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Volume 4, Issue 14 (12-2013)

ABSTRACT Considering the major impact which changes in the real exchange rate and crude oil prices have on various sectors of Iran's economy and the importance of the financial markets role in economic growth and development, this paper aimed to investigate the effects of the changes in real exchange rate and crude oil prices on Tehran stock exchange using the Markov-Switching's nonlinear models. To this end, daily data which belonged to the following periods were used: 20:03: 2005 - 13:10:2010 The result of the estimations obtained through the Markov Switching Models indicated that MSIAH model with two regimes out of the various MS model are the most suitable ones. The result of the research showed that the changes in the exogenous variable of real exchange rate and the crude oil price have lagging positive effect on the Stock Exchange Index. Moreover, the effects of these changes with two lagging time intervals are significant and negative. The practical implications of these findings could be beneficial to the investors and policy makers who need to be aware of the exact nature of the effects which changes in the exchange rate and crude oil prices have on the stock exchange index.
Abolfazl Sadeghi Batani, Ali Souri, Ebrahim Eltejaei,
Volume 7, Issue 26 (12-2016)

The main purpose of this study, is to evaluate the effect of diversion earnings forecast and earnings realized on returns stocks in Tehran Stock Exchange. In fact, this research aims to examine the diversion of earnings resulting from the diversion of corporates managers forecasts earnings, what impact these diversion of earnings have on the returns of stock price. To achieve this, 194 companies listed in the Tehran Stock Exchange selected in the period of 2005-2013.
In this study, two groups of companies experienced the highest returns and lowest returns over the period studied, have been selected. Multi-factor model of Fama and French (1993) was used as the theoretical basis. The results indicate that forecasts of companies have experienced highest returns in comparison with lowest returns are more cautious and accurate than prediction of their future earnings. Changes in earnings realized and Tehran Stock Exchange index returns have positive and considerable relationship with stock returns as well, but these relationships for companies with highest returns are stronger than companies with lowest returns.

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