The purpose of this study was to investigate the relationship between stock futures fall risk with non-transparent financial reporting at three levels of size, efficiency and return on equity, in the period 2010 to 2014 was in Tehran Stock Exchange. The population of the study are all companies listed in Tehran Stock Exchange. Data collected and calculated by using Excel software Eviews 7 been ...

Due to the fact that assets are recorded at their historical value and they may include unrealized gains (losses), managers may manipulate earnings through the sale of these assets and provide financial information which is not accurate and reliable. The aim of this study is to investigate the relationship between income from asset sales, earnings change and leverage of companies listed on Tehr...

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE ...

I n recent years, risk management has been of growing interest to institutional investors, including pension funds, insurance companies, endowments, and foundations as well as the asset management firms that manage funds on their behalf. Traditionally, institutional investors, and particularly pension funds, have emphasized measuring and rewarding investment performance by their portfolio manag...

The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows at the company level enables for the first time a cash flow equivalent and simultaneous investment s...

Stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. Fundamental method assume that stock returns is not solely related to the stock market. Most result come from the company condition , industry situation and whole economy. In this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...