The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...

various researches have been carried out about benefits of accounting information and their influence on decision making of financial statements users. for example, many researches have examined the relationship between accounting variables and stock returns or stock price. this study determines and compares the relative and incremental content of accounting variables, too. for this purpose, th...

One of the most important methods of opacity accounting information by management is to accelerate the identification of good news versus delaying the identification of bad news on profits, but there is always a final level of accumulation of bad news in the company, and by reaching that its final level, these bad news will be released, which will lead to a Stock Price Crash Risk. In fact, stoc...

In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil ...

passing two decades of tehran stock exchange reopening, the transaction volume and number of accepted companies in it, have been enormously increased and engaged so many real and incorporated stock holders. therefore, gradually it will find its significant role in the country economy and this will double the responsibility of researchers in the economic field for utilizing more new and effectiv...

one of the issues that in recent decades in the field of information economy is rapidly expanding economy under information and discussion in this major economic problem of asymmetric information is related. as we know in today's world information and trading stock market performance is the core. lateral velocity and symmetry of the main role of information and market efficiency is critical. on...

the goal of this research is to predict total stock market index of tehran stock exchange, using the compound method of arima and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. first, the series of price index was decomposed by wavelet transform, then the smooth's series  predicted by using...