Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 Herd Behavior Asymmetry During the Tehran Stock Exchange Bubble Herd Behavior Asymmetry During the Tehran Stock Exchange Bubble 9 33 105023 10.48308/jfmp.2024.105023 FA Ahmadi Badri Associate Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran Mohammad Osoolian Assistant Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran. 0000-0003-4386-5402 Mahdi Karimi MSc. in Financial Management, University of Shahid Beheshti, Tehran, Iran. Journal Article 2024 07 14 Objective: Herd behavior asymmetry refers to the tendency for herd behavior to manifest with varying frequency depending on whether market returns are positive or negative. This phenomenon is particularly influenced by return jumps, which often arise from impactful information that leads less experienced traders to mimic the trading patterns of others. Considering the significant role that return jumps play in explaining herd behavior and the necessity of understanding this asymmetry within the context of the Tehran Stock Exchange (TSE) bubble, the objective of this research is to thoroughly investigate herd behavior, its asymmetrical nature, and the impact of return jumps on this behavior across different market periods, namely before, during, and after the occurrence of the TSE bubble. This research is designed to offer a comprehensive examination of how herd behavior fluctuates under various market conditions and the specific influence of return jumps, thereby contributing valuable insights into investor behavior, particularly during times of market volatility. Method: The research covers an extensive dataset of companies listed on the TSE, spanning from February 24, 2015 (the launch date of the equal-weight index), through March 20, 2023. To assess herd behavior on a daily basis, the study utilizes the Cross-Sectional Absolute Deviation (CSAD) method, which is well-suited for capturing the degree to which individual stock returns deviate from the overall index return. Furthermore, to measure and ensure the robustness of return jumps, intraday data at five-minute intervals of the equal-weight index was employed. Realized variance and bipower variance methods were used to accurately quantify return jumps. The analysis compares the frequency of herd behavior under both positive and negative market return conditions, with and without the incorporation of return jumps, thereby rigorously testing the asymmetry of herd behavior. By integrating return jumps into the model, the study aims to determine the extent to which sudden price movements influence herd behavior, particularly in periods marked by significant market fluctuations. Findings: The findings reveal that, without distinguishing between positive and negative returns, there is no observable herd behavior across the three studied periods on the TSE. However, when examining negative market return conditions (without accounting for return jumps), herd behavior becomes evident in each of the analyzed periods. Upon incorporating return jumps into the analysis, the model's explanatory power is significantly enhanced, as indicated by the notable increase in the adjusted R-squared value. This underscores the importance of return jumps in explaining herd behavior. Conclusion: The study confirms the presence of herd behavior in negative return markets, while no such behavior is detected in positive return markets, thereby demonstrating an asymmetric pattern in herd behavior on the TSE. This asymmetry can be attributed to the heightened inclination of investors to mimic others during bearish market conditions, driven by stress and increased perceived risks. Conversely, in bullish markets, investors experience lower levels of perceived risk and are less prone to follow the crowd. The results further validate the explanatory power of return jumps, emphasizing their role in influencing herd behavior and highlighting the impact of abrupt price movements on market dynamics. Objective: Herd behavior asymmetry refers to the tendency for herd behavior to manifest with varying frequency depending on whether market returns are positive or negative. This phenomenon is particularly influenced by return jumps, which often arise from impactful information that leads less experienced traders to mimic the trading patterns of others. Considering the significant role that return jumps play in explaining herd behavior and the necessity of understanding this asymmetry within the context of the Tehran Stock Exchange (TSE) bubble, the objective of this research is to thoroughly investigate herd behavior, its asymmetrical nature, and the impact of return jumps on this behavior across different market periods, namely before, during, and after the occurrence of the TSE bubble. This research is designed to offer a comprehensive examination of how herd behavior fluctuates under various market conditions and the specific influence of return jumps, thereby contributing valuable insights into investor behavior, particularly during times of market volatility. Method: The research covers an extensive dataset of companies listed on the TSE, spanning from February 24, 2015 (the launch date of the equal-weight index), through March 20, 2023. To assess herd behavior on a daily basis, the study utilizes the Cross-Sectional Absolute Deviation (CSAD) method, which is well-suited for capturing the degree to which individual stock returns deviate from the overall index return. Furthermore, to measure and ensure the robustness of return jumps, intraday data at five-minute intervals of the equal-weight index was employed. Realized variance and bipower variance methods were used to accurately quantify return jumps. The analysis compares the frequency of herd behavior under both positive and negative market return conditions, with and without the incorporation of return jumps, thereby rigorously testing the asymmetry of herd behavior. By integrating return jumps into the model, the study aims to determine the extent to which sudden price movements influence herd behavior, particularly in periods marked by significant market fluctuations. Findings: The findings reveal that, without distinguishing between positive and negative returns, there is no observable herd behavior across the three studied periods on the TSE. However, when examining negative market return conditions (without accounting for return jumps), herd behavior becomes evident in each of the analyzed periods. Upon incorporating return jumps into the analysis, the model's explanatory power is significantly enhanced, as indicated by the notable increase in the adjusted R-squared value. This underscores the importance of return jumps in explaining herd behavior. Conclusion: The study confirms the presence of herd behavior in negative return markets, while no such behavior is detected in positive return markets, thereby demonstrating an asymmetric pattern in herd behavior on the TSE. This asymmetry can be attributed to the heightened inclination of investors to mimic others during bearish market conditions, driven by stress and increased perceived risks. Conversely, in bullish markets, investors experience lower levels of perceived risk and are less prone to follow the crowd. The results further validate the explanatory power of return jumps, emphasizing their role in influencing herd behavior and highlighting the impact of abrupt price movements on market dynamics.

https://jfmp.sbu.ac.ir/article_105023_f2b0ffd4aa2bcb03b5e93f83fe8d22cb.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 Factors Affecting the Quality of Integrated Financial Reporting and Internal Control of Active Companies on the Tehran Stock Exchange Factors Affecting the Quality of Integrated Financial Reporting and Internal Control of Active Companies on the Tehran Stock Exchange 35 58 105028 10.48308/jfmp.2024.105028 FA Nabi Omidi Associate Prof., Department of Management, Payame Noor University (PNU), Tehran, Iran. 0000-0001-6841-8743 Hadi Meftahi Assistant Prof., Department of Management, Payame Noor University (PNU), Tehran, Iran Journal Article 2024 06 09 Objective: Traditional reporting frameworks typically focus solely on historical financial information, which is one of the main reasons they are considered unsuitable for reporting on today’s public institutions that operate with modern and multidimensional structures. Integrated reporting, by contrast, provides a comprehensive approach by combining all pertinent information related to an organization’s strategy, various risks, monitoring processes, social and environmental impacts, and financial results. This ultimately leads to the creation of a coherent set of reports characterized by simplicity and transparency. The Tehran Stock Exchange and Securities Organization has adopted the integrated reporting method; however, it has not yet mandated its implementation as a compulsory requirement for listed companies. The primary objective of this research is to identify and formulate the factors that significantly impact the quality of integrated financial reporting for companies actively trading on the Tehran Stock Exchange, taking into account the critical importance of this reporting method in influencing stakeholder decision-making processes. Methods: This research is designed as a quantitative study that is applied in nature and conducted in the form of a survey with respect to data collection. SPSS software was utilized to conduct detailed data analysis, while LISREL software was specifically employed for the purpose of performing factor analysis, which is of an exploratory nature. The research population consisted of 280 faculty members and professors specializing in financial management and accounting from Tehran universities, as well as stock exchange experts, professionals from financial and auditing institutions located in Tehran Province, and financial managers and accountants working for companies listed on the Tehran Stock Exchange. Using Cochran’s formula, a minimum sample size of 162 individuals was determined; however, to account for the possibility that not all distributed questionnaires would be returned, a total of 183 questionnaires were distributed. The fundamental aim of using factor analysis in this research is to condense the number of variables into a more limited set of underlying factors that indirectly influence the main variable under study. Consequently, this analytical method has been utilized to systematically analyze the collected data and effectively reduce the number of variables. Conclusion: From the selected sample group, 168 individuals ultimately responded to the distributed questionnaires, and their responses were comprehensively analyzed as part of the research data. Based on extensive studies conducted in relation to the research topic, in addition to results derived from other related research, scholarly articles, projects, and the findings from the administered questionnaire, a total of 41 initial variables were identified. Following further in-depth investigation and consultations with subject matter experts, 11 additional variables were identified and incorporated, resulting in a final set of 30 variables deemed to be effective factors influencing the quality of integrated financial reporting and internal control among listed companies. After conducting factor analysis, the Kaiser criterion was applied to determine the appropriate number of factors. According to this criterion, five factors with characteristic values greater than 1 were deemed extractable. These factors collectively explained 91.4% of the total variance in the variables. Results: Management factors, with a total factor load of 6.039; legal and regulatory factors, with a total factor load of 3.127; organizational and strategic factors, with a total factor load of 3.038; cultural and social factors, with a total factor of 2.961; and factors related to market structure, with a total factor load of 2.415, were respectively identified as the most significant factors. Objective: Traditional reporting frameworks typically focus solely on historical financial information, which is one of the main reasons they are considered unsuitable for reporting on today’s public institutions that operate with modern and multidimensional structures. Integrated reporting, by contrast, provides a comprehensive approach by combining all pertinent information related to an organization’s strategy, various risks, monitoring processes, social and environmental impacts, and financial results. This ultimately leads to the creation of a coherent set of reports characterized by simplicity and transparency. The Tehran Stock Exchange and Securities Organization has adopted the integrated reporting method; however, it has not yet mandated its implementation as a compulsory requirement for listed companies. The primary objective of this research is to identify and formulate the factors that significantly impact the quality of integrated financial reporting for companies actively trading on the Tehran Stock Exchange, taking into account the critical importance of this reporting method in influencing stakeholder decision-making processes. Methods: This research is designed as a quantitative study that is applied in nature and conducted in the form of a survey with respect to data collection. SPSS software was utilized to conduct detailed data analysis, while LISREL software was specifically employed for the purpose of performing factor analysis, which is of an exploratory nature. The research population consisted of 280 faculty members and professors specializing in financial management and accounting from Tehran universities, as well as stock exchange experts, professionals from financial and auditing institutions located in Tehran Province, and financial managers and accountants working for companies listed on the Tehran Stock Exchange. Using Cochran’s formula, a minimum sample size of 162 individuals was determined; however, to account for the possibility that not all distributed questionnaires would be returned, a total of 183 questionnaires were distributed. The fundamental aim of using factor analysis in this research is to condense the number of variables into a more limited set of underlying factors that indirectly influence the main variable under study. Consequently, this analytical method has been utilized to systematically analyze the collected data and effectively reduce the number of variables. Conclusion: From the selected sample group, 168 individuals ultimately responded to the distributed questionnaires, and their responses were comprehensively analyzed as part of the research data. Based on extensive studies conducted in relation to the research topic, in addition to results derived from other related research, scholarly articles, projects, and the findings from the administered questionnaire, a total of 41 initial variables were identified. Following further in-depth investigation and consultations with subject matter experts, 11 additional variables were identified and incorporated, resulting in a final set of 30 variables deemed to be effective factors influencing the quality of integrated financial reporting and internal control among listed companies. After conducting factor analysis, the Kaiser criterion was applied to determine the appropriate number of factors. According to this criterion, five factors with characteristic values greater than 1 were deemed extractable. These factors collectively explained 91.4% of the total variance in the variables. Results: Management factors, with a total factor load of 6.039; legal and regulatory factors, with a total factor load of 3.127; organizational and strategic factors, with a total factor load of 3.038; cultural and social factors, with a total factor of 2.961; and factors related to market structure, with a total factor load of 2.415, were respectively identified as the most significant factors.

https://jfmp.sbu.ac.ir/article_105028_bb16adca015084ea3c6db97f88cbe2c7.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 Analysis of the Impact of Stock Market Yield Fluctuations on the Assets Under Management of Fixed-Income Funds: Examining Periods of Upturns and Downturns Analysis of the Impact of Stock Market Yield Fluctuations on the Assets Under Management of Fixed-Income Funds: Examining Periods of Upturns and Downturns 59 88 105460 10.48308/jfmp.2024.105460 FA Ali Shabani Ghazi Kalaye M.Sc. student ,Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran 0009-0002-3691-7059 Mohammad Hassannejad Assistant Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran. 0000-0001-7585-0112 Journal Article 2024 09 17 Purpose: This text examines the impact of stock market return volatility on the investment levels in fixed-income funds. Given the significant fluctuations in financial markets and the increasing attention of investors to fixed-income funds as a safe option, this research aims to analyze the relationship between stock market volatility and the assets under management of these funds. Investors are divided into two categories: active and passive, each with different investment strategies. Active investors seek to profit from short-term fluctuations, while passive investors prefer to preserve capital in safer instruments. The research shows that investor behavior is influenced by market conditions and their expectations regarding risk and return. Additionally, this study uses the GARCH model to investigate whether stock market return volatility has a significant effect on the assets under management of fixed-income funds. The results of this research can assist managers and investors in making optimal decisions and may lead to the identification of effective strategies for attracting new investments into fixed-income funds. Method: This text conducts a statistical analysis of two variables: AUM (Assets Under Management) and INDEX (Stock Market Return) over the period from 2014 to 2023. The results indicate that the volatility of the INDEX is greater than that of AUM, and the data distribution is skewed to the right, indicating a non-normal distribution. The stationarity of these variables is examined using the Dickey-Fuller and Phillips-Perron tests, with results showing that both variables are stationary. The (1,1) GARCH model is chosen to analyze volatility and demonstrates that stock market return volatility has a significant impact on AUM volatility. Furthermore, the DUMMY variable assesses the effects of new policies on AUM, with results indicating a negative impact of these policies on the assets under management. Lastly, the (1,1) E-GARCH model shows that positive shocks to AUM volatility have a greater impact than negative shocks, potentially due to investor psychology. The results of these analyses can aid decision-makers and financial analysts in better understanding the capital market and formulating appropriate strategies. Findings: The research indicates that the volatility of the Tehran Stock Exchange overall index return has a significant impact (at the 1% level) on the assets under management (AUM) of fixed-income funds, such that an increase in market returns leads to an increase in these assets. Additionally, E-GARCH modeling results show that positive shocks have a greater impact than negative shocks on fund asset volatility, and past volatility in market returns helps predict future AUM volatility. Furthermore, the negative impact of new policies on the total assets under management following changes in investment regulations in the stock market is also emphasized. Conclusion: This research explores the effect of stock market return volatility on the level of assets under management in fixed-income funds. The results indicate that market return volatility positively and significantly affects the assets of these funds, such that an increase in market return can lead to an increase in assets under management. The influence of past volatility on predicting future asset volatility is also highlighted. Analyses suggest that new policies may have negative effects on the total assets and have failed to achieve the goal of stimulating investment in the stock market. Additionally, positive and negative market volatilities affect the assets under management differently, with positive shocks having a greater impact. These findings are important for decision-makers and policymakers, indicating a need to reconsider executive policies. The research can help fund managers and investors make optimal decisions and design effective financial strategies. It is suggested that investors pay attention to past volatilities and adjust their management strategies based on thorough analyses. Purpose: This text examines the impact of stock market return volatility on the investment levels in fixed-income funds. Given the significant fluctuations in financial markets and the increasing attention of investors to fixed-income funds as a safe option, this research aims to analyze the relationship between stock market volatility and the assets under management of these funds. Investors are divided into two categories: active and passive, each with different investment strategies. Active investors seek to profit from short-term fluctuations, while passive investors prefer to preserve capital in safer instruments. The research shows that investor behavior is influenced by market conditions and their expectations regarding risk and return. Additionally, this study uses the GARCH model to investigate whether stock market return volatility has a significant effect on the assets under management of fixed-income funds. The results of this research can assist managers and investors in making optimal decisions and may lead to the identification of effective strategies for attracting new investments into fixed-income funds. Method: This text conducts a statistical analysis of two variables: AUM (Assets Under Management) and INDEX (Stock Market Return) over the period from 2014 to 2023. The results indicate that the volatility of the INDEX is greater than that of AUM, and the data distribution is skewed to the right, indicating a non-normal distribution. The stationarity of these variables is examined using the Dickey-Fuller and Phillips-Perron tests, with results showing that both variables are stationary. The (1,1) GARCH model is chosen to analyze volatility and demonstrates that stock market return volatility has a significant impact on AUM volatility. Furthermore, the DUMMY variable assesses the effects of new policies on AUM, with results indicating a negative impact of these policies on the assets under management. Lastly, the (1,1) E-GARCH model shows that positive shocks to AUM volatility have a greater impact than negative shocks, potentially due to investor psychology. The results of these analyses can aid decision-makers and financial analysts in better understanding the capital market and formulating appropriate strategies. Findings: The research indicates that the volatility of the Tehran Stock Exchange overall index return has a significant impact (at the 1% level) on the assets under management (AUM) of fixed-income funds, such that an increase in market returns leads to an increase in these assets. Additionally, E-GARCH modeling results show that positive shocks have a greater impact than negative shocks on fund asset volatility, and past volatility in market returns helps predict future AUM volatility. Furthermore, the negative impact of new policies on the total assets under management following changes in investment regulations in the stock market is also emphasized. Conclusion: This research explores the effect of stock market return volatility on the level of assets under management in fixed-income funds. The results indicate that market return volatility positively and significantly affects the assets of these funds, such that an increase in market return can lead to an increase in assets under management. The influence of past volatility on predicting future asset volatility is also highlighted. Analyses suggest that new policies may have negative effects on the total assets and have failed to achieve the goal of stimulating investment in the stock market. Additionally, positive and negative market volatilities affect the assets under management differently, with positive shocks having a greater impact. These findings are important for decision-makers and policymakers, indicating a need to reconsider executive policies. The research can help fund managers and investors make optimal decisions and design effective financial strategies. It is suggested that investors pay attention to past volatilities and adjust their management strategies based on thorough analyses.

https://jfmp.sbu.ac.ir/article_105460_b2a7898acff10f316b4a0780cbb9d4f7.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 The Effect of Information Transparency on Firm Value: The Moderating Role of Industry Competitiveness The Effect of Information Transparency on Firm Value: The Moderating Role of Industry Competitiveness 89 107 105733 10.48308/jfmp.2025.237450.1435 FA Abbas Aflatooni Department of Accounting, Faculty of Economics and Social Sciences, Bu-Ali Sina University, Hamadan, Iran 0000-0002-0573-376X Farzad Eivani Assistant Prof., Department of Accounting, Faculty of Social Sciences, Razi University, Kermanshah, Iran. 0000-0003-3075-5933 Zahra Nikbakht Assistant Prof., Department of Accounting, Payame Noor University, Tehran, Iran Journal Article 2024 11 03 Purpose: Transparent information disclosure enables stakeholders to gain a comprehensive understanding of a company's fundamental quality, financial health, and associated risks, allowing them to make well-informed decisions. While publicly traded firms are required to disclose information through various mechanisms, they still retain significant flexibility in how they present it, which can sometimes lead to increased informational ambiguity. Enhanced transparency mitigates information asymmetry, strengthens communication channels between companies and shareholders, and discourages managerial opportunistic behavior, ultimately contributing to higher firm valuation. Despite the presence of empirical evidence supporting the positive relationship between information transparency and firm value, as well as the moderating effect of industry competitiveness on this relationship, the precise influence of competition remains an ongoing subject of academic discussion. This study explores the relationship between information transparency and firm value by employing both accounting-based and market-based transparency indicators, further examining the role of industry competitiveness in shaping and potentially reinforcing this relationship. Method: To test the research hypotheses, data for 143 firms (equivalent to 1,716 firm-years) from the Rahavard Novin database and the Codal website were collected for the period 2012–2023. The models used in hypothesis testing were estimated using the generalized least squares approach while controlling for the fixed effects of years and industries to ensure accurate estimation. Additionally, to account for heteroskedasticity and correlation in the model errors, clustered standard errors at the firm level were applied, enhancing robustness. Furthermore, regression models employed to measure information transparency based on accounting data were estimated annually from 2012 to 2023 across 12 industries (amounting to 132 regressions in total). Finally, in the sensitivity analysis section, market-based metrics were used to assess information transparency and validate the core findings of the study. Results: The results of this research indicate that an increase in information transparency increases the firm value. This finding is consistent with the concepts proposed in signaling theory. Additionally, the research results suggest that industry competitiveness intensifies the positive relationship between information transparency and firm value, aligning with predictions from agency theory. Moreover, supplementary results using market data-based measures of information transparency support the main findings of the study, indicating that the results are not sensitive to the use of alternative definitions for measuring information transparency. Conclusion: The research findings confirm the positive effect of information transparency on firm value and emphasize the significant role of industry competitiveness in strengthening this relationship. This highlights the role of business units and regulatory bodies in improving the quality of financial reports, reducing information asymmetry, and ultimately enhancing information transparency. Furthermore, due to the positive consequences of industry competitiveness in reducing opportunistic managerial behavior, compelling managers to make efficient and value-creating decisions, decreasing their tendency to hoard information, and encouraging voluntary disclosure of more information. Purpose: Transparent information disclosure enables stakeholders to gain a comprehensive understanding of a company's fundamental quality, financial health, and associated risks, allowing them to make well-informed decisions. While publicly traded firms are required to disclose information through various mechanisms, they still retain significant flexibility in how they present it, which can sometimes lead to increased informational ambiguity. Enhanced transparency mitigates information asymmetry, strengthens communication channels between companies and shareholders, and discourages managerial opportunistic behavior, ultimately contributing to higher firm valuation. Despite the presence of empirical evidence supporting the positive relationship between information transparency and firm value, as well as the moderating effect of industry competitiveness on this relationship, the precise influence of competition remains an ongoing subject of academic discussion. This study explores the relationship between information transparency and firm value by employing both accounting-based and market-based transparency indicators, further examining the role of industry competitiveness in shaping and potentially reinforcing this relationship. Method: To test the research hypotheses, data for 143 firms (equivalent to 1,716 firm-years) from the Rahavard Novin database and the Codal website were collected for the period 2012–2023. The models used in hypothesis testing were estimated using the generalized least squares approach while controlling for the fixed effects of years and industries to ensure accurate estimation. Additionally, to account for heteroskedasticity and correlation in the model errors, clustered standard errors at the firm level were applied, enhancing robustness. Furthermore, regression models employed to measure information transparency based on accounting data were estimated annually from 2012 to 2023 across 12 industries (amounting to 132 regressions in total). Finally, in the sensitivity analysis section, market-based metrics were used to assess information transparency and validate the core findings of the study. Results: The results of this research indicate that an increase in information transparency increases the firm value. This finding is consistent with the concepts proposed in signaling theory. Additionally, the research results suggest that industry competitiveness intensifies the positive relationship between information transparency and firm value, aligning with predictions from agency theory. Moreover, supplementary results using market data-based measures of information transparency support the main findings of the study, indicating that the results are not sensitive to the use of alternative definitions for measuring information transparency. Conclusion: The research findings confirm the positive effect of information transparency on firm value and emphasize the significant role of industry competitiveness in strengthening this relationship. This highlights the role of business units and regulatory bodies in improving the quality of financial reports, reducing information asymmetry, and ultimately enhancing information transparency. Furthermore, due to the positive consequences of industry competitiveness in reducing opportunistic managerial behavior, compelling managers to make efficient and value-creating decisions, decreasing their tendency to hoard information, and encouraging voluntary disclosure of more information.

https://jfmp.sbu.ac.ir/article_105733_e68d9c7b68da073140cd794bec3b3194.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 The Initial Investment Experience of Novice Investors on Their Future Behavior Through Risk Perception The Initial Investment Experience of Novice Investors on Their Future Behavior Through Risk Perception 108 129 105734 10.48308/jfmp.2025.238236.1463 FA Alireza Davari Department of Finance and Banking, Faculty of Management and Accounting, Allameh Tabataba&amp;#039;i University, Tehran, Iran 0009-0009-1879-4623 Meysam Amiri Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran Amirhossein Erza Assistant Prof, Department of Finance and Banking, Allameh Tabataba'i University, Tehran, Iran. Journal Article 2025 01 14 Purpose: This study examines how the initial investment experiences of novice investors influence their future behavior through their perception of risk. It aims to address gaps in traditional financial analysis by incorporating the psychological factors that affect investment decisions. By creating a controlled laboratory environment that simulates stock market conditions, this research intends to explore how novice investors with different risk levels shape decision-making processes and long-term investment strategies. The primary objective is to identify whether these initial risk perceptions exert a lasting influence on subsequent investment actions, or if continuous feedback from market conditions enables investors to adapt and rectify their cognitive biases over time. This investigation contributes to our understanding of behavioral finance by highlighting the critical role that early experiences play in forming an investor's mindset and risk assessment capabilities, ultimately impacting their overall investment journey. Method: To explore the connection between initial investment experiences and risk perception, a psychological experiment was designed to simulate stock market dynamics. This study utilized the SIT (Stock Investment Task) experiment, an adaptation of the Balloon Analogue Risk Task (BART), which closely mimics real-world investment scenarios. A sample of 153 novice investors participated in the laboratory simulation. Participants were categorized into three groups based on their initial risk exposure: those with low investment experience (LIE), those with high investment experience (HIE), and a control group with managed investment experience (CIE). Over the course of 30 rounds of simulated investment decisions, researchers gathered data on participants' risk perception and behavior. This information was analyzed using a chain mediation model, allowing for a comprehensive examination of both direct and indirect effects of initial investment experiences on subsequent decisions and behaviors. The findings from this study contribute to a deeper understanding of how early experiences in investment contexts can influence risk perception and decision-making strategies in novice investors. Findings: The analysis of novice investors highlighted the significant influence of initial investment experiences on their subsequent behavior. Participants categorized in the High Initial Experience (HIE) group exhibited increased risk aversion following substantial early losses. In contrast, those in the Low Initial Experience (LIE) group demonstrated higher levels of confidence and a tendency to embrace risk-taking behavior. Meanwhile, the Control Initial Experience (CIE) group maintained moderate risk levels, indicating that balanced initial experiences may foster stable long-term investment behavior. Notably, the study did not find evidence supporting the hypothesis that initial risk perception directly affects future risk assessments. This finding suggests that investors tend to recalibrate their perceptions over time, guided by continuous feedback from the market. As participants remained engaged with investing, their initial biases gradually diminished, showcasing their ability to learn from experiences and adapt to changing market conditions. Conclusion: The findings of this research emphasize the crucial role that initial investment experiences play in shaping the future behaviors of novice investors. While early perceptions of risk tend not to have a lasting impact, the presence of continuous feedback mechanisms is essential for refining investment strategies. This research indicates that financial education, along with exposure to diverse market conditions, can significantly mitigate the negative consequences stemming from initial losses or feelings of overconfidence. To foster an environment conducive to learning, financial institutions should implement market simulations that allow novice investors to practice and enhance their decision-making skills. Such initiatives not only improve their understanding of market dynamics but also promote healthier risk management practices. Ultimately, this study contributes to the broader field of behavioral finance by illustrating the dynamic nature of risk perception and its profound influence on investment behavior. By acknowledging these factors, both investors and financial institutions can work together to shape more informed and resilient investment approaches. Purpose: This study examines how the initial investment experiences of novice investors influence their future behavior through their perception of risk. It aims to address gaps in traditional financial analysis by incorporating the psychological factors that affect investment decisions. By creating a controlled laboratory environment that simulates stock market conditions, this research intends to explore how novice investors with different risk levels shape decision-making processes and long-term investment strategies. The primary objective is to identify whether these initial risk perceptions exert a lasting influence on subsequent investment actions, or if continuous feedback from market conditions enables investors to adapt and rectify their cognitive biases over time. This investigation contributes to our understanding of behavioral finance by highlighting the critical role that early experiences play in forming an investor's mindset and risk assessment capabilities, ultimately impacting their overall investment journey. Method: To explore the connection between initial investment experiences and risk perception, a psychological experiment was designed to simulate stock market dynamics. This study utilized the SIT (Stock Investment Task) experiment, an adaptation of the Balloon Analogue Risk Task (BART), which closely mimics real-world investment scenarios. A sample of 153 novice investors participated in the laboratory simulation. Participants were categorized into three groups based on their initial risk exposure: those with low investment experience (LIE), those with high investment experience (HIE), and a control group with managed investment experience (CIE). Over the course of 30 rounds of simulated investment decisions, researchers gathered data on participants' risk perception and behavior. This information was analyzed using a chain mediation model, allowing for a comprehensive examination of both direct and indirect effects of initial investment experiences on subsequent decisions and behaviors. The findings from this study contribute to a deeper understanding of how early experiences in investment contexts can influence risk perception and decision-making strategies in novice investors. Findings: The analysis of novice investors highlighted the significant influence of initial investment experiences on their subsequent behavior. Participants categorized in the High Initial Experience (HIE) group exhibited increased risk aversion following substantial early losses. In contrast, those in the Low Initial Experience (LIE) group demonstrated higher levels of confidence and a tendency to embrace risk-taking behavior. Meanwhile, the Control Initial Experience (CIE) group maintained moderate risk levels, indicating that balanced initial experiences may foster stable long-term investment behavior. Notably, the study did not find evidence supporting the hypothesis that initial risk perception directly affects future risk assessments. This finding suggests that investors tend to recalibrate their perceptions over time, guided by continuous feedback from the market. As participants remained engaged with investing, their initial biases gradually diminished, showcasing their ability to learn from experiences and adapt to changing market conditions. Conclusion: The findings of this research emphasize the crucial role that initial investment experiences play in shaping the future behaviors of novice investors. While early perceptions of risk tend not to have a lasting impact, the presence of continuous feedback mechanisms is essential for refining investment strategies. This research indicates that financial education, along with exposure to diverse market conditions, can significantly mitigate the negative consequences stemming from initial losses or feelings of overconfidence. To foster an environment conducive to learning, financial institutions should implement market simulations that allow novice investors to practice and enhance their decision-making skills. Such initiatives not only improve their understanding of market dynamics but also promote healthier risk management practices. Ultimately, this study contributes to the broader field of behavioral finance by illustrating the dynamic nature of risk perception and its profound influence on investment behavior. By acknowledging these factors, both investors and financial institutions can work together to shape more informed and resilient investment approaches.

https://jfmp.sbu.ac.ir/article_105734_4d516fbc2b9e8863f443f3a58b9da44f.pdf

Shahid Beheshti University Financial Management Perspective 2645-4637 14 47 2024 10 22 The Effect of the Possibility of Fraud on Misvaluation: The Role of Government Ownership The Effect of the Possibility of Fraud on Misvaluation: The Role of Government Ownership 130 148 105764 10.48308/jfmp.2025.237668.1445 FA Mohammad Amri-Asrami Assistant Professor, Accounting Department,, Faculty of Economics, Management,and Administrative Sciences, Semnan University, Semnan, Iran. 0000-0003-2438-5390 Seyed Kazem Ebrahimi Accounting Department, Faculty of Economics, Management and Administrative Sciences, Semnan University, Campus 1, Semnan, Zip Code: 35131-19111 0000-0002-7227-6407 Fatemeh Karimi Gelehdoni Accounting Department, Faculty of Economics, Management and Administrative Sciences, Semnan University, Campus 1, Semnan, Zip Code: 35131-19111 0009-0001-2922-7757 Journal Article 2024 11 23 Objective: Correctly asset valuation leads to optimal allocation of capital resources, and lack of accuracy and precision in stock valuation can harm company performance and jeopardize shareholders' interests. So, mispricing, as a financial anomaly, undermines the efficient market hypothesis. The occurrence of fraud reduces confidence and causes negative reactions in the market. In this regard, the publication of fraud news damages the company's reputation and shareholders' wealth. Under these circumstances, the stock price fails to accurately represent the true state of the company, thus exposing fraudulent activities within the company lays the groundwork for the misvaluation. Today, governmental ownership has become a rescue strategy in developed and developing countries. The restricted information environment of governmental companies leads to a decrease in the liquidity of these companies' shares. On the other hand, managers of government companies focus on achieving short-term social and political goals. State-owned enterprises play a crucial role in assisting the government in enhancing societal welfare. How does the presence of state-owned companies influence the current circumstances? This study examines the relation between the likelihood of fraud and misvaluation, emphasizing the role of state ownership. Method: This research was carried out utilizing actual stock market data and the financial statements of firms. The statistical population for this study comprises companies that were listed on the Tehran Stock Exchange during the eight-year span from 2015 to 2022. After applying regular screening conditions, 129 companies, 1032 observations have been selected. Misvaluation was measured following the study of Rhodes–Kropf et al. (2005) and Chang et al. (2013) and the probability of fraud was measured following Benish (1999) and Erdoğan and Erdoğan (2020). After examining the assumptions of multivariate regression, the hypotheses were tested using a panel data model with fixed effects. Findings: The findings show that the probability of fraud significantly increases the misvaluation of companies. In state-owned companies, the effect of the probability of fraud on misvaluation is significantly intensified. Conclusion: The issuance of fraudulent financial statements results in the propagation of misleading information, thereby diminishing investor trust in the market. Furthermore, numerous instances of fraud and misconduct go undetected for extended periods, and not all detected cases are subsequently reported. As a result, the publication of corporate fraud reports triggers a negative response within the capital market, resulting in heightened costs associated with resource provision. This escalation in costs ultimately results in a mispricing of the company's securities. Alternatively, in the context of state-owned firms, the probability of fraudulent activities significantly amplifies the misvaluation of stock prices. The support from the government, along with the closed nature of state-owned companies, contributes to diminished transparency in financial reporting. This situation exacerbates information asymmetry and heightens the likelihood of fraudulent financial activities. Moreover, the erosion of internal control mechanisms within these companies facilitates opportunities for fraudulent activities and conflicts of interest involving management. Hence, in state-controlled companies, the likelihood of stock misvaluation is heightened. Objective: Correctly asset valuation leads to optimal allocation of capital resources, and lack of accuracy and precision in stock valuation can harm company performance and jeopardize shareholders' interests. So, mispricing, as a financial anomaly, undermines the efficient market hypothesis. The occurrence of fraud reduces confidence and causes negative reactions in the market. In this regard, the publication of fraud news damages the company's reputation and shareholders' wealth. Under these circumstances, the stock price fails to accurately represent the true state of the company, thus exposing fraudulent activities within the company lays the groundwork for the misvaluation. Today, governmental ownership has become a rescue strategy in developed and developing countries. The restricted information environment of governmental companies leads to a decrease in the liquidity of these companies' shares. On the other hand, managers of government companies focus on achieving short-term social and political goals. State-owned enterprises play a crucial role in assisting the government in enhancing societal welfare. How does the presence of state-owned companies influence the current circumstances? This study examines the relation between the likelihood of fraud and misvaluation, emphasizing the role of state ownership. Method: This research was carried out utilizing actual stock market data and the financial statements of firms. The statistical population for this study comprises companies that were listed on the Tehran Stock Exchange during the eight-year span from 2015 to 2022. After applying regular screening conditions, 129 companies, 1032 observations have been selected. Misvaluation was measured following the study of Rhodes–Kropf et al. (2005) and Chang et al. (2013) and the probability of fraud was measured following Benish (1999) and Erdoğan and Erdoğan (2020). After examining the assumptions of multivariate regression, the hypotheses were tested using a panel data model with fixed effects. Findings: The findings show that the probability of fraud significantly increases the misvaluation of companies. In state-owned companies, the effect of the probability of fraud on misvaluation is significantly intensified. Conclusion: The issuance of fraudulent financial statements results in the propagation of misleading information, thereby diminishing investor trust in the market. Furthermore, numerous instances of fraud and misconduct go undetected for extended periods, and not all detected cases are subsequently reported. As a result, the publication of corporate fraud reports triggers a negative response within the capital market, resulting in heightened costs associated with resource provision. This escalation in costs ultimately results in a mispricing of the company's securities. Alternatively, in the context of state-owned firms, the probability of fraudulent activities significantly amplifies the misvaluation of stock prices. The support from the government, along with the closed nature of state-owned companies, contributes to diminished transparency in financial reporting. This situation exacerbates information asymmetry and heightens the likelihood of fraudulent financial activities. Moreover, the erosion of internal control mechanisms within these companies facilitates opportunities for fraudulent activities and conflicts of interest involving management. Hence, in state-controlled companies, the likelihood of stock misvaluation is heightened.

https://jfmp.sbu.ac.ir/article_105764_6139121fbeb379a29f3152e2197d53fd.pdf