دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Establishment of a Non-Linear Financial Network Based on its Typological Characteristics Based on Graph Theory (A Study in Tehran Stock Exchange) ایجاد شبکه مالی غیرخطی مبتنی‌بر ویژگی مکان‌شناختی آن برمبنای نظریۀ گراف (مطالعه‌‌ای در بورس اوراق بهادار تهران)1 1 22 24807 10.22108/amf.2020.122895.1538 FA مجید منتشری دانشجوی دکتری مهندسی مالی، گروه حسابداری و مالی، دانشکده مدیریت دو، دانشگاه یزد، یزد، ایران حجت الله صادقی گروه حسابداری ومالی، دانشکده مدیریت ، دانشگاه یزد، یزد، ایران 0000-0001-5852-4198 Journal Article 2020 05 10 Abstract The ‎purpose of this study is to introduce a financial network based on non-‎linear relationships between ‎stocks to optimize the portfolio of ‎investors,identify the leaders of the Iranian stock market using ‎centrality ‎criteria‏ ‏and finally clustering non-linear financial network.In this study,the top ‎‎100 ‎companies listed on the stock exchange with the highest capital registered ‎in the 11-year period ‎‎(December 2009 to January 2020) were selected.The results show that ‎according to the degree ‎centrality, the stocks of Sepahan Cement,Omid Capital ‎Financing,and Omid ‎Investment,according to the criterion of closeness centrality‎‎,Ghadir investment ‎stocks, investment of National Development and Khuzestan Steel, ‎According ‎to the closeness centrality,Ghadir investment stocks,National Development ‎‎and Khuzestan Steel Investment Group, according to the betweenness ‎centrality,Ghadir ‎Investment stocks, Sepahan Cement and National ‎Development Investment and ‎according to the bottleneck centrality, the stocks ‎of Khuzestan Steel,Sepahan Cement ‎and International Building Development ‎have the most impact on the stock market and were ‎identified as market ‎leaders. To categorize the top stocks, the fast greedy algorithm was used, in ‎‎which the network was divided into 11 clusters, and each of these clusters ‎represents the largest ‎relationship between the shares of companies in the ‎financial network. ‎ Introduction: A stock portfolio is a collection of the best stocks in which each stock has a certain return and risk. What is very important in forming a portfolio with the least amount of risk is to find stocks that have the least amount of relationship with each other. In order to examine the relationship between the stocks of different companies and consequently the selection of the optimal stock portfolio, there are different methods and techniques that can be used. One of the best techniques for identifying and selecting the optimal portfolio of diversified stocks is to identify the relationship and correlation and then clustering between different stocks and grouping them based on the important factors that investors consider for investing. Using this technique, stock selection and the formation of an optimal portfolio of different groups is done, which in addition to being able to solve the problem of expected returns of investors, also the problems caused by the investment risk in the stock market can be solved. One of the most important problems in modern financial discussions is finding efficient methods for presenting and summarizing data produced by the stock exchange, and this information is displayed in thousands of forms, each of which separately represents the price movement of each stock. As the number of stocks increases, the analysis of these forms will become more complex According to recent research, the complex network method is highly recommended for visualizing and summarizing stock data and examining the relationship between stock prices. Using complex network analysis, a clear picture of the internal structure of the stock exchange can be provided Analyzing stock market statements, examining how they evolve over time, and describing patterns within the stock market are important and useful for developing and designing investment strategies. Therefore, the purpose of this study is to create and introduce a financial network based on stock relationships in companies listed on the Tehran Stock Exchange, which will be provided by a minimum spanning tree. This network will be examined by the centrality measures and among the stocks of companies, top stocks and stock market leaders will be examined according to different measures, and finally the top stocks clustered will help to investors in order to optimize the portfolio and maximize Investment profit. Method and Data: The present study is applicable in terms of purpose, quantitative in terms of implementation process, retrospective and post-event in terms of time. R software is used to analyze data. The daily data of 100 companies that had the most market capital in Tehran Stock Exchange were received in 243 working days from "Tehran Stock Exchange site" from 2009 to 2019. This data corresponds to 11 solar years that have been selected as a sample to make a spanning tree and compare companies based on them. The financial network was converted to logarithmic returns using adjusted closing price. The concepts of graph theory and prim algorithm were used to explore the relationships and distances between stocks to construct a minimum spanning tree. Findings: The Findings show that ‎according to the degree centrality, the stocks of Sepahan Cement Companies, Omid Capital ‎Financing, and Omid Investment Management, according to the criterion of closeness centrality ‎‎, Ghadir investment stocks, investment of National Development Group and Khuzestan Steel, ‎According to the closeness centrality, Ghadir investment stocks, National Development Group ‎and Khuzestan Steel Investment Group, according to the betweenness centrality, Ghadir ‎Investment Company stocks, Sepahan Cement and National Development Investment and ‎according to the bottleneck centrality, the stocks of Khuzestan Steel Company, Sepahan Cement ‎and International Building Development have the most impact on the stock market and were ‎identified as market leaders. To categorize the top stocks, the fast-greedy algorithm was used, in ‎which the network was divided into 11 clusters, and each of these clusters represents the largest ‎relationship between the shares of companies in the financial network. ‎ Conclusion and discussion: This study sought to investigate the nonlinear relationship between the most valuable stocks in the stock market. In addition to creating a network to identify relationships between stocks, market leaders were also identified who can influence the network based on various measures. Finally, to optimize the stock portfolio, all stocks in the network were clustered to reduce portfolio risk. هدف: هدف این پژوهش معرفی شبکه‌ای مالی برمبنای روابط غیرخطی موجود بین سهام برای بهینه‌‌سازی سبد سهام سرمایه‌گذاران، شناسایی رهبران بازار سهام ایران با استفاده از معیارهای مرکزیت و درنهایت، خوشه‌‌بندی شبکۀ مالی غیرخطی است. روش: در این پژوهش، تعداد100 شرکت برتر پذیرفته‌شده در بورس با بیشترین سرمایۀ ثبت‌شده در دورۀ زمانی 11ساله (دی‌ماه 1388 تا دی‌ماه 1398) انتخاب شدند. نتایج: نتایج حاکی از آن است که با توجه به معیار درجۀ مرکزیت، سهام سیمان سپاهان، تأمین سرمایۀ امید و سرمایه‌‌گذاری امید، با توجه به معیار مرکزیت نزدیکی، سهام سرمایه‌‌گذاری غدیر، سرمایه‌‌گذاری توسعۀ ملی و فولاد خوزستان، با توجه به معیار مرکزیت بینابینی، سهام سرمایه‌‌گذاری غدیر، سیمان سپاهان و سرمایه‌‌گذاری توسعۀ ملی و با توجه به معیار مرکزیت تنگنا سهام فولاد خوزستان، سیمان سپاهان و بین‌المللی توسعۀ ساختمان بیشترین تأثیرگذاری را در بازار سهام دارند و در جایگاه رهبران بازار شناسایی شدند. برای خوشه‌‌بندی سهام برتر از الگوریتم سریع حریصانه استفاده شد که در آن شبکه به 11 خوشه تقسیم شد و هریک از این خوشه‌‌ها نشان‌‌دهندۀ بیشترین ارتباط موجود بین سهام شرکت‌‌ها در شبکۀ مالی است.

https://amf.ui.ac.ir/article_24807_0e9fd5e1bdc89dc292cc1f6394a155ab.pdf

دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Investigating the Relationship between Corporate Risk-Taking and stock Liquidity with Firm Value بررسی رابطۀ بین ریسک‌پذیری شرکت و نقدشوندگی سهام با ارزش شرکت 23 40 25525 10.22108/amf.2021.122474.1529 FA مجتبی گل محمدی شورکی استادیار حسابداری، گروه مدیریت، دانشکده علوم انسانی، دانشگاه میبد، ایران Journal Article 2020 04 13 Objective: Measuring project risk and its relationship to returns is one of the key factors in investment decisions. In such a way that avoiding risk and also excessive risk-taking ultimately affects the value of the company. The main purpose of this study is to investigate the relationship between corporate risk-taking level and firm value. Also, the relationship between stock liquidity and firm value has been studied. Method: To test the research’s hypotheses, 156 companies listed on the Tehran Stock Exchange between 2014 and 2018 have been studied. The cross-sectional data were analyzed by correlation method and using a regression model. Results: The research results show that corporate risk-taking has a positive and significant relationship with firm value. However, different liquidity proxies show different results. As the stock turnover ratio, Amihud liquidity ratio and the percentage of free-floating stocks have no significant relationship with firm value, but the firm's liquidity rating has a positive and significant relationship with firm value. Also, the results show that stock liquidity does not modify the relationship between risk-taking and firm value. Innovation: In local (Iranian) researches, the relationship between corporate risk-taking and company value has not been studied. Also, the model introduced to measure the corporate's risk-taking has not been used in internal researches yet, and instead of using financial data (standard deviation of stock returns), accounting data has been used to explain the corporate risk-taking. Introduction: Risk-taking plays an important role in maintaining companies' competitive advantage and can lead them to higher economic growth. The financial literature in this field also shows that stock returns are affected by non-systematic risk (Nguyen, 2011). Previous studies have shown that the willingness of entrepreneurs to take risks in pursuit of profitable opportunities is an essential part of long-term economic growth (John et al., 2008). In this regard, several previous studies have shown that risk-taking increases the firm value on average (Jensen and Meckling, 1976; Shin and Stulz, 2000; Imhof and Seavey, 2014). On the other hand, stock liquidity has been introduced as one of the main factors of determining firm value (Fang et al., 2009; Gao et al., 2019). Managers who do not consider stock liquidity finance at a high cost of capital rates and miss out on appropriate investment opportunities (Butler et al., 2005). In Addition, stock liquidity by reducing the cost of capital and agency costs between shareholders and managers provides the basis and leads companies to invest in risky projects and this increases the level of corporate risk-taking of these companies (Hsu et al., 2018). In this line, the present study has made an attempt to assess the effect of corporate risk-taking on firm value. In previous studies in Iran, the effect of various factors on risk-taking has been studied; in other words, corporate risk-taking has been studied as a dependent variable. However, this study seeks to examine the effect of corporate risk-taking on firm value by considering corporate risk-taking as an independent variable. Also, in previous studies, the deviation of the stock return criterion has been introduced as a proxy of risk-taking. But it is desirable to use a proxy that shows the direct risk-taking behavior of managers. In other words, it is better to use the standard deviation of (accounting) earnings as a proxy. Method and Data: We selected our sample from all firms listed on the TSE during the 2015-2019 period after excluding financial and insurance firms and also firms with missing data for our models. The shares of the studied firms have been actively traded during the research years (do not stop trading for more than 3 months). Our final sample consists of 780 firm-year observations from 156 firms. We extracted our data from the Comprehensive Information System of Listed firms (CODAL) databases. Multivariate linear regression was used to examine the research hypotheses. Findings: The corporate risk-taking coefficient (as an independent variable of the first hypothesis) is positive and significant. In other words, the positive relationship between risk-taking and firm value, which has been documented according to previous research, is also confirmed in the context of Iranian's financial and business environment. However, different liquidity proxies show different results. As the stock turnover ratio, the Amihud liquidity ratio and the percentage of free-floating stocks have no significant relationship with firm value, but the firm's liquidity rating has a positive and significant relationship with firm value. Also, the results show that stock liquidity does not modify the relationship between risk-taking and firm value. Conclusion and discussion: The behavioral model of agency theory states that managers are loss aversion instead of being risk aversion. Accordingly, the risk acceptance is very likely when the decision-maker expects risk-taking to lead to positive outcomes. On the other hand, if negative results are expected, risk-taking is rejected. In other words, although managers need to be risk-taker to make their firms survive, either taking too much risk or avoiding risk can threaten the survival of the firm. Briefly, adopting an appropriate level of risk-taking could increase the firm value and increase the wealth of shareholders. The results show that with increasing the level of corporate risk-taking, the firm value could also increase. This result is consistent with the results of research by Su et al., (2017) conducted in China, as well as the research by Imhof and Seavey (2014), Parino et al., (2005), and Shin and Stulz (2000). The results show that only the liquidity rank index has a positive and significant effect on the firm value but other liquidity proxies used in this study do not confirm this relationship. Moreover, none of the liquidity proxies modify the positive relationship between risk-taking and firm value. هدف: سنجش ریسک پروژه‌ها و ارتباط آن با بازده یکی از عوامل اساسی در تصمیم‌های سرمایه‌گذاری است؛ به گونه‌ای که اجتناب از ریسک و ریسک‌پذیری بیش از حد درنهایت، بر ارزش شرکت تأثیر می‌گذارد. هدف اصلی این پژوهش، بررسی رابطۀ بین سطح ریسک‌پذیری شرکت و ارزش شرکت است؛ به‌علاوه رابطۀ بین نقدشوندگی سهام و ارزش شرکت نیز مطالعه شده است. روش: برای آزمون فرضیه‌های پژوهش، تعداد 156 شرکت از شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران در بازۀ زمانی 1393 تا 1397 مطالعه شده است. داده‌ها به روش همبستگی با استفاده از الگوی رگرسیونی و مبتنی‌‌بر ساختار مقطعی و نرم‌‌افزار Eviews تجزیه و تحلیل شده است. نتایج: نتایج پژوهش نشان می‌دهد ریسک‌پذیری شرکت رابطۀ مثبت و معنی‌داری با ارزش شرکت دارد؛ با این حال شاخص‌های مختلف نقدشوندگی حاکی از نتایج مختلفی است؛ به گونه‌ای که نسبت گردش سهام، نسبت عدم نقدشوندگی آمیهود و درصد سهام شناور آزاد فاقد رابطۀ معنی‌دار با ارزش شرکت است؛ ولی رتبۀ نقدشوندگی شرکت رابطۀ مثبت و معنی‌داری با ارزش شرکت دارد؛ به‌‌علاوه نتایج نشان می‌‌دهد نقدشوندگی سهام رابطۀ بین ریسک‌‌پذیری و ارزش شرکت را تعدیل نمی‌‌کند. نوآوری: تاکنون، در پژوهش‌های داخلی رابطۀ بین ریسک‌پذیری شرکت و ارزش شرکت مطالعه نشده است؛ همچنین الگوی معرفی‌شده برای سنجش ریسک‌پذیری تاکنون، استفاده نشده و به‌جای استفاده از داده‌های مالی (انحراف معیار بازده سهام) از داده‌های حسابداری برای تبیین ریسک‌پذیری استفاده شده است.

https://amf.ui.ac.ir/article_25525_00a68cdf1d81e383fc73cd929e583f2d.pdf

دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Estimating Financial Stress in Iran's Economy: Emphasizing Its Consequences for Managing Business and Family Assets برآورد تنش مالی در اقتصاد ایران با تأکید بر پیامدهای آن برای مدیریت دارایی‌های بنگاه و خانوار 41 62 25023 10.22108/amf.2020.123729.1553 FA فرزام عمادی فر دانشجوی دکتری،گروه اقتصاد، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، واحد یزد، یزد، ایران زهره طباطبایی نسب استادیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، واحد یزد، یزد، ایران سید یحیی ابطحی استادیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، واحد یزد، یزد، ایران جلیل توتونچی استادیار، گروه اقتصاد، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، واحد یزد، یزد، ایران Journal Article 2020 07 05 Introduction: Financial markets promote savings, capital accumulation, and economic growth by reducing transaction costs and information asymmetries in the economy. The growth of efficient financial markets plays a decisive role in economic growth, but it should be noted that the occurrence of a crisis in the financial markets can also lead to economic decline and in some situations to recession. One of the warning signs of a financial crisis is the financial stresses that occur in the financial markets and lead to increased uncertainty and instability in the economy. Tensions in financial markets are defined as the force influencing the behavior of economic agents in the form of uncertainty and changing expectations. Existence of financial stress in various ways such as reducing the tendency to hold non-cash and risky assets, increasing uncertainty about investor behavior, the fundamental value of assets and future economic conditions, the behavior of agents affects the economy and also hurts economic growth due to increasing information asymmetries. One of the newest indicators used to study financial markets is the financial stress index, which is calculated by combining the performance indicators of different financial markets. Method and Data: The purpose of this paper is to estimate the financial stress index at asset markets and financing in Iran’s economy from 2001 to 2017. To calculate the financial stress index, the first five main financial sectors of the country including monetary and banking sectors, currency, stock market, real estate, and credit market were selected. After selecting the parts of the financial system and presenting an index for each sector, it is time to calculate the index for each sector and then combine them to calculate the combined index. For this purpose, the specified data in the previous section for each part of the financial system have been extracted from reputable statistical sources such as the time series database of the Central Bank, the Statistics Center of Iran, and the database of the Ministry of Economy. Using the principal component analysis (PCA) method, stress-related variables are aggregated in the components of the country's financial system and the proposed financial stress index for Iran’s economy is extracted. To calculate the financial stress index, the first five main financial sectors of the country, including monetary and banking sectors, currency, stock market, real estate, and credit market were selected. For each of the mentioned segments, the sectoral financial stress indices have been calculated using the methodology used in similar foreign samples. Then, using the principal component analysis (PCA) method, stress-related variables are aggregated in the components of the country's financial system and the proposed financial stress index for Iran’s economy is extracted. These tensions can be divided into three categories: (1) from the second quarter of 2007 to the second quarter of 2008, which with the orderly reduction of bank’s interest rates by the government, the number of facilities granted to the private sector entered a downward trend. (2) From the first quarter of 2011 to the third quarter of 2013, when the exchange rate jumped due to international sanctions, the stock market and real estate fluctuated, and the facilities granted and the normal operation of the banking network began to decline. This period was accompanied by rising inflation and a credit crunch. (3) Other periods in which the behavior of the country's economy in terms of financial stress has been fluctuated around the average with relatively high financial stress due to increased private sector debt to banks and chronic inflation, but at the same time has been relatively stable. Findings: The results of studies indicate that in the period under study, Iran’s economy has experienced tense periods. During periods of financial turmoil, accompanied by disruption of credit market financing, the value of foreign exchange, real estate, and stock assets increased in the opposite direction of the monetary and credit markets. The same phenomenon can explain the tendency of companies and households to hold foreign exchange assets and stocks, as well as identifying the profits of companies from increasing the value of their land and housing assets in periods of financial stress. Conclusion and discussion: The analysis of the results shows that the tension in the credit market has a high and significant correlation (at the level of one percent) with the tension at other financial sectors of the country. In addition to the credit market, the monetary and banking market and the foreign exchange market are other important and sensitive sectors of the country's economy in which tensions are significantly correlated with other markets and affect the entire economy. A high and significant correlation at the level of one percent of tension in the foreign exchange market with the monetary and banking sector of the country indicates the impact of the monetary and banking sector on the tension in the foreign exchange market, which has shown itself many times in recent decades. بازارهای مالی با کاهش هزینه‌های مبادله‌ای و عدم تقارن‌های اطلاعاتی در اقتصاد سبب ارتقای سطح پس‌‌انداز، انباشت سرمایه و رشد اقتصادی می‌شوند. اگرچه رشد بازارهای مالی کارا نقش تعیین‌‌کننده‌ای در رشد اقتصادی دارد، باید توجه داشت که وقوع بحران در بازار‌های مالی نیز به نوبۀ خود به تنش مالی و در برخی شرایط به رکود اقتصادی می‌انجامد. هدف این پژوهش برآورد شاخص تنش مالی در بازارهای دارایی و تأمین مالی در اقتصاد ایران از سال ۱۳۸۰ تا ۱۳۹6 است. برای محاسبۀ شاخص تنش مالی ابتدا پنج بخش اصلی مالی کشور شامل بخش پولی و بانکی، ارز، سهام، مستغلات و بازار اعتبارات انتخاب شد. با استفاده از روش تکنیک مؤلفه‌‌های اصلی (PCA)، متغیرهای مربوط به تنش در اجزای نظام مالی کشور تجمیع و شاخص تنش مالی پیشنهادی برای اقتصاد ایران استخراج شده است. نتایج پژوهش از نقش تأثیرگذار تنش در بازار اعتبارات بر تنش مالی در اقتصاد ایران حکایت دارد.

https://amf.ui.ac.ir/article_25023_62abdf331135a6e41c3c50796ff9ac31.pdf

دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Analysis the effect of market anomalies and growth options on stock return تحلیل تأثیر ناهنجاری‌های بازار و فرصت‌های رشد بر بازده سهام 63 92 24656 10.22108/amf.2020.120050.1490 FA علیرضا جعفری گروه حسابداری، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران مهدی عربصالحی گروه حسابداری، دانشکده علوم اداری و اقتصاد دانشگاه اصفهان، اصفهان، ایران سعید صمدی گروه اقتصاد، دانشکده علوم اداری و اقتصاد، دانشگاه اصفهان، اصفهان، ایران Journal Article 2019 12 29 Abstract In financial markets, the effect of profitability anomaly, distress anomaly, lotterynees anomaly and idiosyncratic volatility have been investigated individually. However, the potential relationship among these anomalies have not been analyzed yet. Recently it has been raised that growth options effect on the symmetry of the return distribution function and it can describe the potential relationship among anomalies and risk premium of anomalies. This relationship has been investigated in this research by use of the statistical properties governing over third order moments of return distribution function and isolating expected idiosyncratic skewness derived from growth options. For this purpose, data of 114 companies listed in Tehran Stock Exchange were collected during 2011 to 2016. Hypotheses were tested using portfolio approach and alpha evaluation of factor models. The findings shows that there is relationship between profitability, distress, lotteryness, idiosyncratic volatility and stock return, but the common capital asset pricing models cannot explain premium risk of these anomalies. These findings confirm profitability, lotteryness, distress and idiosyncratic volatility puzzle indirectly in the capital market of Iran and show that investors can earn extra return by using these anomalies. Introduction There is evidence that various factors such as profitability, distress, lotteryness, idiosyncratic volatility are related to stock returns. There is an extensive literature on these anomalies studied as separate phenomena: the profitability anomaly (e.g., Haugen and Baker (1996), Fama and French (2006, 2015), Novy-Marx (2013), Hou, Xue, & Zhang (2015)), the distress risk puzzle (Dichev (1998), Campbell, Hilscher, and Szilagyi (2008), ), Salim, Shahriari and Fadaei Nejad (2015)), demand for lottery-like stocks (Kumar (2009), Bali, Cakici, and Whitelaw (2011)), the idiosyncratic volatility effect (Ang, Hodrick, Yuhang, and Zhang (2006)), growth options (Cao, Simin, and Zhao (2008), Trigeorgis and Lambertides (2014), Badri, Arab Mazar and Davaloo (2015)), and the skewness effect (Harvey and Siddique (2000), Boyer, Mitton, and Vorkink (2010)).Although the literature on the above anomalies is rich and extensive in its own right, the inter-linkage between idiosyncratic skewness linked to growth options and their asymmetric impact on returns via idiosyncratic skewness, and the profitability, distress, lotteryness, and idiosyncratic volatility phenomena remain essentially unexplored.Accordingly, new ideas have been formed by researchers such as Andrson Garcia-Fiejoo (2006), Trigeorgis & Lambertides (2014), Del Viva, kasanen & Trigeorgis (2017) and Bali, Del Viva, Lambertides & Trigeorgis (2017, 2019). Which claims that the origin of these anomalies is due to the real options of company, which ultimately affects the skewness of the yield distribution function. A concept that justifies the selection of non-diverse portfolios based on behavioral considerations, in contrast to the Markowitz portfolio optimization paradigm.In the other words, in this research examine how various stock market anomalies are related, namely whether idiosyncratic skewness arising from growth options is related to the profitability anomaly, the distress anomaly, demand for lottery-like stocks and the idiosyncratic volatility puzzle. Material & Methods The statistical population of the study is companies listed on the Tehran Stock Exchange that have been listed from 2011 to 2017. Not to be part of financial intermediation companies (banks, investments and insurances) and in order for the information to be comparable, the financial year of the company should be the end of March. No trading interval of more than three months and have at least 15 trading days during a period of one month. Do not have a negative equity value. Based on this, 114 companies have been selected and hypotheses tested. Due to the nature of the research, the library method was used to explain the theoretical foundations and research literature. In this regard, the necessary information was collected through books, specialized magazines and related websites. To collect the required data from the documentation method data related to the total index of Tehran Stock Exchange (TIPEX) from the database of Tehran Stock Exchange and data related to daily stock trading information of selected companies through TSE Client software version 2 and Rahavarde Novin software was collected.In the first step, idiosyncratic skewness is regressed on growth opportunities and other growth determinants such as profitability, asset growth and its interrelationship with distress, lotteryness and idiosyncratic risk. Then, using the estimated coefficients obtained in this step, expected idiosyncratic skewness, E[is]GO, specifically attributed to growth options is calculated and its effect on future returns is investigated in Fama & Mc Beth (1973) cross-sectional regression framework. Next, to analyze the anomalies caused by profitability, distress, lotteryness and idiosyncratic risk in the three-factor models of Fama and French (1993), four-factor Carhart (1997), the hybrid model including market risk factor, size and value of the model. The three factors of Fama and French (1993), Pastor & Stambaugh (2003) liquidity risk and the skewness factor made in this study are discussed. This factor analyzes the internal relationship between the aforementioned anomalies using the statistical properties governing the higher moments of the stock return distribution function. Finding Findings shows that the difference between the 10th (High) and 1st (Low) decile in the three-factor model of Fama and French (1993) for profitability of about 0.017 percent and for the lotteryness of about 0.14 percent, these differences are significant at the 1% level. In Carhart's four-factor model, these differences increased by about 0.016 percent for profitability and about 0.143 percent for lotteryness. These differences are significant at the 1% Level. In the first hybrid model, it is about 0.016 percent for profitability and about 0.142 percent for lotteryness, which is also statistically significant. This significant relationship shows that profitability and lotteryness are anomalies that exist in the economic environment and the capital market of Iran and cannot be explained by common pricing models. With the inclusion of the expected idiosyncratic skewness, E[is]GO, specifically attributed to growth options in the first hybrid model, the difference in coefficients for profitability test assets increased to about (0.019%) and for lotteryness to about (0.15%) and for idiosyncratic risk to about (0.0158) percentage increased, which is also statistically significant. For distress, about (0.0057) percent decreased, which is not statistically significant. This evidence shows that the expected specific skewness factor resulting from growth opportunities is not able to explain merely due to the anomaly of profitability, lotteryness and idiosyncratic risk, and can only explain this anomaly in the case of financial distress. This evidence indirectly shows that in the economic environment of Iran, there is a riddle of profitability, lotteryness and idiosyncratic risk, and investors can have different returns by choosing an investment strategy based on these anomalies. As Badri et al. (2014) state, economic theories regarding the direction of skew pricing are silent. In a way that it is not possible to determine based on the existing theoretical foundations what it should be like to change the third order and output torque. It may be argued that this is due to the fact that it is not possible to determine whether investors see the skewness of the distribution of returns as a sign of improved or deteriorating investment opportunities. Conclusions & Results Based on the results of research hypotheses, it is suggested to investors to evaluate the future performance of companies, to pay attention to the existence of market anomalies including profitability, unsystematic risk, lottery, financial helplessness and growth opportunities and react more carefully to changes in these characteristics. And seek the help of financial analysts in making investment decisions. In forming their portfolios according to their utility function and degree of risk aversion; Use stocks whose yield distribution is skewed. It seems that despite these anomalies, financial market participants can use these anomalies as additional trading strategies to gain additional returns. It is expected that the prevalence of anomalies over time will decrease them and eliminate excess returns for investors. در بازارهای مالی اثر هر یک از ناهنجاری‌های سودآوری، درماندگی مالی، بخت‌آزمایی و ریسک غیرسیستماتیک بر بازده سهام به‌تنهایی بررسی شده است؛ اما ارتباط احتمالی آنها نامشخص است. به‌تازگی این ادعا مطرح‌ شده است که فرصت‌های رشد بر تقارن تابع توزیع بازده اثر می‌گذارد و این ارتباط احتمالی و صرف ریسک ناشی ‌از این ناهنجاری‌ها را توضیح می‌دهد. در این پژوهش با استفاده از خواص آماری حاکم ‌بر گشتاور مرتبۀ سوم تابع توزیع بازده و با جداسازی چولگی ویژۀ مورد انتظار ناشی ‌از فرصت‌های رشد، این ارتباط بررسی شده است؛ بدین منظور داده‌های 114 شرکت پذیرفته‌شده در بورس اوراق بهادار تهران با رویکرد حذف سیستماتیک، بین سال‌های 1390 تا 1396 جمع‌آوری و فرضیه‌های پژوهش با رویکرد سبدبندی و ارزیابی آلفای برخی مدل‌های عاملی، آزمون شد. شواهد نشان می‌دهد بین سودآوری، درماندگی مالی، بخت‌آزمایی و ریسک غیرسیستماتیک با بازده آتی رابطه وجود دارد؛ اما مدل‌های مرسوم قیمت‌گذاری دارایی‌های سرمایه‌ای، صرف ناشی ‌از ناهنجاری‌های مذکور را تبیین نمی‌کند. این شواهد به‌صورت غیرمستقیم مؤید وجود معمای سودآوری، بخت‌آزمایی و ریسک غیرسیستماتیک در بازار سرمایۀ ایران است و نشان می‌دهد سرمایه‌گذاران با گزینش راهبرد سرمایه‌گذاری مبتنی‌بر این ناهنجاری‌ها ممکن است بازده متفاوتی داشته باشند.

https://amf.ui.ac.ir/article_24656_476888626f294525fe48f55d0c3f76b4.pdf

دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Evaluation of the Profitability of Momentum and Reversal Strategies of Industry in the Capital Market of Iran ارزیابی سودمندی استراتژی‌‌های مومنتوم و معکوس صنعت در بازار سرمایۀ ایران 93 112 24883 10.22108/amf.2020.115998.1401 FA محمد اسماعیل فدایی نژاد دانشیار، گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران. رضا فراهانی مربی، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبایی، تهران، ایران. محمد حسین آبادی کارشناس ارشد، گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران. Journal Article 2019 07 14 Abstract: Momentum and reverse strategies are two influential methods of market analysis that aim to predict future performance in different industries and to generate excess returns, applying historical information. The industry momentum claims the industries experiencing good (bad) performance in the past will provide this return in the future as well. We intend to examine the usefulness of the mentioned strategies. Moskowitz and Grinblatt (1999) focused on 20 industries and labeled three industries with the highest return as winning industries and three industries with the lowest return as losing industries. Also, Grobys and Kolari (2019) selected twentieth highest and lowest return as winning and losing industries. In this study, the statistical population includes all industries in the Tehran Security Exchange, during the years 2007 to 2017. Based on this research, a diverse set of portfolios of different industries has been examined separately for winners and losers at different times, in which the winning industries are the five industries with the highest return and the losing industries are the five industries with the lowest return. After calculating the returns of the winning and losing industries every month in 37 industries, quarterly, six-month, twelve-month, and twenty-four-month cumulative returns have been calculated as a sample and used to perform the tests. The general hypothesis of the research is that the return of the previous winner portfolios formed in the Fi period and holding in the Hj period is equal to the return of the previous loser portfolios formed in the Fi period and holding in the Hi period. The method of testing the hypothesis of this research is the test of comparing the means of two societies for two momentary and reverse industry strategies. To compare the returns of strategies, t-test and Leven variance homogeneity test were used, and to test the hypotheses, SPSS software was used. Comparison of 30 different scenarios of portfolio returns in different formation and holding periods indicates that out of 30 cases, in 22 cases the industry momentum strategy is superior, which has happened often in shorter periods. For example, during the one-month formation and holding period (F1, H1) of the portfolio, the momentum strategy at the 95% confidence level is more profitable than the reverse strategy. In addition, in 8 cases, the reverse momentum of the industry has been more useful, most of which occurred in the holding periods of one year or more. Comparisons show that, with increasing the period of portfolio formation, the returns of these two strategies are balanced and gradually in the holding periods of one year and more, the superiority of the reverse momentum strategy is evident. In total, in 8 cases, the difference in the profitability of the two strategies is significant, and in 5 cases are related to the momentum strategy, consisted of periods (F1, H1), (F1, H3), (F9, H6), (F12, H1), (F12, H3) and in other periods including (F3, H24), (F9, H24) and (F12, H24) reverse strategy had a significant advantage. The statistical sample of this study consists of 37 industries in the period from 2007 to 2017 in monthly periods, applying 60 strategies in terms of Formation and Hold of portfolios in diverse periods. To investigate the profitability of such strategies, the equality of means hypotheses and the homogeneity of variance test were examined. The results indicate that each of these approaches is superior over a certain period. In some shorter periods, the momentum of the industry has excess returns than the reverse industry; however, when the Hold period is longer than one year, the reverse strategy tends to be more profitable than the momentum strategy. In similar studies, Moskowitz and Grinblatt (1999) showed that in shorter periods, only the momentum profitability of the industry is higher. Grobys and Kolari (2019) also concluded that industry portfolios that had more returns in forming periods significantly had higher returns in the forming periods than portfolios that performed poorly in the period. The main finding of Huberg and Philips ‌ (2018) also indicates the momentum profitability of the industry. The results of the present study also reveal that in most of the shorter periods, the industry momentum has been more profitable than the industry reverse momentum, which is consistent with the results of the above researches, although this advantage is not statistically significant in all cases. Keywords: Industry momentum strategy, Industry reveres strategy, Portfolio management, Behavioral finance. Introduction: There are two important and practical strategies among individual and institutional investors, analysts and, market participants, the momentum strategy of industry and the reverse of industry. Generally, according to the momentum strategy, the positive or negative of past returns will continue for a period of the future. According to the reverse strategy, Investors are likely to make mistakes since recent price trends are reversing. In these strategies, future performance is tried to create more return by using the past, predicted performance. These strategies are opposed to the market efficiency hypothesis, as the return on stock at different times has a special behavior and investors can get more returns than market returns without bearing more risk and only by using the right investment strategy. Material & Methods: In this survey, the statistical population includes all industries in the Iranian capital market during the years 2007 to 2017. Based on the available data, a diverse portfolio of different industries of winners and losers in different times has been examined. The winner industries are the five industries that have the highest returns and the loser industries are the five industries with the lowest returns, in which the weighted average of the companies in each industry is taken into account in terms of cash inflows. The portfolio returns of past winners formed in period (F) and held in period (H) is equal to the portfolio returns of past losers formed in period F and held in period H. Of course, this hypothesis, due to the different periods F and H, includes more sub-hypotheses, each of which will be tested in this survey. Finding: Based on the comparison and test of the average returns of momentum and reverse strategies in different periods of Form and Hold, the results obtained are given in the table below. In a comparison of each scenario, the superior strategy is identified, and in cases where the average return of the strategy is significantly different at the level of 95% and 99% confidence interval, is marked with(*) and(**). Summary of strategy scenarios based on average return of portfolios H24 H12 H9 H6 H3 H1 reverse momentum momentum momentum momentum * momentum * F1 reverse * momentum momentum momentum momentum momentum F3 reverse momentum momentum momentum reverse reverse F6 reverse ** momentum momentum momentum * momentum momentum F9 reverse ** reverse momentum momentum momentum * momentum * F12 Conclusions & Results: In this study, the profitability of two momentum and reverse industry strategies is evaluated and compared. Comparison of returns of 30 different scenarios of portfolios, in different periods of Form and Hold for momentum and reverse strategy, indicates that in most of the shorter periods, industry momentum has more profitability than reverse momentum, but in higher Hold periods, with increasing Form period, these two Strategies are balanced in terms of profitability, and when the Hold period is longer than one year, the reverse momentum of the strategy is dominant. To sum it up, in 8 cases, the difference in the profitability of the two strategies is statistically significant, of which 5 cases are related to the momentum strategy and the rest are related to the reverse strategy. Compared to similar studies in other countries such as Moskowitz and Grainblatt (1999) which showed that only the momentum return of the industry is higher in shorter periods of time, The present study reveals that in the shorter periods, almost the return of momentum industry is higher than the inverse momentum. Also, Grubies and Kolari (2019) concluded that industry portfolios that performed better returns in the last period had significantly higher returns in Hold periods than portfolios that performed fewer returns in that period. Also, the main finding of Huberg and Phillips (2018) indicates the momentum profitability of the industry. The results of this study show that in most of the shorter periods, the momentum strategy of the industry has been superior, which is consistent with the results of the above research, although this superiority is not statistically significant in all cases. یکی از روش‌های تحلیل بازار، استفاده از رویکرد استراتژی‌های مومنتوم و معکوس است؛ ازجمله استراتژی‌های مومنتوم و معکوس صنعت که سعی می‌کند با استفاده از اطلاعات گذشته، عملکرد آتی را در رابطه با بازده سرمایه‌گذاری در صنعت‌های مختلف بورس اوراق بهادار پیش‌بینی و بازده بیشتر ایجاد کند؛ بنابراین مومنتوم صنعت ادعا می‌کند صنایعی که در گذشتۀ نزدیک عملکرد و بازده خوب یا بدی داشته‌اند در آینده نیز این بازده را ارائه خواهند کرد. برای بررسی سودمندی استراتژی‌های ذکرشده، جامعۀ آماری پژوهش شامل 37 صنعت در بازۀ زمانی 1386 تا 1396 در مقاطع ماهانه بوده که در 60 استراتژی در بازه‌‌های زمانی مختلف، تشکیل و نگهداری سبدها، آزمون برابری میانگین‌های سبدها و آزمون همسانی واریانس انجام شده است. نتایج حاکی از آن است که هرکدام از این رویکردها در دورۀ زمانی مشخصی، برتر است. در قالب دوره‌های کوتاه‌تر، به‌ویژه پنج دورۀ تشکیل و نگهداری یک‌ماهه و سه‌ماهه، تشکیل نه‌ماهه و نگهداری شش‌ماهه، تشکیل 12‌ماهه و نگهداری یک‌ماهه و سه‌ماهه، مومنتوم صنعت سودمندی معناداری نسبت به معکوس صنعت داشته است؛ اما در مواردی که دورۀ نگهداری طولانی‌تر ( بیش از یک سال) می‌شود، استراتژی معکوس بازده بیشتری نسبت به استراتژی مومنتوم داشته است.

https://amf.ui.ac.ir/article_24883_1754330317892de6b26e2b62332640cc.pdf

دانشگاه اصفهان مدیریت دارایی و تامین مالی 2383-1189 9 1 2021 03 21 Individual Investors’ Intensive Trading and Stock Returns: Evidence from Tehran Stock Exchange TSE بررسی ارتباط خرید و فروش پرشدت سرمایه‌گذاران حقیقی و بازده سهام در بازار سهام ایران 113 138 26009 10.22108/amf.2021.126141.1610 FA سیده الهام طباطبائی کارشناس ارشد، گروه مدیریت، دانشکدۀ مدیریت و اقتصاد، دانشگاه صنعتی شریف، تهران، ایران علی ابراهیم‌نژاد استادیار، گروه اقتصاد، دانشکدۀ مدیریت و اقتصاد، دانشگاه صنعتی شریف، تهران، ایران مسعود طالبیان استادیار، گروه مدیریت، دانشکدۀ مدیریت و اقتصاد، دانشگاه صنعتی شریف، تهران، ایران Journal Article 2021 01 19 An extensive literature going back to De Long et al. (1990) views individual investors as noise traders with low information and behavioral biases, who can move prices away from the intrinsic value. The goal of this study was to assess the interaction between individual investors and stock returns in the Iranian stock market along the following dimensions: First, the relation between the individuals’ intensive trading and the past returns was evaluated to see whether those investors were momentum or contrarian traders. Second, the predictability of subsequent short-term returns by the individual investors’ intensive trading was investigated. The individuals were found to have reacted to high past returns with more trading in the consecutive weeks. More specifically, the short-term returns of stocks could predict the eruption in the individuals’ intensive trading, but not necessarily their directions (buying or selling). However, contrary to some studies, no relation was found between the short-term returns and the individual investors’ intensive trading. در حالی که سرمایه‌گذاران حقوقی، نهادهای دارای اطلاعات مرتبط شناخته می‌شوند، سرمایه‌گذاران حقیقی دارای جهت‌گیری‌های روانی و معامله‌گران اختلال‌زا تلقی می‌شوند. در این پژوهش آثار متقابل رفتار معاملاتی (خرید و فروش) پرشدت سرمایه‌گذاران حقیقی و بازده سهام در بازار سرمایۀ ایران بررسی می‌‌شود؛ به طوری که ابتدا، ارتباط خرید و فروش پرشدت اشخاص حقیقی با بازده گذشتۀ سهامی که در آن رفتار پرشدت دیده شده است، بررسی می‌شود و اینکه آیا سرمایه‌گذاران فوق معامله‌گران مومنتوم[1] یا معامله‌گران خلاف‌گرای[2] محسوب می‌شوند. در این پژوهش از سه روش برای تحلیل داده‌ها استفاده شده است که عبارتند از: میانگین سری زمانی[3]، چینش دوگانۀ داده‌ها[4] و رگرسیون فاما مکبث[5]. یافته‌ها نشان می‌‌دهد سرمایه‌گذاران حقیقی به بروز بازده معنادار طی چند هفتۀ متوالی واکنش نشان می‌دهند و در صورتی که طی بروز این بازده‌ها در هفته‌های ماقبل هفتۀ معاملاتی پرشدت بررسی‌‌شده، افزایش قیمت بیشتری رخ دهد، تمایل آنها به فروش بیش از خرید است؛ به عبارت دیگر بازده گذشتۀ سهام قابلیت پیش‌بینی بروز رفتار معاملاتی پرشدت از سرمایه‌گذاران حقیقی را دارد؛ اما قابلیت پیش‌بینی جهت آن را ندارد؛ سپس بررسی می‌‌شود آیا این معاملات پرشدت سرمایه‌گذاران حقیقی قابلیت پیش‌بینی بازده کوتاه‌‌مدت آینده سهام را دارد که پاسخ این پژوهش منفی است. این یافته برخلاف یافته‌های پژوهش‌های اخیر انجام‌‌شده در بستر بازارهای مالی توسعه‌یافته است و نشان می‌‌دهد بازگشت بازده[6] متعاقب معاملات پرشدت سرمایه‌گذاران حقیقی انتظار می‌رود.

https://amf.ui.ac.ir/article_26009_86ed670d8a827db90f1d382f89407bcd.pdf