Sharif Digital Repository

Exchange-Traded Funds (ETFs) have become an important innovation in the financial markets nowadays. They are low cost products designed to pursue different replication strategies that respond to investor’s demands of liquidity and efficiency. However, they suffer from tracking errors and price mismatches even when they are designed to avoid them. So this problem makes diffrence between return of these ETFs and Index return that will be called “Tracking Errors”. In this research, due to analysis on 7 ETFs in Tehran Stock Exchange (TSE) in the 20 months period and analysis on 8 different independent variables that was expected to affect on tracking errors, it has been showed that between four... 

Price cycles of metals have always been a major factor in making decisions for those actively participating in the market, among which steel, due to its nature and influence on economy and society, is of utmost importance. Therefore, the study and analysis of the steel market and understanding the contributing factors on price and potential policies affecting decisions are imperative.In this research, a model based on demand, supply, and other contributing factors on price has been developed in order to help with the analysis of price cycles and the effects of different policies as well as outside factors such as foreign policy effects. In order to do so, the literature of the topic both on... 

The portfolio selection problem is always one of the most important problems of finance and investments due to its great implication and vital role in financial institutions. Many of researches in this area are based on the mean-variance model, originally proposed by Markoitz. In the last two decades, however, researchers and investors have attracted to some new models that import some new factors other than mean and variance in the portfolio decision problem, such as different risk measures, etc. In this research we compare performances of mean-variance, Elton-Gruber-Padberg (EGP) and mean-variance-skewness based on genetic algorithm in Tehran Stock Exchange. Moreover, in order to find the... 

In recent years capital requirement has become an important matter between financial institutions in developed countries. The reason lies in the increasing need for evident information from performance and financial status of institutions in order to maximize efficiency of financial markets. Another reason is that by increasing financial instruments in market, institutions face more risks in their operations so they need enough capital to cover the upcoming risks in future. In insurance market this requirement becomes more essential because first, in insurance companies customers are who are expected to receive their loss from the insurer and insurance company is under debt to its customers.... 

Along with the development of electronic exchanges, accessibility to various data streams, increasing computing power, decreasing trading costs, and growing competition in financial investment industry, quantitative trading strategies or quantitative trading rules have developed rapidly in the recent decades. These strategies try to forecast the future price movements of risky assets from the historical market information in algorithmic ways or statistical ways and thus challenge the Efficient Market Hypothesis.
The increasing attention to these strategies and lack of related empirical studies in the financial markets of Iran, motivate the research in this area. Furthermore, despite its... 

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... 

Real option is one of most promising and crucial concepts in corporate valuation and budgeting process. They are very similar to financial options except that their intrinstic values are calculated based on a company’s practical flexibilities rather than financial contracts. Most previous publications in this field are related to upstream sectors of oil, gas, or mining as well as high-tech industries. The application of this concept in chemical industries has been poorly investigated, and the majority of those limited number of papers have evaluated real options in down-stram sectors. Thus, the application of real options in midstream parts of chemical industry was not thoroughly... 

In this study, Tehran Stock Exchange market has been studied over a period of five years, and not only return of Simple Momentum Strategy but also returns of several Enhanced Momentum Strategies are calculated and compared with each other. The results obtained in this study are so different from the results obtained previously. For instance, unlike results of the previous researches, Simple Momentum Strategy had no significant return while the Contrarian Strategy yielded considerable return. Some elements in the Enhanced Momentum Strategies improved its performance while some others have worsened it. For example, low book to market value weakened the return of Momentum Strategy and... 

High rate of failures in construction projects in IRAN and other developing countries shows that current methods for evaluating projects are not reliable and unfailing. The most important criteria for assessing the success of projects is their cost and time performance. Estimate at Completion (EAC) is an important matter, which takes into consideration project performance and future risks in estimating final cost of project. EAC helps project managers to be aware of the final cost of the projects sooner and adopt response strategies. This study constructed an extension on EVM and risk management to develop an evolutionary EAC model to estimate final cost of project. In this model by... 

Financial markets have been formed to attract and utilize the community’s funds,. In these markets different securities are supplied to meet the needs of a huge variety of investors. they should know the performance and characteristics of these securities, Otherxise they lost in the market. But most investors aren’t familiar with these securities and for this reason almost withdraw from the market. Funds was made up to solve this problem and facilitate the process of entering these investors in financial markets. In funds, professional managers manage portfolio with the capital provided by investors. Exchange Traded Funds (ETFs) are one type of these funds. The stock of ETFs issued in the... 

It has been for several years that researchers and pioneers in wealth management have suggested a variety of solutions to investors, in order to allocate their assets. One level of such suggestions is to form a portfolio of stocks. But when it is decided to choose between different asset classes, the solution is more complex. Such questions must be answered: •Is it the best pair to have a portfolio of 70% stock- 30% real estate, or vice versa? •How would it change by possibility of investing in gold market? It is obvious that exact knowledge about investor’s goals, restrictions, and preferences (which are called Investment Policy Statement or IPS) is prerequisite of answering to these... 

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 development of effective models for classification problems, such as the problem of selecting which credit applicants to accept, has been the subject of intense research for decades. Many static and dynamic methods, ranging from statistical classifiers to decision trees, nearest-neighbor methods, and neural networks, have already been proposed to tackle this problem and to assist decision making in the area of consumer and commercial credit. Given the profusion of modeling and data management techniques, it is often the case that which model has the more appropriate outputs in classification of the same problem. Among the stated methods although the latter, Neural Networks, is powerful... 

This thesis presents an application of risk sensitive control theory in financial decision making. A variation of Merton’s continuous-time intertemporal capital asset pricing model is devolved where the infinite horizon objective is to maximize the portfolio’s risk adjusted growth rate. The resulting model is tractable and thus provides economic insight about optimal trading strategies as well as the fact that the strategy of 100% cash is not necessarily the least risky one. For fixed income applications we utilize the concept of rolling-horizon bonds, which are stochastic process models of certain mutual fund of zero coupon bonds. We show that the optimal proportion of one’s wealth to hold... 

In this thesis, we are going to prove the fundamental theorem of asset pricing and then define option and use the binomial option pricing model to for pricing the option. Afterwards, we explain the recovery theorem which gives the relationship between real and risk neutral measure. Moreover, we present an introduction to financial mathematics and state the generalized Black-Scholes model for option pricing.Then, we prove a theorem for options which reveals a relationship between option prices and real measure  

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... 

Iranian Power industry has undergone fundamental changes since deregulation started in 2003. Currently, bulk trade of electricity in the industry is mainly conducted through a day ahead wholesale market, representing over 98 percent of the exchange of electricity within the grid. Although the current market regime is under operation for over 4 years, several political, cultural and operational obstacles have hindered effective evolution of the restructuring process. Low political support from privatization of the industry assets backed by lack of confidence and trust in market economies in general, and low economic incentive of the market players has slowed down formation of an effective... 

Asset allocation is one of the core economic functions of security markets. By purchasing and selling securities individuals are able to effectively time their stream of consumption and to allocate their temporarily unused wealth among competing investments. To time the stream of future consumption optimally, the question arises as to how wealth is allocated most effciently on security markets. The purpose of this thesis is to develop an optimal Asset Allocation with Hidden Markov Regime Switching means and volatilities. We use the historical weekly information of three Indices in Wallstreet stock exchange: Stock, bond and commodity. First we use these historical information from... 

In this study, I examine the role of board composition and ownership structure and trading days on board compensation of 156 Iranian non-financial public firms. Regarding board composition, I find that board size, CEO-Directorship, and the presence of busy directors positively explain board bonus. Concerning ownership structure, results reveal that outside block-holders and the percentage of individual investors negatively influence on board bonus. Also, trading days is proved to have a positive impact on board bonus. Furthermore, I examine the impact of compensation relating to board composition and ownership structure and trading days (predicted compensation) on the future operating...