Sharif Digital Repository

Despite having major advantages such as expert management, economy of scale and lower analysis costs for investors, the mutual funds may still underperform (at suboptimal levels) due to factors like information asymmetry between fund managers and unitholders along with the difficulties involving assessment of manager's performance by investors. So the conflict of interest between the manager and unitholders propels them towards deciding to manipulate the risk measure of the fund for reasons other than the maximization of profits for unitholders by shifting risk level of the portfolio. For instance, the promise of non-linear growth in attracting money by obtaining a considerable ranking... 

In the present study, the factors that affect the IPO underpricing in the Tehran Stock Exchange are investigated. We define the variables of IPO percentage, age and size of companies, dummy variable for rounded IPO prices, market return in a month before the initial public offering, average return of IPOs that had been done during one month before the IPO of each ticker and the dummy variable for industrial group in which the company is located. We had to calculate the initial return of 246 companies that were offered in the years 1380 to 1395. In this study, due to the existence of a daily stock price volatility constraint, a new algorithm was introduced to calculate the dependent... 

In contrast to the Modigliani and Millers’s theory which states that dividends do not affect the return of the companies, many of findings illustrate the importance of dividends for the stockholders. This is the subject of the present research which is run by the statictic test and the Fama & French three factor model in two regular and modified versions based on the data which is driven from the Iran’s stock market. What is seen is that the return of the stock for the companies which make dividends is more than the companies which do not pay dividends for their stockholders. In addition, the results show that the return of the companies which offers dividend to their stockholders is more... 

Daily price limits are boundaries that regulators impose to control daily volatility in stock market. This paper studies the impact of an imposing price limit in Tehran Stock Exchange. To this end we use all the data about companies which were accepted in stock exchange and fara-stock exchange in 1392.In this year the price limit imposed on companies in stock exchange and fara-stock exchange are 4 and 5 percent respectively. Therefore, to estimate the effect of price limit we use the propensity score matching method and inverse probability weighting.The results indicate no significant differences between returns and trade volume between 4% and 5% price limits, but a significant difference... 

Price limits are boundaries established by market regulators to confine daily movements of security prices within a predetermined price range. In this study, we have used the data of trades of all companies listed in the Tehran Stock Exchange during the years 1385-1393 to study the characteristics of stocks that hit price limits repeatedly using a panel regression model with fixed effects and the generalized method of moments (GMM). In fact, this study aims at investigating the price limits in Tehran Stock Exchange by a novel and distinct approach. In general, risky stocks exhibit more price volatility and thus are more likely to experience price-limit hits. In summary, the results reveal... 

This dissertation presents a method for policy Evolution in financial markets and analysis of the performance market risk models. To investigate the effect of economic policy, transaction costs in Tehran Stock Market (TSE) and reaction of a specific bank in the face of an internal policy change has been considered. In the first paper as first chapter of the thesis, we propose a new method for calculating the value at risk of stock prices in presence of price limit set up in the Tehran stock market and comparing its performance with other classical models. Because the results of classical models in VaR do not consider the effect of circuit breakers, the provided methodology and the proposed... 

P/E ratio is studied in four levels in this study:
1)Macroeconomics level
2)Capital market level
3)Industry level
4)Company level
The first level studies effects of macroeconomics variables on P/E ratio. At this level we use variables such as economic growth, inflation, exchange rate, and etc.The next level uses capital market variables such as market volume, and IPO information.The third level that we study in this research is industry level. Stocks of an industry generally behave similar, because they have common advantages and disadvantages, thus industry is an effective factor on P/E ratio.The last level studies financial statements and internal features of a... 

Based on modern finance theory, valuation should not depend on nominal stock prices. However, evidence shows that the nominal price of stocks does matter in the U.S. stock market. In this paper, we examine the effect of nominal share prices on stock returns, using data between 2009 and 2017 form the Tehran Stock Exchange. Our results indicate that there is no significant relationship between nominal price and return on the Tehran Stock Exchange. By controlling for different important variables, the return differential between high price and low price stocks is insignificant and the results are robust to various specifications and tests. Furthermore, by using event study under the market... 

In this thesis, performance of share stocks after Initial Public Offering has been investigated. According to the findings, underpricing and long-term underperformance phenomena have been witnessed in Tehran Stock Exchange and this conforms with the findings of researches in other markets. This study also showed that there is no meaningful difference between private and state-owned offerings in terms of short-term and long-term performance and, in disagreement with the results of similar studies in other stock markets, long-term return of state-owned offerings is less than market return in the same period. Furthermore, this study revealed that amongst various characteristics of offerings,... 

Portfolio is a collection of different stocks for investment. The investors' objectives in portfolio formation are to get the highest return against exposure to the lowest risk. Portfolio Optimization Problem is one of the most complicated problems in investment and finance. It may be simply explained as follows: Let's imagine a set of N stocks for selection. We would like to see what percentage of the total amount of investment should be dedicated to each stock to maximize portfolio's total return and minimize its total risk.
Portfolio Optimization Problem is a NP-Hard problem and generally there exists no polynomial-time deterministic algorithm to find a precise solution to such a... 

There are different kinds of ownership structures. In every economy special kinds of these structures are common. These structures include Pyramidal ownership, cross-ownership, etc. These structures empower shareholders to make a gap between their cash flow right and ownership right in a special firm so they could control more firms with the same capital. These structures have their pros and cons, like the internal capital market and tunneling. Of important factors affecting these structures are Legal protection of minor shareholders, shareholder concentration, and largest shareholder. In this research, we find that, unlike most countries, there is a negative relationship between a firm's... 

The Contagion of markets to each other, due to their role in the occurrence of financial crises and the transmission of shocks, is an important topic in the financial literature. In this dissertation, we study this issue by examining the number of positive and negative co-exeedances in the oil market and Tehran Stock Exchange. The data examined are the daily time series of Tehran Stock Market Index and Oil Prices (WTI) in the period of 2009 to 2019.First of all we find the time cut-off rate of the daily returns of the stock indexes of different industries and of oil prices, using the generalized Pareto distribution (GPD). Then we count the number of days when the returns have negative or... 

Using the data of the Tehran Stock Exchange, we analyze the characteristics and explanatory factors of major intra-group and out-of-group transactions and test the tunneling hypothesis in intra-group transactions. We find that out-of-group transactions can be largely explained by changes in control or management, firm size, and the type of the firm. However, intra-group transaction properties mostly depend on the difference between the parent company's cash flow rights in the buyer and seller companies. Also, in the final analysis, we conclude that many intra-group transactions are made to change the structure of the business groups, especially when investment companies buy shares of listed... 

The issue of spending companies' resources on marketing measures, due to the lack of a proper mechanism to explain the impact and role of these measures has always been one of the most challenging problems for many stakeholders of companies, especially managers. In this study, we have tried to explain the relationship between marketing costs and credit policies with the financial performance of companies by examining the information published by companies listed on the Tehran Stock Exchange. In this study, the required information was collected from the sources of valid tools and then, using statistical methods, regression models that express the relationship between variables were... 

We investigate order book events impacts on price movement, using the 31 stocks from the Tehran Stock Exchange. We show that in a low-depth market the mid-price change is explained mainly by a linear relationship with our proposed explanatory variable, modified order flow imbalance that represents the depth-adjusted differences of first level orders volumes in different sides of order book. Our results shows that the bid and ask spread has a negative effect on the power of events to move the price  

Price manipulation can lead to lack of transparency and impair proper functioning of financial markets. On the Tehran Stock Exchange, there is ample anecdotal evidence that some blockholders try to manipulate the price before the block transactions to change the share price significantly. In this paper, we provide empirical evidence that in intergroup block trades, blockholders tend to buy shares before the trade date or engage in round-trip transactions to increase the block shares price. No such evidence is found in intragroup transactions and other explanations such as market reaction to a change in corporate ownership seem more plausible than price manipulation. In addition to the... 

Price to earnings ratio is one of the most used ratios in financial markets for valuation of firms in the Iran and world. In present research for analysis of this ratio,investors’ sentiment alongside fundamental factors affecting price to earnings ratio has been investigated. Fundamental factors affecting this ratio are selected based on prior research and economics theory; these factors are, dividend ratio, growth,risk and inflation. For the analysis of investors’ sentiment, eight proxies related to sentimental behavior have been utilized; among them, four are introduced and used for the first time in this research. Implementing these eight sentimental proxies, a variable measuring... 

The objective of this study is to explore the relationship between the stock price volatility and dividend policy (dividend yield and dividend payout ratio) for the Iranian stock market. According to the studies of Baskin (1989) and Allen and Rachim (1996), the fixed effect and random effect regression models are applied in this research. The sample of data is composed of 200 public firms which are listed on the Tehran Stock Exchange (TSE) and paid dividends continuously from 2010 to 2020. The results indicate that the dividend policy has a significantly negative relationship with the stock price volatility. In addition, the Size of the company is negatively related to the stock price... 

We study intraday patterns of trading volume, size, return, and volatility using the Tehran Stock Exchange high frequency data from 2008 to 2015. Intraday test results indicate that trade size and volume follow a J-shape behavior, whereas return and return volatility exhibit an L-shape pattern. To examine the behavior of informed traders as predicted by Barclay and Warner’s (1993), we examine midsize volume and find that it has a higher price impact compared to other trade sizes, which is consistent with the predictions of Barclay and Warner’s (1993) stealth-trading hypothesis. However, our findings do not support the intraday stealth trading pattern, as insiders prefer to trade in low and... 

This thesis analyses the relationship between performance and capital structure of listed companies in the Tehran stock exchange. For examining this relationship, we use trade-off theory. This theory states that using debt comes with some benefits and costs for the company. If this theory holds true, we expect that in a low debt capital structure, as a result of benefits of using debt surpasses the costs of it, the relationship between debt and performance should be positive and in a high debt capital structure, as a result of costs of using debt surpasses the benefits of it, using more debt should have negative relationship with performance. For examining this relationship, we first gather...