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.

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. 

کلیدواژه‌ها

عنوان مقاله [English]

Fundamentals Rating Based on the Additive Ratio Assessment (ARAS) and Stochastic Utility of Investors: Evidences from Tehran Stock Exchange

نویسندگان [English]

  • Fatemeh Bayazidi 1
  • Abdolmajid Abdolbaghi Ataabadi 2
  • Mohammad Fattahi 2
1 M.A. Student, Shahrood University of Technology.
2 Assistant Professor, Shahrood University of Technology.
چکیده [English]

Given the variety of factors influencing on financial decision making and subjective nature of the most decisions is only part of their features associated with Multi-Criteria Decision Making. The aim of study is the rating of companies at TSE based on fundamental analysis and the appraisal of investor’s utility during the period of 1390 to 1396 years. So first, after determining the weights of indicators used based on the opinion the experts and using the ARAS method, the companies have been ranked and then their utility basis on stochastic dominance method have been investigated. The findings of research show that the first-order stochastic dominance cannot be identified. However the result ofThe Davidson test for the stochastic dominance of the second and third order indicate that the high-rating stocks has dominance to low-rating stocks. 

کلیدواژه‌ها [English]

  • Fundamental Analysis
  • Additive Ratio Assessment (ARAS)
  • Rating
  • Stochastic Dominance
  • Utility

مراجع

 
1. Abdolbaghi, A., Hamidizadeh, M., Badri, A., Arabmazar, M. (2013). Stochastic Dominance Based on Value Premium and investors Risk aversion Behavior at TSE. Asset Management and Financing, 1(1), 45-62 (In Persian).
2- Abdolbaghi, A., badri, A. (2015). Behavioral Preferences of Investors in Reaction to the Fundamental Variables Based on Sochastic Dominance. Asset Management and Financing, 3(1), 23-40 (In Persian).
3-Aynali, S. (2011). Financing Securities Trading. First Edition, Tehran: Negahe-Danesh (In ersian).
4- Baležentis, A., Štreimikienė, D. (2013). Integrated sustainability index: the case study of Lithuania, Intel­lectual Economics, 7(3), 289–303.
5- Brickley, j. (1983).shareholder wealth, information signaling and the specialy desingnted dividend : An empirical study. Journal of financial economic, 12 (2), 187-209.
6- Charles P. Jones. (2005).Investments Analysis and Management, Translate and Adapted by Reza tehrani and Asghar Noorbakhsh. Tehran: Negahe-Danesh (In Persian).
7- Dadelo, S., Turskis, Z., Zavadskas, E. K., and Dadeliene, R. (2012). Multiple criteria assessment of elite se­curity personal on the basis of ARAS and expert methods, Economic Computation and Economic Cybernetics Studies and Research, 46(4),65–88.
8- Davidson, R., Duclos, J.-Y., (2000). Statistical inference for stochastic dominance and for the measurement of poverty and inequality. Econometrica, 68, 1435–1464.
9- Ecer. F. (2018). An integrated Fuzzy AHP and ARAS model to evaluate mobile banking services. Technological and Economic Development of Economy, 24(2), 670–695. doi.org/10.3846/20294913.2016.1255275.
10- Friedman, M., Savage, L.J., (1948). The utility analysis of choices involving risk. Journal of Political Economy, 56, 279– 304.
11- Fong, W., Lean, H and Wong, W., (2008).Stochastic dominance and behavior towarrs risk: the market for Internet stocks. Economic Behavior & Organization. PP. 142-157.
12- Ghanaii, K.; Afshar, H. (2017). The Impact of Investment Strategies and Volume of Investment on Dividend Policy. Conference on Accounting and Management and Economics with a Dynamic Approach to the National Economy, (In Persian).
13- Ghodratian Kashan, A.; Anvary Rostamy, A.S. (2004). Designing a Comprehensive Model to Evaluate Performance and Rank of a Company.  Modares, 8(20), 109-135 (In Persian)
14- Golriz, Rahnama, (2011). Rating  of Companies Listed in Tehran Stock Exchange Using Fundamental Analysis and Trading Schedule by Technical Analysis, Master's thesis, University of Science and Culture, Supervisor Alireza Alinejad, (In Persian).
15- Gonzalo, Jesus and Olmo, Jose.  (2013). Conditional Stochastic Dominance Tests in Dynamic Settings, University of Southampton, < http://www.eco.uc3m.es>.
16- KHodamoradi, S., Bashiri, M., & Reisi, H. (2015). The Two-Stage Approach for Stock Selection and Portfolio Composition . Financial knowledge of Securities Analysis, 26(8), 31- 46 (In Persian).
17- Kutut, V.; Zavadskas, E. K.; Lazauskas, M. (2013). Assessment of priority options for preservation of historic city centre buildings using MCDM (ARAS), Procedia Engineering, 57: 657–661.  https://doi.org/10.1016/j.proeng.2013.04.083
18- Malek Akhlagh, E., Ramazanian, M.R., Rafiee Omam, F. (2012). Idenntifing and Categorizing Success Factors of E_Banking with Integarating Approach o Three Methods. Journal of Industrial Management Perspective, 2(3), 71-86(In Persian).
19- Mohammadi, A., khalife, M., Moeini, M. (2016). Stock Selection Using Fuzzy Demetel Technique and Markov Chain Process Predicting Stock Future, Journal of Financial Engineering and Securities Management, 7( 26).123-142(In Persian)
20- Nader, D., Mehr dost, K. (2016). Stock Selection Using TOPSIS and Linear Approaches (Cement Companies Listed in Tehran Stock Exchange).First National Conference on Engineering Management, (In Persian)
21- Norian, S.; Rajabi, M.; (2017). Experts Ranking Criteria on Stock Selection in Isfahan Stock Exchange Based on ANP Network Analysis Model. International Conference on Business Management and Accounting, (In Persian)
22- Rezaei Pandari, A ., Dehghan Nayeri, M.; & KHakbiz. M. (2017). Selection and Solveing it with Genetic Algorithms. Journal of Industrial Management Perspective, 25(7), 173-196 (In Persian)
23-Safaei Ghadikolaei,A.,  Khalili Esbouei, S., Antucheviciene J., Antucheviciene, et al., (2014).  Applying fuzzy MCDM for financial performance evaluation of Iranian companies. Technol. Econ. Dev. Econ. 20, 274–291. doi:10.3846/20294913.2014.913274. (In Persian).
24- Sharifi Salim, A.; Motameni, A. (2012). Propounding a Model for Portfolio Selection in Stock Exchange by Using of MCDM (Case Study: 50 Better Companies). Journal of Industrial Management Perspective, 2(1), 73-89. (In Persian).
25- Sureshkumar, K. K., & Elango, N. M. (2011). An efficient approach to forecast Indian stock market price and their performance analysis. International Journal ofComputer Application, 34(5), 44-49.
26- Venkatesh, C. K., & Tyagi, M. (2011). Fundamental analysis as a method of share valuation in comparison with technical analysis. Bangladesh Research Publications Journal, 5(3), 167-174.
27- Venkatesh, C. K. (2012). Fundamental analysis as a method of share valuation in comparison with technical analysis. International Journal of Applied Financial Management Perspectives, 1(1), 79-81.
28- Young, M. G. (2010). The complete guide to selling stocks short: Everything you need to know explained simply. Florida: Atlantic publishing group.
29- Zavadskas E. K.; Turskis Z. (2010). A new additive ratio assessment (ARAS) method in multicriteria decision‐making, Technological and Economic Development of Economy 16(2), 159–172.  https://doi.org/10.3846/tede.2010.10
30- Zavadskas, E. K.; Turskis, Z.; Vilutiene, T.( 2010). Multiple criteria analysis of foundation instalment al­ternatives by applying Additive Ratio Assessment (ARAS) method, Archives of Civil and Mechanical Engineering 10(3), 123–141.

فایل ها

هم رسانی

ارجاع به این مقاله

آمار