بررسی و مقایسه موثرترین روش های انتخاب سهام در بورس اوراق بهادار تهران

Abstrac
The main porpose of this study have been comparison and methodology of Stock select ( select portfolio) in Tehran security Exchanch. The performance of methods have been include three stepes : expected return estimation, stock valuation and select portfolio. With the intention of expected return estimation we use three modeles: CAPM, Fama&French and additional rerurn method (difference return). For stock valuation we used Gordon‘s method and then of the portfolio formation(select portfolio) the decision variable were estimat and calculate for method‘s comparison. Main hypothesis ( Tow hypothesis) have been that whether are the methods of portfolio select significant separately in Tehran security Exchang. And second if the first is confirming then whether is the significant difference between methods with the view of creating future return and risk and so differente between future return with market return and free risk return. We used Time series data of monthly and seasonal and market index at time priod 1998 to 2008 for hypothesis test. The Statistical approaches for hypothesis test have been simple linear Regression, Multivariate linear Regression, pearson correlation Testes, simple scatter plot (equality of variances test), Kolomogorov-smironov test, Tukey-Kramer test and so estimating comparable variables for example: variance, semivariance, standard deviation, semistandard deviation, Coefficient variations.The reason of research show to us that the modeles have ability to perform and significantly in Tehran security Exchang. Then we tested reason by other test which it was One way – Anova Test and we monitoring difference significant of modeles. The modeles were different in five important measurl significantly.

برای مشاهده فایل های مشابه پیشنهاد می‌کنیم بررسی بورس اوراق بهادار را لطفا ببینید.

they are risk, difference future actual return to market return and expected return. Finally test of comparison three modeles by focuse to risk and return of modeles‘s portfolio and used semivariance measurl and coefficient variations measurl, evidenced to us that not only we have significant different between three modeles, but also additional return method (difference return) was more efficiency than the other modeles.
Key words:
expected return, intrinsic value,future actual return, variance, semivariance, standard deviation, Coefficient variations.

منابع لاتین
Robert Elliot and Juri Hinz , ” A method for portfolio choice”
Markowitz . Harry “portfolio selection” Journal of finance7 , 1952
Eugene F . Fama and Kenneth R. French,” Size and Book –to – Market Factors in Earnings and Returs,” Journal of Finance 50(1995):131-155
Eugene F. Fama and Kenneth R. French,”Common Risk Factors in the Returns on STOCKS AND Bonds”, Journal of Financial Economics 33 (1993):3- 56
Sharpe , William,”Portfolio Theory and Capital Markets”. (New York MC Craw – Hill, 1910)
Eugene F.Fama and Kenneth R.French,(2004), ” The Capital Asset Pricing Model : Theory and Evidence”,http://www.ssrn.com
Gibbons.M , Ross.S and J.Shanken ,(1989),”A Test of the Efficincy of a Given Portfolio”, Econometrical,No.57,PP.1121-1152
Eugene F.Fama and Kenneth R.French,(1992),”The Cross-Section of Expected STOCK Returns”, journal of Finance,2.
Roll.Richard,”A Critique of the Assets Pricing Theory”,journal of Finantial Economics,4,No2(March1977)
Black . F , M.C.Jensen and M. Scholes ,(1972) , “The Capital Asset Pricing Model: some Empirical Tests ” , in : Jensen , ed . studies in the theory of capitalmarkets(praeger,NewYork.NY).
Ron Kaniel , Shuming Liu , Gideon Saar and Sheridan Titman,”Individual Investor Trading and Return Patterns around Earnings Announcements”,version:March2011
Eugene F.Fama and Kenneth R.French,”The value premium and the CAPM”,
(may2005) , “, http://www.ssrn.com
Eugene F.Fama and Kenneth R.French,”The Anatomy of value and Growth stock Returns”,(August2007), http://www.ssrn.com
Harry Markowitz , Jun Liu and oder frends,”Does Noise Create the size and value Effects ?”,(march15,2007), http://www.ssrn.com