiHeidariAssistant Professor, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranMohsenFarhadi Sharif AbadMaster of Finance, Accounting and Finance Dept., Faculty of Economics and Management, Urmia University, Urmia, IranJournal Article20161230In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange.In this paper, using a multi-factor model of Fama and French and Carhart, the Beta Reversal behavior through different levels of portfolio risk in Tehran Stock Exchange and Oversight Exchange is investigated. Beta Reversal is a phenomenon in which the beta behavior becomes different from its historical trend and turns to the opposite direction. Beta Reversal caused the instability of the capital asset pricing model in the market which leads to the inefficiency of the capital asset pricing model in performance evaluation. In order to measure the Beta Reversal in the market, Rolling beta, idiosyncratic volatility Risk and Fama and French model variables, as well as the momentum factor introduced by Carhart have been used. The study involved data from 60 companies operating in the Tehran Stock Exchange in the period from 2005 to 2014. In different circumstances of investigation, Beta Reversal has been studied by establishing 25 portfolios of stocks according to various measures. The results show that Beta Reversal occurs in high-risk stocks while it can be prevented by eliminating the high risk portfolios from market in Tehran Stock Exchange.https://amf.ui.ac.ir/article_23034_4396d84b16a1db3ae664708a7dfed885.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923Investigating the Relationship between Stock Price Synchronicity and Return DistributionInvestigating the Relationship between Stock Price Synchronicity and Return Distribution51662125810.22108/amf.2017.21258FASeyed RezaMirAskariAssistant Professor, Department of Economics, Faculty of Management and Economics, University of Guilan, IranGholamrezaMahfooziAssistant Professor, Department of Accounting, Faculty of Management and Economics, University of Guilan, IranMatinShabani Nejad MousolehMaster of Accounting, Department of Accounting, Faculty of Management and Accounting, Azad University of Rasht, IranJournal Article20160611The purpose of this research is to study studying the relationship between stock price synchronicity and tails of return distribution at Tehran Stock Exchange. The sample consists of 118 companies that have been chosen from among compaines listed in Tehran Stock Exchange during the period of 2010-2014, and hypothesis testing has been done with multiple regression based on panel data. The results of hypothesis testing show that firms with high stock price synchronicity have higher probability of generating positive tails than firms with low synchronicity, and also there is positive relation between stock price synchronicity and skewness. Investors of stocks with hig price synchronicity have lower reaction to bad news in respect to stocks with low price synchronicity. High stock price synchronicity show that market information reflected on stock return is more, and investors suffer only systematic risk. Therefore, it is suggested that investors in Tehran Stock Exchange invest on stocks with higher stock price synchronicity and with higher information transparency.The purpose of this research is to study studying the relationship between stock price synchronicity and tails of return distribution at Tehran Stock Exchange. The sample consists of 118 companies that have been chosen from among compaines listed in Tehran Stock Exchange during the period of 2010-2014, and hypothesis testing has been done with multiple regression based on panel data. The results of hypothesis testing show that firms with high stock price synchronicity have higher probability of generating positive tails than firms with low synchronicity, and also there is positive relation between stock price synchronicity and skewness. Investors of stocks with hig price synchronicity have lower reaction to bad news in respect to stocks with low price synchronicity. High stock price synchronicity show that market information reflected on stock return is more, and investors suffer only systematic risk. Therefore, it is suggested that investors in Tehran Stock Exchange invest on stocks with higher stock price synchronicity and with higher information transparency.https://amf.ui.ac.ir/article_21258_62de6c00da96e17c63549230ff9e7be6.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923Stress Testing as a Key Tool for Financial Assets Risk Management with Emphasis on Extreme Value Theory and Copula FunctionsStress Testing as a Key Tool for Financial Assets Risk Management with Emphasis on Extreme Value Theory and Copula Functions67862303710.22108/amf.2018.107070.1177FAAlirezaSaranjAssistant Prof., Department of Financial Management, Faculty of Management and Accounting, Farabi Campus, University of Tehran, Qom, Iran0000-0001-7921-9264MarziyehNourahmadiMaster of Finance, Department of Financial Management, Faculty of Management and Accounting, Farabi Campus, University of Tehran, Qom, IranJournal Article20171015Stress testing is a simulation technique to evaluate portfolio reactions to several critical situations. In this paper, we review different stress testing methodologies to examine impacts of different stress scenarios on an Iranian equity portfolio. We identify the extreme tails of all risk factors in our portfolio by extreme value theory and model their dynamic and nonlinear dependence structures with copula functions. We performed three stress tests such as historical, hybrid and hypothetical stress scenarios to simulate the joint evolution of risk factors over time in a realistic way. According to the empirical findings, we find that historical scenario method is not a suitable tool for stress testing due to several drawbacks and show the importance of forward-looking analysis such as hybrid and hypothetical scenarios. We also indicate that the hypothetical stress approach is superior to the other two scenarios from the perspective of stress testing.Stress testing is a simulation technique to evaluate portfolio reactions to several critical situations. In this paper, we review different stress testing methodologies to examine impacts of different stress scenarios on an Iranian equity portfolio. We identify the extreme tails of all risk factors in our portfolio by extreme value theory and model their dynamic and nonlinear dependence structures with copula functions. We performed three stress tests such as historical, hybrid and hypothetical stress scenarios to simulate the joint evolution of risk factors over time in a realistic way. According to the empirical findings, we find that historical scenario method is not a suitable tool for stress testing due to several drawbacks and show the importance of forward-looking analysis such as hybrid and hypothetical scenarios. We also indicate that the hypothetical stress approach is superior to the other two scenarios from the perspective of stress testing.https://amf.ui.ac.ir/article_23037_433920eae88dcd476877ae2ec425fb8b.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923The Impact of Debt Maturity on Stock Price Crash Risk with an Emphasis on Information AsymmetryThe Impact of Debt Maturity on Stock Price Crash Risk with an Emphasis on Information Asymmetry871042121110.22108/amf.2017.21211FAVahidTaghizadeh KhanqahPh.D. Student in Accounting, Tabriz Branch, Islamic Azad University, Tabriz, IranGhodratallahTalebniaJournal Article20160426Short-term debt subjects managers to frequent monitoring, thus effectively reducing managerial discretion and enhancing information disclosure. Since lenders are more sensitive to decreases than increases in firm stock price, they have strong incentives to scrutinize borrowers and gather information about their financial conditions and future prospects. This research aims to study the economic concequences of debt maturity, to the impact of debt maturity choice on stock price crash risk of listed companies in Tehran Stock Exchange. In this regard, 120 companies were evaluated for the period 2008-2013. To test the hypothesis of the study panel data is used by software Eviews 7. We find that firms with a larger proportion of short-term debt tend to have lower future stock price crash risk, consistent with short-term debt playing an effective monitoring role over managers and constraining their bad news hoarding behavior. Our results also show that the inverse relation between short-term debt and future crash risk is more pronounced among firms with higher degree of information asymmetry. Overall, our paper shows that short-term debt not only preserves creditors’ interests, but also protects the value of shareholders.Short-term debt subjects managers to frequent monitoring, thus effectively reducing managerial discretion and enhancing information disclosure. Since lenders are more sensitive to decreases than increases in firm stock price, they have strong incentives to scrutinize borrowers and gather information about their financial conditions and future prospects. This research aims to study the economic concequences of debt maturity, to the impact of debt maturity choice on stock price crash risk of listed companies in Tehran Stock Exchange. In this regard, 120 companies were evaluated for the period 2008-2013. To test the hypothesis of the study panel data is used by software Eviews 7. We find that firms with a larger proportion of short-term debt tend to have lower future stock price crash risk, consistent with short-term debt playing an effective monitoring role over managers and constraining their bad news hoarding behavior. Our results also show that the inverse relation between short-term debt and future crash risk is more pronounced among firms with higher degree of information asymmetry. Overall, our paper shows that short-term debt not only preserves creditors’ interests, but also protects the value of shareholders.https://amf.ui.ac.ir/article_21211_cf0dbfff84cfa6197ec33b59b62b9543.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923A comparative Analysis of Performance of Three-Factor and Five - Factor Fama and French Model to Estimate the Expected Rate of Return in Tehran Stock ExchangeA comparative Analysis of Performance of Three-Factor and Five - Factor Fama and French Model to Estimate the Expected Rate of Return in Tehran Stock Exchange1051162141910.22108/amf.2017.21419FAHosseinRezaie DolatabadiUniversity of Isfahan, IranNahidYousofanUniversity of Isfahan, IranJournal Article20170128Accurately predict of stock returns is a key factor in investment decisions. The aim of this study is the test of five-factor Fama and French model and to comparison the performance of three-factor and five-factor model of Fama and French (2015) to estimate the expected return. This research is a correlation-descriptive research and its hypothesis is tested based on data collected from 40 companies listed on Tehran Stock Exchange in 2009 to 2014 years. Research hypothesis are tested by correlations synchronicity assessing in two phases of Alpha time series test to calculating intercept by GRS statistic and cross-sectional Fama-Macbeth (1973) test in pricing coefficient. The results show that five-factor model of Fama and French, with these explanatory variables: size, value, profitability and investment pattern, explains excess stock returns better than Fama and French three-factor model. Based on the results, in three-factor model value is the only factor that is significant, while the five-factor model price these two factors: value and investment.Accurately predict of stock returns is a key factor in investment decisions. The aim of this study is the test of five-factor Fama and French model and to comparison the performance of three-factor and five-factor model of Fama and French (2015) to estimate the expected return. This research is a correlation-descriptive research and its hypothesis is tested based on data collected from 40 companies listed on Tehran Stock Exchange in 2009 to 2014 years. Research hypothesis are tested by correlations synchronicity assessing in two phases of Alpha time series test to calculating intercept by GRS statistic and cross-sectional Fama-Macbeth (1973) test in pricing coefficient. The results show that five-factor model of Fama and French, with these explanatory variables: size, value, profitability and investment pattern, explains excess stock returns better than Fama and French three-factor model. Based on the results, in three-factor model value is the only factor that is significant, while the five-factor model price these two factors: value and investment.https://amf.ui.ac.ir/article_21419_7ba8b99aec7a1b93ef42d11e157d4a36.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923Audit Quality and Financial ConstraintsAudit Quality and Financial Constraints1171322327910.22108/amf.2019.91622.0FAGholamhoseinMahdaviShiraz University, Shiraz, IranNajmehRastegariShiraz University, Shiraz, IranJournal Article20160503The objective of this research is to study the relationship between audit quality and financial constraintsof the companies Listed on Tehran Stock Exchange. Financial constraints were calculated by localizedindex measured by Tehrani and Hesarzadeh (2009). To measure the audit quality, three criteria wereused: the size of auditing firm, auditor`s tenure and the auditor`s expertise in industry. In order to testthe research hypotheses, 100 companies listed on Tehran Stock Exchange, in the period of 2006 – 2013,were selected as samples. Multiple logistic regression model was used to test the research hypothesis.Data analysis was performed using Eviews software version 7. The results revealed that there was asignificant and positive relationship between auditing firm size and auditor`s tenure, and financialconstraints. Otherwise, there was a significant negative relationship between auditor`s expertise inindustry and financial constraints. In general, the findings of the research indicated that audit qualityaffects financial constraints. <br /> The objective of this research is to study the relationship between audit quality and financial constraintsof the companies Listed on Tehran Stock Exchange. Financial constraints were calculated by localizedindex measured by Tehrani and Hesarzadeh (2009). To measure the audit quality, three criteria wereused: the size of auditing firm, auditor`s tenure and the auditor`s expertise in industry. In order to testthe research hypotheses, 100 companies listed on Tehran Stock Exchange, in the period of 2006 – 2013,were selected as samples. Multiple logistic regression model was used to test the research hypothesis.Data analysis was performed using Eviews software version 7. The results revealed that there was asignificant and positive relationship between auditing firm size and auditor`s tenure, and financialconstraints. Otherwise, there was a significant negative relationship between auditor`s expertise inindustry and financial constraints. In general, the findings of the research indicated that audit qualityaffects financial constraints. <br /> https://amf.ui.ac.ir/article_23279_9e25f604d561520fce432c708f099181.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923The Effect of Corporate Governance and Audit Quality on Bank Loan Financing in Private CompaniesThe Effect of Corporate Governance and Audit Quality on Bank Loan Financing in Private Companies1331462328310.22108/amf.2019.101253.1021FAZahraZamaniShahid Ashrafi Esfahani University Isfahan, IranZahraSohrabiShahid Ashrafi Esfahani University, Isfahan, IranJournal Article20170103The present study aimed to examine the effect of corporate governance and audit quality on bank loan financing in companies in the industries such as production, mining, commerce, and transportation. There are many financing methods. In Iran, financing is mostly provided through approved credit by banks. However, the share of banks and other financial institutions in the corporate governance is not large at all. Banks and other financial institutions usually focus on the quality of financial reporting and control practices applied within a company. Hence may have a direct relationship between financing through bank loans and corporate governance and the quality of auditing companies.The study population included a sample of 15 companies in the industries, including production, mining, commerce, and transportation, over an 11-year period 2004-2015. A multivariate regression model was used to test the hypotheses. The study results indicated that the corporate governance produces a positive and significant effect on bank loan financing, while audit quality produces none.The present study aimed to examine the effect of corporate governance and audit quality on bank loan financing in companies in the industries such as production, mining, commerce, and transportation. There are many financing methods. In Iran, financing is mostly provided through approved credit by banks. However, the share of banks and other financial institutions in the corporate governance is not large at all. Banks and other financial institutions usually focus on the quality of financial reporting and control practices applied within a company. Hence may have a direct relationship between financing through bank loans and corporate governance and the quality of auditing companies.The study population included a sample of 15 companies in the industries, including production, mining, commerce, and transportation, over an 11-year period 2004-2015. A multivariate regression model was used to test the hypotheses. The study results indicated that the corporate governance produces a positive and significant effect on bank loan financing, while audit quality produces none.https://amf.ui.ac.ir/article_23283_d8605cdd63c0a0d6b4088b2c05b72f3f.pdfUniversity of IsfahanJournal of Asset Management and Financing2383-11896320180923The Study of long-Term Memory in Dynamic Volatility Relationship between Stock Returns and Exchange RatesThe Study of long-Term Memory in Dynamic Volatility Relationship between Stock Returns and Exchange Rates1471642330310.22108/amf.2018.103992.1106FADariushDamooriGroup of accounting & finance, Faculty of Economic, management and accounting, Yazd University, Yazd, IranNegarMirzadMSc, Business Management- Financial, Department of Management, Faculty of Economics, Management And Accounting, Yazd University, Yazd, Iran.Journal Article20170509Nowadays, the issue of how to choose an appropriate system of currency exchange can be considered as one the pivots of macroeconomic policies and, in turn, currency fluctuation turns to one of the most crucial concerns of each country’s foreign commerce. Since, stock returns in the stock market are influenced by various factors, especially the macroeconomic variables, In this study, we examined the relationship between long-term memory in the return series (March 2011until February 2015) and USD / IRR exchange rate volatility and return on equity of Tehran Stock Exchange. Applying univariate and multivariate models GARCH in the first period (2011 and 2012), we witness that there exists the long-term memory in all series of return. In addition, not only does the student-GARCH (1,1) model indicate the best conformity with the total index (2011-2015), compared to other models, but it also can estimate exchange rates for the period of 2011and 2012 with higher accuracy. It is also noticeable that there exists no significant relationship between the exchange rates and the stock market returns, in the given period.Nowadays, the issue of how to choose an appropriate system of currency exchange can be considered as one the pivots of macroeconomic policies and, in turn, currency fluctuation turns to one of the most crucial concerns of each country’s foreign commerce. Since, stock returns in the stock market are influenced by various factors, especially the macroeconomic variables, In this study, we examined the relationship between long-term memory in the return series (March 2011until February 2015) and USD / IRR exchange rate volatility and return on equity of Tehran Stock Exchange. Applying univariate and multivariate models GARCH in the first period (2011 and 2012), we witness that there exists the long-term memory in all series of return. In addition, not only does the student-GARCH (1,1) model indicate the best conformity with the total index (2011-2015), compared to other models, but it also can estimate exchange rates for the period of 2011and 2012 with higher accuracy. It is also noticeable that there exists no significant relationship between the exchange rates and the stock market returns, in the given period.https://amf.ui.ac.ir/article_23303_39bb02e3e1f46d8fa7afc4e464e59a6f.pdf