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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: Stock market,Global Financial Crisis,DFGM contagion test,Ornstein- Uhlenbeck process
- چکیده:
- چکیده انگلیسی: Simultaneous understanding of volatilities and changes in financial markets is very important to optimize the portfolio and risk management methods. The 2008 financial crisis led into devaluation of most assets, increased volatilities and endangered several institutional investors' survival. When the stock market' correlation is highly enhanced, risk and return management with the classic portfolio theory becomes severely challenging. In this study, to manage systematic and non-systematic risks by investors and policymakers in case of similar financial crises, the Effect of global financial crisis contagion is examined through the path of S&P500 global index, and DFM regional index of different industries of Iran Stock Market is examined using DFGM contagion test and stochastic Ornstein Uhlenbech process. The results show that Dubai Stock Market has an important role in crisis expansion into different sectors of Iran Stock Markets so that the fundamental contagion effects are channelled via this direction. Also, according to the results, the starting point of the global financial crisis contagion was the basic metals industry, and the contagin happened in metal ores and petroleum products sectors with different rates. Finally, the global financial crisis is spread into different industries of Iran Stock Market via financial links and not trough commercial ones. Identifying the direction of contagion of financial crisis provides an opportunity for investors to apply hedging and asset allocation strategies optimally.
- انتشار مقاله: 18-03-1399
- نویسندگان: Mojtaba Karimi,Fatemeh Sarraf,Ghodratollah Emamverdi,Ali Baghani
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: Artificial Neural Network,accruals,Predicting cash flows,Future cash flows prediction models
- چکیده:
- چکیده انگلیسی: Cash flow is one of the critical resources in the economic unit and the balance between available cash and cash needs is the most important factor in economic health. Since judgments of many stakeholders such as investors and shareholders about the position of the economic unit are based on liquidity situation, so predicting future cash flow is crucial. In this research, the impact of cash and accrual items on cash flow forecasts has been studied. Providing a proper model to predict operating cash flows and review some important characteristics of cash flow forecasting regression models, using a multilayer perceptron and determining the best model by using accrual regression model variables for predicting cash flows. For this purpose, 287 firms listed in Tehran Stock Exchange during 2008 to 2017 were studied; Linear and nonlinear regression, correlation coefficient and artificial neural network statistical methods have been used for data analysis and predictive power of powers was compared by using the sum of squared prediction error and coefficient of determination. Results showed that the accrual regression model can predict future cash flows better than other tested models and among corporate characteristics, the highest correlation belongs to sales volatility and firm size with accrual regression models. On the other hand, results of fitting different neural network models indicate that two structures with 8 and 11 hidden nodes are the best models to predict cash flows.
- انتشار مقاله: 01-07-1398
- نویسندگان: Fatemeh Sarraf,Fatemeh Sarraf,Fatemeh Sarraf
- مشاهده
- جایگاه : پژوهشی
- مجله: Iranian Journal of Finance
- نوع مقاله: Journal Article
- کلمات کلیدی: Stock Returns,Investors' Sentiment,Accounting information risk Investors’ trading behavior,Fama-French approach
- چکیده:
- چکیده انگلیسی: Behavioral finance is a new issue raised by some financial intellectuals over the past two decades and has been quickly addressed by professors, experts, and students throughout the world. Investigating the factors affecting investment decisions is carried out in the field of behavioral finance; in other words, the focus of behavioral finance is on the specific charac-teristics of human behavior and applying them in asset pricing. Empirically, pricing models rarely include psychological factors, but the noticeable point is that nowadays, researchers have found behavioral factors influencing empirical asset pricing models that can manipulate returns on asset mispricing. Behavioral asset pricing is the result of applying behavioral finance theories within traditional asset pricing theories. Thus, despite the existence of many asset pricing models, due to their weaknesses and lack of comprehensiveness, as well as the necessity of reviewing behavioral factors, this study aims to model asset pricing through behavioral models. Using the data from 141 listed firms in Tehran Stock Exchange over the years 2008 to 2017 and multivariate regression, this study is an attempts to model asset pric-ing through employing behavioral models and Fama-French approach. Using Fama-French approach, the results showed that accounting information risk, investors’ trading behavior, and investors' sentiment have a direct and significant impact on asset pricing.
- انتشار مقاله: 21-03-1398
- نویسندگان: Mohammad Nasiri,Nouroz Nourollahzadeh,Fatemeh Sarraf,Mohsen Hamidian
- مشاهده
- جایگاه : پژوهشی
- مجله: International Journal of Advanced Studies in Humanities and Social Science
- نوع مقاله: Journal Article
- کلمات کلیدی: value added,Business process management,Economic Value Added,Value Steam
- چکیده:
- چکیده انگلیسی: For the purposes of business process efficiency management it is not sufficient to monitor and manage only the economic value added, it is necessary to simultaneously confront it with efficiency and value added to processes, calculated on the basis of the value added index, which maps the real value stream in complex business process. In this article we analysis the key index of business process on the basis of economic value added and value added index.
- انتشار مقاله: 06-01-1398
- نویسندگان: Fatemeh Sarraf,Seyyed Mohammad Sadegh Razavi,Kobra Saadatmand
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: CEO power indicators,pressured companies,product market competition
- چکیده:
- چکیده انگلیسی: The purpose of this study was to "Identify and explain the relationship between the power indicators of the CEO and the performance of the company under pressure based on the product market competitiveness in the companies listed in the Tehran Stock Exchange". According to this research, the 10-year period of companies listed in the Tehran Stock Exchange was investigated in 1395-1386. The data of 135 companies were analyzed using regression test using SPSS 20 and Eviews 7. The results show that the efficiency of management & integrity of management Is effective on the performance of the company in the companies under pressure on the basis of product market competition, but the effect of management conservatism was not confirmed.
- انتشار مقاله: 16-04-1398
- نویسندگان: Majid Aliabadi,Fatemeh Sarraf,Roya Darabi
- مشاهده
- جایگاه : پژوهشی
- مجله: Advances in Mathematical Finance and Application
- نوع مقاله: Journal Article
- کلمات کلیدی: Financial Leverage,Financial statements Comparability,risk of expected crash in stock prices
- چکیده:
- چکیده انگلیسی: The purpose of this study is to explain the relationship between the comparability of financial statements as a qualitative financial reporting feature with the expected risk of stock price crash. The statistical population of this research includes all companies admitted to Tehran Stock Exchange. In order to achieve the research goal, 81 companies were selected for the period between 2010 and 2017 as a sample of the study. The research aimed at being an applied research and the research method is in terms of the nature and content of the correlation. The research has been performed in the framework of deductive-deductive reasoning and for analysis of the research hypothesis; statistical analysis of the logistics has been assisted. The results of the research hypothesis test showed a significant and negative relationship between the comparability of financial statements and the expected crash in stock prices.
- انتشار مقاله: 17-09-1397
- نویسندگان: Barhram Pasandideh Parsa,Fatemeh Sarraf
- مشاهده