H. Khaleghi Moghadam; S. Moshiri; K. Pakizeh
Volume 6, Issue 24 , January 2009, , Pages 1-33
Abstract
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. ...
Read More
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.
H. Khaleghi Moghadam; F. Karami
Volume 6, Issue 23 , October 2008, , Pages 19-41
Abstract
This paper aims to evaluate the earning forecasting model based on cost variability and cost stickiness in comparison to other forecasting models. Cost stickiness means that the rate of decrease in costs while sale declines is less than the rate of increase in costs while sale grows. In other ...
Read More
This paper aims to evaluate the earning forecasting model based on cost variability and cost stickiness in comparison to other forecasting models. Cost stickiness means that the rate of decrease in costs while sale declines is less than the rate of increase in costs while sale grows. In other word, costs are sticky downward. The data used in this research was gathered from 85 companies accepted in Tehran stock market from 1994 to 2004. To analyze the data two regression techniques called simple and rolling methods and also confidence coefficient R2 and F test are used. The results indicate that the power of the earning forecasting model based on cost variability and cost stickiness is significantly more than the others'.
Hamid Khaleghi Moghaddam; Alireza Khalegh
Volume 6, Issue 21 , April 2008, , Pages 31-60
Abstract
In this research study, we have used the Transparency and Disclosure scores set by Standard & Poors for evaluation and trend analysis of transparency of the companies listed in Tehran Stock Exchange. We have also examined the correlation of transparency scores with some factors such as: size of the ...
Read More
In this research study, we have used the Transparency and Disclosure scores set by Standard & Poors for evaluation and trend analysis of transparency of the companies listed in Tehran Stock Exchange. We have also examined the correlation of transparency scores with some factors such as: size of the companies, leverage ratios, profitability, ownership structure, and number of independent board members. This research study indicates that the Corporate Transparency score was 28 percent in the year 2001 and increased to 32 percent in 2007. Comparison of this result with the studies performed abroad by Standard & Poors reveals the weak position of Iran in Corporate Transparency among other Asian countries, Europeans and also Latin Americans. In addition, we found a positive correlation between the Corporate Transparency and size of the companies but there was no correlation with the other factors mentioned above. Based on the results of this study, we are of the opinion that at present, the companies have no motivation for increasing the Corporate Transparency.
Hamid Khaleghi Moghaddam; Elham Hamidi
Volume 5, Issue 19 , October 2007, , Pages 1-20
Abstract
In this research, we examine the value relevance of accounting information over the time in order to use it in valuation models. For this reason, the ability of current operating Income to predict oneyear-ahead operating cash flows has been examined by means of annual cross-sectional regression ...
Read More
In this research, we examine the value relevance of accounting information over the time in order to use it in valuation models. For this reason, the ability of current operating Income to predict oneyear-ahead operating cash flows has been examined by means of annual cross-sectional regression approach from 1378 to 1385. Then the degree of relationship between operating Income and operating cash flows is investigated. The results show that both operating Income and operating cash flows have the ability to predict one-year ahead operating cash flows. But the incremental explanatory power of operating Income over operating cash flows is significant. Then in order to test the value relevance of accounting information over the time, we investigate the relationship between R2ₑ , R2 inc-e, R2 ocf, R2 inc-ocf, and lime by means of nonparametric statistics. The results do not show any significant relationship between R2ₑ , R2 inc-e, R2 ocf, R2 inc-ocf and time ROI t - ROI t-1.
Hamid Khaleghi Moghadam; Parviz Piri
Volume 5, Issue 17 , April 2007, , Pages 27-61
Abstract
In the view or market theoreticians, investors and other participants, attain more successful with appropriate valuation measures. This article tries to show and compare the effect and relevance between various market indicators and stock price predictions.
For this purposes, market indicators ...
Read More
In the view or market theoreticians, investors and other participants, attain more successful with appropriate valuation measures. This article tries to show and compare the effect and relevance between various market indicators and stock price predictions.
For this purposes, market indicators have been categorized in three groups of: structural indicators, flow of fund indicators and sentiment indicators.
Single and multiple regression was used to test the research hypothesis and various market indicators. At last this paper concludes that the price variation can be predicted with indicators of I )firm size 2)earnings per share grouch 3)market breadth 4)free float rate and S)book value per share to price ratio. In other words, 53.5 % of stock price variations in Tehran stock exchange can be predicted with these four variables.
Hamid khaleghi Moghadam; Abdol Mehdi Ansari
Volume 4, Issue 14 , July 2006, , Pages 99-132
Abstract
Valuation theories and models have evolved over time from the very simple present value formulation to more complex relationships. But the causality between accounting numbers and the value of the firm has not been succinctly developed investors, investment advisors, and analysts continue to utilize ...
Read More
Valuation theories and models have evolved over time from the very simple present value formulation to more complex relationships. But the causality between accounting numbers and the value of the firm has not been succinctly developed investors, investment advisors, and analysts continue to utilize accounting numbers as a subset of the information used in forming expectations about the probability distribution of rates of return.
Finally, to the extent that investment analysts and advisors try to beat the market, their Utilization Of information in making expectations can be colored by their personal, individualistic attributes. One of these attributes is the phenomenon of functional fixation.
In psychology, functional fixation refers to a phenomenon of most human behavior: "the individual attaches a meaning to a title or an object and is unable to see alternative meanings or uses.
In applying this concept to accounting, they extrapolated that: "if the outputs from different accounting methods are called by the same name, such as profit, cost, etc..., people who do not understand accounting well, tent to neglect the fact that alternative methods may have been used to prepare the outputs. In such a case, a change in the accounting process clearly influences the decisions.
"Functional fixation hypothesis in accounting, that is, investors have a value from securities in mind which is obtained from some certain accounting figures, such as earning per share, without paying attention to how it is calculated, or what is its information content. On the other hand, investors have functional fixation on accounting figures, not on its information content.
The operational testing of the central hypothesis is achieved by testing a series of sub-hypotheses which are tailored to fit the type of data generated by the experiment.
All of the given tests pointed up this matter that, respondents in the sample (the statistical sample was chosen from received and valid answers of 38 answer sheets) have classified the firm which has changed the method of the weighted average (its reported profit is decreased and its cash inflow is increased), much lower than its similar firm which has continued Fifo method.
Hamid Khaleghi Mogadam; Mohammad Ali Sahmani Asl
Volume 3, Issue 12 , January 2006, , Pages 57-81
Abstract
The present study identifies the effective accounting and economic variables on P/E ratio in Tehran stock Exchange (TSE) during the 12- year period from 1992 up to 2003. The investigation and identification of accounting information in determining P/E ratio and proper function of the capital market promote ...
Read More
The present study identifies the effective accounting and economic variables on P/E ratio in Tehran stock Exchange (TSE) during the 12- year period from 1992 up to 2003. The investigation and identification of accounting information in determining P/E ratio and proper function of the capital market promote the accounting status in the professional society.
The research is seeking to find out if the economic and corporate variables (accounting variables) can affect the P/E ratio in TSE.
This question is formed into two major hypotheses including:
1) Changes in economic variables affect the corporate PIE ratio, and
2) Accounting variables affect the corporate P/E ratio.
Ex-post multiple factor analysis was applied to test the hypotheses. Furthermore, linear regression, and GEE and TSCSREG statistical instruments were also applied as well as panel Data Analysis.
The research findings indicates P/E ratio is much more affected by accounting variables than economic ones, while there is a strong correlation between the economic variables and corporate PIE ratio in TSE.
Hamid Khaleghi Moghadam; Mahmood Bahramian
Volume 3, Issue 10 , July 2005, , Pages 1-28
Abstract
Companies going public in Iran include a forecast of next year's profit in their prospectuses. Investors use this information for their future decision. Accuracy of the forecast is crucial because it seems to be a credible signal for long-term performance of stocks.
In this study we ...
Read More
Companies going public in Iran include a forecast of next year's profit in their prospectuses. Investors use this information for their future decision. Accuracy of the forecast is crucial because it seems to be a credible signal for long-term performance of stocks.
In this study we examine the accuracy of management profits forecasts contained in prospectuses of companies newly listing on the Tehran Stock Exchange. For that reason four different forecast error metrics, forecast error, absolute forecast error, squared forecast error and superiority of management forecast are considered.
The interesting feature in this paper is the mandatory status of Tehran market for the disclosure of earning forecast in the prospectuses of the companies and the motivation is that there is no previous literature covering forecast earning accuracy. Data set consists of 81 IPOs, which were floated, in the Athens Stock Exchange during March 2000 to February of 2002.
In order to test a number of company specific characteristics, for the accuracy of Tehran IPO management earnings forecasts we conduct a regression analysis .We apply a cross sectional model to explain variations in accuracies but it has very weak significant power. Our results suggest that investors are able to anticipate forecast errors at the time of listings. Investigation on independent variables, influencing the forecast accuracy show that three factors named horizon of the IPO' (HOR), Economic Condition (ECON), Age of Firm (AGE) are significant determinants.
Hamid Khaleghi moghaddam; M. Azad
Volume 2, Issue 7 , October 2004, , Pages 33-54
Abstract
Profit as the most important factor of measurement of an operation of an entity, is one of the topics of accounting which has secured its special place in the theoretical issue for a number of years. Accounting from the beginning of 20th century has started its activity in the scientific and classic ...
Read More
Profit as the most important factor of measurement of an operation of an entity, is one of the topics of accounting which has secured its special place in the theoretical issue for a number of years. Accounting from the beginning of 20th century has started its activity in the scientific and classic form. In the last number of decades, especially from the year 1960 onward after efficient market hypothesis (EMH), with the start of experimental --evidential researches by Ball and Brown about the content of information pertaining accounting earning was able to stable its theoretic fundamentals on the basis of evidence. In this research, the content of information of predicted profit is studied. The results reported here indicate that Earning Forecast by companies possessing information and efficiency content and from this purpose the importance of prediction of accounting earning due to its role and effect in the decision takings of users especially investor's is considerable.
Hamid Khaleghi Moghadam; E. Davarpanah
Volume 2, Issue 6 , July 2004, , Pages 1-26
Abstract
In accounting standard N o.22 of Iran, the lowest interim financial report contents and the principles of identification as well as measurement in the case of performing in preparation of interim financial settlements and the aim of preparation of this information has been the securing of investments ...
Read More
In accounting standard N o.22 of Iran, the lowest interim financial report contents and the principles of identification as well as measurement in the case of performing in preparation of interim financial settlements and the aim of preparation of this information has been the securing of investments needs, creditors and the other users.
The aim of this research is that the efficiency rate and benefit of these information and its merit as to interim reports to be measured and finally to response to this question that whether the preparation of interim financial statements have been required in accordance to Standard No.22 or not and whether we can supply the more useful information to the users of supply and cause the changing of view and finally their final decision making as to the time and consumed additional expense in preparation of these information in comparison to the interim reports in accordance to the previous requirements of the stock exchange.
For achieving to the aims of research, the experimental method and distribution of questionnaire were used and by usage from the students in Master of Science degree in the field of Accounting in University of Tehran, they were substituted as statistical society for financial statements i n two groups of Experimental & Control Groups and making the conditions for testing and usage from plan after ·the test with the Control Group that the findings of research resulting from Experimental Environment to the software environment as Excel and SPSS have been transferred and finally after statistical analysis that their main is Pearaions Chi - Square test with usage from Yates Correction guidance, Fishrr - Irwins Exact test and usage from Sommer, s. coefficient association and Gamm, s. Coefficient of Association as well as T student test and Mann-Whitney U test, finally the obtained results show that they have not regarded among the made decisions on the basis of interim financia1l statements as standard and made decisions of interim reports in accordance to the previous requirements of exchange stock in related to the same trading unit as well as they haven't regard the difference considerably between standard interim financial statements and ex interim financial reports.
It should be mention that the above obtained results have obtained in the conditions and limits of this research that their explanation has been mentioned in fifth chapter.
Hamid Khaleghi Moghaddam; Vahab Rostami
Volume 1, Issue 3 , October 2003, , Pages 2-26
Abstract
In this research, the Market efficiency related to going concern entity and its Probability reflect on the price/earnings ratio (P/E) was tested that whether, when going concern entity evaluated above later it's PIE become near to industry's P/E and vice versa? In this research, one of the bankruptcy ...
Read More
In this research, the Market efficiency related to going concern entity and its Probability reflect on the price/earnings ratio (P/E) was tested that whether, when going concern entity evaluated above later it's PIE become near to industry's P/E and vice versa? In this research, one of the bankruptcy production models wdll- known as zargin Model is used for sorting and ranging the entities on the base of going concern, which its output data is limited on zero and one, indicates the probability of the bankruptcy and going concern of the entity. In the use of this model, since the model was prepared on the entities' activity environment and its structure in the other countries and it wasn't consistent for Iranian corporation's activity environment, so after selection of the sample consisted of 40 corporations in the SEC, its coefficients are corrected and constituted with Iranian corporation's qualitative and in the along of doing research at first , the efficiency of the model was tested with the sample consisted of 14 normal and bankrupt and going concern probabilities for the sample corporations of the car industry was computed. Also as regards the evaluating high and low of the P/E ratio was problem, the amount of farness and nearness of the entity's P/E to industry’s P/E are adopted and computed as favorable parameter. Then the existence of meaningful correlation relationship between computed going concern relatively ability and amount of contradiction of entity's P/E than industry's P/E was tested. The results of study showed that there isn't any meaningful relationship between these two parameters in the level of supportable error of 5 percent and we cannot use the evaluating of differences between entity's PIE to find out the amount their going concern ability in the future.
Hamid Khaleghi Moghoddam; Farokh Barzideh
Volume 1, Issue 2 , July 2003, , Pages 83-106
Abstract
With regard to the goals (efficiency) and objectives (effectiveness) the performance of entities is measured.
Therefore, measuring performance can be considered proper criteria showing the achievement of goals and objectives. This paper enables the firms, all kind to determine how far they have been ...
Read More
With regard to the goals (efficiency) and objectives (effectiveness) the performance of entities is measured.
Therefore, measuring performance can be considered proper criteria showing the achievement of goals and objectives. This paper enables the firms, all kind to determine how far they have been successful (in achieving the goals and objectives). During the last decades the firms have used different approaches and technics in measuring the performances. But, a very few of them are satisfied with the effectiveness of the process of assessments.
This article tries to compare the results of other approaches with the aim of enabling the users of financial statements make reasonable decisions; it deserves to note that Tehran stock exchange is looking for a reliable measure for assessing the accounting information.
Also in this paper attempts has been made to show there is no realizable relation between the different approaches in measuring the performance of the companies.
Hamid Khaleghi Moghaddam; Ali Rahmani
Volume 1, Issue 1 , April 2003, , Pages 109-142
Abstract
This Paper Provides empirical evidence on the predictive ability of nonearning annual report numbers under an earning prediction approach.
The most studies report that earning were generated by a random walk Process. The paper investigates information Content of accounting items. The Logit prediction ...
Read More
This Paper Provides empirical evidence on the predictive ability of nonearning annual report numbers under an earning prediction approach.
The most studies report that earning were generated by a random walk Process. The paper investigates information Content of accounting items. The Logit prediction models were estimated based on pooled data set of 71 firms over the period 1371-79.
The result demonstrates the predictive power of accounting item to explain and Forecast of earnings. However the predictive Performance model in the period 1377-79 was not significantly different from random walk model; except in 1378.
Gross margin ratio, growth in Assets per share, growth in Assets, growth in Sales to assets ratio, total debt to total assets, pretax income to sales, growth in net income to sales, growth in operating expense to sales and changes in return on equity, correlated with earnings and these explanatory variables whose estimated coefficients had a wald Statistic significantly different from zero at the 10% level.
The finding suggest that a firm's nonearings annual report numbers contain information concerning the direction of its next year's earnings change.
