This paper investigates the relationship between financial ratios and indicator of systemic risk in the Tehran Stock Exchange. The study selects 73 manufacturing companies of the Tehran Stock Exchange market over the period 2003-2010. The study first calculates the independent variables in the form of financial ratios and then the ratios affecting the systematic risk index are extracted using entropy method. The output of this stage is the introduction of five influential financial indicators as the independent variables of the study. Using t-test and Pearson correlation coefficient the rate of independent variables effect on the systematic risk index is evaluated and finally, using stepwise regression method, the effect of independent variables on the dependent variable is examined. According to results of our survey, the correlation coefficient of such indices as “the ratio of stock price to the profit of each share”, “Current ratio”, “each share profit ratio” and “the stockholders rights return ratio” have respectively the highest correlation with the systematic risk index.
This paper presents an empirical investigation to study the relationship between future profitability and abnormal accruals on selected firms from Tehran Stock Exchange (TSE). The study selects 223 firms from TSE market over the period 2007-2011. Using the regression analysis, the study shows there was no meaningful relationship between abnormal earnings and future profitability when the level of significance is five percent. There are also seven sub-hypotheses associated with the proposed study of this paper. The results indicate that while there were no meaningful relationship between firm size, capital expenditure, earnings quality and earning forecasted error on one side and future earnings, the study confirms a significance relationship between ratio of book value to equity as well as market leverage and future earnings.
This paper presents a study to find the relationship between earnings response coefficient and earnings management on some selected firms listed in Tehran Stock Exchange (TSE). The study uses Johns’s model to investigate the behavior of earnings management [Jones, J. J. (1991). Earnings management during import relief investigations. Journal of accounting research, 29(2), 193-228]. In addition, the proposed study uses Ohlson’s model [Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary accounting research, 11(2), 661-687] to estimate earnings response coefficient. The study gathers the necessary information from 250 firms from TSE market over the period 2006-2012. The result of our survey indicates that there was a negative and meaningful relationship between earnings response coefficient and earnings management.
This paper investigates the role and the effect of the life cycle theory on explanation of dividend payout policy in Tehran Stock exchange listed companies over the period 2006-2011. For measuring the firm’s life cycle, two criteria namely retained earnings to equity ratio and retained earnings to assets ratio have been used as proxies of firm’s life cycle. The findings of this research show that only retained earnings to assets ratio has a meaningful and positive effect on dividend payout policy; In the companies that are growing, retained earnings to assets ratio is low; Whereas this ratio is high in the more mature companies and these firms have abundant retained earnings, hence they are good candidates to pay dividends. However, there was no meaningful relationship between another life cycle criteria namely retained earnings to equity ratio and dividend payout policy.
This paper presents a study to investigate the effect of world’s financial turmoil on performance of petrochemical firms listed on Tehran Stock Exchange (TSE). The study designs a questionnaire in Likert scale and distributes it among 87 selected people from 250 existing experts who were active in TSE. The study considers four groups of questions associated with liquidity ratios, operating ratios, leverage and profitability ratios. The questions consider whether financial turmoil has influenced on these four groups of financial ratios or not and the results have been verified using t-student test. According to our survey, although financial turmoil does not seem to have any important impact on operating ratios in this sector, the chaos has influenced on other three financial ratios including liquidity, leverage and profitability ratios.
This paper presents an empirical investigation to study the relationship between the opportunism behavior and leverage. In this study, opportunism behavior is calculated based on discretionary accruals using the method proposed by Jones [Jones, J. J. (1991). Earnings management during import relief investigations. Journal of accounting research, 29(2), 193-228.]. In addition, the proposed study uses return on assets, return on equities, financial burden and financing for investigation. Using statistical data from Tehran Stock Exchange over the period 2006-2011, the study applies linear regression model and the results have indicated a positive and meaningful relationship between leverage and discretionary accruals, which is also called earnings management.
Earnings management via discretionary accruals is a manager's instrument for changing stock holders’ expectations. The purpose of this study is to investigate the role of discretionary accruals in the earnings management of Iranian firms. There are two hypotheses associated with this study on the relationship between income smoothness and discretionary accruals and the proposed study is implemented on selected firms from Tehran Stock Exchange. The result of the first hypothesis indicates the relationship between earnings smoothness and discretionary accruals variables. It means that discretionary accruals (DA) leads to the converse relationship among discretionary accruals variation and current and future cash flow. The result of the second hypothesis indicates that the firms with high variation in Iran utilize more discretionary accruals compared with the firms with lower variation.
This paper presents an empirical investigation to measure the performance of holding company compared with the performance of market using Sharp ratio over the period of 2008-2011. SHASTA is one of the biggest holding firms in Iran, owned by social security organization, and has some subsidiary firms. The study measures the risk of holding firm and market performance firms listed on Tehran Stock Exchange using the Sharp ratio. To compare the performance of holding versus subsidiary firms as well as the market, the study first performs normality test on the data. Statistical data for the performance of holding company is not normally distributed but all subsidiary data are normally distributed. Therefore, the study uses non-parametric test to measure the performance for holding company and parametric test is employed to measure the performance of other firms. The result of our investigation indicates that there was no difference between the performance of holding firm and market performance.
This study presents an empirical investigation to measure the relationship between traditional accounting performance measurement as well as theory of constraint-based figures with operating cash flow. Traditional accounting measurement includes net profit and return of investment and theory of constraint method includes net profit and return of investment based on theory of constraints. The study selects 69 firms list on Tehran Stock Exchange over the period 2000-2010. Using panel data and fixed effect, the study performs regression analysis and the results confirm that there was a positive relationship between net profit measured by theory of constraints and cash flow and it can be effectively used for performance measurement.
DOI: 10.5267/j.msl.2013.07.017 Keywords: Theory of constraints;; ;
Previous studies show investors’ overreaction towards firms past performance. In fact, investors overvalue past winners and undervalue past losers. However, when their expectations do not come true, stock prices return to their fair values. This study investigates investors’ overreaction in Tehran Stock Exchange in three steps. Using a five-year period data collected from Tehran Stock Exchange (TSE), we evaluate portfolio performance and analyze them based on a sample of 70 firms selected from this exchange and, using Pearson correlation as well as regression analysis, examine the effects of past performance on price appreciation. The preliminary results indicate that TSE investors normally overreact to sale, quality of sale, operating profit, quality of profit, cash flow and stock return, significantly.