Javad Shekarkhah; Ghasem Bolu; Mohammad Haghighat
Abstract
In capital assets pricing model (CAPM) frame, the all effective factors in expected return, are summarized in Beta. As many assumptions in this model are not real, it necessitates the development of new models, and each one of them in its own part caused a new deficiency in mentioned assumptions. In ...
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In capital assets pricing model (CAPM) frame, the all effective factors in expected return, are summarized in Beta. As many assumptions in this model are not real, it necessitates the development of new models, and each one of them in its own part caused a new deficiency in mentioned assumptions. In CAPM the assumptions are based on the fact that distribution of returns is normal and all investors are risk averse. However, distribution of returns is not always normal and often there is a significant difference between normal distributions. Mean-variance can be the best method for decision making. If distribution of returns is not normal, then mean-variances generalization is not working. Existence of representative problems, valid or limited debts, correlation between volatility and pricing, and compound returns are factors lid to asymmetry in portfolio returns. As a result, this paper by using cross sectional data and based on Fama-Mac Beth model is analyzing the effect of higher moments on future stock return. In this paper, because of applied target as descriptive research there is a correlation which the effect of skewness and kurtosis of equity return distribution and nonsystematic volatility on future stock return is examined by three different hypothesis. In order to accomplish this paper, a sample of 76 firms participating in Tehran exchange stock between 1389 to 1393 as systematically elimination is selected. As a result of this research, skewness coefficient is effective on future stock return and has a negative relationship with it. On the other hand, whatever the skewness of distribution is negative, then the future stock return is going up. And also there is a positive effect between nonsystematic volatility of equity return and future’s return. On other word, investor by increasing nonsystematic volatility and accepting higher risks, expects higher return in the future
Ali Saghafi; Ghasem Blue; Narges Rezapour
Volume 14, Issue 53 , April 2017, , Pages 9-44
Abstract
The importance of human capital (HC) is a broadly accepted concept and human capital financial reporting as the traditional concept of "human resource accounting", has a long history. However, human capital financialreporting is still an unresolved problem in reporting which makes the investigation ...
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The importance of human capital (HC) is a broadly accepted concept and human capital financial reporting as the traditional concept of "human resource accounting", has a long history. However, human capital financialreporting is still an unresolved problem in reporting which makes the investigation of human capital reporting quality an important issue. The research provides evidence on the value relevance and information contentof "Capital-Based Human Capital Financial Reporting Model". For this purpose, we utilized the value relevance models as an experimental framework. Using cluster sampling, we chose and examined 22 corporations,from 2011 to 2015. We utilized OLS to test our research hypothesis. The results indicated that capital-based model is relevant for measuring and reporting Iranian corporations' HC. After verifying the relevancecharacteristic using a quasi-experimental method, the information content of the model was examined by applying four-group experimental design with pretest and posttest at a higher level. The results of this experiment performed in controlled conditions and with the help of graduate accounting students of Allameh Tabataba'i University revealed that there are no significant difference between experimental and control groups' responses, and therefore there is no additional information content
Ali Saghafi; Ghasem Blue
Abstract
The significance and critical role of human capital (HC) is broadly accepted. Human capital financial reporting as the classic "human resource accounting", has a long history. As a result, many methods have been proposed for HC measuring and reporting. Given that the HC financial reporting is still an ...
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The significance and critical role of human capital (HC) is broadly accepted. Human capital financial reporting as the classic "human resource accounting", has a long history. As a result, many methods have been proposed for HC measuring and reporting. Given that the HC financial reporting is still an unsolved problem, it is important to evaluate the quality of HC measurement and reporting models. The research offers evidences about the relevance and information content of "Capital-Based Human Capital Financial Reporting Model". For this purpose, we utilized the value relevance models as an experimental framework. Using cluster sampling, we chose and examined 22 corporations, from 2011 to 2015. We utilized OLS to test our research hypothesis. The results indicate that capital-based model is relevant for measuring and reporting Iranian corporations' HC. After verifying the relevance characteristic using a quasi-experimental method, at a higher level, information content of the model was examined by applying four-group experimental design with pretest and posttest. The results of this experiment, performed in controlled conditions and with the help of graduate accounting students of Allameh Tabatabai University, show no significant difference between experimental and control groups' responses, and therefore no additional information content.
G. Boulou; Y. Hassas Yeganeh; R. Harasani
Volume 8, Issue 29 , April 2010, , Pages 65-95
Abstract
This paper investigates earnings quality’s trend in Tehran stock exchange listed companies over the period 1380-1387 using a sample of 64 companies in 4 industries. In this paper, earnings quality was measured across 4 dimensions: accruals quality, earnings persistence, earnings predictability ...
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This paper investigates earnings quality’s trend in Tehran stock exchange listed companies over the period 1380-1387 using a sample of 64 companies in 4 industries. In this paper, earnings quality was measured across 4 dimensions: accruals quality, earnings persistence, earnings predictability and smoothness. The results provided no evidence of decline in earnings quality over the sample period. Further statistical analysis showed that the earnings quality data are descriptive of a random walk model. Only regressing the measures of earnings quality on time provided some evidence of slight improvement in accruals quality in one of the industries.
Ghasem Boulou; Peyman Sadeghi
Volume 6, Issue 22 , July 2008, , Pages 47-72
Abstract
This research investigates the factors affecting on auditors' decision making and individual characteristics in applying Decision Aid for management fraud risk ...
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This research investigates the factors affecting on auditors' decision making and individual characteristics in applying Decision Aid for management fraud risk assessment. This study focuses on problems with applying Decision Aid and classification of effective factors. This research also investigates the effects of four independent variables on applying Decision Aid by auditors. The results indicate that Perceived usefulness, conformity pressure, big client size, low confidence and Decision Aids reliance are the most effective factors in order of degree of importance. And lack of the above mentioned factors are causes for avoiding of Decision Aid application in audit process. Except for confidence variable, other independent variables have a direct effect on dependent variables. Perceived usefulness is the most effective variable.
