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
 
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