University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange 1 22 23827 10.22108/amf.2018.111208.1256 FA Mohammadreza Mehrabanpour Department of Accounting and Finance, Faculty of management and accounting, University of Tehran, Farabi Campus Reza Tehrani Professor, Department of Financial and insurance, Faculty of Economics, Tehran University, Tehran, Iran Hamid Jamshidi Department of Accounting and Finance, Faculty of management and accounting, University of Tehran, Farabi Campus Journal Article 2018 06 07 Objective: Block trade is a significant part of stock exchange transactions. They involve trading a large volume of stocks at agreed prices that usually differ from the volatile and spot market prices. The large volume of block Trade has pushed academics to conduct a wide range of researches in this area. The main goal of this paper is to study the information content of block Trade. Method: For the above purpose, gathered data from 208 block trades in the Tehran Stock Exchange during the years of 2008-2016 were analyzed by the event study method. The results indicate that those block Trades are influential indicators for investors engaged in the stock exchange. Results: Evidence shows that after premium and controlled block trades, there exist significant cumulative abnormal returns. Overall, such cumulative abnormal returns imply the abnormal shareholder response to the block Trades. The results also demonstrate there are significant reductions in idiosyncratic volatility following block Trades. Objective: Block trade is a significant part of stock exchange transactions. They involve trading a large volume of stocks at agreed prices that usually differ from the volatile and spot market prices. The large volume of block Trade has pushed academics to conduct a wide range of researches in this area. The main goal of this paper is to study the information content of block Trade. Method: For the above purpose, gathered data from 208 block trades in the Tehran Stock Exchange during the years of 2008-2016 were analyzed by the event study method. The results indicate that those block Trades are influential indicators for investors engaged in the stock exchange. Results: Evidence shows that after premium and controlled block trades, there exist significant cumulative abnormal returns. Overall, such cumulative abnormal returns imply the abnormal shareholder response to the block Trades. The results also demonstrate there are significant reductions in idiosyncratic volatility following block Trades.

https://amf.ui.ac.ir/article_23827_13e60b541f3b0c451d3eedbe967e5997.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange 23 40 23535 10.22108/amf.2018.105837.1155 FA Nemat Rastgoo PhD Student, Department of Accounting, Islamic Azad University ,Kashan Branch, Kashan, Iran Hossein Panahian Associate Professor, Department of Accounting ,Kashan Branch, Islamic Azad University, Kashan, Iran Journal Article 2017 08 08 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country. Therefore, recognizing the causes of instability in market is of great importance for economic planners. The purpose of this research is systematic risk modeling using GARCH, E-GARCH, M-GARCH، ARFIMA-GARCH AND ARFIMA- FIGARCH models that is focuses on the residual review of the regression model , whose dependent variable is the market return and the independent variable, the natural logarithm of the change in the price index and cash return (TEDPIX) as a market portfolio. Accordingly, the relevant data for 174 companies in Tehran stock exchange were extracted daily for the period 1385-1394. After analyzing and checking the data in OXmetrics software and examining the models using three criteria, RMSE، MAE & TIC, the results showed that the ARFIMA-FIGARCH model had the least error in terms of all three criteria, which indicates the efficiency of the model in the systematic risk beta estimation. The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country. Therefore, recognizing the causes of instability in market is of great importance for economic planners. The purpose of this research is systematic risk modeling using GARCH, E-GARCH, M-GARCH، ARFIMA-GARCH AND ARFIMA- FIGARCH models that is focuses on the residual review of the regression model , whose dependent variable is the market return and the independent variable, the natural logarithm of the change in the price index and cash return (TEDPIX) as a market portfolio. Accordingly, the relevant data for 174 companies in Tehran stock exchange were extracted daily for the period 1385-1394. After analyzing and checking the data in OXmetrics software and examining the models using three criteria, RMSE، MAE & TIC, the results showed that the ARFIMA-FIGARCH model had the least error in terms of all three criteria, which indicates the efficiency of the model in the systematic risk beta estimation.

https://amf.ui.ac.ir/article_23535_6e82a68f0d52628cbeb109824291d5e3.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Analysis of Investors’ Reaction to Unexpected Earnings Under Market Uncertainty Analysis of Investors’ Reaction to Unexpected Earnings Under Market Uncertainty 41 56 23630 10.22108/amf.2018.104187.1116 FA Narges Hamidian P.H.D Student of Accounting, Faculty of Administrative Sciences and Economics, University Of Isfahan, Iran Mahdi Arabsalehi Accounting department, Faculty of Administrative Sciences and Economics, University Of Isfahan, Iran Hadi Amiri Assistant Professor of Economy, Faculty of Administrative Sciences and Economics, University Of Isfahan, Iran Journal Article 2017 05 20 Objectives: Under uncertainty, investors do not have enough information about the firm's future cash flows and there is ambiguity about future state of the market. In this situation, according to Bayes' rule, when the market receives information signals (such as firms’ earnings announcements), it may reduce uncertainty and results in more investors' reaction to earnings announcement. The purpose of this study is investigating investors' reaction to unexpected earnings under market uncertainty. Method: For doing so, a sample of 162 companies listed in the Tehran Stock Exchange in the period 1384 to 1394 have been selected. Two methods (the computational formula and GARCH method) were used for calculating market uncertainty. Results: The results of hypotheses test indicated when market uncertainty is high (compared to lower uncertainty), investors’ reaction to earnings announcement is more. Also, under high market uncertainty, investors display more reaction to bad news that this response is consistent with the conservatism approach. Objectives: Under uncertainty, investors do not have enough information about the firm's future cash flows and there is ambiguity about future state of the market. In this situation, according to Bayes' rule, when the market receives information signals (such as firms’ earnings announcements), it may reduce uncertainty and results in more investors' reaction to earnings announcement. The purpose of this study is investigating investors' reaction to unexpected earnings under market uncertainty. Method: For doing so, a sample of 162 companies listed in the Tehran Stock Exchange in the period 1384 to 1394 have been selected. Two methods (the computational formula and GARCH method) were used for calculating market uncertainty. Results: The results of hypotheses test indicated when market uncertainty is high (compared to lower uncertainty), investors’ reaction to earnings announcement is more. Also, under high market uncertainty, investors display more reaction to bad news that this response is consistent with the conservatism approach.

https://amf.ui.ac.ir/article_23630_187f58923f0c6fa107ee80b8db0d850b.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models 57 82 23828 10.22108/amf.2018.107307.1189 FA Mojtaba Biek Khormizi Financial Engineering, Faculty of Industrial Engineering, Islamic Azad University, South Tehran Branch, Iran Meysam Rafei General Economic Affairs,Faculty of Economics, Kharazmi University, Tehran, Iran Journal Article 2017 10 19 Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. Method: Applying criteria information, this study shows that the best model for measuring the volatility of coin’s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short- and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. Resutls: Our findings indicate that asymmetry evaluation and long-term memory of return volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market. Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks. Method: Applying criteria information, this study shows that the best model for measuring the volatility of coin’s futures return, during the period 2013/12/17 to 2016/10/27, is MA(1)-FIAPARCH-CHUNG (2, d, 1). According to the applied model, the VAR, for short- and long-term positions, was calculated and, then, to confirm the accuracy of the applied VAR, Kupic test was run. Resutls: Our findings indicate that asymmetry evaluation and long-term memory of return volatility can ensure a more accurate VAR model which enhances the quality of the risk management process in the Tehran Futures Market.

https://amf.ui.ac.ir/article_23828_81700a5cdbe048fabeab12acf8a13876.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias 83 104 23223 10.22108/amf.2018.108403.1212 FA Golamhossein Asadi Associate Professor, Department of Financeial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshty University, Tehran, Iran Maryam Davallou Assistant Professor, Department of Financeial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshty University, Tehran, Iran 0000-0003-3321-1165 Sobhan Eskini Ph.D. Candidate, Department of Financeial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshty University, Tehran, Iran Journal Article 2017 12 21 Objective: According to empirical financial studies, a momentum investment strategy can lead to excess returns in the medium term. One of the driving factors of momentum return is adjustment and anchoring bias. Investors’ anchor to reference point price and consequent price adjustment drive momentum in price trends. In this research, based on reference points price stated by literature, Momentum investment strategies are investigated. Method: Using portfolio study and studying 108 firms listed in Tehran Stock Exchange over the period from 2007 to 2017 (1386-1395 in Solar Hijri-Iranian calendar), the study has been conducted. Results: Results indicate that investors, applying adjustment and anchoring bias, select reference points based on price extremes up to one year (especially high 26 week price) more than other reference point’s prices as anchor, generating then momentum return by this adjusted price. Furthermore, the results of the regression analysis revealed that with risk adjustments and applying other control variables, this return is robust and statistically significant. Objective: According to empirical financial studies, a momentum investment strategy can lead to excess returns in the medium term. One of the driving factors of momentum return is adjustment and anchoring bias. Investors’ anchor to reference point price and consequent price adjustment drive momentum in price trends. In this research, based on reference points price stated by literature, Momentum investment strategies are investigated. Method: Using portfolio study and studying 108 firms listed in Tehran Stock Exchange over the period from 2007 to 2017 (1386-1395 in Solar Hijri-Iranian calendar), the study has been conducted. Results: Results indicate that investors, applying adjustment and anchoring bias, select reference points based on price extremes up to one year (especially high 26 week price) more than other reference point’s prices as anchor, generating then momentum return by this adjusted price. Furthermore, the results of the regression analysis revealed that with risk adjustments and applying other control variables, this return is robust and statistically significant.

https://amf.ui.ac.ir/article_23223_5c78a95b6560e4c5f31310144a5710c3.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 Disciplining Role of Debts, Information Asymmetry, and Firm Value: Two-Step Generalized Methods of Moments Disciplining Role of Debts, Information Asymmetry, and Firm Value: Two-Step Generalized Methods of Moments 105 122 24312 10.22108/amf.2019.115793.1390 FA Abbas Aflatooni Assistant Professor of Accounting, Department of Accounting, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamedan, Iran. Journal Article 2019 03 06 Objective: According to the pecking order theory, in the context of information asymmetry, debt financing can decrease the adverse selection costs, increase the firm value, and serve as a financial disciplinary device. The main objective of this research is to investigate the effect of the disciplinary role of leverage on the relationship between information asymmetry and firm value. Method: For hypotheses testing, this paper uses data for 148 firms listed in Tehran Stock Exchange that are selected, using systematic deletion, during 2007-2017. To control the potential endogeneity of leverage ratio which can create a reverse causality between firm value and leverage ratio, our models are estimated by using the two-step generalized method of moments (GMM) estimator. Results: The results indicate that the information asymmetry and the leverage ratio have a negative and significant effect on the firm value, and the negative relationship between information asymmetry and firm value is weakened by leverage ratio. Besides, the results reveal that the negative effect of information asymmetry on the firm's value is stronger (weaker) for firms with higher (lower) growth opportunities. These findings are consistent with the predictions of the pecking order theory. Innovations: Internal studies have not scrutinized the interaction between information asymmetry and leverage ratios in influencing firm value. Likewise, the issue of endogenous bias resulting from the inverse causality of leverage ratio has never been addressed. In this study, in addition to considering the above two issues, the intensity of the relationship between information asymmetry and firm value in companies with high and low growth opportunities is compared. Objective: According to the pecking order theory, in the context of information asymmetry, debt financing can decrease the adverse selection costs, increase the firm value, and serve as a financial disciplinary device. The main objective of this research is to investigate the effect of the disciplinary role of leverage on the relationship between information asymmetry and firm value. Method: For hypotheses testing, this paper uses data for 148 firms listed in Tehran Stock Exchange that are selected, using systematic deletion, during 2007-2017. To control the potential endogeneity of leverage ratio which can create a reverse causality between firm value and leverage ratio, our models are estimated by using the two-step generalized method of moments (GMM) estimator. Results: The results indicate that the information asymmetry and the leverage ratio have a negative and significant effect on the firm value, and the negative relationship between information asymmetry and firm value is weakened by leverage ratio. Besides, the results reveal that the negative effect of information asymmetry on the firm's value is stronger (weaker) for firms with higher (lower) growth opportunities. These findings are consistent with the predictions of the pecking order theory. Innovations: Internal studies have not scrutinized the interaction between information asymmetry and leverage ratios in influencing firm value. Likewise, the issue of endogenous bias resulting from the inverse causality of leverage ratio has never been addressed. In this study, in addition to considering the above two issues, the intensity of the relationship between information asymmetry and firm value in companies with high and low growth opportunities is compared.

https://amf.ui.ac.ir/article_24312_b1042fabc61663930f7f0c068b1dec03.pdf

University of Isfahan Journal of Asset Management and Financing 2383-1189 8 1 2020 03 20 A Study on Stock Price Informativeness Model based on the Role of Managers’ Reputation Motivation (Evidence from the Companies Listedin Tehran Stock Exchange) A Study on Stock Price Informativeness Model based on the Role of Managers’ Reputation Motivation (Evidence from the Companies Listedin Tehran Stock Exchange) 123 136 24388 10.22108/amf.2020.118068.1444 FA Majid Montashery PhD candidate of financial engineering, Faculty of Management, Yazd University, Iran Daryush Farid Associate Professor of Accounting and Finance, Faculty of Management, Yazd University, Iran Journal Article 2019 08 07 Objectives: Informativeness by companies is of great importance for managers to transfer information about financial performance to investors, creditors and other stakeholders, and is one of the significant reasons for requesting information on stock prices, informativeness issues, and information asymmetry. Several factors affect the transparency and informativeness of stock prices – including managers’ reputation motivation– which results from their potential effort to display the benefit of operation in terms of goals such as credibility and trust-building. Method: Thus, the purpose of this study is to explain the effect of managers' reputation motivation on stock price disclosure. To do so, the evidence of 910 firm-year (130 companies for 7 years), collected from annual financial reports of companies listed in Tehran Stock Exchange from 2011 to 2017, was tested. Results: Research findings show a significant relationship between the managers' reputation motivation and stock price disclosure. Further, the size of the company has a positive and significant impact on stock price disclosure. Objectives: Informativeness by companies is of great importance for managers to transfer information about financial performance to investors, creditors and other stakeholders, and is one of the significant reasons for requesting information on stock prices, informativeness issues, and information asymmetry. Several factors affect the transparency and informativeness of stock prices – including managers’ reputation motivation– which results from their potential effort to display the benefit of operation in terms of goals such as credibility and trust-building. Method: Thus, the purpose of this study is to explain the effect of managers' reputation motivation on stock price disclosure. To do so, the evidence of 910 firm-year (130 companies for 7 years), collected from annual financial reports of companies listed in Tehran Stock Exchange from 2011 to 2017, was tested. Results: Research findings show a significant relationship between the managers' reputation motivation and stock price disclosure. Further, the size of the company has a positive and significant impact on stock price disclosure.

https://amf.ui.ac.ir/article_24388_7c869bcc85337c2ad785af950b2ce2d3.pdf