Investigating the effect of adjusted DuPont ratio and its components on investor's decisions in short and long term

This paper investigates the effect of adjusted DuPont ratio and its components on investors’ decisions in short and long term. The primary objective of this study is to find the effect of adjusted DuPont ratio and its components on herding behavior of investors in one and several year period. Hence, 85 corporations as the member of Tehran stock exchange over the period 2006-2011 are selected. In order to recognize the herding, by market index consideration, the herded β and in order to hypothesis validity SPSS software and multivariable linear regression have been used. As the results of this study indicate, the adjusted DuPont ratio and its components have more effect on investors’ decisions in short term but in long the period, the effect of this ratio on herding investors’ behavior are reduced. Furthermore, from the two components of adjusted DuPont ratio, profit margin has more effect on investor's decisions

A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index

Study of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange markets. This research first deals with the evaluation of 8 various models to forecasting volatility of stock index using daily data of Tehran stock exchange. The used models include simple ones such as random walk as well as more complex models like Arch and Garch group. Forecasting volatility index method is developed in this paper. This method is based a random walk using a fuzzy logic approach. This method is used to fore-casting volatility of Iran stock exchange index. The proposed method is assessed by comparing other methods such as Moving Average, Random walk… Results show that our proposed method is compatible with existent methods

Management Science Letters Comparative analysis of sticky SGA costs and cost of goods sold: Evidence from Tehran Stock Exchange

One of the primary assumptions in accounting industries is to expect an increase (decrease) in cost of production is proportion to increase (decrease) in sales revenue. However, there are some evidences that the cost of production does not decrease with the same trend as revenue decreases. This phenomenon is called sticky behavior since the cost of production in not reduced as the sales decreases especially in operating as well as administration department. In this paper, we present an empirical investigation to study sticky behavior on 70 selected firms from Tehran Stock Exchange over the period 2002-2011. The results indicate that sales and general administration cost (SGA) as well as the costs of sold goods strongly have sticky behaviors