Investigating the factors related to the annual abnormal return of shares in the initial public offerings of new companies in the Tehran Stock Exchange

Dissertation for Master's Degree

Tension: Accounting

Abstract:

The growth and development of any country requires the use of resources in an optimal way and directing it in the right direction. In every society, various institutions can take steps towards realizing this goal and play an effective role in this. Capital markets and their related institutions are one of the most important factors in this process. Obviously, the efficiency of this institution requires the correct decision-making of the factors in it. Every day, a large number of companies enter the capital market for the first time by issuing shares. Usually these companies grow so fast that their financial resources are not enough to provide for the development of these companies. Since financing is a very important stage in the growth of companies, it is important for these companies that their stock prices reflect their value. real assets and their investment opportunities. On the other hand, the most important active group in the capital market are potential investors, so their appropriate decisions can play a role in directing funds and their optimal allocation. In this research, the explanation of a criterion that indicates appropriate decision-making has been investigated in the conditions of Iran's capital market in the period of 2011-2017. First, the variables of the research have been identified and in order to analyze the information, from the data obtained from the new software; Excel software has been used to calculate research variables. These data were analyzed by SPSS software with the help of descriptive and inferential statistics such as correlation analysis to test the hypotheses. The following results have been obtained from the research:

According to the tests and analyzes that were done through regression and correlation, we came to the conclusion that the linear assumption of the relationship between the independent variables of stock price, the volume of stock offered, the time of stock offering in terms of general market conditions and the degree of concentration of ownership with the dependent variable of abnormal annual returns and the influence of this relationship on the type of industry is confirmed.

Introduction:

In today's competitive world, creating value and creating wealth for shareholders is one of the main goals of both investing and investing companies. The growth and development of any country requires the use of resources in an optimal way and directing it in the right direction. Investors want to increase their capital day by day and maximize it, and for this reason, they are looking for investment opportunities that will create the most wealth for them. To achieve this goal, they need tools and criteria to identify and measure the potential value of each investment opportunity. These criteria should be reliable enough, so that investors can make their decisions based on them and spend their capital in business activities. This is where the knowledge of accounting and financial management comes to the aid of investors, to help them in their decisions. At the same time, the impact of the stock exchange on the country's economic development is undeniable, and the main task of the capital market is to effectively mobilize funds and optimally allocate these resources.

This research is of the type of applied research and based on the method and nature, it is classified as correlational research, and by using simple and multivariable regression, it is used to investigate the degree of correlation between the annual abnormal return from the initial public offering, the price of shares offered, the volume of shares offered, and the time of the offer of shares. and the degree of concentration of ownership of the shares offered. The findings of the current research claim that the price of the offered shares, compared to other research variables, shows a higher correlation with the annual abnormal return in the years 1381-1387 and it is suggested to the creditors, shareholders and all capital market actors to use this criterion for decision making. The results obtained in this research are in complete agreement with the results of other researches.

Introduction

As a symbol of Iran's capital market, the stock exchange is highly influenced by changes in economic cycles.In order to maintain and increase the value of their investment portfolio, investment managers and other natural and legal persons who trade stocks and other financial assets in this market need to examine various factors affecting the investment returns of their financial assets under different economic conditions. In recent years, many companies have entered the Tehran Stock Exchange for the first time by issuing new shares. Since the resources at the disposal of these companies are not enough to take advantage of new investment opportunities, one of the basic goals of economic units to enter the capital market is to provide financing for growth and development and to achieve long-term goals. If the economic unit is large enough and has a documented history that shows that the unit can stand on its own feet and has the power to earn profit and income, the supply of shares will be much easier. In addition to that, there must be a set of management agents and the necessary information system to equip the economic unit to enter the capital market and inform potential applicants for the purchase of shares. On the other hand, if the capital market is efficient and active and has a specific and organized mechanism that can attract sufficient liquidity for the offered shares, the suppliers of new shares can easily offer their shares in the stock exchange for sale to the public; This issue is important because if the stock price increases after the initial offering, it will cause more people to accept the subsequent purchase of the company's shares, otherwise the subsequent plans to sell shares will fail. The main issue in this research is to examine the annual abnormal return of shares in the Tehran Stock Exchange; in addition, the effect of the stock price, the volume of shares offered, the time of the stock offering, the type of ownership, and the industry on the performance of the new shares will also be examined.

In this chapter, the basic questions of the research are stated, the importance and necessity of conducting this research and the goals of the above research are discussed, and the four pillars of the research conducted in this field and the research model, the method of measuring variables, research hypotheses and at the end the definition of the words and terms used will be discussed.

2-1 Statement Problem

The growth and development of any country requires the use of resources in an optimal way and directing it in the right direction. In every society, various institutions can take steps towards the realization of this goal and play an effective role in this way. Capital markets and their related institutions are one of the most important effective factors in this process. Despite the variety and number of institutions related to the capital market, the Tehran Stock Exchange is considered the most important and the main capital exchange center. Obviously, the efficiency of this institution requires the correct decision-making of the factors present in it. Every day, a large number of companies enter the capital market for the first time by issuing shares. Usually these companies grow so fast that their financial resources are not enough to provide for the development of these companies. Since financing is a very important stage in the growth of companies, it is important for these companies. that their stock prices reflect the real value of their assets and investment opportunities. On the other hand, the most important active group in the capital market are potential investors, so their appropriate decisions can play a role in directing funds and their optimal allocation. Public offering of shares is one of the most common methods of handing over public companies to the private sector. In this method, the government offers all or part of its share in the unit subject to transfer to the public in the form of shares. It is worth noting that this is usually done through the Tehran Stock Exchange (Amir Khani, 1376, p. 4)1. necessitates using resources in the best way and leading it in a right way. In any society, different organizations can do their best to achieve this goal and play an effective role in this case. Stock exchanges and the related organizations are the most important effective factors in this process. It is obvious that the effectiveness of this organization necessitates appropriate decision making by those within it