نتایج جستجو برای: 1 using the daily returns of tehran stock exchange companies
تعداد نتایج: 23315227 فیلتر نتایج به سال:
nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...
This study aimed to present a model for portfolio risk premium assessment of companies listed in Tehran Stock Exchange. In order to achieve this purpose, monthly data of 150 companies listed in Tehran Stock Exchange during 2007-2017 was used. In this study, the predictive powers of FamaFrench three-factor model [11], Carhart four-factor model [1], Fama - French five-factor model [24], Brousseau...
In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly return...
In financial markets such as Tehran Stock Exchange, P/E coefficient, which is one of the most well-known instruments for evaluating stock prices in financial markets, is considered necessary for shareholders, investors, analysts and corporate executives. P/E is used as an important indicator in investment decisions. In this research, harmony search metaheuristic algorithm is used to select opti...
The importance of information in the field of stock returns predictions has promoted many researchers to follow and find the variables and the indexes which have significant relationship with stock returns. This information can be divided into two separate categories of financial and non-financial information. The final results obtained from several researches in this area confirm that both fin...
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...
in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...
abstract: advertisements are the most accessible type of authentic materials, and this is one reason why they are used more and more in english teaching classes. for this cause, studies in the field of advertisements are very widespread nowadays. for pun is one aspect which makes advertisements more interesting, it is used more than before in advertisements. use of puns makes an advertisement m...
investing on growth stocks and value stocks has represented one of the research topics on strategies creating excess return. in this paper, which focuses on companies listed in tehran stock exchange, companies are categorized into growth and value based on certain measures and then their performances are studied. in addition to individual ratios used in a large volume of researches, combined me...
The aim of this research is the analysis of management ability using accounting and corporate governance criteria and also artificial intelligence. The primary independent variables in this study include regulatory variables (characteristics of corporate governance and audit committee) and accounting variables (performance and risk criteria). We took advantage of Demirjian index to measure mana...
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