Univrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122Sensitivity Analysis of Ranking the Factors Influencing the Investment Decision in Tehran Stock Exchange Listed CompaniesSensitivity Analysis of Ranking the Factors Influencing the Investment Decision in Tehran Stock Exchange Listed Companies11824157FAEzatAsgharizadehFarnazHajzavarJournal ArticleIn the changing world of the stock exchange, determining and analyzing the attributes influencing Investors decisions of Tehran stock exchange seems to be a necessary concern. Having these influential investment attributes and knowing their importance make a capability that investor can choose the best selection among listed companies. In this paper, first we identify the appropriate attributes and use TOPSIS technique to rank the participating companies according to influential attributes, then we propose a method to recognize critical attributes and finally we perform a sensitivity analysis to examine the sensitiveness of our ranking by variation of critical attributes. Result shows that five sensitive attributes are: gross profit to sales ratio, earning per share (EPS), dividend pay-out ratio (DPR), production growth ratio, and times-interest-earned ratio. Among them, because of the minimal variations, EPS was recognized as the most sensitive attribute.In the changing world of the stock exchange, determining and analyzing the attributes influencing Investors decisions of Tehran stock exchange seems to be a necessary concern. Having these influential investment attributes and knowing their importance make a capability that investor can choose the best selection among listed companies. In this paper, first we identify the appropriate attributes and use TOPSIS technique to rank the participating companies according to influential attributes, then we propose a method to recognize critical attributes and finally we perform a sensitivity analysis to examine the sensitiveness of our ranking by variation of critical attributes. Result shows that five sensitive attributes are: gross profit to sales ratio, earning per share (EPS), dividend pay-out ratio (DPR), production growth ratio, and times-interest-earned ratio. Among them, because of the minimal variations, EPS was recognized as the most sensitive attribute.https://acctgrev.ut.ac.ir/article_24157_ae5e5d97ec37b67fcd007bb1657f879b.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122Study relation between selected ratios & measures in Investment Companies at Tehran Stock ExchangeStudy relation between selected ratios & measures in Investment Companies at Tehran Stock Exchange194024158FARezaTehraniAmanehHasbaeiHamedAhmadiniaJournal Articlethe aim of this paper is evaluating performance of investment companies that have had active portfolio management during 1383 to 1388 in Tehran stock exchange. In order to assess their performance, we used some selected Risk-Adjusted ratios with considering another measures likes the liquidity, size, turnover and being diversified in their portfolio. After gathering data and statistical analyzing them, we realized the distribution of data is not normal. Therefore, we used nonparametric tests to examining hypotheses. The result of first hypotheses showed that performance of the companies is different by using three ratios and Wilcoxen test showed the companies have had better control on systematic risk and have had less control on their SD return. Furthermore, ANOVA test showed that the returns of the companies have positive and meaningful related to turnover of their portfolio.the aim of this paper is evaluating performance of investment companies that have had active portfolio management during 1383 to 1388 in Tehran stock exchange. In order to assess their performance, we used some selected Risk-Adjusted ratios with considering another measures likes the liquidity, size, turnover and being diversified in their portfolio. After gathering data and statistical analyzing them, we realized the distribution of data is not normal. Therefore, we used nonparametric tests to examining hypotheses. The result of first hypotheses showed that performance of the companies is different by using three ratios and Wilcoxen test showed the companies have had better control on systematic risk and have had less control on their SD return. Furthermore, ANOVA test showed that the returns of the companies have positive and meaningful related to turnover of their portfolio.https://acctgrev.ut.ac.ir/article_24158_8e0c4a20ac8766a81dd8d74bb236e889.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122Setting the priority of the factors influencing the amount of accuracy of profit prediction of accepted companies in Tehran Stock Exchange in the time of capital growthSetting the priority of the factors influencing the amount of accuracy of profit prediction of accepted companies in Tehran Stock Exchange in the time of capital growth416224159FAHamidHaghighatMassoodBakhtiary0000-0002-8933-8969Mohamad TaghiBeheshtipourJournal ArticleThis study aims to review what factors and to what extent can influence the amount of accuracy of profit prediction of accepted companies in Tehran Stock Exchange in the time of capital growth. The statistical society includes the accepted companies in Tehran Stock Exchange since early 1384 to the end of 1387. Analyzing the independent variables such as horizontal predictive length (short- term/long- term), the frequency of reviewing the predicted profits of the last year’s report, auditor’s view on the last year’s statements, the type of the industry, and the company’s size through multiple regression analysis, variance analysis, and coefficient of determination, we concluded that from among the above-mentioned factors, horizontal predictive length, and the type of the industry influence the accuracy of the companies, predicted profits and it was determined that by the order priority the type of the industry and the horizontal predictive length can influence the independent variable respectively. No meaningful correlation was seen between the other factors and the accuracy of predicted profit.This study aims to review what factors and to what extent can influence the amount of accuracy of profit prediction of accepted companies in Tehran Stock Exchange in the time of capital growth. The statistical society includes the accepted companies in Tehran Stock Exchange since early 1384 to the end of 1387. Analyzing the independent variables such as horizontal predictive length (short- term/long- term), the frequency of reviewing the predicted profits of the last year’s report, auditor’s view on the last year’s statements, the type of the industry, and the company’s size through multiple regression analysis, variance analysis, and coefficient of determination, we concluded that from among the above-mentioned factors, horizontal predictive length, and the type of the industry influence the accuracy of the companies, predicted profits and it was determined that by the order priority the type of the industry and the horizontal predictive length can influence the independent variable respectively. No meaningful correlation was seen between the other factors and the accuracy of predicted profit.https://acctgrev.ut.ac.ir/article_24159_c45a49d5ee861cba663d92e76d5036c9.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122Comparison to woo independent auditors and financial variables in predicting bankruptcyComparison to woo independent auditors and financial variables in predicting bankruptcy637824160FAMassoodBakhtiary0000-0002-8933-8969AhmadZendedelMahdiEsmaeilzadebaghsiyahiJournal ArticleOne way that can be used to good advantage of investment opportunities and a better allocation of resources, is predicting financial failure or bankruptcy. The study tries to evaluate accuracy and effectiveness of the audit reports in identifying bankrupt firms, and compare it to predictability of bankruptcy by the financial variables. Criteria for diagnosis of bankruptcy companies, subject to article 141 of commercial law is. The Infrastructure hypothesis is as follows: Independent auditor's report in terms of uncertainty about going concern can predict bankruptcy in the next fiscal period better than financial variables simultaneously. The above hypothesis using a sample of 60 manufacturing companies listed in Tehran Stock Exchange during 1381 to 1387 (seven years) by logistic statistical model and McNamara test were tested. Results from this study suggests that financial variables simultaneously and independent auditor's report, both have the ability to predict bankruptcy in the next fiscal period, but the independent auditor's report is significantly superior to the financial variables.One way that can be used to good advantage of investment opportunities and a better allocation of resources, is predicting financial failure or bankruptcy. The study tries to evaluate accuracy and effectiveness of the audit reports in identifying bankrupt firms, and compare it to predictability of bankruptcy by the financial variables. Criteria for diagnosis of bankruptcy companies, subject to article 141 of commercial law is. The Infrastructure hypothesis is as follows: Independent auditor's report in terms of uncertainty about going concern can predict bankruptcy in the next fiscal period better than financial variables simultaneously. The above hypothesis using a sample of 60 manufacturing companies listed in Tehran Stock Exchange during 1381 to 1387 (seven years) by logistic statistical model and McNamara test were tested. Results from this study suggests that financial variables simultaneously and independent auditor's report, both have the ability to predict bankruptcy in the next fiscal period, but the independent auditor's report is significantly superior to the financial variables.https://acctgrev.ut.ac.ir/article_24160_d61bc8a71e83b3799b433cf0b29a36e4.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122The Application of Genetic Algorithms in Bankruptcy Predication and the Comparison of it with Altman’s Z-model listed companies in Tehran Stocks Exchange (TSE)The Application of Genetic Algorithms in Bankruptcy Predication and the Comparison of it with Altman’s Z-model listed companies in Tehran Stocks Exchange (TSE)9911424161FAMahmoudFirouzianDaruishJavidNargesNajmadiniJournal ArticleBankruptcy predication is one of the main matters in classifying the bankrupt corporations. Investors, Owners, Managers, Creditors, Governmental Agencies are interested in evaluating the financial conditions of the companies. Since in the case of bankruptcy, it will cost them a lot. This research intended to study the bankruptcy prediction in Tehran Stock Exchange (TSE) by using the Altman’s Z-model, Genetic Algorithms and finally intends to determine efficiency of the best model. The samples under the investigation were 36 bankrupt companies and 36 non-bankrupt companies during fiscal years of 1384 – 1386. The variables used in Genetic Algorithms Model and Altman’s Z- Model were 5 variables. The Genetic Algorithms Model had respectively an equivalent accuracy between 90, 91.5 percent in average during one year and two years before the indicator year (base year).The Altman‘s Z-Model had equivalent accuracy of 83.32 and 83.32 percent. According to the finding, Genetic Algorithms Model (GAM) was more accurate in predicting bankruptcy as a result; it is an appropriate means for predicting bankruptcy.Bankruptcy predication is one of the main matters in classifying the bankrupt corporations. Investors, Owners, Managers, Creditors, Governmental Agencies are interested in evaluating the financial conditions of the companies. Since in the case of bankruptcy, it will cost them a lot. This research intended to study the bankruptcy prediction in Tehran Stock Exchange (TSE) by using the Altman’s Z-model, Genetic Algorithms and finally intends to determine efficiency of the best model. The samples under the investigation were 36 bankrupt companies and 36 non-bankrupt companies during fiscal years of 1384 – 1386. The variables used in Genetic Algorithms Model and Altman’s Z- Model were 5 variables. The Genetic Algorithms Model had respectively an equivalent accuracy between 90, 91.5 percent in average during one year and two years before the indicator year (base year).The Altman‘s Z-Model had equivalent accuracy of 83.32 and 83.32 percent. According to the finding, Genetic Algorithms Model (GAM) was more accurate in predicting bankruptcy as a result; it is an appropriate means for predicting bankruptcy.https://acctgrev.ut.ac.ir/article_24161_c5d08fc497bfb4d26fa921396d95d458.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122The Information Content of Quarterly Earnings
AnnouncementsThe Information Content of Quarterly Earnings
Announcements11513024162FAMohammad HosseinGhaemi0009-0001-1499-9447AliBayatTaherSkandarleeJournal ArticleThis study examines the factors that affect the reaction of market to quarterly earnings announcements of firms listed on the Tehran Stock Exchange. Five factors including the timing of earnings announcements, firm size, industry, the number of earnings announcements, and the number of other announcements are investigated. We used event study methodology. The market reaction is examined by investigating stock trading volume and price changes, during 20 days before to 20 days after the announcement day. For a sample of 523 earnings quarterly announcement (by 94 companies) during 1383 to 1386 (first quarter), we show early announcements have more information content than later announcements. The industry affects the information content of quarterly earnings announcements. The lower the number of earnings announcements, the more informative the quarterly earnings announcements. We also find the number of other announcements in event period has an effect on the information content of quarterly earnings announcements.This study examines the factors that affect the reaction of market to quarterly earnings announcements of firms listed on the Tehran Stock Exchange. Five factors including the timing of earnings announcements, firm size, industry, the number of earnings announcements, and the number of other announcements are investigated. We used event study methodology. The market reaction is examined by investigating stock trading volume and price changes, during 20 days before to 20 days after the announcement day. For a sample of 523 earnings quarterly announcement (by 94 companies) during 1383 to 1386 (first quarter), we show early announcements have more information content than later announcements. The industry affects the information content of quarterly earnings announcements. The lower the number of earnings announcements, the more informative the quarterly earnings announcements. We also find the number of other announcements in event period has an effect on the information content of quarterly earnings announcements.https://acctgrev.ut.ac.ir/article_24162_1a7fd965c4e7dc9a6c6665ca4ba813c2.pdfUnivrsity Of Tehran PressAccounting and Auditing Review2645-8020186520111122Prediction of Stock Return by Fundamental Analysis StrategyPrediction of Stock Return by Fundamental Analysis Strategy799824163FAAsgharArefiAbbasDadrasJournal Articlethe aim of this paper is to show the importance of key variables of financial statements in Predicting Stock Return by Fundamental Analysis Strategy. Eleven fundamental signals have been chosen based on their predictive ability with respect to returns. These signals are: inventory, accounts receivable, investments, gross Margin, return on assets, variation in return on assets, cash flow, accruals, leverage, liquidity, assets turnover. Sample period is 1378 to 1389. Stocks at each fiscal year of the, are assigned given fundamental scores (F-Score) in two portfolios: A low F-Score portfolio and a high F-Score portfolio. Returns are calculated from the fifth month of next year to fifteen months after that. Results of Spearman’s correlation show that the F_Score, inventory and asset turn over variables have positive and statistically significant correlations with future returns. However, investments variable has a negative correlation. T-student test shows that Buy and Hold Return Mean (BHR) of the high F-Score portfolio is greater than BHR Mean of the low F-Score portfolio. Therefore, we could have a positive return by Fundamental Analysis Strategy.the aim of this paper is to show the importance of key variables of financial statements in Predicting Stock Return by Fundamental Analysis Strategy. Eleven fundamental signals have been chosen based on their predictive ability with respect to returns. These signals are: inventory, accounts receivable, investments, gross Margin, return on assets, variation in return on assets, cash flow, accruals, leverage, liquidity, assets turnover. Sample period is 1378 to 1389. Stocks at each fiscal year of the, are assigned given fundamental scores (F-Score) in two portfolios: A low F-Score portfolio and a high F-Score portfolio. Returns are calculated from the fifth month of next year to fifteen months after that. Results of Spearman’s correlation show that the F_Score, inventory and asset turn over variables have positive and statistically significant correlations with future returns. However, investments variable has a negative correlation. T-student test shows that Buy and Hold Return Mean (BHR) of the high F-Score portfolio is greater than BHR Mean of the low F-Score portfolio. Therefore, we could have a positive return by Fundamental Analysis Strategy.https://acctgrev.ut.ac.ir/article_24163_d8c3b11e26ab89d9712734aac8765677.pdf