Sharif Digital Repository

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... 

Are the returns of the mineral companies in Tehran Stock Exchange affected by the changes in the commodity price at the Iran Mercantile Exchange? By implementing a Multi-Factor Model we will calculate the firms’ value elasticity to the commodity price changes. We try to explain the estimated elasticities on the basis of the firm’s fundamental variables using a discounted cash flow valuation model. An unbalanced panel data estimation is employed for this purpose. Afterwards, we will suggest a novel model on the ground of the assumption that the commodity prices and firm values follow the Geometric Brownian Motion. The result of the model is that the elasticity can be explained by commodity... 

In this thesis, we examine different forecasting methods to predict volatility in financial markets. Tehran Exchange Price Index (TEPIX) is adapted to forecast in short and long term periods. TEPIX is the most important index in Tehran Stock Market which is officially reported daily. Autoregressive Integrated Moveing Average models (ARIMA), Generalaized Autoregressive Heteroskedastic models (GARCH) and Artificial Neural Networks (ANN) are used for forecasting TEPIX. Spectral Analysis is also regarded as a completely new approach in financial mathematics to forecast TEPIX in short and long term periods. We consider different criteria to compare the performance of different methods of... 

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... 

This thesis firstly studies the parameters affecting P/E ratio. These parameters vary from Macroeconomics level, Economic growth and Inflation, to company level. Then this study deploys Neural Networks to predict magnitude of P/E and change direction of P/E ratio. To increase accuracy, thesis uses three different method of normalizing for Input data. Finally, results are compared to results of regression method  

This paper aims to test an important hypothesis in financial economics: whether equity returns are predictable over various horizons? The variables that we use are dividend yield, dividend-price ratio, price-earning ratio, dividend payout ratio and stock variance. For one month horizon,we compare forecast from predictive regression and forecast from historical mean both in-sample and out-of-sample. Evidence shows that to some extent, stock variance has predictive power and predictive regression model has a better performance than the historical mean model, but fundamental variables don’t have predictive power. The multivariate model has improved the performance, but we don’t see any... 

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, type and importance of corporate social responsibility (CSR) based on Carroll’s framework was investigated among companies of Tehran Stock Exchange. Beside, the types of companies’ motivation to engage in CSR base on model of Garriga & Mele (2004) were studied. In addition, hypothesis 1) instrument motivation for companies of Tehran Bourse is more attractive than the other type of motivations 2) companies that have higher income, have higher costs in CSR was tested. Using questionnaire tool and help of descriptive and inferential statistical analysis, questions and assumptions was studied and results illustrated that legal and ethical dimensions is most-widely used definition... 

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,... 

The purpose of this study is to investigate the effect of Google search volume of trading tickers listed on the Tehran Stock Exchange, on volatility, abnormal returns, and trading volume. For this purpose, data related to the search volume as well as trading data for 22 trading tickers in the list of the 50 largest stock market companies from 2016 to 2020, has been extracted. After collecting data, the required calculations to estimate volatility and abnormal returns, as well as standardizing search volume and trading volume, are performed. Then the desired variables for all 22 selected tickers are placed in a data panel. Then, using the two main research models, descriptive and predictive... 

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... 

Mergers and acquisitions are one of the easiest and sometimes the only way to stay in the market for small or low performing companies. In this research, which consists of two main parts, the impact of merger and acquisition on the stock price and financial statements of the involved companies that were listed in Iran stock exchange market was studied between 2007 and 2012.The first step, through an event study, abnormal stock returns of the targeted companies were studied in time spans of five and ten days before and after the merger and acquisition event. Then a t test was applied in order to examine whether this transaction had resulted in positive abnormal return for the shareholders or... 

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... 

Exchange-rate has always been one of the critical macroeconomic factors influencing Iran’s economy. As a representative of the whole economy, the stock market is also affected by exchange rate fluctuations. However, the direction and the delay of this impact is not similar for all firms. This study aims to find the time and direction of the reactions to dollar fluctuations in the two most recent jumps, during 1390 and 1397, for all firms listed on Tehran Securities Exchange. It also seeks to determine why among stocks with a positive reaction, some react sooner, and some react later, based on their specific characteristics. Using a distributed lag model, we found that about one-half of the... 

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...