University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
سیـّد محمد مهدی
احمدی
84823518
بهنام
شهریار
66278537
انحراف معیار بازده دارایی، اندازه ریسک آن دارایی محسوب میشود. این اندازه ریسک مشتمل بر ریسکهای مطلوب و نامطلوب میباشد. آنچه در نظریات مالی در ارتباط با ریسک و اندازهگیری آن مهم است، ریسکهای نامطلوب و اندازهگیری آنها میباشند. یکی از روشهای اندازهگیری اینگونه ریسکها ارزش در معرض ریسک است. در نظریات جدید مالی از حداقل کردن ارزش در معرض ریسک (و شاخصهای مشتق شده از آن) پرتفولیو برای تعیین این مقادیر بهینه استفاده میشود. هدف اصلی تحقیق ارائه روش ارزش در معرض ریسک به عنوان راه حلی مناسب برای اندازهگیری ریسک و تسهیم بهینه سرمایهگذاری بر روی سهام پرتفولیو میباشد. در این مقاله ابتدا از روشهای پارامتریک نظیر روشهای واریانس- کواریانس ساده و بر مبنای واریانس شرطی اتو رگرسیو و واریانس شرطی اتو رگرسیوتعمیم یافته، جهت اندازهگیری ارزش در معرض ریسک پرتفولیوی سهام چهار شرکت و همچنین اوزان بهینه سرمایهگذاری در سهام این چهار شرکت، در بازار بورس اوراق بهادار تهران استفاده شده است نتایج نشان میدهد که، سرمایهگذار بهتر است، بیشترین وزن سرمایهگذاری را به سهم سرمایهگذاری بانک ملی و کمترین وزن سرمایهگذاری را به سهم سرمایهگذاری غدیر اختصاص دهد.
ARCH & GARCH models,Conditional minimization,Stress losses,Value at Risk
https://acctgrev.ut.ac.ir/article_19112.html
https://acctgrev.ut.ac.ir/article_19112_5b94192461810fe3fd73908bff3b4930.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
غلامرضا اسلامی
بیدگلی
31571784
سارا
شهریاری
28882863
This paper examines the presence of herding behavior of investors in Tehran Stock Exchange (TSE). Primary evidence denoted that, investors in TSE tend to suppress their private information and mimic the actions of other investors, rather than use quantitative techniques to assess stock value and make investment choices. We examine the herding behavior in TSE with two models. We analyze the behavior of return dispersions during periods of unusually large upward and downward changes in the market index with daily, weekly and monthly data. Our findings indicate that herd formation does not exist in upward markets, but we find evidence of herding in down markets. However, comparing return dispersions for upside and downside movements of the market, we observe that return dispersions during extreme downside movements of the market are much lower than those for upside movements, indicating that stock returns behave more similarly during down markets. We didn't find any evidence of herding behavior with weekly and monthly data. The dispersion measure increases with the return interval. The weak evidence of herding behavior displayed in weekly and monthly data is consistent with the observation by Christie and Huang (1995) that “herd behavior is a very short-lived phenomenon”.
Aggregate market return,Equity returns dispersion,herding behavior,Tehran Stock Exchange
https://acctgrev.ut.ac.ir/article_19113.html
https://acctgrev.ut.ac.ir/article_19113_76538a6075a7f13b6e8e44398ad12984.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
جعفر
باباجانی
0000-0002-9855-8664
jafar.babajani@gmail.com
محمدحسین
ستایش
11412285
عمدهترین هدف پژوهش حاضر، تعیین شاخصهای ارزیابی عملکرد، بررسی کفایت و قابلیت شاخصهای موجود و همچنین ارزیابی قابلیتهای سیستم حسابداری و سایر سیستمهای تأمینکننده اطلاعات دانشگاهها و مؤسسات آموزش عالی، جهت ایفای مسئولیت پاسخگویی مالی و عملیاتی میباشد. در راستای تحقق این اهداف، پنج مرحله عملیاتی شامل: 1) بررسی و مطالعه مبانی نظری ارزیابی عملکرد و شاخصهای مورد استفاده در کشورهای توسعه یافته و در حال توسعه 2) نظرخواهی از متخصصان و صاحبنظران کشور در مورد شاخصهای کلیدی مستخرجه از مبانی نظری ارزیابی عملکرد 3) مقایسه شاخصهای ارزیابی عملکرد موجود با شاخصهای مورد اجماع جامعه تخصصی کشور 4) ارزیابی قابلیتهای سیستم حسابداری و گزارشگری مورد عمل دانشگاهها و مؤسسات آموزش عالی و 5) ارزیابی قابلیت سایر سیستمهای موجود تأمین کننده اطلاعات، طی گردیده است.
نتایج حاصل از تحقیق، بیانگر آن است که دانشگاهها و مؤسسات آموزش عالی ایران از شاخصهای قابل قبول ارزیابی عملکرد، جهت ایفای مسئولیت پاسخگویی مالی و عملیاتی برخوردار نمیباشند. ولیکن سیستم حسابداری و گزارشگری مورد عمل و همچنین سایر سیستمهای موجود تأمینکننده اطلاعات، از قابلیتهای لازم برای تأمین اطلاعات مالی و غیرمالی شاخصهای مورد اجماع جامعه تخصصی کشور، جهت ارزیابی عملکرد دانشگاهها و مؤسسات آموزش عالی برخوردار میباشند.
Operational and financial accountability,Performance measurement indicators,(PMI),Report and accounting systems,Systems responsible for information
https://acctgrev.ut.ac.ir/article_19114.html
https://acctgrev.ut.ac.ir/article_19114_7aff0193ced733925d1c8b3638c5b8e5.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
سید حسین
سجادی
69384582
رضا
زارعی
91671474
Many Studies have been conducted on the audit services in the United States, United Kingdom, and Australia. But to date very few have focused on other countries. This paper studies the market for audit services in Iran. The finding indicate broad similarities in the market for audit services in Iran and countries Previously studied. The objective of this study is to understand how the effect of these factors (Industry Specialization, Audit Firm Reputation, Auditor Independence, Quality of Audit Report, Client Litigation, Stresses of Audit Report, and Client Reputation) identified by prior research on audit fee. Most prior studies have attempted to understand external auditors ranking about the importance of this factors.
The results indicate that audit fee is influenced by Industry Specialization, Quality of Audit Report, Client Litigation, and Stresses of Audit Report. But Audit Firm Reputation, Auditor Independence, and Client Reputation don't have impact on the audit fee.
Audit firm reputation,Client litigation stresses of audit report,Industry specialization,Quality of audit report
https://acctgrev.ut.ac.ir/article_19115.html
https://acctgrev.ut.ac.ir/article_19115_0c5fa2446a57afe4964de2ab0f61f3d5.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
سید جلال صادقی
شریف
35478346
مسعود
سلطانزالی
68227678
This Research is going to answer the question if the technical analyses help the people gain much return in Tehran Stock Exchange(TSE). Actually it wants to determine the benefits of using the technical analysis as tools to predict the price models & trends in TSE. Therefore, the Moving Average which is one of the most used technical tools in determining the price trends, price changes and movements, is used for this purpose. So this research is used to test the ability of Moving Average as tool to gain more profit than the other tools. This work is done in the period of 1371 till 1383 (Iranian Year).
The results show that the Moving Average can predict the price models & trends and helps the investors to have better transactions and more chance to make profit in TSE. Also the results shows that the return gained by using the technical strategies was more then the fundamentals like buy & hold, in TSE. This trading rule had about 60% gain, which was more than 36% gain obtained by buy & hold strategy (in the same time) In TSE.
Buy & hold,Moving Average,Technical analyses,Tehran Stock Exchange,Total index
https://acctgrev.ut.ac.ir/article_19116.html
https://acctgrev.ut.ac.ir/article_19116_585d0f9376f993f7155ecf4d8ae00647.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
محمد عرب مازار
یزدی
63815673
محمد حسین
صفرزاده
62622228
This article examines the disaggregating of earnings on predicting future operating cash flows in the firms listed in Tehran Stock Exchange. Our sample is 41 firms during the period of 1376-1384 (Iranian calendar). Specifically, our analysis is based on the panel data regression framework employed by Al-Attar and Hussain (2004).
We develop a model for cash flow prediction that decomposes earnings into cash and accrual components. We find that earnings components do reflect better information relating to future cash flows. Furthemor we also decompose accruals into five components and investigate the ability of model to predict future cash flows. We find that the disaggregating can generate superior explanatory power in regard to future cash flows.
Accruals,earnings,Operating Cash Flows,panel data
https://acctgrev.ut.ac.ir/article_19117.html
https://acctgrev.ut.ac.ir/article_19117_682381c6834c25e081f9837262f03edb.pdf
University of Tehran
Accounting and Auditing Review
2645-8020
2645-8039
14
3
2008
02
20
-
FA
محمد
نمازی
0000-0002-0342-7603
mnamazi@rose.shirazu.ac.ir
مرتضی
حشمتی
46259184
The theory of capital structure offers two competing models of financing decisions. In the trade-off model, firms identify their optimal leverage by weighting the costs and benefits of debts. In the pecking order model, firms finance new investments first with retained earnings, then with debts, and finally with outside equity. The empirical literature provides conflicting assessments about how firms choose their capital structures. We investigate the effect of delayed variables and factors that affect firm's leverage changes. For this purpose, we gathered data from 164 firms in Tehran Stock Exchange, during 1379-1383 years. Using panel data regression model, our results indicate that firm's past profitability has strong influence on their market leverage, and this effect last for over two years. Also, firm's past financial deficits have strong influence on their book leverage, and this effect last for over two years. The effect of stock returns on book leverage, last only for over one year. The market-to-book ratios of assets have short-run effect on market leverage as well as book leverage.
Capital structure,Financial Leverage,Market values,Past information,Profitability
https://acctgrev.ut.ac.ir/article_19118.html
https://acctgrev.ut.ac.ir/article_19118_16b03eadd7db1c9678ac71b55a1efe21.pdf