Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 The Explanatory Power of Higher Systematic Moment in Conditional Capital Asset Pricing Model The Explanatory Power of Higher Systematic Moment in Conditional Capital Asset Pricing Model 9 28 95828 10.52547/jfmp.9.27.9 FA Maryam Davallou Asistant prof, Department of Financial and Accounitig, Shahid Beheshti University, Tehran, Iran. Wajed Rezaei MSc of Financial Management, Shahid Beheshti University, Tehran, Iran Journal Article 2017 11 20 The capital asset pricing model is based on the assumption of the normal distribution of asset returns. However, many studies have challenged the assumption of the normal distribution of returns and subsequently, by adding higher momentto model development. Also, in examining the effect of higher moments real returns instead of expected returns is used, also because the capital asset pricingmodel assumes investors' preferences and the asset return distribution is stablethe conditional relationship between returns and these moments is examination. Therefore, the purpose of this study is to examine the empirical effects of the third and fourth systematic moments on the minimum rate of expected return on investment in in a conditional way. The research sample includes 195 companies accepted in Tehran Stock Exchange from 2004 to 2016. In order to study the effect of the third and fourth systematic moments, the Fama Macbeth method (1973) has been used. Evidence suggests that in the whole study period, the effect of skewness was systematically negative, and systematic kurtosishas not been effective on the expected minimum expected return rate. In the bullish market, the systematic skewness has a direct effect of reversal and systematic elongation, and in the downside, both reversed the effect. The capital asset pricing model is based on the assumption of the normal distribution of asset returns. However, many studies have challenged the assumption of the normal distribution of returns and subsequently, by adding higher momentto model development. Also, in examining the effect of higher moments real returns instead of expected returns is used, also because the capital asset pricingmodel assumes investors' preferences and the asset return distribution is stablethe conditional relationship between returns and these moments is examination. Therefore, the purpose of this study is to examine the empirical effects of the third and fourth systematic moments on the minimum rate of expected return on investment in in a conditional way. The research sample includes 195 companies accepted in Tehran Stock Exchange from 2004 to 2016. In order to study the effect of the third and fourth systematic moments, the Fama Macbeth method (1973) has been used. Evidence suggests that in the whole study period, the effect of skewness was systematically negative, and systematic kurtosishas not been effective on the expected minimum expected return rate. In the bullish market, the systematic skewness has a direct effect of reversal and systematic elongation, and in the downside, both reversed the effect.

https://jfmp.sbu.ac.ir/article_95828_a2b711ab2f7170e7bfd1f0cf902f02a5.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index Modeling and Comparison of the Distribution Models of Tehran Stock Exchange Index 29 50 95799 10.52547/jfmp.9.27.29 FA Ali Rezaian PhD. Candidate in Financial Management, Faculty of Management and Economic, Science and Research Branch, Islamic Azad university, Tehran, Iran. Hamidreza Vakilifard Associate Prof, Faculty of Management and Economic, Science and Research Branch, Islamic Azad university, Tehran, Iran. Maryam Khalili Araghi Assistant Prof, Faculty of Management and Economic, Science and Research Branch, Islamic Azad university, Tehran, Iran, Freydon Rahnamay Roodposhti Professor, Faculty of Management and Economic, Science and Research Branch, Islamic Azad university, Tehran, Iran. Journal Article 2018 07 02 Study of the Extreme behavior of the Stock Market and the correct pattern of the distribution of returns has an important role in the management of market risk. The current study, based on BMM approach, examines the distribution pattern of return in Tehran Stock Exchange in different time intervals. In order to choose the appropriate model in different time series, L-Moment ratio diagram was used. Then, by using the calculation of parameters of the selected models based on the approach of Maximum likelihood, the conformity and selection of appropriate model in each time interval was performed based on AD test. To model the distribution of patterns of total market returns, the total stock index data of 2004-2016 was used and the basis of the performed calculation has the log of daily return of Tehran stock exchange. The results indicated that among the examined model, GL model in annual time interval and in minimum series, and GEV model in other time intervals of minimum and maximum series had a better performance. Study of the Extreme behavior of the Stock Market and the correct pattern of the distribution of returns has an important role in the management of market risk. The current study, based on BMM approach, examines the distribution pattern of return in Tehran Stock Exchange in different time intervals. In order to choose the appropriate model in different time series, L-Moment ratio diagram was used. Then, by using the calculation of parameters of the selected models based on the approach of Maximum likelihood, the conformity and selection of appropriate model in each time interval was performed based on AD test. To model the distribution of patterns of total market returns, the total stock index data of 2004-2016 was used and the basis of the performed calculation has the log of daily return of Tehran stock exchange. The results indicated that among the examined model, GL model in annual time interval and in minimum series, and GEV model in other time intervals of minimum and maximum series had a better performance.

https://jfmp.sbu.ac.ir/article_95799_62e7f8a587cc345e1b64ad3091b7d2e9.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 Development of a Stable Tracking Measure for Tehran Stock Exchange Development of a Stable Tracking Measure for Tehran Stock Exchange 51 79 95807 10.52547/jfmp.9.27.51 FA Mohammad Hashem Botshekan Associate Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. Mohammad Mahdi Bahrololoum Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. Amir Hossein Erza Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. Amir Taghikhan Tajrishi PhD. Candidate, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. Journal Article 2019 01 20 Because an index cannot be purchased directly, it has to be rebuilt by a portfolio which is an approximation of Index. This is called index tracking. In this research, first we discuss the vital role of Tracking Quality measurments for developing tracking portfolio via optimization based on sampling. Then we introduce a new measurement, Realized Tracking Quality (RTQ) and compare it with traditional measurements. Comparison of Realized Tracking Quality (RTQ) and three traditional measurements of producing tracking portfolios (Tracking Error Variance (TEV), Mean Squared Error (MSE) and Mean Absolute Deviation (MAD)) shows that there are significant differences in their anticipated values. In other words, we make a comparison of the approaches to index tracking and highlighting their advantages and disadvantages. Unlike other researches on rebuilding of tracking portfolio, this framework specifically addresses issues of stability of the tracking quality measurements, whether they produce tracking portfolios with the same tracking quality in the estimation period and the investment period or not. In fact, we were not looking for a method that would create the best tracking portfolio with the highest tracking quality; instead, this study attempted to compare the results of the estimation period with the investment period and determine which one would be more stable. The results indicate that Producing tracking portfolio will be optimized by improving stability measurements. For our analysis, we use Tehran Stock Exchange Index having all listed companies. The time period includes 5 years, between September 2012 and September 2017. Because an index cannot be purchased directly, it has to be rebuilt by a portfolio which is an approximation of Index. This is called index tracking. In this research, first we discuss the vital role of Tracking Quality measurments for developing tracking portfolio via optimization based on sampling. Then we introduce a new measurement, Realized Tracking Quality (RTQ) and compare it with traditional measurements. Comparison of Realized Tracking Quality (RTQ) and three traditional measurements of producing tracking portfolios (Tracking Error Variance (TEV), Mean Squared Error (MSE) and Mean Absolute Deviation (MAD)) shows that there are significant differences in their anticipated values. In other words, we make a comparison of the approaches to index tracking and highlighting their advantages and disadvantages. Unlike other researches on rebuilding of tracking portfolio, this framework specifically addresses issues of stability of the tracking quality measurements, whether they produce tracking portfolios with the same tracking quality in the estimation period and the investment period or not. In fact, we were not looking for a method that would create the best tracking portfolio with the highest tracking quality; instead, this study attempted to compare the results of the estimation period with the investment period and determine which one would be more stable. The results indicate that Producing tracking portfolio will be optimized by improving stability measurements. For our analysis, we use Tehran Stock Exchange Index having all listed companies. The time period includes 5 years, between September 2012 and September 2017.

https://jfmp.sbu.ac.ir/article_95807_cf34d21585d20022492c1f4e6769f7aa.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 The effect of Gold on Portfolio Diversification:The case of indexed portfolios from Tehran Stock Exchange The effect of Gold on Portfolio Diversification:The case of indexed portfolios from Tehran Stock Exchange 81 107 95817 10.52547/jfmp.9.27.81 FA Mahdi Eskandari Ph.D. Candidate in Financial Management, Islamic Azad University,North Tehran Branch, Tehran, Iran. Ali Saeedi Associate prof, Department of Financial Management, North Tehran Branch, Islamic Azad University, Tehran, Iran Mir Feyz Fallahshams Associate prof, Department of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran. 0000-0001-7989-8703 Journal Article 2019 05 20 Risk management is part of investment decision making. Diversification as one of the risk management techniques can increase the utility by increasing return for every unit of risk. In this paper, we review the effect of gold on diversification of stock portfolios in Tehran Stock Exchange. For this purpose, we used the spot price of gold coin as a standard price for gold and we used different indexed portfolios such as Tehran Stock Exchange Price Index, Industry Index, index of 50 companies from 2008 to 2018.We used Stochastic Dominance to rank portfolios as one of the criteria for rating and evaluating performance is to select a portfolio that maximizes the expected utility. By implementing stochastic dominance at three levels we compared the portfolio’s performance. The portfolios were made of an indexed portfolios and a share of gold which could be from 0 to 50 percent of the value of the portfolio. The results showed that adding gold to the portfolios of almost all of the indexes can improve their performances at 95% confidence level. The diversification benefit of gold will be maximized when at least 20% of the portfolios consist of gold coin. Risk management is part of investment decision making. Diversification as one of the risk management techniques can increase the utility by increasing return for every unit of risk. In this paper, we review the effect of gold on diversification of stock portfolios in Tehran Stock Exchange. For this purpose, we used the spot price of gold coin as a standard price for gold and we used different indexed portfolios such as Tehran Stock Exchange Price Index, Industry Index, index of 50 companies from 2008 to 2018.We used Stochastic Dominance to rank portfolios as one of the criteria for rating and evaluating performance is to select a portfolio that maximizes the expected utility. By implementing stochastic dominance at three levels we compared the portfolio’s performance. The portfolios were made of an indexed portfolios and a share of gold which could be from 0 to 50 percent of the value of the portfolio. The results showed that adding gold to the portfolios of almost all of the indexes can improve their performances at 95% confidence level. The diversification benefit of gold will be maximized when at least 20% of the portfolios consist of gold coin.

https://jfmp.sbu.ac.ir/article_95817_280d9876e09728ba68e90283e05b587c.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 The moderating role of external monitoring in influencing the technical and institutional dimensions of corporate social responsibility on profitability The moderating role of external monitoring in influencing the technical and institutional dimensions of corporate social responsibility on profitability 109 132 95768 10.52547/jfmp.9.27.109 FA Mohsen Akbari Associate prof, Department of Management, University of Guilan, Rasht, Iran. Yasser Rezaei Pitenoei Assistant Prof, Department of Accounting, University of Guilan, Rasht, Iran. 0000-0002-8025-3555 Masoomeh Ghasemi Shams Ph.D. Student in Management , Allameh Tabataba'i University, Tehran, Iran. Journal Article 2019 03 13 Adopting a citizen's perspective for participating as a member of the community brings responsibility for accountability for increased transparency and accountability. Social responsibility reporting is one of the most important tools that will have different consequences and impacts. The purpose of this study is to identify the effect of moderating role of external monitoring on the relationship between the technical and institutional dimensions of social responsibility on profitability in companies of Tehran Stock Exchange. In this study, data from 105 companies for the period 2013 to 2017 were investigated using multivariate regression models based on combined data technique. The results of the research showed that social responsibility dimensions have a direct relationship with the firm's profitability. In addition, the impact of the technical and institutional dimensions of social responsibility on the company's profitability with the moderating role of external monitoring was examined. The results of the study, according to the prediction of the complementary theory, indicate that external monitoring exacerbates the positive relationship between the technical dimension of social responsibility and profitability of the company, but in the relationship between the institutional dimension of social responsibility and profitability of the company, external monitoring does not play a moderating role. Adopting a citizen's perspective for participating as a member of the community brings responsibility for accountability for increased transparency and accountability. Social responsibility reporting is one of the most important tools that will have different consequences and impacts. The purpose of this study is to identify the effect of moderating role of external monitoring on the relationship between the technical and institutional dimensions of social responsibility on profitability in companies of Tehran Stock Exchange. In this study, data from 105 companies for the period 2013 to 2017 were investigated using multivariate regression models based on combined data technique. The results of the research showed that social responsibility dimensions have a direct relationship with the firm's profitability. In addition, the impact of the technical and institutional dimensions of social responsibility on the company's profitability with the moderating role of external monitoring was examined. The results of the study, according to the prediction of the complementary theory, indicate that external monitoring exacerbates the positive relationship between the technical dimension of social responsibility and profitability of the company, but in the relationship between the institutional dimension of social responsibility and profitability of the company, external monitoring does not play a moderating role.

https://jfmp.sbu.ac.ir/article_95768_9488fabcf9d354db0846df685439261a.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 Investigating the Effect of Default Risk on Individual Stocks Returns using Stocks listed in Tehran Stock Exchange Investigating the Effect of Default Risk on Individual Stocks Returns using Stocks listed in Tehran Stock Exchange 133 168 95775 10.52547/jfmp.9.27.133 FA Ziba Ghazavi MA in Financial Management, University of Isfahan, Isfahan, Iran. Mahmoud Botshekan Assistant Professor, University of Isfahan, Isfahan, Iran. 0000-0003-0129-4947 Journal Article 2019 03 13 The main purpose of this study is to investigate the effect of default risk on the individual stocks' expected returns using stocks listed in Tehran Stock Exchange. To this end, we use a sample of 376 non-financial companies listed in Tehran Stock Exchange during September 2008 to November 2018 and compute distance to default (DD) as a measure of default risk following KMV-Merton model in a monthly frequency. In this way, market value of assets and its deviation are estimated by simultaneously solving nonlinear equations induced form Black-Scholes-Merton option pricing model. To do a comprehensive study, dependent variable of this study, expected return, is estimated using realized returns in different time periods (one month, six months, one year and two years). Then the relationship between distance to default as a firm characteristic and expected return was assessed in univariate and multivariate cross sectional regressions using Fama-Macbeth (1973) procedure and with the beta of CAPM model, size, book to market and momentum as control variables. The results show that, in both univariate and multivariate regressions, the effect of DD on expected return depends on the time period realized return is measured as expected return and we observe a more significant relationship in longer periods. Particularly if we estimate expected returns using two-year realized return, we observe a significant and negative relationship between DD and expected returns of equity holders, confirming that firms with lower DDs, or firms that are closer to default, have higher expected returns. Furthermore if we estimate stock volatility using more recent information, the effect of DD on returns become stronger The main purpose of this study is to investigate the effect of default risk on the individual stocks' expected returns using stocks listed in Tehran Stock Exchange. To this end, we use a sample of 376 non-financial companies listed in Tehran Stock Exchange during September 2008 to November 2018 and compute distance to default (DD) as a measure of default risk following KMV-Merton model in a monthly frequency. In this way, market value of assets and its deviation are estimated by simultaneously solving nonlinear equations induced form Black-Scholes-Merton option pricing model. To do a comprehensive study, dependent variable of this study, expected return, is estimated using realized returns in different time periods (one month, six months, one year and two years). Then the relationship between distance to default as a firm characteristic and expected return was assessed in univariate and multivariate cross sectional regressions using Fama-Macbeth (1973) procedure and with the beta of CAPM model, size, book to market and momentum as control variables. The results show that, in both univariate and multivariate regressions, the effect of DD on expected return depends on the time period realized return is measured as expected return and we observe a more significant relationship in longer periods. Particularly if we estimate expected returns using two-year realized return, we observe a significant and negative relationship between DD and expected returns of equity holders, confirming that firms with lower DDs, or firms that are closer to default, have higher expected returns. Furthermore if we estimate stock volatility using more recent information, the effect of DD on returns become stronger

https://jfmp.sbu.ac.ir/article_95775_ede3b47e6b6a0ae2009927e6d71ed3a5.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 9 27 2019 11 22 Determinants of risky financial assets holding by industrial firms in Tehran Stock Exchange & contribution of these holdings to firm value Determinants of risky financial assets holding by industrial firms in Tehran Stock Exchange & contribution of these holdings to firm value 169 197 95789 10.52547/jfmp.9.27.169 FA Saeed Shirkavand Assistant Prof, Department of Financial Management and Insurance University of Tehran, Tehran, Iran. Tahmasb Mazaheri Assistant Prof, Department of Financial Management and Insurance, University of Tehran, Tehran, Iran. Seyed Jalal SadeghiSharif Assistant Prof, Department of Financial Management and Insurance University of Shahid Beheshti, Tehran, Iran. 0000-0002-6960-4721 Nafiseh Aqamiri Ph.D. Candidate in Finance, University of Tehran, Tehran, Iran. Journal Article 2019 05 14 Some industrial firms in Tehran Stock Exchange invest a considerable part of their assets in financial assets and sometimes risky financial assets like stocks & fixed income securities. This research investigated motivations that affect industrial firms’ demand for risky financial assets and the effect of this asset management on creating abnormal return for stockholders and increasing firm’s value. The data set we used in this research were cash, cash equivalent, short term investment, long term investment and other assets. Research time frame was from 2009 to 2016 and the sample was from industrial firms of Tehran Stock Exchange. The results confirmed the impact of precautionary motive on this investment demand but not transactional and speculative motive. It also showed as corporate governance and ownership concentration improve, these investments increase. It also showed abnormal return could be attributed to financial assets but it could not increase firm’s value based on Fama-French approach, also investigating financing resources showed that the internal cash flow is the main source of investing in risky financial assets and firms usually did not use money from debt and equity issues for these investments. Some industrial firms in Tehran Stock Exchange invest a considerable part of their assets in financial assets and sometimes risky financial assets like stocks & fixed income securities. This research investigated motivations that affect industrial firms’ demand for risky financial assets and the effect of this asset management on creating abnormal return for stockholders and increasing firm’s value. The data set we used in this research were cash, cash equivalent, short term investment, long term investment and other assets. Research time frame was from 2009 to 2016 and the sample was from industrial firms of Tehran Stock Exchange. The results confirmed the impact of precautionary motive on this investment demand but not transactional and speculative motive. It also showed as corporate governance and ownership concentration improve, these investments increase. It also showed abnormal return could be attributed to financial assets but it could not increase firm’s value based on Fama-French approach, also investigating financing resources showed that the internal cash flow is the main source of investing in risky financial assets and firms usually did not use money from debt and equity issues for these investments.

https://jfmp.sbu.ac.ir/article_95789_d43eaeeb67fe5e08e771b1061758d417.pdf