رتبه‌بندی عوامل بنیادی با استفاده از ارزیابی نسبت تجمعی (ARAS) و مطلوبیت تصادفی سرمایه‌گذاران: شواهدی از بورس اوراق بهادار تهران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشجوی کارشناسی ارشد، دانشگاه صنعتی شاهرود.

2 استادیار، دانشگاه صنعتی شاهرود.

10.29252/jimp.9.2.33

چکیده

با توجه به تنوع عوامل تاثیر­گذار بر تصمیم‌­گیری­‌های مالی و ذهنی بودن ماهیت اغلب تصمیم‌گیری‌ها تنها بخشی از ویژگی‌­های آن­ها با تصمیم‌­گیری­‌های چندمعیاره مرتبط است. پژوهش حاضر با هدف رتبه­‌بندی و بررسی مطلوبیت شرکت­‌های پذیرفته شده در بورس اوراق بهادار تهران مبنی بر شاخص‌­های بنیادی در بازه زمانی سال­‌های 90 تا 96  انجام شده است. در این راستا ابتدا پس از تعیین اوزان شاخص‌­های مورد استفاده بر اساس نظر خبرگان و بهره­‌گیری از روش ارزیابی نسبت تجمعی (ARAS) شرکت­‌های مورد نظر رتبه‌­بندی و سپس مطلوبیت آن­ها بر مبنای روش رجحان تصادفی مورد بررسی قرار گرفته است. یافته‌­های پژوهش نشان می­‌دهد که باتوجه به تداخل تابع توزیع تجمعی بازده فعلی و آتی پرتفوی با رتبه بالا و رتبه پایین نمی‌­توان رجحان تصادفی مرتبه اول را تشخیص داد، اما نتایج آزمون دیویدسون برای رجحان تصادفی مراتب دوم و سوم نشان دهنده غلبه سهام با رتبه‌­بندی قوی در تمامی بازه‌­های منفی تا مثبت بازده فعلی و آتی بر پرتفوی سهام با رتبه ضعیف است. 

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