Explaining Accrual Anomaly Using Multi-factor Pricing Model in Tehran Stock Exchange

Explaining Accrual Anomaly Using Ohlson Method in Tehran Stock Exchange

One of the anomalies of the capital market is accrual anomaly. This anomaly refers to the negative relationship between returns and accruals. In the case of accrual anomaly, two behavioral and rational expectations have been raised. The main purpose of this study is to explain accrual anomaly using a new approach to distinguish an anomaly interpretation of risk interpretation. For this purpos...

The Expansion of Capital Asset Pricing Factor Models through Pricing Value ، Momentum and stock quality at Tehran stock exchange

Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models as well as non-use of stock quality as representative of profitability ans investment factors such as CAPM and Fama and French's three-factor models, the basis of this study is to provide a new functional model has been replacing pricing models o...

Salience Theory and Pricing Stock of Corporates in Tehran Stock Exchange

How the investors react to the received information plays a crucial role in determining the return of stock exchange market. Supply and demand based upon incorrect decisions lead to the price deviation of inherent values. This paper aims to study the impact of salience phenomenon on disproportionate pricing and investor overreaction in the corporates in Tehran stock exchange. Research methodolo...

Using Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange

Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...

Bubbles In Tehran Stock Exchange

a comparison between performance of linear and nonlinear capital asset pricing model in tehran stock exchange

capital asset pricing model (capm) has been among the common models to estimate expected returns rate. since the linearity assumption is considered in the standard version of the capital asset pricing model, estimating beta in nonlinear setting will be inconsistent and bias-oriented. therefore, this study tries to evaluate predictive power of nonlinear capital asset pricing model as well as sta...