Investigating the Size and Value Effect in Determining Performance of Australian Listed Companies: A Neural Network Approach
نویسندگان
چکیده
This paper explores the size and value effect in influencing performance of individual companies using backpropagation neural networks. According to existing theory, companies with small market capitalization and high book to market ratios have a tendency to perform better in the future. Data from over 300 Australian Stock Exchange listed companies between 2000–2004 is examined and a neural network is trained to predict company performance based on market capitalization, book to market ratio, beta and standard deviation. Evidence for the value effect was found over longer time periods but there was less for the size effect. Poor company performance was also observed to be correlated with high risk.
منابع مشابه
An Adaptive Fuzzy Neural Network Model for Bankruptcy Prediction of Listed Companies on the Tehran Stock Exchange
Nowadays, prediction of corporate bankruptcy is one of the most important issues which have received great attentions among academia and practitioners. Although several studies have been accomplished in the field of bankruptcy prediction, less attention has been devoted for proposing a systematic approach based on fuzzy neural networks. The present study proposes fuzzy neural networks to predi...
متن کاملProviding a Model for Detecting Tax Fraud Based on the Personality Types of Corporate Financial Managers using the Neural Network Approach
One of the management measures to reduce tax liabilities is non-payment of taxes through tax fraud. Because personality factors may play a role in explaining tax ethics, examining personality traits and aspects of tax fraud can help to better understand the factors that influence tax decisions. The main purpose of this study is to provide a model for detecting tax fraud based on the personality...
متن کاملP/E Modeling and Prediction of Firms Listed on the Tehran Stock Exchange; a New Approach to Harmony Search Algorithm and Neural Network Hybridization
Investors and other contributors to stock exchange need a variety of tools, measures, and information in order to make decisions. One of the most common tools and criteria of decision makers is price-to earnings per share ratio. As a result, investors are in pursuit of ways to have a better assessment and forecast of price and dividends and get the highest returns on their investment. Previous ...
متن کاملInvestigating the Effect of Information on Conservatism in Financial Statements of Accepted Companies in the Tehran Stocks' Exchange
Information asymmetry is a negative event that gives manager incentives to use his private information to attempt transferring wealth from investors by overstating financial performance and consequently, stock prices during his tenure at the firm. The manipulations generate agency costs. Conservative reporting is a mechanism that reduces the managers’ ability to manipulate and overstate financi...
متن کاملInvestigating the effect of volume shock on abnormal stock returns of companies listed on the Tehran Stock Exchange
The aim of this study was to investigate the effect of volume shock on abnormal stock returns. In terms of research method, this research is in the category of descriptive-correlational research and in terms of research purpose, it is in the category of applied research. The statistical population in this study is all companies listed on the stock exchange that 120 companies were selected as a ...
متن کامل