Search results
1 – 10 of 101
This study aims to use gray models to predict abnormal stock returns.
Abstract
Purpose
This study aims to use gray models to predict abnormal stock returns.
Design/methodology/approach
Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model.
Findings
Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models.
Originality/value
The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market.
Details
Keywords
Shayan Farhangdoust and Lida Sayadi
The present study seeks to shed further light on the effectiveness of Basu (1997) and Khan and Watts' (2009) differential timeliness metrics in detecting predictable differences…
Abstract
Purpose
The present study seeks to shed further light on the effectiveness of Basu (1997) and Khan and Watts' (2009) differential timeliness metrics in detecting predictable differences in conservatism following corrections of restated earnings.
Design/methodology/approach
Using cross-sectional and time-series analyses for companies listed on the Tehran Stock Exchange during 2009–2013, the results indicate lower conservatism for restating firms as compared to their counterparts during prerestatement period.
Findings
Using cross-sectional and time-series analyses for companies listed on the Tehran Stock Exchange during 2009–2013, the results indicate lower conservatism for restating firms as compared to their counterparts during prerestatement period. In contrast, our findings are indicative of higher conservatism among these restating firms during the years of restatements. Moreover, the time-series approach captures a higher conservatism for the restating firms during restatement years than prerestatement periods. Overall, these results provide insight into the usefulness of the metrics used in the restatement setting.
Originality/value
Similar to recent papers, the present study seeks to shed further light on the ability of Basu-based coupled with Khan–Watts-based measures of conservatism to detect situations in which companies' earnings are known to be significantly restated.
Details
Keywords
Faisal Abduleh Salman Irag Al-Najaf, Mahdi Salehi and Hind Shafeeq Nimr Al-Maliki
The present study aims to examine the effects of the Islamic sacred months, namely, Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah, on stock prices on the Iran and Iraq Stock…
Abstract
Purpose
The present study aims to examine the effects of the Islamic sacred months, namely, Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah, on stock prices on the Iran and Iraq Stock Exchanges.
Design/methodology/approach
Using the infrastructure models of the capital market, the daily stock prices were calculated for the sacred and non-sacred months. As the data of this study are non-stationary, the AMIRA time-series model was used for better understanding of the model or future projections. The dependent variables of this study are the daily stock indexes for Iranian and Iraqi Stock Exchanges, and independent ones are the sacred and non-sacred months of a lunar year. Data were gathered daily from the financial statements of Iranian and Iraqi Stock Exchanges websites. To test the hypotheses under study, a five-year period from 2012 to 2016 was considered for both Iraqi and Iranian Stock Exchanges, which corresponds with the lunar calendar from 1433-1437AH.
Findings
The obtained results indicated that there is no significant difference in stock prices between the sacred months of Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah and other non-sacred months. However, the stock price in the Iranian Stock Exchange has a significant difference in Rajab and Dhu al-Qaʿdah with other non-sacred months.
Originality/value
The results of this study will reveal more than ever the role of Islamic sacred months for society and users of financial statements to make better financial decisions especially in Islamic emerging markets.
Details
Keywords
Hind Shafeeq Nimr Al-Maliki, Mahdi Salehi and Behzad Kardan
The present study aims to assess the potential impacts of board members' characteristics, including connectedness and independence, on the level of the firm's involvement in…
Abstract
Purpose
The present study aims to assess the potential impacts of board members' characteristics, including connectedness and independence, on the level of the firm's involvement in innovation and corporate social responsibility (CSR).
Design/methodology/approach
Variables of board members' interlock and independence are selected for measuring the board characteristics and their association with innovation. The range of disclosure of social responsibility (SR) of the firms inside and outside the industries is also analyzed through descriptive-correlational. The selected sample includes 280 firm-years listed firms on Iraq Stock Exchange during 2012–2017 and 1,026 firm-years on the Tehran Stock Exchange. The hypotheses are examined using multivariate regression models and panel data.
Findings
The observations show that board interlock and independence in both countries are willing to improve firms' innovation. Moreover, having controlled the industry index, the authors find that business environment innovation is willing to be transmitted into the firms through outside industry sources in Iran. In the Iraq country, regardless of industry index, the positive association between interlocked boards and firm innovation is established. Further analyses also articulate that board interlock is not considered a mechanism to transmit information and experiences about CSR activities.
Originality/value
This paper is a pioneer study to assess the relationship between board member characteristics and the firms' innovation and SR both in Iran and Iraq. Also, it extends the literature by considering the industry index as a significant source of knowledge and experience to gain more precise results. Therefore, the current paper may contribute to the development of knowledge in this field of study.
研究目的
本研究擬評估董事會成員的特性 (這包括其連通性及自主性) ,如何潛在地影響公司投入創新和承擔企業社會責任的程度。
研究設計/方法/理念
董事會成員的相互扣連和自主獨立這些變數、被挑選來量度董事會的特性以及其與創新的關聯。本研究亦以描述性關連性研究法、來分析和透視公司在企業內外參與企業社會責任的範圍。被挑選的研究樣本包括於2012年至2017年間在伊拉克股票交易所280公司年上市公司,以及在德黑蘭股票交易所1026公司年。各假設均以多變量迴歸模型和縱橫資料來作分析研究。
研究結果
觀察的結果、證明在這兩個國家,富連通性和自主性的董事會均樂意改善公司的創新;而且,我們在控制行業指數後,發現在伊朗、企業環境創新會積極地透過外部行業資源訊息而發送至公司。在伊拉克,相互扣連的董事會與公司創新之間的正面關聯得到確立。而這關聯是不受行業指數影響的。而且,進一步的分析、明確顯示董事會的相互扣連不被認為是一個發送關於企業社會責任的資訊或經驗的機制。
研究的原創性/價值
本研究乃為先鋒研究、來評估在伊朗和伊拉克兩地董事會成員的特性,與公司創新和企業社會責任之間的關係。再者,本研究使有關的文獻得以伸延,方法是把行業指數當作是一個能提供更準確的研究結果的知識和經驗的重要來源;因此,本研究會為有關的研究領域、提供更多知識。
Details
Keywords
Aiza Shabbir, Shazia Kousar and Syeda Azra Batool
The purpose of the study is to find out the impact of gold and oil prices on the stock market.
Abstract
Purpose
The purpose of the study is to find out the impact of gold and oil prices on the stock market.
Design/methodology/approach
This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test.
Findings
The data analysis results showed that gold and oil prices have a significant impact on the stock market.
Research limitations/implications
Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set.
Originality/value
This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.
Details
Keywords
Silvio John Camilleri and Francelle Galea
The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market…
Abstract
Purpose
The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones.
Design/methodology/approach
The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework.
Findings
The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter.
Research limitations/implications
The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research.
Practical implications
This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level.
Originality/value
The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.
Details
Keywords
Marziyeh Hejranijamil, Afsane Hejranijamil and Javad Shekarkhah
Applying conservatism to the preparation of financial statements has been considered not only as a natural mechanism to protect the interests of the stockholders but also as a…
Abstract
Purpose
Applying conservatism to the preparation of financial statements has been considered not only as a natural mechanism to protect the interests of the stockholders but also as a practical way to assist managers to deal with uncertainty in business environments. This study aimed to determine if increasing uncertainty can lead to raising the level of conservatism used in preparing financial statements. The result of the study could provide a better understanding of the factors that influence the level of applying conservative methods in accounting and financial reporting.
Design/methodology/approach
The model introduced by Basu (1997) was used to measure accounting conservatism. Business strategy and alertness were considered as two proxies for classifying companies according to their level of uncertainty. By adding each proxy of uncertainty to the model and using the financial data of 183 companies for five years (from 2013 to 2018), the multiple regression models were estimated through EViews. It was assumed that inert companies and those with prospector strategy face a higher level of uncertainty. Consequently, they were expected to report their financial status conservatively.
Findings
Findings revealed that companies, which adopted a prospector strategy, applied more conservative methods in their financial reports. This indicated that facing wider uncertainty results in reporting more conservatively, which could not be said about inert companies.
Originality/value
The current research is the first research undertaken in a developing country such as Iran, and the study's results may benefit other developing countries.
Details
Keywords
Mahdi Ghaemi Asl and Mohammad Ghasemi Doudkanlou
This study aims to identify and compare the measurement models of earnings management (EM) appropriate to the Iranian Islamic banking system. The importance of reported profit…
Abstract
Purpose
This study aims to identify and compare the measurement models of earnings management (EM) appropriate to the Iranian Islamic banking system. The importance of reported profit figures has motivated business executives, who also perform financial reporting, to manipulate these figures. These measures are referred to as “earnings management,” which negatively influence the quality of reported earnings and financial statements' reliability.
Design/methodology/approach
In this study, four methods, namely, Jones (1991), modified Jones (Dechow et al., 1995), Kasznik (1999) and Kothari et al. (2005), were used to measure the EM index in 25 Iranian Islamic banks (IBs) registered with the Tehran Stock Exchange and/or the Central Bank of Iran. The study covered the period 2005–2020. Following the aforementioned methods, this research implemented templates that were repeatedly tested in subsequent studies using accruals to discover EM.
Findings
The results show that the Kasznik (1999) model is the preferred and compatible model with the Iranian Islamic banking system's accrual behaviour due to the consistency of the measurement coefficients with theoretical and previous research findings. Therefore, total accruals, including discretionary accruals and non-discretionary accruals, have the most correspondence with (1) property, machinery and equipment; (2) the change in cash flow from operating activities; and (3) the difference of change in revenue (ΔREV) and change in net receivable accounts (ΔREC).
Originality/value
This is the first investigation in the Iranian Islamic banking system. The research contributes to the Iranian Islamic banking system literature on the implements of EM, which could be appealed to in the context of developing countries like Iran. Finally, this study highlights the different EM capabilities in Islamic banking systems similar to the Iranian banking arrangement.
Details
Keywords
Mahdi Salehi, Tamanna Dalwai and Arash Arianpoor
The present study aims to assess the impact of narcissism, self-confidence and auditor's characteristics on audit report readability for companies listed on the Tehran Stock…
Abstract
Purpose
The present study aims to assess the impact of narcissism, self-confidence and auditor's characteristics on audit report readability for companies listed on the Tehran Stock Exchange.
Design/methodology/approach
The study’s statistical population comprises firms listed on the Tehran Stock Exchange. The present research used a systematic elimination method, and 1,162 firm-year observations were obtained for seven years from 2012 to 2018. Three variables including auditor tenure, audit fee and audit specialization are used for measuring auditing features. The Fog index is used as a proxy for measuring audit report readability. In addition, in this paper, four regressions, including fixed effects, random effects, pooled and T+1, are used to estimate reliable coefficients.
Findings
The findings show a negative and significant relationship between auditor’s characteristics (tenure, fee and specialization) and audit report readability. Moreover, the variables of the auditor’s narcissism, self-confidence and mandatory auditor change have a positive and significant association with audit report readability. This study lends support to the theories of personality disorder and behavioral decision.
Originality/value
Since narcissism and self-confidence are two characteristics that shape an individual’s character and personality, some involved behavioral factors in auditors’ characteristics contribute to their decisions. The effects of these should be detected to enhance the decision-making process. The said factors significantly impact audit report readability. Hence, this paper attempts to assess the effect of the said factors on audit report readability.
Details