The purpose of this study is to investigate the effect of corporate governance (CG), corporate social responsibility (CSR) and their interactive effect on the value of companies listed on the Tehran Stock Exchange. For this purpose, the data of 194 companies listed on this stock exchange, which was selected using a systematic elimination method, from 2011-2017 were collected and analyzed using ...

In this paper, the performance of RiskMetrics model for prediction of 1-day and 10-days value at risk were preceded in three confidence levels of 95%, 97.5% and 99%.The main data are TEDPIX Index that their fluctuations can be indicated market risk of Tehran Stock Exchange. Time series of this index has been applied from 21 March 2001 to 20 March 2010 with the total 2172 observations. As well, ...

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

Stock prediction with artificial neural network (ANN) techniques is one of the most important issues in finance being investigated by researchers across the globe. ANN techniques can be used extensively in the financial markets to help investors make qualitative decision. In this methodology a multilayer perception (M.L.P) neural network model is used to determine and explore the relationship b...

Explaining dividend policy has been one of the most difficult challenges facing financial economists. Despite decades of study, we have yet to completely understand the factors that influence dividend policy and the manner in which these factors interact.The aim of this paper is to examine the relation between dividend policy and share price volatility in Tehran Stock Exchange (TSE). The analys...

this paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (var) for both long and short positions using the hyaparch model and daily data for tehran stock exchange price index (tepix). our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry app...