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Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. (1397). Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence. , 11(4), 693-714. doi: 10.22059/ijms.2018.242990.672848
Azam Mohtadi; Rezvan Hejazi; Sayed Ali Hosseini; mansoor momeny. "Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence". , 11, 4, 1397, 693-714. doi: 10.22059/ijms.2018.242990.672848
Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. (1397). 'Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence', , 11(4), pp. 693-714. doi: 10.22059/ijms.2018.242990.672848
Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence. , 1397; 11(4): 693-714. doi: 10.22059/ijms.2018.242990.672848

Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence

Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
مقاله 3، دوره 11، شماره 4، بهمن 2018، صفحه 693-714    اصل مقاله (710.11 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ijms.2018.242990.672848
نویسندگان
Azam Mohtadi* 1؛ Rezvan Hejazi2؛ Sayed Ali Hosseini2؛ mansoor momeny3
11. Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran 2. Accounting, Department of Management, Economic and Accounting, Payame Noor University, Tehran, Iran
2Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran
3Industrial Management/ Faculty of Management, University of Tehran, Tehran, Iran
چکیده
This paper has provided "out of sample" evidence of stock returns predictability in Tehran Stock Exchange. 68 qualified companies over the period from 2002 to 2015 were selected and for five different "forms of returns", five superior predictive models have been designed by applying "General to specific" approach of modeling technique. Then "out of sample" analysis, based on rolling regressions, has been used to test the validation of the designed models. The result showed that all designed models have sufficient "out of sample" validity and the aggregate returns have a higher predictability level.
کلیدواژه‌ها
Returns؛ out of sample؛ Rolling Regressions؛ General to Specific
عنوان مقاله [English]
بررسی پیشبینی پذیری اشکال مختلف بازده سهام در بازار سرمایه تهران: شواهدی مبتنی بر رگرسیونهای غلطان
نویسندگان [English]
اعظم مهتدی1؛ رضوان حجازی2؛ سید علی حسینی2؛ منصور مومنی3
1گروه حسابداری/ دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا(س)، تهران، ایران و گروه حسابداری، بخش مدیریت، اقتصاد و حسابداری/ دانشگاه پیام نور، تهران، ایران.
2گروه حسابداری/ دانشکدة علوم اجتماعی و اقتصادی، دانشگاه الزهرا(س)، تهران، ایران.
3گروه مدیریت صنعتی/ دانشکده مدیریت، دانشگاه تهران، تهران، ایران.
چکیده [English]
 این مقاله شواهدی "برون نمونهای" در خصوص پیشبینی پذیریِ اشکال مختلف بازده سهام در بورس اوراق بهادار تهران ارائه میکند. ۶۸ شرکت واجد شرایط برای دوره زمانی1381 تا 1394 انتخاب و مورد بررسی قرار گرفتهاند. ابتدا با به کارگیری رویکرد "کل به جزء" از تکنیک های مدل سازی، بهترین مدل پیشبینی کنندهِ 5 شکلِ مختلف از بازده، طراحی شده و سپس با بکارگیری تحلیل های مبتنی بر رگرسیون های غلطان، اعتبارِ "برون نمونهای" مدل های طراحی شده آزمون شده است. نتایج نشان میدهد تمامی مدلهای طراحی شده، اعتبار "برون نمونهای" کافی داشته و بازدههای انباشته قابلیت پیشبینی پذیری بالاتری دارند.
کلیدواژه‌ها [English]
بازده, برون نمونهای, رگرسیونهای غلطان, رویکرد, کل به جزء
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آمار
تعداد مشاهده مقاله: 633
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