The Volatility Forecasting of Tehran& International Stock Exchanges
H.
Khaleghi Moghadam
استادیار دانشکده مدیریت و حسابداری دانشگاه علامه طباطبایی
author
S.
Moshiri
دانشیار دانشکده اقتصاد دانشگاه علامه طباطبایی
author
K.
Pakizeh
دانشجوی دوره دکتری حسابداری
author
text
article
2008
per
Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the period 1998-2008. The models are random walk, historical mean, moving average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH" and EGARCH. Volatility is defined as within- month standard deviation of continuously compounded daily returns (log-returns) on the indices of main stock exchanges. We compare the forecasting results of the eight major international stock exchanges with the Tehran stock exchanges (TSE), where the market is highly regulated and therefore less subject to volatility. To evaluate the forecasting results, we use three symmetric loss functions including the mean absolute error, root mean squared error, and the mean absolute percentage error.
Results suggest that the GJR- GARCH model provides the superior forecasting performance in comparison with other volatility forecasting models in international exchanges. However, the simple smoothing model provides superior performance in TSE. While random walk model provides the worst performance for international exchanges, it is a good performing model, second in order, in TSE. Historical average model provides the worst performance and ARCH class models do not rank high in forecasting competition for TSE.
Empirical Studies in Financial Accounting
Allameh Tabataba’i University
2821-0166
6
v.
24
no.
2008
1
33
https://qjma.atu.ac.ir/article_4295_dfb7421a142bd0ebb2077c3a7856ff50.pdf
An Investigation of the Relationship between Market Return, Firm Size and Book-to-Market Value of Equity with Return of Equity in Tehran Stock Exchange
O.
Pourheydari
دانشیار گروه حسابداری دانشگاه شهید باهنر کرمان
author
M.
Shahbazi
کارشناس ارشد مدیریت مالی
author
text
article
2008
per
This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market value of equity on equity return. We use OLS regression to analyzing the collected of data during 1376 to
1383. Our results indicate a significant relationship between three mentioned variable with equity returns.
The relationship between market return, and firm size with return of equity was positive, and the relationship between book-to-market value of equity with return of equity was negative. Also, our findings indicate that investing in firms with big size and low book-to-market value of equity ratio in TSE has more return for investors.
Empirical Studies in Financial Accounting
Allameh Tabataba’i University
2821-0166
6
v.
24
no.
2008
35
51
https://qjma.atu.ac.ir/article_4296_fd836d6d5304da9c3ca60928eb7c3f84.pdf
Examining the Relation between Advertising Expenditures and Firm's Intangible Value in the TSE Listed Companies
M.
Azizkhani
استادیار گروه حسابداری دانشگاه ایلام
author
N.
Khodadadi
کارشناس ارشد حسابداری
author
text
article
2008
per
This paper examines the effects of advertising expenditures on firm's intangible value in the Tehran Stock Exchange (TSE) listed companies. Using Q Tobin to estimate firm's intangible value and for a sample of 389 firm-year observation during 1380-1385, we find that there is a negative association between firm's advertising expenditures and intangible value. We also find that there is no association between advertising expenditure, sales and profit.
Empirical Studies in Financial Accounting
Allameh Tabataba’i University
2821-0166
6
v.
24
no.
2008
53
78
https://qjma.atu.ac.ir/article_4297_c82710050b896cf9c9fd04552f212e18.pdf
Corporate Governance Mechanisms, Debt Ratio, Firm Size and Earnings Management
Yahya
Hassas Yeganeh
استادیار دانشکده مدیریت و حسابداری دانشگاه علامه طباطبایی
author
Saber
Sheri
استادیار دانشکده مدیریت و حسابداری دانشگاه علامه طباطبایی
author
H.
Khosrownejad
کارشناس ارشد حسابداری
author
text
article
2008
per
In order to solve the distrust problem of the moral hazard in information asymmetry issue in capital markets, corporate governance is introduced. This is an assumption that corporate governance results to a healthful life for organizations in a long horizon and protects the stockholders interests. International organizations and institutes, suggest the governance codes as a tool to develop the competition ability of corporate to access to the international capital sources, and it also affects economic and employment improvements.
This research studied some of the corporate governance mechanisms in TSE and examines the probable correlation between earning management and corporate governance mechanisms, debt ratio and firm size. The current study employs the cross-sectional modified version of Jones, where abnormal working capital accruals are used as proxy for earnings management. The study reveals that corporate governance mechanisms (board size, proportion of independent directors, competence of independent directors, separation of the roles of CEO and chairman, CEO membership, ownership structure and existence of audit dept.) have non-significant relation with earning management. It also shows that debt ratio and firm size have no significant relation with earning management.
Empirical Studies in Financial Accounting
Allameh Tabataba’i University
2821-0166
6
v.
24
no.
2008
79
115
https://qjma.atu.ac.ir/article_4298_41620b84477a315121dff14b9a7a8a43.pdf
Appraisal Influencing Factors on Auditor's Judgment and Determining the Materiality Degree on Misstatement Detection of Financial Statements
E.
Vahidi Elysseai
استادیار گروه حسابداری دانشگاه آزاد اسلامی – واحد علوم تحقیقات خوزستان
author
A.
Rahdaryan
کارشناس ارشد حسابداری
author
text
article
2008
per
This research was done in the second half of 1387 in Iran to appraisal influencing factors on auditor's judgment and determining the materiality degree on misstatement detection of financial statements. After theoretically study, quantitative and qualitative factors recognized and sort in 28 factors at 2 equal groups and in 350, 300 questionnaires send for internal and external auditors that 131 external auditors and 59 internal auditors answered them.
Perception of Iranian internal and external auditors appraisal to efficiency each factors using statistical tests and specify that auditors perception's to quantitative and qualitative factors are the same, but they have not the same cognition.
Results of this research show that by not existing general difference in perception of auditors to efficiency factors, auditors sort them to different configuration. As external auditors appraisal 8 quantitative factors and 5 qualitative factors to the most effective factors and against internal auditors recognize 6 quantitative factors and only 1 qualitative factor to the most effective factors.
Also Results of this research show that external auditors think that qualitative factors are more effective and internal auditors think that quantitative factors are more effective.
Empirical Studies in Financial Accounting
Allameh Tabataba’i University
2821-0166
6
v.
24
no.
2008
117
146
https://qjma.atu.ac.ir/article_4299_b5988c99083261ec1f380b8462d30b6b.pdf