Abstract Classic asset pricing models assume that distribution of information is symmetric and suppose similar trade-off between risk and return among investors. In terms of information asymmetry that some traders have private information, investors will be faced with information risk; this is the risk of trading with informed traders. Easley et al. (2002) introduced probability of information based trade (PIN) as information risk measurement and developed a microstructure model for estimating PIN. This paper examines information risk pricing in Tehran Stock Exchange to see whether PIN can explain stock return in TSE. In the other hand we investigate relationship between firm size and probability of information based trade (PIN). Our results show that probability of information based trade (indicator of information risk) can explain stock return. A10 percent increase in PIN leads to 2.8 percent increase in stock return. Also negative relationship found between firm size and probability of information based trade (PIN).

Abstract In this thesis we considered the effects of macro-economic factors on stock returns in order to estimate the risk free rate of return. For doing so, we used monthly returns of companies from 1383-1 to 1387-12.The sample of this thesis was consist of 48 companies which were present in stock market. Then the effect of 10 macro economic factors like Import, Export, Coin price, Oil price, M1, Inflation, Exchange rate, Index, Indext-1,construction permit on monthly stock returns was estimated for 5 years. The method which was used in this research was multi-factor model Arbitrage Pricing Theory (APT) and the method used was Factor Analysis.The aim of this research was to clarify whether co-movement of stock returns was the result of macro -economic factors or not, and also to estimate the risk free rate of return.The result of this thesis showed that co-movement of stock returns was due to different effects of macro- economic factors ,for inflation and indext-1 affected Tehran stock return during these 5 years ,and the estimated risk free rate of return of investment market was more than the risk free rate of return of monetary market.

Abstract Mean-Semivariance Portfolio Optimization Using Harmony Search Method Reza Raei1, Shapoor Mohammadi2, Hedayat Alibeiki3 1- Associate Professor, Department of Management, Faculty of Management, University of Tehran, Tehran, Iran 2- Assistant Professor, Department of Management, Faculty of Management, University of Tehran, Tehran, Iran 3- M.S. student, Department of Management, Faculty of Management, University of Tehran, Tehran, Iran Received: 29 /11/2010 Accept: 9/3/2011 Academics and practitioners usually optimize portfolios using the mean-variance approach than the mean-semivariance approach. Due to the fact that semivariance is often considered a more plausible measure of risk than variance, in this paper, semivariance was measured as the main indicator of risk. The portfolio optimization problem is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. This study presents a heuristic approach to portfolio optimization problem using Harmony Search Algorithm (HS). The HS method is inspired by the underlying principles of the musicians’ improvisation of the harmony. The test data set is the daily prices of 20 companies from March 2006 to September 2008 from the TEPIX in Iran. The results showed that Harmony search approach is successful in constrained portfolio optimization to find the optimum solutions at all levels of risk and return.