This paper investigates the relationship between Fundamental analysis and abnormal rate of returns at TEHRAN STOCK EXCHANGE ((TSE)) during 2001-2004. Using a collection of signals that reflect traditional rules of Fundamental analysis related to contemporaneous changes in inventories, accounts receivables, gross margins, capital expenditures, selling and administrative expenses, effective tax rates, labor force productivity, audit qualification, and interest expenses. Also, this study extends the search for value-relevant fundamentals both by using a guided choice of candidate variables and by conditioning the returns-fundamentals relation on macroeconomic variables. To examine the incremental value-relevance of 9 candidate fundamentals, we use cross-sectional regression. We find that fundamental signals do not provide significant information about future returns. These findings are inconsistent with the underlying focus of fundamental analysis on the prediction of earnings. Also, our finding indicates that the reaction of investors to fundamental signals in different economic conditions is different.

Price limits are boundaries applied by market regulators to restrict daily upward and downward fluctuation of security prices within a pre-specified price range. In this study, we have used the data of trades of all companies listed in the TEHRAN STOCK EXCHANGE during 2006-2015 to study the characteristics of STOCKs that hit price limits frequently using a panel regression model with fixed effects and generalized method of moments (GMM). In fact, this study aims at investigating the price limits in TEHRAN STOCK EXCHANGE by a novel and distinct approach. In general, risky STOCKs exhibit more price volatility and thus are more likely to experience price-limit hits. In summary, the results reveal that, in TEHRAN STOCK EXCHANGE, the STOCKs of companies with higher residual risk, higher trading volume and book to market value, as well as smaller market capitalization with respect to other STOCKs hit price limits more frequently.

Investors in STOCK markets are concerned about the inflation effect on their returns.However, the impact varies based on investment horizons. Since investors have different attitudes and diverse investment horizons, studying the relationship between inflation and STOCK returns in different time scales would have great implications for their investment. In this paper, we examine the Fisher hypothesis, which denotes a positive relationship between nominal STOCK return and inflation rate, using a wavelet multi-scaling method that decomposes a given time series on a scale-by-scale basis. The wavelet approach based on time-scale decomposition provides a valuable means of testing the Fisher hypothesis and resolves the problem of conflicting results in the literature. Our results show a negative relationship between inflation and the (TSE) returns in short-run horizon and a positive relationship in long-run horizon.

Based on overreaction hypothesis, which is one of the market anomalies, investors tend to overreact to good (or bad) news, pushing STOCK prices above (or below) their equilibrium price. The main goal of this paper is to examine the phenomenon of overreaction by using price limits in TEHRAN STOCK EXCHANGE ((TSE)) based on a sample of listed STOCKs from 1382 to 1387. This hypothesis is examined by the means of an event study methodology in which the event is defined as an increase or decrease in the STOCK price that activates the price limit. findings indicate the occurrence of short term overreactions in (TSE) during the period under investigation. Furthermore, the price reversals cannot be attributed to the size effect.

This study seeks evidence on whether the return series on TEHRAN STOCK EXCHANGE ((TSE)) is independent and follows the random walk model. Two hypotheses introduced to attaining this goal. First, Price series follows the random walk model and are independent. Second, Price series of investment companies are random series. The sample primarily includes 50 active listed companies’ daily price and daily price index and Investment Company’s daily price on the (TSE) over the period 1999 to 2009. The results of both non-parametric (Kolmogrov—Smirnov: normality test and run test) and parametric test (Autoregressive model, ARIMA model) provide evidence that the security returns do not follow the random walk model and the significant correlation coefficient at different lags reject the null hypothesis of weak-form efficiency. In other words, investors can’t achieve extra return using historical return and price information.

The findings of various Researches have challenged the validity of EMH in the last two decades. One of these challenges is misreaction of investors to new information that leads securities prices don't reflex the real value of securities. This Research has investigated the under reaction hypothesis of Jegadeesh & Titman [19] In (TSE), through short term Returns of STOCKs from 1998to 2005. In this article 6 hypothesis were analyzed. Statistical methods of T-test and Pearson's correlation were used to analyze the hypothesis. Results of this Research, Contrary to Many Foreign Researches do not Represent the Under reaction of investors in 6 month periods; therefore can't earning excess Returns through the use of Relative Strength (Momentum) strategy in (TSE).

One of the assumptions of efficient market is that investors react to new information. The evidence shows that investors overreact to new information .They tend to be either over-optimistic or over-pessimistic. Therefore equity prices are not equitably determined by the "true" forces of market supply / demand and are not in equilibrium most of the time .Although STOCK prices would go abnormally high (low) due to Investors' Overreaction in the initial period, they have a tendency to adjust themselves back to the equilibrium level in the subsequent period. This research investigates The Investors' Overreaction in the TEHRAN STOCK EXCHANGE. The results indicate that STOCKs in the best (worst) performing experience, a reversal of fortune in the following years.

An extensive literature going back to De Long et al. (1990) views individual investors as noise traders with low information and behavioral biases, who can move prices away from the intrinsic value. The goal of this study was to assess the interaction between individual investors and STOCK returns in the Iranian STOCK market along the following dimensions: First, the relation between the individuals’ intensive trading and the past returns was evaluated to see whether those investors were momentum or contrarian traders. Second, the predictability of subsequent short-term returns by the individual investors’ intensive trading was investigated. The individuals were found to have reacted to high past returns with more trading in the consecutive weeks. More specifically, the short-term returns of STOCKs could predict the eruption in the individuals’ intensive trading, but not necessarily their directions (buying or selling). However, contrary to some studies, no relation was found between the short-term returns and the individual investors’ intensive trading.

Capital markets are very important in economic development and financial policy makers are very interested to increase the STOCK markets atractiveness. Three critical questions in determining the attractiveness of a given STOCK market are: what factors make a STOCK market attractive from the stand point of investors? how can we evaluate the existing attractiveness degree of a given STOCK market? and how can we improve a STOCK market atractiveness conditions? This paper is aimed to answer these important questions. It also provides the results of the case study of the TEHRAN STOCK EXCHANGE ((TSE)). Using a developed questionare, distributed among financial experts and analysts of the (TSE); the collected data was analyzed. The results clearly show despite of several recent attempts, the (TSE) is not yet attractive for foreign investors and the attractiveness condition of the (TSE) is in a relatively weak condition. The paper ends with some concluding remarks.

This research, from an agency theory perspective, evaluates the influence of agency costs on the tax avoidance of firms. Because tax aggressiveness is a risky action and can cause loss of shareholders, risk averse firms do not follow such actions. However, the companies that represent high agency costs are expected to be a high degree of risk and take an aggressive approach about paying tax. Thus the level of agency costs of firms can influence their tax avoidance. The results obtained in this study, justify this statement. To empirically test of this matter, 138 companies in the period 2006 to 2014 is used. Obtained results support the positive influencing of agency cost on the tax aggressiveness. These findings contribute toward a better understanding of agency theory on the context of corporate tax aggressiveness and show how agency problems affect corporate tax approach.