Accounting and various aspects of finance
Mohammad Hassanjani Khoshkroudi; Iman Dadashi; Bahram Mohseni maleki rastaghi; Hamidreza Gholamnia roshan
Abstract
The aim of this study is to develop a comprehensive model that identifies the non-fragile variables affecting the quality of tax audit. We analyzed 511 tax files from Mazandaran province in the period spanning 2012 and 2021. Initially, through interviews with experts and literature, 64 factors affecting ...
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The aim of this study is to develop a comprehensive model that identifies the non-fragile variables affecting the quality of tax audit. We analyzed 511 tax files from Mazandaran province in the period spanning 2012 and 2021. Initially, through interviews with experts and literature, 64 factors affecting the quality of tax audits were identified. These factors were categorized into three groups: characteristics of taxpayers, tax auditors, and macro factors. Subsequently, the relevant data were applied to Bayesian Model Averaging (BMA), Time-Varying Parameter Dynamic Model Averaging (TVP- DMA), and the Time-Varying Parameter Dynamic Model Selection (TVP-DMS) models. Among these, the BMA model demonstrated the highest accuracy based on the error rate. After model estimation, 17 main indicators were identified as influential variables in three areas. In the realm of tax auditors, these included the quality of past period tax audits, work experience, individual or group handling of audits, auditor expertise, auditors’ use of information, auditor’s workload, conducting audits across multiple tax sources, interactions with related parties, the presence of unofficial invoices, and the use of others’ business cards. In terms of intra-company variables, accrued earning management and debt ratio were identified. Finally, macroeconomic variables impacting the quality of tax audits were found to be inflation, unofficial exchange rates, tax complexity, tax fairness, the business environment index, and the social capital index. IntroductionFactors affecting the quality of tax auditors can be divided into three groups: characteristics of taxpayers, tax auditors, and macro factors. The current challenge in evaluating factors that determine the quality of tax auditors lies in the diversity of theories and the absence of a specific, universally accepted model. On one hand, the multitude of potential explanatory variables affects the quality of tax auditors. On the other hand, this abundance makes the use of classical econometric models problematic. One method to address the uncertainty in selecting variables and choosing the appropriate model is to employ conventional techniques in Bayesian econometrics. These include Bayesian Model Averaging (BMA), Bayesian Maximum Likelihood Averaging Model (BML), Time-Varying Parameter Dynamic Model Averaging (TVP-DMA), and Time-Varying Parameter Dynamic Model Selection (TVP-DMS). Little research has been conducted in the field of tax audit quality. Furthermore, to date, there has been no research that attempts to model this index using non-linear Bayesian approaches and time-varying parameters simultaneously; such an approach has not yet been adopted. Literature ReviewThe lack of tax revenue and non-payment of taxes pose significant challenges to the development of countries. In recent years, the tax gap has widened in both developing and developed countries. The tax gap is defined as the difference between the taxes that are legally owed and the amount of tax actually collected. Non-compliance with tax laws by both taxpayers and tax officials is a fundamental issue in emerging and developing economies. Tax audit is one of the methods employed to achieve the necessary compliance with tax laws (Aia et al., 2016). Combating tax evasion is a fundamental objective of all global tax systems, for which there are generally two basic strategies. One strategy is the establishment and enhancement of reliable self-assessment systems, and the second is the implementation of risk-based tax audits (Dehghani Doyle, 2019). Therefore, the primary objective of this study is to develop a model aimed at enhancing the quality of tax audits. MethodologyThe research focuses on the tax files of all taxpayers, both individuals and legal entities, which have been audited by the Mazandaran province tax organization between 2010 and 2021. The sample comprises information extracted from tax files of taxpayers with files valued at 10 billion Rials and above. This threshold of 10 billion Rials was set to exclude small taxpayers, who generally do not have a substantial information burden, thus focusing on a more specific level of taxpayers. Following interviews with experts from the tax organization and university professors, and a review of past research, a total of 64 factors influencing the quality of tax audits were identified. These factors were categorized into three main groups: macro variables, characteristics of taxpayers, and characteristics of tax auditors. BMA approach has been used in this research. ResultsFrom the viewpoint of tax audit service providers, establishing strategies to enhance the quality of tax audits is essential. This includes creating and reinforcing facilities systematically, conducting joint and integrated audits, and defining mechanisms to ensure auditors' independence. To effectively implement these strategies, it is crucial to consider the various dimensions of factors that affect the quality of tax audits. To achieve this objective, information on the indicators of the 64 factors affecting the quality of tax audits was input into three models: BMA, TVP-DMA and TVP-DMS. Based on the error rate, the BMA model demonstrated the highest level of accuracy. Following the model estimation, 17 main variables were identified. These variables include: the quality of tax audit of the past period, job experience, whether the case should be handled individually or as a group, auditor expertise, the extent of auditors’ use of received information, auditor’s work pressure, transactions with related parties, the presence of unofficial invoices, using other people’s business cards, accrued profit management, debt ratio, inflation, unofficial exchange rate, tax complexity, tax fairness, business climate index, and social capital index.Based on the results of the research, the following suggestions are proposed:Mechanization of all tax audit processes.Establishing an integrated system of a smart database of circulars, instructions, and regulations.Implementing measures and efforts to provide all tax auditors with access to the financial and economic microdata of taxpayers.Development and implementation of integrated tax audit software across all sources.Emphasizing the quality and substance of the content in issued tax audit reports. DiscussionThe identified variables are divided into three main categories: tax auditor variables (the quality of tax audit of the past period, job experience, whether the case should be handled individually or as a group, auditor expertise, the extent of auditors’ use of received information, auditor’s work pressure, transactions with related parties, the presence of unofficial invoices, using other people’s business cards), Internal variables (accrued profit management; debt ratio), and macroeconomic variables (inflation, unofficial exchange rate, tax complexity, tax fairness, business climate index and social capital index). ConclusionGiven the scarcity of comprehensive research in the field of tax audit quality, a multifaceted model has been designed to address this gap. It provides a comprehensive perspective on the quality of tax audit. Focusing on all dimensions of tax audit quality fosters the development of a systemic perspective in this field. Expanding the systemic perspective is expected to enhance the efficiency of the tax audit system. This improvement in efficiency can lead to more effective tax collection across different economic sectors, ultimately contributing to broader economic development.
Financial Accounting
Fatemeh Jalali Gorgani; Mohammadreza Abdoli; Hasan Valiyan; Mehdi Safari gerayli; Mohammad Mehdi Hossini
Abstract
The purpose of this study is evaluation matrix of perspective on the driving forces of legacy accounting. In this study, in terms of the methodological goal, this study is exploratory and from the perspective of the result, it is placed in the category of applied research. The participants in the qualitative ...
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The purpose of this study is evaluation matrix of perspective on the driving forces of legacy accounting. In this study, in terms of the methodological goal, this study is exploratory and from the perspective of the result, it is placed in the category of applied research. The participants in the qualitative part include 12 academic experts and accounting professors who have professional experience in the field of accounting and financial reporting, and in the quantitative part 22 people from managers and board members of companies with the nature of family ownership in this study as a pairwise comparison they participated. The result of this study in the qualitative part indicated the existence of 3 categories, 8 components and 39 themes as drivers of legacy accounting in family ownership, which was confirmed based on Delphi analysis. Then, by choosing 2 factors out of 8 identified components as the basis of scenario creation, 10 themes identified as sub-factors of scenario creation were examined. The result of the acquisition in a quantitative part indicates the existence of 4 scenarios with a favorable situation, which shows that the scenario of the second quarter with the metaphorical title of "Governance Hegemony" was determined to be the most effective driver in the emergence of legacy accounting in family-owned companies. IntroductionFamily-owned companies always face the assumption of opportunism at the level of the capital market from the point of view of market theorists and analysts, the reason for which is the large number of board members affiliated with the company owner or holding management positions in the decision-making structure of this type of companies (Sun et al., 2023). Assuming the acceptance of such an approach, it can be concluded that the method of financial functions and information disclosure is also done with the aim of covering the priorities of those in power in such a structure. Under such conditions, the violation of the rights of the beneficiaries can be considered the most important consequence of investing in these companies (Rezayee Pitenoei et al., 2021). Legacy accounting, as a term in such a structure with family ownership, can be considered a kind of practice in the shadow or parallel to the main accounting method of companies, which is used by the management of these companies to satisfy their opportunistic needs (De Wolf et al., 2020). In fact, legacy accounting is considered to be the result of a method of information disclosure that systematically prioritizes the interests of those in power over the interests of other shareholders. This is done in order to stimulate new investors to invest in the company's shares on the one hand and maintain the loyalty of current shareholders on the other. Additionally, it is used to secure their interests by providing cash for the development of investment plans and projects (Lloyd et al., 1999). Literature ReviewLegacy accounting aims to secure the interests of the majority of family owners by increasing the cost of minority shareholders, both in terms of money and share value (Wild, 2015). In fact, the interests of the majority of the shares, by increasing the members of family ownership through opportunistic accounting procedures, can deepen the conflict of interest between the internal owners (family owners) who control the company and external shareholders. This conflict of interest in legacy accounting procedures manifests in various ways, such as selling the company's products at a lower price to related people, hiring unqualified family members in the company, increasing the salary and benefits of family members, or showing an increase in tax payment. For example, companies often seek to minimize taxes, but some studies based on the accounting practices of family-owned companies show increased tax payments (Xia et al., 2017), as these companies aim to fulfill their financial obligations and seek to enhance their reputation by promoting social responsibility. MethodologyWhen designing the model, it is crucial to consider the execution method, ensuring that the phenomenon under investigation lacks an integrated framework and coordination within the target society, at least in terms of content. Therefore, given the lack of necessary theoretical coherence of the concept of legacy accounting within family-owned companies, as discussed in the theoretical foundations and introduction, this research is categorized as developmental research in terms of the result. The research approach of the current study, in terms of data collection logic, is of a hybrid type. This is because it explores a phenomenon for which there is no comprehensive framework in the theoretical areas of legacy accounting at the level of capital market functions, or where consensus is lacking. Therefore, the analysis of the qualitative part and the reliance on the data theory method are used to present the dimensions of the legacy accounting model as a multidimensional model.For this purpose, Glaser's (1992) emergent approach is used to develop the legacy accounting model through three stages of coding by using interviews with experts. In this approach, the theory emerges from the data, and researchers do not have presuppositions regarding the relationship between the data from the beginning. Additionally, based on the emergent foundation data theorizing strategy, data analysis begins simultaneously with the interviews (Kolayeanmoghadam et al., 2020). In terms of the purpose, this research fallswithin the category of exploratory studies conducted using both quantitative and qualitative models. The present study employs various research methods to address the formulated questions, tailoring each method to the specific needs of the respective department. Therefore, based on the nature of collection, this study can be classified as mixed research. Thus, different methods are employed for data collection and analysis at each stage of this study's analytical processes. ResultThis research, by undertaking through three main steps in the theoretical analysis of foundational data including open coding, selective coding, and core coding, seeks to explore the concept of heritage accounting development based on a theoretical framework. Through 12 interviews conducted across three stages of open coding, central coding, and selective coding, a total of three categories, eight components, and 39 conceptual themes were identified. These dimensions were determined after Delphi analysis to ensure reliability. Next, aiming to formulate future scenarios for evaluating the driving forces behind the development of legacy accounting in family ownership, the most effective axes for this evaluation were determined using the Micmac matrix by identifying the inputs and outputs of the matrix model. As a result, this section confirmed governance opportunism and behavioral opportunism as the primary driving factors influencing legacy accounting in family-owned companies. Subsequently, through the reciprocal matrix, scenarios describing the driving forces in the emergence of this accounting practice were determined. ConclusionThe term hegemony means the dominance of a group of power holders over others. The extension of this concept to the mechanism of governance refers to the fact that a powerful person as an owner, in an effort to protect their interests, tries to make arbitrary appointments based on the level of loyalty to the person in power. Decisions should be made solely to achieve the goals and visions set by the powerful person. In this governance structure, while the size of the board of directors may adhere to rules and requirements, the absence of conflict of interest and diversity of views within the board compromises its ability to effectively monitor the company's operations, leading to decisions primarily aligned with the owner's objectives. In such structures, the board of directors often lacks the necessary independence to make decisions contrary to the opinions of those in power. Instead, they merely symbolically apply external supervision to maintain market stability. In general, the scenario of hegemonic governance shows the promotion of the dominant values and culture of the power holders in a company, which is a model of the pervasive dominance of their ideas and opinions over the entire company. Additionally, this result indicates that legacy accounting within such a regulatory process serves as an instrumental approach, a lever to advance governance goals in family companies. By selectively disclosing news and information to stakeholders, it seeks to protect the interests of these individuals or the so-called powerful person
Accounting tools
Zahra Jafari; Rahim Bonabi Ghadim; Rasoul Abdi
Abstract
The purpose of this research is evaluation of effective criteria on the desirability of financial stability integration based on the comparison of metaheuristic algorithms banks listed in Tehran Stock Exchange. This study is considered to be a combined and applied methodology. In this way, firstly, through ...
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The purpose of this research is evaluation of effective criteria on the desirability of financial stability integration based on the comparison of metaheuristic algorithms banks listed in Tehran Stock Exchange. This study is considered to be a combined and applied methodology. In this way, firstly, through the systematic content screening process, the effective criteria on the desirability of financial stability integration are used to evaluate banks listed in Tehran Stock Exchange. Then, relying on the two algorithms of Particle Swarm Optimization and Gray Wolf and extracting data related to the criteria identified between 2017 and 2018 effort is made to determine the optimal point of desirability of financial stability integration of banks listed in Tehran Stock Exchange. In this process, according to the expansion of the mathematical equations of each Metaheuristic Algorithms and the command codes of the MATLAB software, necessary action is taken to answer the research questions. The results of the study showed that both innovative algorithms used in this study have the necessary capability to determine the desirability of the financial stability of banks listed in Tehran Stock Exchange. But based on the Wilcoxon Signed-Rank Test coefficients, the gray wolf algorithm is more accurate than the particle swarm optimization algorithm for predicting the function of the identified criteria in determining the desirability of financial stability of banks listed in Tehran Stock Exchange.
Hojat Saydi; Marjaneh movahedpour
Abstract
Because of specific characteristics of companies in specific industries such asconstruction industry, whose operation cycles are usually more than one fiscal year,there are different methods and policies for revenue recognition. Errors inaccounting estimates in specific industries reduce the usefulness ...
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Because of specific characteristics of companies in specific industries such asconstruction industry, whose operation cycles are usually more than one fiscal year,there are different methods and policies for revenue recognition. Errors inaccounting estimates in specific industries reduce the usefulness of accountinginformation. It makes reported profit in the financial statements vary from actualearnings and consequently causes volatility in companies’ stock prices. In thisresearch we examine Specific Factors Affecting Earnings Quality and Stock Pricesin Construction Industry. In this regard, a sample of 126 manufacturing companiesand 11 Construction companies listed in Tehran stock exchange over the period of2007- 2012 have been selected. In this study two main hypotheses and two subhypothesisto intensification the reliability were developed. The first mainhypothesis results show Earnings response coefficients in Construction companiesare weaker than manufacturing companies. The result of the second mainhypothesis shows there was no significant difference between stock prices aftergeneral assembly and stock prices before general assembly because of dividends orother factors. The first sub-hypothesis results shows operating cash flow can bepredicted by operating profit in Construction Companies, but the adjustedcoefficient determination indicate the relationship is too weak. The second subhypothesisresults indicate nonlinear relation between stock prices and earnings pershare. The main result of this research shows that in pricing of ConstructionCompanies in capital markets, dividend factor is much weaker than othercompanies’ share pricing, and so other factors like net current asset value,replacement cost and etc play significant role in pricing.
F Rahnama Roodposhti; M Mohamad Poorzarandi; J Bahri Sales
Volume 9, Issue 35 , October 2012, , Pages 107-136
Abstract
Financial performance has always been considered by researchers. Finding Indexes that proven theoretically and empirically is a great challenge in this area. One of the new models of performance evaluation is “Throughput Accounting” based on the theory of constraints. This theory provides ...
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Financial performance has always been considered by researchers. Finding Indexes that proven theoretically and empirically is a great challenge in this area. One of the new models of performance evaluation is “Throughput Accounting” based on the theory of constraints. This theory provides measures aims to generate cash in the present and future with focus on drum (bottleneck) management. There seems non-performing loans to be the major banking system bottleneck that affects banks performance through multiple channels. Due to the different nature of banking operations, it is expected that Throughput Accounting approach can be more efficient to show non-performing loans consequences.This study examines the relationship between performance evaluation criteria based on theory of constraints and the rate of non-performing loans. Other performance evaluation criteria (include traditional, economic and) have been examined to choose the most appropriate repressors. We use several panel regressions for financial data of 19 Iranian banks during 2006 - 2010. Then the explanatory power of alternative models was compared using vuong’s non-nested model selection test. The results show that performance evaluation criteria based on theory of constraints have more explanatory power than other conventional indices in explaining non-performing loans rate. It is recommended to evaluate the performance of Iranian banks based on the rich concepts of Throughput Accounting.
Sh. Mashayekh; R. Mahavarpour
Volume 6, Issue 23 , October 2008, , Pages 107-122
Abstract
In this research the relation between ownership concentration and performance has been investigated so based on research conditions, 58 listed companies in TSE were selected and their information for the period of 1380-1383 was used. The regression model used in this research pooled cross ...
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In this research the relation between ownership concentration and performance has been investigated so based on research conditions, 58 listed companies in TSE were selected and their information for the period of 1380-1383 was used. The regression model used in this research pooled cross sectional and time series data. Panel data regression also is used to estimate related coefficient and models. Ownership concentration was determined by ownership percentage of institutional investors or block shareholders and performance was determined by stock return and earning per share. The results show that there is a significant relationship between ownership concentration and EPS, so it means that by increasing the percentage of ownership concentration, managements become more than before under control and consequently it cause firms' performances to become improved. The relation between ownership concentration and return criterion has also been examined and show that it is based on the different kinds of ownerships and different factors that effects on returns.
Nazanin Salehi; Majid Azimi yancheshmeh
Abstract
The purpose of comparing the bankruptcy prediction models is introducing the best model to avoid wasting investment and rare resources. So it is crucial to choose a model that has more economic values, investigations and comparisons often have been made between bankruptcy prediction models ...
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The purpose of comparing the bankruptcy prediction models is introducing the best model to avoid wasting investment and rare resources. So it is crucial to choose a model that has more economic values, investigations and comparisons often have been made between bankruptcy prediction models that have considered the accuracy dimension. In recent years, other dimensions have been paid attention to as well.These dimensions are the explanatory power and models of economic value. As the economic dimension has not been investigated in Iran, for the first time comparing the accounting approach with hazard models in economic value dimension are discussed in this study. For this purpose, the hazard model of (Shumway, 2001;Campbell et al., 2008), and accounting based model of Pourheydari and Koopayee(2010) is considered. The Loan Pricing Stein (2005) and Blochlinger and C. Lippold(2006) also two proposed measures by Basel (ӀӀӀ) including return on assets andreturn on risk- weighted assets have been used to assess the economic value . Thesample of research is consisted of 242 admitted companies on Tehran StockExchange from 2004 to 2015. The results show that the hazard models have moreeconomic value than accounting model and the model of Campbell et al (2008) isthe most economical mode
Gholamreza Mansourfar; Bahman Qaderi; Fatemeh Daneshyar
Volume 14, Issue 53 , April 2017, , Pages 113-142
Abstract
Using structural equation modeling approach, this research aims to explorethe effect of political costs on financial reporting quality. For this purpose,66 publicly-listed firms from Tehran Stock Exchange for the period 2006 to2014 were selected as the final data set. As an independent variable, theobservable ...
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Using structural equation modeling approach, this research aims to explorethe effect of political costs on financial reporting quality. For this purpose,66 publicly-listed firms from Tehran Stock Exchange for the period 2006 to2014 were selected as the final data set. As an independent variable, theobservable variables such as capital intensity, concentrate rate, tax ratio, firmsize, employee intensity, and risk were used to proxy the political cost. Inaddition, quality of accruals, disclosure quality, earnings persistence, andaccuracy of financial information were used to measure financial reportingquality which is dependent variable and growth opportunities and leveragewere considered as control variables. The results indicated that political costshad a negative and meaningful effect on financial reporting quality.
Mohammad Banafi; Ali Ghayouri Moghadam; Mohammad Mehdi Dana
Volume 12, Issue 45 , April 2015, , Pages 115-134
Abstract
The aim of this research is to find out whether Related Parties Transactions can produce a meaningful influence on the agency cost or not. To answer this question two definitions of agency cost are employed: Tobin’s Q Ratio and mutual relationship between the chance of development and free cash ...
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The aim of this research is to find out whether Related Parties Transactions can produce a meaningful influence on the agency cost or not. To answer this question two definitions of agency cost are employed: Tobin’s Q Ratio and mutual relationship between the chance of development and free cash flow. Having these two definitions in mind we studied the effects of transactions with Related Parties on the agency cost. We studied 55 companies involved in Tehran Stock market Exchange (TSE)The results show that when we measure the agency cost using Tobin’s Q Ratio, the effect of the transactions with Related Parties on the agency costs is positive and meaningful but when the second measurement that is, the relationship between the chance for development and the free cash flow, is applied the influence is not meaningful. The findings show that Related Parties Transactions is in accordance with conflict of interest theory, this means that transactions can reinforce the opportunistic behavior of the managers, result in the destruction of the interest and disadvantage the owners.
Saber Sheari; Narbeh Aghazarian
Volume 5, Issue 19 , October 2007, , Pages 115-134
Abstract
The present study empirically examines the explanatory power of portfolio returns by Fama and French three-factor model (including systematic risk of portfolio, size of portfolio and book-to-market value of portfolio) in Tehran Stock Exchange (TSE). This study is to answer the question that whether the ...
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The present study empirically examines the explanatory power of portfolio returns by Fama and French three-factor model (including systematic risk of portfolio, size of portfolio and book-to-market value of portfolio) in Tehran Stock Exchange (TSE). This study is to answer the question that whether the three factors of Fama and French model are able to explain returns of portfolios in Tehran Stock Exchange with its special economic conditions or not. Furthermore, there is a comparison between the results of Fama and French model and CAPM. The importance of this empirical research is how it helps to do accurate and complete calculations for the best investment decision making.
The shares data have been obtained from Tehran Stock Exchange for the financial years 1378 to 1382 (from zo" of March 1999 till 20th of March 2003). At the beginning of each year, sample stocks are divided into six portfolios based on their size and book-to-market value and the empirical test has been done for these six portfolios.
The results of examining the empirical evidence show that there is no significant relationship between systematic risk (Beta) and return of portfolios. But the considerable relationship bears between the size and return of BIH portfolio (portfolio with Big size and High book-to market value). This result repeats itself between book-to-market value and return of BIH portfolio. We have tested all three Fama and French factors together and the model explains portfolio returns in both S/H (Small size and High book-to-market value) and BIM (Big size and Medium book-to-market value) portfolios. The empirical results, as a whole, confirm that Fama and French three-factor model has greater explanatory power of stock returns in comparison with CAPM in Tehran Stock Exchange.
Zahra Dianati; Mahla Shahini
Volume 10, Issue 38 , July 2013, , Pages 119-141
Abstract
The procedure of tending to the accounting theories in accounting researches as a process of survey encountered some changes during past years. Since accounting Theory was neglected during past years, in this research we chose to survey the process of presenting accounting theories in Iranians research ...
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The procedure of tending to the accounting theories in accounting researches as a process of survey encountered some changes during past years. Since accounting Theory was neglected during past years, in this research we chose to survey the process of presenting accounting theories in Iranians research and external research comparatively.In this study, we follow empirically the changing of tendency of the scholar accounting researches in two accounting journals in Iran between 1992 and 2011 and The Accounting Review journal in America between 1993 and 2012. The number of studied articles includes 337 Iranian and 337 external articles. At this stage, after assigning a code to published articles in these journals, we analyzed research hypothesis, in two statistical populations through the proportion comparative hypothesis testing.Research results revealed that, proceeding to the accounting theories in Iranians articles is less than external ones. Using empirical method and considering decreasing effects of economics and financial sciences in Iranian articles is more than external ones. Also, because of increasing articles in capital market, using the financial accounting topics is lower in Iran than external articles.
M. Alborzi; A. Yaghoobnezhad; H. Maghsoud
Volume 6, Issue 22 , July 2008, , Pages 119-137
Abstract
Prediction in financial affairs especially in securities is highly important.
Investors make wide evaluations while investing on stocks. One of the main factors considered by investors during their investments is ...
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Prediction in financial affairs especially in securities is highly important.
Investors make wide evaluations while investing on stocks. One of the main factors considered by investors during their investments is to earn returns. In such circumstances, a suitable prediction model for stock returns will cause the allocation of optimal resources and efficiency in capital market which are important issues individually and nationally. Recent article addresses the way of predicting stock returns in Tehran Stock Exchange by using Arbitrage multiple regression model and artificial neural networks. The variables of the research includes 971 samples of four daily macro-economic variables namely TSE Dividend and Price Index (TEDPIX), gold prices, currency exchange rate (Rial/$) and the amount of transactions between Iranian calendar years 1381 and 1385 (2002-2006).
To process Arbitrage pricing model, multi-factor regression and to process artificial neural networks (ANNs), Perceptron architecture model with two hidden layers and back-propagation algorithm with sigmoid conversion functions are applied.
To assess the performance of both models, mean absolute deviation (MAD), mean square error (MSE), mean absolute percentage error (MAPE) and root mean square error (RMSE) are utilized.
The findings show the success of both models in predicting cash return index and Tehran Stock Exchange prices as well as the superiority of artificial neural network over Arbitrage multiple model.
Mohammad Reza Mehrabanpour; Mohammad Mehdi Naderi Noorain; Effat Inanlou; Elham Ashari
Abstract
highlighted the role of well-functioning financial systems in investing in different sectors of the economy. The financial systems facilitate the economic growth by aggregating the limited resources for enormous investments. Considering the important role of banks in financial systems and the significant ...
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highlighted the role of well-functioning financial systems in investing in different sectors of the economy. The financial systems facilitate the economic growth by aggregating the limited resources for enormous investments. Considering the important role of banks in financial systems and the significant impact of the Profitability of Banks on their activities, this paper empirically analyses the factors determining the profitability of 15 banks for the period of 1384 – 1393. It should be noted that the higher levels of profitability in banks not only enables them to grant further credit, but also facilitates the investment process in risky environments. According to the literature, we divided the factors into two groups: bank specific factors and macroeconomic factors. The results of examining hypothesis using panel analyses and Eviews software and the return on equity (ROE) as the profitability measure, indicate that there is a positive relationship between the profitability factors and the asset structure, revenue diversification, economic growth and inflation. In addition, capitalization, capital structure, size, industry concentration and interest rate have a negative effect on bank profitability.
A. Saeedi; F. Rahnama Roodposhti; F. Bikzadeh Abbasi
Volume 8, Issue 31 , October 2010, , Pages 121-141
Abstract
Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market ...
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Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market stock move. In contrast, contrarian investing strategy acts vice versa.
In this paper, for the period of 2005- 2007 different formation periods (1 to 6 month) and holding periods (1 to 36 month) are examined. The results show each strategy is profitable in a specific formation periods and holding periods. For formation periods from 1 to 4 month, momentum strategy is profitable and for formation periods from 5 and 6 month, contrarian strategy creates profitable portfolios.
The best momentum effect is seen in formation periods of 4 month and holding periods of 36 month. Also, the best contrarian effect is seen in formation periods of 5 month and holding periods of 35 month.
Saied Sehhat; Faraz Mosaferi Rad; Majid Shariat Panahi
Volume 8, Issue 32 , January 2011, , Pages 121-140
Abstract
There are several criticisms on traditional performance appraisal criterions because of not considering "Cost of Capital" and using traditional accounting methods and roles. Alternatively, economic value added and other modem performance appraisal criterions imply cost of capital to ...
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There are several criticisms on traditional performance appraisal criterions because of not considering "Cost of Capital" and using traditional accounting methods and roles. Alternatively, economic value added and other modem performance appraisal criterions imply cost of capital to provide a better estimation of added values.
The relationship between these traditional criterions such as "Return on Investments" and "Return on Equity" with "Economic Value Added" as a modern criterion has been evaluated throughout this research. In addition, it has been discussed how traditional measurements can adapt with economic value added and how their developments can augment economic value added.
As a result of the few numbers of Iranian insurance companies we have exploited society and assessed eighteen active insurance companies of Iran during 2006-2009. Also we used "Rate of Return on Capital" instead of economic value added. Economic value added is based on the excess amount of money that a company earns on the capital employed. Therefore, comparing it with relative ratios is not reliable.
Adjustments of economic value added have been applied based on standard adjustment of economic value added and Iranian insurance companies accounting principles.
The research finds that there is a significant relationship between return on investment and economic valued added. Also there is a significant relationship between return on equity and return on economic value added. In addition the relationship between ROE-RROC is more significant than ROI-RROC.
H kazemi; N rahimian; B havaei
Volume 9, Issue 36 , January 2012, , Pages 123-148
Abstract
The purpose of this study is to gather evidence about the effect of information transparency on stock liquidity uncertainty and also the effect of stock liquidity uncertainty on the firm value. In order to measure the information transparency, two measure of auditing quality and non-smoothing profits ...
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The purpose of this study is to gather evidence about the effect of information transparency on stock liquidity uncertainty and also the effect of stock liquidity uncertainty on the firm value. In order to measure the information transparency, two measure of auditing quality and non-smoothing profits have been used. For assessing the stock liquidity uncertainty, four measures have been used, including liquidity variation, liquidity distribution skewness (as a measure for assessing extreme illiquidity), co-variability of stock liquidity with the market liquidity and co-variability of stock liquidity with the market returns.
The results reveal that the variable of auditing quality has a meaningful negative relation with four measures of liquidity uncertainty, and the variable of non- smoothing profits has only a meaningful negative relation with the liquidity distribution skewness, and has a meaningful positive relation with other measures. Also, the Tobin’s Q variable as a measures (criterion) of the firm value has shown a meaningful negative relation with the criteria of liquidity variation and liquidity co-variability of stock with the market liquidity. It has a positive meaningful relation with the measure of relation with the measure of liquidity distribution skewness and co-variability of stock liquidity with the marke
Mohammad Hossein Safarzadeh; Ahmad Saghafi Pour1F
Abstract
AbstractThis research investigates the impact of accounting conservatism on the stock market’s valuation of nonrecurring gains and losses. The sample is comprised of 126 publicly traded firms listed in Tehran Stock Exchange (TSE) during 1386-1392. The nonrecurring gains and losses, also known as ...
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AbstractThis research investigates the impact of accounting conservatism on the stock market’s valuation of nonrecurring gains and losses. The sample is comprised of 126 publicly traded firms listed in Tehran Stock Exchange (TSE) during 1386-1392. The nonrecurring gains and losses, also known as special items, have asymmetric market valuation multiples, which are proxied by the earnings response coefficient (ERC) in this research. The results show that: (1). an asymmetry exists in the valuation of nonrecurring gains and losses; and (2) the asymmetry can be explained by the idea of accounting conservatism, which is the tendency that firms report economic losses on a timelier basis than economic gains. The above findings show that nonrecurring losses have a higher earnings response coefficient than nonrecurring gains, due to the fact that nonrecurring losses (non-operational losses) are impounded in earnings much quicker than the gains (non-operational gains). Furthermore, as the level of conservatism increases within a firm, this asymmetry of market valuation becomes larger, signifying that the information content of negative nonrecurring items increases at a rate greater than that of positive nonrecurring items
Seyed Hossein Sajadi; Hassan Farazmand; Mohsen Dastgir; Delshad Dehghanfar
Volume 5, Issue 18 , July 2007, , Pages 123-146
Abstract
In this research, the effect of firm size, current ratio Total liabilities/ total assets ratio and accounts receivable/total assets ratio variables on qualified audit report and relationship between previous year's audit report and audit firm’s type with qualified audit report were investigated. ...
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In this research, the effect of firm size, current ratio Total liabilities/ total assets ratio and accounts receivable/total assets ratio variables on qualified audit report and relationship between previous year's audit report and audit firm’s type with qualified audit report were investigated. By investigating the qualified and unqualified audit reports for Tehran stock exchange firms during 1381-1383, the information of 144 firms were collected. The results of Logit regression and chi-squared independence test show that the current ratio and accounts receivable/ total assets ratio affect the qualified audit report. However, it shows that there is a significant relationship between previous year’s audit report and audit firm’s type with qualified audit report. But, firm size and total liabilities/total assets ratio have no effects on the qualified report.
mohsen sohrabi
Mehdi Baharmoghaddam; Hossein jokar
Abstract
Several studies in Tehran Stock Exchange have examined the effect of audit quality on investment decisions in the market, but toward most of these studies are based solely on the principle of rationality of economic agents and documentation of the relationship between audit quality and stock price and ...
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Several studies in Tehran Stock Exchange have examined the effect of audit quality on investment decisions in the market, but toward most of these studies are based solely on the principle of rationality of economic agents and documentation of the relationship between audit quality and stock price and the direct reaction of the market to the audit quality criteria are indicative of the effect of audits on the investors' decisions and rarely examine the role of independent auditors on the emotional behaviors investors in the market. So, this paper the main purpose is investigating the effect of moderating audit quality on investor sentiment in stock pricing. In this study, to measure the audit quality, it has been used the observable variables such as the type of audit opinion, audit size and investor sentiment was measured by using five criteria of microeconomic and two macroeconomic criteria. For this purpose, sample of 560 years-company, during the years 2009-2016 was investigated using modified multivariate regression. The results show that the auditor's reports strengthens investor confidence to accounting information and affect the investors' sentiment in stock pricing, but the size of the auditor is not moderating and has no effect on the investors' sentiment in the capital market.
Javad MOradi; Ahmad Rahmanian
Volume 10, Issue 40 , January 2014, , Pages 125-150
Abstract
Managers' tendency to overinvestment is one of the agency costs that due to conflict of Interests between managements and shareholders the firms are encountered with. Whilesuchactivities increase personal interestsof managements, they will reduce the firm value. Increasing the debt is a potential solution ...
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Managers' tendency to overinvestment is one of the agency costs that due to conflict of Interests between managements and shareholders the firms are encountered with. Whilesuchactivities increase personal interestsof managements, they will reduce the firm value. Increasing the debt is a potential solution for the overinvestment problem. This study investigates the impact of long term debts on overinvestment (with respect to cash and capital expenditures) and also, it examines the impact of growth opportunities on this overinvestment.The statistical society of this research includes companies accepted in Tehran Stock Exchange (TSE) andthe sample consists of 90 firms which are selected based on some constraints for the period of 1379 to 1389. Regression analysis and t-test are utilized to examine the hypothses.The resultsshow that there is a negative and significant relationship between long-term debt changes and overinvestment (in cash and capital expenditure) and the mean of overinvestment in cash and capital expenditure in firm with less growth opportunities, is more
Mahdi Moradzadehfard; Morteza Adlzadeh; Maryam Farajzadeh; Sedigheh Azimi
Volume 10, Issue 39 , October 2013, , Pages 125-145
Abstract
Information uncertainty has been an old topic in finance literature. Information uncertainty means ambiguity about a firm’s fundamental value, which may arise from two conventional sources: 1) characteristics of the business or industry, and 2) the company’s disclosure policy. The first source ...
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Information uncertainty has been an old topic in finance literature. Information uncertainty means ambiguity about a firm’s fundamental value, which may arise from two conventional sources: 1) characteristics of the business or industry, and 2) the company’s disclosure policy. The first source related to growth options and second source related to information asymmetry. From investors’ perspective the mechanisms and outcomes of every source are quite different. In this research we use from earning forecast dispersion as a proxy for measuring information uncertainty. We use stock turnover and price impact as proxies for information asymmetry. To control firm’s growth options, we use firm age, market-to-book ratio, and capital expenditure over total assets and Tobin’s Q. We use panel data regression model to analyze information. Our results indicate that information uncertainty has a positive relationship with information asymmetry and growth options.
Hasan Valiyan; Mehdi Safari Gerayli; Mohammadreza Abdoli; Alireza Koushki Jahromi
Abstract
According to the agency theory, in order to reduce the problems and agency conflicts, appropriate control mechanisms must be adopted so that the CEO moves in the interests of the shareholders and help shareholders to improve the level of transparency of financial reporting. One of these approaches is ...
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According to the agency theory, in order to reduce the problems and agency conflicts, appropriate control mechanisms must be adopted so that the CEO moves in the interests of the shareholders and help shareholders to improve the level of transparency of financial reporting. One of these approaches is paying attention to the competitive motivations of the CEO in the form of strategies to reduce conflicts and costs arising from the formation of agency relationships. The purpose of this research is The Effect of Tournament Incentives on Financial Restatements According to the moderating role of the CEO Turnover and CEO Recruited New listed companies in Tehran Stock Exchange. In this study, 72 companies were considered during the period from 2010 to 2016. The hypotheses were tested through logistic regression. The results showed that the CEO's Tournament Incentives reduced the refinement of corporate financial statements. CEO tenure also revealed the impact of CEO's Tournament Incentives of the Firm restated the Financial Restatements in order to offset the negative. Ultimately, the CEO Recruited New from within the firm could help to strengthen the positive impact of the CEO's Tournament Incentives on Financial Restatements.
Hassan Hemati; Zohreh Yosefirad
Volume 9, Issue 33 , April 2011, , Pages 127-148
Abstract
The aim of this study is to investigate the relationship between diversification strategy and cash holding with abnormal return of TSE listed companies. For this purpose, three hypotheses were developed to investigate the relationship between diversification strategy and cash holding with abnormal return ...
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The aim of this study is to investigate the relationship between diversification strategy and cash holding with abnormal return of TSE listed companies. For this purpose, three hypotheses were developed to investigate the relationship between diversification strategy and cash holding with abnormal return of companies and the sample data were extracted from financial statement of listed Companies during the period 2004 to 2008. Results revealed that there is a negative and significant relationship between abnormal returns and diversification strategy, but relationship between abnormal returns and cash holding was not statistically significant. The results also revealed that diversification strategy has positive and significant impact on the relation between abnormal returns and cash balance.
N. Rahimian; M. Salehirad; H. Mohammadi
Volume 8, Issue 30 , July 2010, , Pages 127-149
Abstract
This paper investigates the relationship between Accounting Conservatism and Bankruptcy Risk in Tehran Stock Exchange (TSE). To do so, the sample firms have been divided into two groups: bankrupting firms and non-bankrupt firms. It is assumed that firms subject to the article 141 of the amendment to ...
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This paper investigates the relationship between Accounting Conservatism and Bankruptcy Risk in Tehran Stock Exchange (TSE). To do so, the sample firms have been divided into two groups: bankrupting firms and non-bankrupt firms. It is assumed that firms subject to the article 141 of the amendment to Commercial Law, for two years, are more vulnerable to bankruptcy. Using the Feltham and Ohlson model (1995) to measure conservatism, the sample firms have been analyzed in two steps: first, firms vulnerable to bankruptcy, second non-bankrupt firms and then all sample firms. The results of our sample of 222 firms listed in TSE; show that conservatism is dominant in all firms and years. Second, conservatism is lower in bankrupting firms.
