This study aimed to investigate the effect of fraction resulted of bad news on stock returns emphasizing the regulatory power of information disclosure policies that for this goal, the study population is consisted of the companies listed on the Tehran Stock Exchange during a five years' period (2010-2014). Data of selected statistical sample using systematic elimination method has been collect...

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...

M argin loans have long been associated in the popular mind with instability in security markets. Galbraith (1954) placed them at the center of the 1929 Crash, arguing that heavy borrowing from brokers exacerbated the rise in stock prices in the late 1920s and the stock price declines during the Crash. More recently, the analyses of the U.S. Securities and Exchange Commission (1988) and of the ...

We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular application of our setting is to mode...

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded rationality” and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which fol...

The abnormal tone of corporate financial disclosures has recently received much academic attention. Despite China’s status as the world’s second-largest economy, studies in disclosure, especially on its influence stock price crash risk, remain scarce. Therefore, we investigated disclosure Chinese listed enterprises using Python and empirically tested relationship between risk. results show a po...