Sharif Digital Repository

Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this... 

In this study the predictive power of “Simple Moving Average” simulation for three month horizon is investigated. The purpose of the study is expressed in two hypotheses. The first hypothesis is that there is a significant difference in the prediction of stock price volatility by “Simple Moving Average” simulation with the “Weighted Moving Average” model prediction and the second hypothesis states that using “Weighted Moving Average” model we can forecast volatility stock price for the out-of-sample period. The research data includes a series of total stock price indices from 2013 to 2018 extracted from Tehran Stock Exchange (TSE). For “Weighted Moving Average” model, three normal... 

Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this... 

In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return... 

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... 

The book-to-market ratio is known as an anomaly variable in the financial literature. This variable has a high explanatory power in predicting the returns of companies in different capital markets across world; But understanding why it has the power to explain is still a matter of debate. In this study, we seek a better understanding of the explanatory power of the ratio of book-to-market ratio in explaining the annual return of cross-sectional data of stocks on the Tehran Stock Exchange. Book value can be divided into two parts: retained earnings and contributed capital, which have different economic meanings for readers of financial statements. Our hypothesis is that the predictive power... 

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... 

In inefficient stock markets, fast and complete access to the public information about stocks and using this information for trades can make the investment more profitable. This research gathered the Iranian telegram channel's data with stock and investment subjects, trading volume, and stock returns. We suggested a trading strategy for beating the market by processing these data. We have also investigated the transaction costs in this research.
 

Informational inequality between institutional and individual traders is one of the centric issues in financial markets. The preference of each of these groups to attain personal information may provide other traders important information. New traders could make a profit by addressing the preferable group and following its transactions. This study aims to determine the winner group at attaining more personal information, by breaking down the probability of informed trading (PIN), one of the most famous measures in informational risk to two main components: the probability of informed trading of individuals (DPIN) and the probability of informed trading of institutions (SPIN). Moreover, the... 

The present study has been conducted with the purpose of investigating how to reduce behavioral biases in investors' decisions, which has become very important in the recent situation of Tehran Stock Exchange and with the entry of a large number of inexperienced investors. In this research, an attempt is made to examine the relationship between investors' trading experience and the effect of herd mentality on their investment decisions through the perspective of social cognitive theory and using financial self-efficacy. Multiple regression analysis and Bootstrap mediator relationship analysis were performed on data collected from 502 active investors in the Tehran Stock Exchange, and the... 

One of the risk factors of financial assets is liquidity. Identifying factors affecting liquidity helps us to predict stock liquidity and to control the risk of investing. The purpose of this research is to identify these factors in Tehran Stock Exchange. We use the data of 48 companies between1388 and 1392. Our results show that the liquidity follows a weekly and a monthly cycle. Stock return, market return, stock return volatility, market return volatility and trading volume are among the factors which affect stock liquidity. In addition, the reaction of liquidity changes to positive or negative stock return is asymmetric, and the effect of negative stock return is more influential. Our... 

The history of the researches conducted in the American, European and Iranian markets shows the importance of liquidity risk in the transactions of various types of financial assets. And as one of the important elements of risk in the pricing of financial assets, liquidity risk is considered for risk premium. Different criteria have been used to measure this type of risk in different researches, and their difference is in the ease of calculation and explanation. Liquidity risk can be divided into three categories: first, the commonality of liquidity risk of the portfolio or stock with market liquidity, second, the impact of portfolio or stock returns on the level of market liquidity, third,... 

Research in the field of financial market prediction has always been an intriguing subject for academic researchers and stock traders, despite its associated complexities and challenges. Accurately forecasting stock prices and market indices is considered a complex task due to their nonlinear and dynamic nature, requiring analysis of intricate time series data. Over time, various models such as regression models, classification methods, statistical techniques, and artificial intelligence algorithms have been used to predict these variables. With the advancement of technology and the development of AI-based models, particularly machine learning models, along with the availability of vast... 

The process of portfolio construction and optimization can be broken down into three main steps: selecting appropriate assets, allocating capital, and monitoring and adjusting the portfolio. This study focuses on evaluating the performance of the Hierarchical Risk Parity (HRP) method for capital allocation in investment portfolios, specifically in Iran’s capital market. The aim is to enhance the method's effectiveness by implementing alternative correlation calculation approaches, such as Wavelet and Chatterjee correlations. The study utilizes three different portfolios containing assets from the Tehran Stock Exchange, the US stock market, and the cryptocurrency market. The primary objective...