This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is p...

The Effect of Sectoral Sanctions on Price Returns Targeted Firms: Evidence from Tehran Stock Exchange

Having adequate, sufficient and timely information and data is very important for investors' decision making. Processing information and allocating the asset are two fundamental tasks in the securities market and the stock price is more likely to have the nature of disclosure, information effectiveness and asset allocation efficiency. Thus, in this research, the effects of large block transacti...

This paper employs a general non-linear analysis tool to analyse the nature of time series associated with the price (returns) of a particular company in Tehran Stock Exchange. It is shown that the behavior of the process associated with the price (returns) time-series of this company is weakly chaotic, and due to the non-random behavior of the process, short term prediction of stock price is p...

this paper examines the accuracy of valuation models in providing reasonable estimation of the market values of listed companies in tehran stock exchange (tse). six valuation models including gordon growth model, two stage dividend discount model, adjusted present value, price to earning ratio and residual income were examined in this study. in addition, three proxies represent the market value...

abstract: this paper investigates the existence of the house money effect among individual investors by using the intraday transactions dataset in iran stock market. regarding the purpose of investigation the relation between the investment gains and the change in risk taking, firstly, we calculate the profit profile of investors in each day. then, the risk taking of every investor are calculat...

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect bymodeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model pre...

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