Tehran Stock Exchange Research Articles

Drivers of the Target Financial Leverage and Speed of Adjustment in Small and Medium-Sized Companies at Different Stages of Life Cycle

According to the results of recent studies, the main causes of companies’ failure are inadequate and inappropriate financing. Therefore, one of the key tasks of financial managers is to determine the best combination of the company's financial resources, or in other words, the target financial leverage. On the other hand, growth cycles are very useful for analyzing business cycles in countries that have experienced severe recessions and booms, such as Iran. The purpose of this study is to investigate the drivers of the target financial leverage and the speed of adjustment of financial leverage at different Stages of the life cycle. The statistical population is small and medium-sized companies active in Tehran Stock Exchange. For this purpose, 112 companies were selected by systematic elimination sampling method between 2015 to 2020 and views 9 software was used. The results indicate that for firms in the growth and maturing stages of their lifecycle, profitability, firm size, and tangible assets are stronger positive drivers for target leverage and when the company One stage of the life cycle goes to the next, the company slows down its gap with the target lever, and the speed of adjusting the optimal structure is reduced.

The Effect of Managerial Ability on the Timeliness of Financial Reporting: The Role of Audit Firm and Company Size

Effective decision-making relies on access to timely and accurate information, which is widely regarded as a valuable asset in the capital market. Accounting information is no exception, and it is critical for managers to provide such information promptly to advance their firms' economic activities. This study investigates the relationship between managers' ability and the timeliness of financial reporting, testing three research hypotheses through linear regression analysis. The statistical population comprises 115 firms listed on the Tehran Stock Exchange between 2012 and 2021, with 1150 firm-year observations. The delay in the auditor's report serves as a proxy for financial reporting timeliness. Managers' abilities are measured using Demerjian et al.'s model [1]. The findings reveal a significant, positive relationship between managerial ability and the timeliness of financial reporting, indicating that higher managerial ability is associated with lower financial reporting delay. Additionally, the results suggest that the relationship between managerial ability and financial reporting timeliness is moderated by the size of the auditing firm and the firm itself.

The materiality of identified misstatements by auditors and earnings management

PurposeAuditors should realize misstatements and communicate to managers for adjustments. Managers usually modify the misstatements, but they have motivations, like earnings management, for not altering the misstatements. The auditor expects to identify the misstatements’ earnings management, inform the managers and reduce earnings management by proposing adjustments. This study aims to determine whether identified and adjusted misstatements cause a decline in earnings management. Is the increase in the materiality of identified and adjusted misstatements associated with a reduction in earnings management?Design/methodology/approachThe identified and adjusted misstatements are obtained from the difference between nonaudited financial statements and audited ones. Earnings management is computed using the adjusted Jones model, and the quantitative materiality threshold has also been calculated based on the Iranian auditors’ guidelines. These variables and other required information were gathered for 159 listed firms on the Tehran Stock Exchange during 2014–2019 and examined by the regression models.FindingsThe results show a negative relationship between identified and modified misstatements of total assets and earnings management and a positive and significant relationship between identified and adjusted misstatements of total liabilities and earnings management. However, the positive relationship between identified and adjusted misstatements of net income with earnings management is not significant. Besides, the relationship between the materiality difference and an absolute value of identified and adjusted misstatements (materiality minus the absolute value of misstatements) of total assets and earnings management is positive and significant, but the negative association between materiality difference and the absolute value of identified and adjusted misstatements of total assets and earnings management is not significant. The relationship between materiality difference and the absolute value of identified and adjusted net income and earnings management misstatements is negative and significant. These results indicate that the more material the identified and adjusted misstatements, the less earnings management.Research limitations/implicationsThe difference between nonaudited and audited financial statements represents identified and adjusted misstatements (audit adjustments). The client probably made some adjustments, but separating these adjustments from the auditor’s identified items was impossible with the available data.Practical implicationsThe results show that significant audit adjustments decline earnings management. Paying more attention to a high-quality audit performed by the audit firms, auditors, managers and users and, consequently, discovering misstatements and adjusting or reporting them would decline the earnings management’s unfavorable impacts.Social implicationsThe unfavorable consequences of earnings management can cause the inappropriate transfer of wealth in the capital market and some investors’ loss to others’ benefit. These consequences can cause a loss of trust and leave unfavorable psychological effects on the capital market and society. Identifying and adjusting significant misstatements can lead to the decline of such impacts.Originality/valueThe previous studies assessed the relationship between identified and adjusted misstatements (audit adjustments) and earnings quality or earnings management. However, this study focuses on audit adjustments’ materiality to assess the impact of significant adjustments on earnings management.

The Effect of Economic Growth Volatility on Selected Industries in Tehran Stock Exchange

The main purpose of this study is to investigate the effects of economic growth rate shock on the selected industries value in the Tehran Stock Exchange; For this purpose, in the present study, the effects of economic growth rate shock were investigated by applying the time-varying parameter factor-augmented vector autoregressive model (TVP-FAVAR) and using quarterly data during the period (2011-2018).The results show that the response of different industries value to economic growth rate shock has been different; Also, this response has been different for each industry over time, which highlights the need for a TVP approach. Also, by entering the economic growth rate impulse (as much as one standard deviation), it was found that the stock market response to this impulse is associated with a time lag and the effects of this variable appear after several periods on the selected industries value. As the results of the research show, even in the years when we have had a negative economic growth rate, the response of some industries' value has been completely opposite to the variable direction of economic growth rate; One of the reasons for this subject is the low quality of economic growth rate in the country.

The Effect of Social Capital on Auditor’s Performance

This paper investigates the relationship between social capital and auditor’s performance in Iranian listed firms. The sample included 128 firms on the Tehran Stock Exchange from 2014 to 2020. The research method was descriptive-correlational, and the relationship between research variables was explained using regression models based on the panel data. The results illustrated that social capital positively correlates with auditor performance and Audit report quality. In other words, social capital decreases audit opinion shopping, audit expectation gap, internal control weakness, and audit report lag. Therefore, society’s influential assets, social capital, and audit report quality strongly influence the auditor’s performance. The auditor’s performance affects the probability of discovery and reporting material errors and misstatements. Therefore, recognizing influential factors on auditors’ performance can improve the quality of audit reports.

Impacts of environmental sustainable performance reporting on the stock price crash risk and stock liquidity: The mediating role of predictability and comparability

AbstractNowadays, sustainability performance reporting plays an important role in corporates’ success. Since sustainability reporting improves the quality of disclosure and financial transparency, it is expected to have positive effects on stock prices and liquidity and reduce the crash and liquidity risk. This research investigates the impacts of environmentally sustainable performance reporting on the stock price crash and liquidity risks and the mediating role of earnings predictability and comparability using structural modeling equations. Using the systematic elimination sampling method, 147 companies listed on the Tehran Stock Exchange were selected. The studied period was from 2011 to 2020 and PLS software was used for data analysis. The results show that environmental sustainability performance reporting enhances earnings comparability and mitigates the crash and liquidity risks. The findings also show that comparability has a mediating impact on the relationship between environmentally sustainable performance reporting with the crash and liquidity risk. Although the accuracy of forecasted earnings significantly reduces the crash and liquidity risks, however, we find no evidence for its mediating impact on the relationship between environmentally sustainable performance reporting with crash and liquidity risks.

Modeling Accounting Profit Behavior Based on Events Theory a Comparative Study of Companies Listed on the Tehran and Istanbul Stock Exchange

Purpose: Th is study aims to evaluate the effect of annual financial events on operating, and net accounting profits in the financial statements of Iranian and Turkish companies.
 
 Theoretical framework: The profitability of the company is one of the main factors that determine shareholder and investor returns. This topic has been central to a number of contemporary financial studies discussed in the literature review.
 
 Design/methodology/approach: To conduct the research, data related to the financial statements of 121 companies listed on the Tehran Stock Exchange for a period of 10 years from 2010 to 2019 and 151 companies listed on the Istanbul Stock Exchange for a period of 10 years from 2010 to 2019 were used.
 
 Findings: According to the results, there was a significant relationship between financial events and operating, and net accounting profits of Iranian and Turkish companies. Moreover, current and previous financial statements affected accounting profit, and no significant difference was observed between the two geographical locations of Iran and Turkey.
 
 Research, Practical & Social Implications: Information about companies' financial statements could be utilized by investors and analysts to more suitably analyze companies' current and future profits and returns.
 
 Originality/value: Most previous studies have assessed factors inside or outside the organization affecting profit, and the capacity of complete information on the change of the financial situation in different periods and its effect on profit behavior has not been thoroughly analyzed. This matter highlights the significance of our study.

The effect of intellectual capital on audit fees stickiness

PurposeThis study aims to evaluate the effects of intellectual capital (IC) efficiency and its components on audit fee stickiness (AFS), such as human capital (HC), organisational capital (OC), structural capital (SC) and relational capital (RC). Moreover, the moderating roles of audit industry specialisation (AIS), tenure and auditors’ market concentration are also estimated.Design/methodology/approachThis study’s method is descriptive-correlational based on the information disclosed by listed firms on the Tehran Stock Exchange from 2012 to 2018 using 1,316 year-firm. The method used for hypothesis testing is linear regression using panel data.FindingsThe results show that all the intellectual capital components (ICCs), including HC, SC, OC and RC, negatively impact audit fees (AFS). Further analyses also show that the AIS moderates the relationship between ICCs and AFS.Originality/valueThis paper is one of the pioneer studies assessing the auditors’ response to the riskless environments driven by existing IC.

Designing a Financial Volatility Index (FVI): approach to machine learning models in uncertainty

ABSTRACT The purpose of this study is to design a financial stress index to predict the occurrence of financial crisis in the Tehran Stock Exchange. In this paper, a composite index has been designed to measure the Iranian financial system and the effects of financial volatility in conditions of uncertainty in the financial markets and the Tehran Stock Exchange between 2008 and 2020. Volatility Index of currency, stock exchange and banking industry are the three main components in the design of this model. Since in the previous research, the shock of variables was used. In this research, while using the volatility of these variables, a comprehensive index regarding the volatility of currency, stock exchange and banking industry has been considered. This research is conducted in five steps based on the GHARCH-DCC approach and finally, based on the variables of financial institutions, a predictive model for the financial stress index is presented. From the results, we find that all the independent variables of the research have a significant effect on the financial stress index, except for the volatility of the coin market, which has a negative effect; the other independent variables have a positive effect on the financial stress index.

Optimal Selection of Stock Portfolios Using Multi-Criteria Decision-Making Methods

In the past, investors used their own or others’ experiences to achieve their goals. With the development of financial management, investors’ choices became more scientific. They could select the optimal choice by using different models and combining the results with their experiences. In portfolio optimization, the main issue is the optimal selection of the assets and securities that can be provided with a certain amount of capital. In the present study, the problem of optimization, i.e., maximizing stock portfolio returns and minimizing risk, has been studied. Therefore, this study discussed comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. A sample of 79 companies listed on the Tehran Stock Exchange was used to conduct this research. After simulating the data and programming them with MATLAB software, the cumulative data analysis model was performed, and 24 companies were selected. This research data were collected from the financial statements of companies listed on the Tehran Stock Exchange in 2020. The primary purpose of this study was a comprehensive modeling for the optimal selection of stock portfolios using multi-criteria decision-making methods in companies listed on the Tehran Stock Exchange. The index in the Tehran Stock Exchange can be used to provide a comprehensive and optimal model for the stock portfolio; different multi-index decision-making methods (TOPSIS method), the taxonomy method (Taxonomy), ARAS method, VIKOR method, The COPRAS method and the WASPAS method can all identify the optimal stock portfolio and the best stock portfolio for the highest return.

The Relationship between Earnings Management, Related Party Transactions and Firm Performance with the Mediation of the Role of Internal Control

The main purpose of the current research was to determine the relationship between profit management, transactions with related parties and company performance with the moderating role of internal control in companies listed on the Tehran Stock Exchange during the years 2013 to 2021. This research is from the perspective of the implementation process of a quantitative research, from the perspective of the result of its implementation, an applied research, from the perspective of the goal of conducting an analytical research, from the perspective of the logic of conducting a deductive-inductive research, and from the perspective of the time dimension of a longitudinal research. So it is an event. The information used in this research was collected using the library method and the software of Rehvard-Noin and Tadbir Pardaz and the database of the Statistics Department of the Stock Exchange Company. The studied population was all the companies accepted in the Tehran Stock Exchange, 121 companies were selected as a statistical sample by systematic elimination method. In this research, Excel software was used for data processing and Eviews software was used for data analysis. The results of the panel data model showed that there is a positive and significant relationship between real profit management and accrual-based profit management with the financial performance of companies. The results showed that the quality of internal control can play a moderating role on the relationship between real profit management and financial performance of companies. In other words, the results showed that the quality of internal control can increase the effect of real profit management on the financial performance of companies from 0.2267 to 0.2837 units.

Management Ability Effects on Information Environment Quality

The purpose of this paper is to investigate the role of managerial ability in information environment quality in the listed companies on the Tehran Stock Exchange (TSE). This research has focused on the quality of the information environment and has attempted to investigate the impact of management ability along with other variables affecting the information environment quality such as size, performance, accrual quality, etc. In this study, to measure the quality of a company's information environment "ratio of stock return volatility to market return volatility " and to measure managerial ability The Demerjian et. al. (2012) model is used. The systematic elimination method was used for sampling 105 firms listed in Tehran Stock Exchange during the time range 2015 to 2021, and the model of panel data was applied to test hypotheses. Based on the research results while managerial ability can enhance the quality of a company's information environment, the size and growth rate of the company can also affect the information environment quality.

Investigating the Potential Effects of Implementation of Value Added Tax in Iran

The present study has investigated the possible effects of the implementation of value added tax on Iran's inflation in companies listed on the Tehran Stock Exchange. The temporal domain of this information is related to the financial statements of the manufacturing companies accepted in the Tehran Stock Exchange in the period of 6 years from the beginning of 2013 to the end of 2018. The obtained data includes manufacturing and service companies and institutions. And there are no other than leasing companies and financial institutions, insurance and banks, and their obtained information has been uploaded based on the Kodal site. To check the liquidity growth, its base year has been obtained from 2013. In this chapter, the collected data have been evaluated in two sections of descriptive and inferential statistics; In the descriptive analysis of information, the indicators of descriptive statistics include frequency, percentage of relative frequency, mean, standard deviation, and in the inferential part, research hypotheses have been investigated using independent variables on the dependent variable. In the following, efforts were made to investigate the direct and indirect effects of statistical equations and Eviews10, Excel software. The results showed that there is a direct relationship between value added tax and gross national product, liquidity growth, the amount of money in circulation, the amount of tax revenues and finally inflation in Iran.

Investment Management with Innovation in Neural Networks and Metaheuristic Algorithms

Objective: Considering the issue of selecting an optimal and desirable stock portfolio, which all investors, both individual and institutional, face. Method: The purpose of the current research is to present trading systems with innovation based on neural networks and metaheuristic algorithms grounded in technical analysis. Therefore, the criteria affecting stock selection in technical analysis have been examined. Consequently, from among the companies listed on the Tehran Stock Exchange during the years 2011 to 2021, 135 companies were selected as samples through a systematic elimination method and analyzed using a combination of innovative neural network methods and metaheuristic algorithms. Findings: The results have shown that such a trading system produces comparable or better results compared to Buy & Hold and other trading systems for a wide range of stocks even over relatively longer periods. Conclusion: For future work, it is planned to focus on combining more technical parameters and using convolutional neural networks (CNN) or other deep neural network models.

The Impact Model of Marketing Information Systems on Financial Performance of Companies

Objective: The objective of this research is to present a model that demonstrates the efficiency and effectiveness of a company's marketing information system through its connection and impact on financial performance variables in 2018. Methodology: The research method, in terms of nature and content, is of a correlational type and belongs to applied studies. The statistical population of this research consists of 440 individuals, including managers and financial and marketing officials from 20 high-performing companies listed on the Tehran Stock Exchange. Based on the Morgan-Krejcie table, a statistical sample of 205 individuals was selected using stratified random sampling. For data analysis, structural equation modeling and multivariate regression were employed using AMOS and SPSS software. Findings: The research results indicate a significant positive relationship between the marketing information system and financial performance. The model's fitness indices suggest that the proposed model has a suitable fit. Conclusion: Overall, it can be stated that intelligent information systems and marketing research are the only components of the marketing information system that have a positive impact on all financial performance variables of the study. Therefore, it is recommended to pay special attention to the subsystems of intelligent information systems and marketing research to enhance the effectiveness and efficiency of the marketing information system.

Economic Linkage and the Contagion Effect of Earnings Quality on Market Risk

Objective: This study investigates the economic linkage and contagion effect of earnings quality on market risk at the Tehran Stock Exchange over the years 2010 to 2019, focusing on a screened statistical population consisting of 650 (year-company) data points. Given the concept of information transfer and previous studies related to earnings quality, it is hypothesized that higher earnings quality among industry peers (comprising a subset of closely related companies based on industry classification at the stock exchange) reduces a company's systematic risk. Methodology: This research employs three different metrics for measuring earnings quality and uses multivariate regression for hypothesis testing and model estimation. Findings: The results indicate that the estimated coefficients for earnings quality of the company (-0.011825) and related companies (-0.025110) are inversely related. Conclusion: The results suggest that higher earnings quality among economically linked companies leads to a reduction in a company's systematic risk.

Corporate social responsibility, internal control and accounting conservatism: evidence from Tehran stock exchange

Corporate social responsibility, internal control and accounting conservatism: evidence from Tehran stock exchange

Investigating the Effect of Environmental Uncertainty on the Relationship between Herd Behavior and Negative Price Shock in TSE

The purpose of this study was to investigate the effect of peripheral uncertainty on the relationship between the herd behavior of investors and the price of negative stock shock. Because the capital market is one of the main pillars of the country's economic growth and development, the incidence of any disturbance and deviation in prices causes problems with allocating and equipping funds. Reducing stock prices is an example of the disorders created in the capital market. On the other hand, one of the factors that lead to the fluctuations of return and instability of financial markets is the herd behavior of investors. If investors lack sufficient information about environmental factors, environmental uncertainty occurs. Such a situation also affects the organization. Environmental uncertainty overshadowed the use of financial statements. Changes in stock prices and corporate status are cases that can not speak in full confidence in their occurrence. As a result, environmental uncertainty is part of the economic environment. To test the research hypotheses, 156 companies from the Tehran Stock Exchange during the years 2010 to 2020 were selected by screening method. To test the hypotheses, multivariate regression models were performed using STATA14 software. The results indicate that herd behavior has a significant effect on price shock and environmental uncertainty has no effect on the relationship between the two.

The Role of Economic Policy Uncertainty in Relation to Financial Market Instability and Stock Liquidity in Tehran Stock Exchange Companies

The purpose of this article is to investigate the role of economic policy uncertainty in relation to financial market instability and stock liquidity in Tehran stock exchange companies. For this purpose, the panel threshold approach model (PSTR) was used based on the annual data of listed companies during the period of 1401-1392. Based on the obtained weights for economic policy uncertainty, the macro indicators section has the greatest effect in creating uncertainty. After that, the monetary and financial sector of the government have the most subsequent effects. Among the variables; The free exchange rate has the most influence, followed by the economic growth, inflation and monetary base and the real interest rate have the most influence on the uncertainty of the government's economic policies in Iran's economy. The estimation results of the nonlinear part of the model (second regime) show that for one percent increase in the variables of economic policy uncertainty, financial market instability, psychological biases, stock liquidity decreases by 8%, 5% and 17% respectively. Also, for one percent increase in profitability variables, asset structure, financial behavior of investors and company sales growth, stock liquidity increases by 7%, 10%, 2% and 28% respectively. In other words, the increase in the uncertainty of the economic policy leads to an increase in the amount of foreign debt by companies, and the increase in debt will lead to a lack of liquidity in general, which in general, the lack of liquidity of economic enterprises has a negative effect on the distribution of dividends, stock returns and increasing the index. They have a price, it should also be noted that with the increase in the uncertainty of the economic policy and the instability of the financial market, the possibility that the capital will leave the stock market and enter the money market will also increase. Therefore, it can be said that the increase in economic policy uncertainty and the instability of the financial market will continuously reduce the liquidity of the stock market.

Audit committee and risk taking in banks of tehran stock exchange

Audit committee and risk taking in banks of tehran stock exchange