Application of HS Meta-heuristic Algorithm in Designing a Mathematical Model for Forecasting P/E in the Panel Data Approach

Publish Year: 1397
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:

JR_AMFA-3-1_002

تاریخ نمایه سازی: 7 مهر 1400

Abstract:

In financial markets such as Tehran Stock Exchange, P/E coefficient, which is one of the most well-known instruments for evaluating stock prices in financial markets, is considered necessary for shareholders, investors, analysts and corporate executives. P/E is used as an important indicator in investment decisions. In this research, harmony search metaheuristic algorithm is used to select optimal variables affecting P/E and then, modelling is done through multivariate regression based on panel data. For this purpose, a sample of ۸۷ companies has been selected from listed companies in the Tehran Stock Exchange during a ۱۰-year period (۲۰۰۶-۲۰۱۵). The results indicate the effect of the variables of stock returns, stock price to book value ratio, price to net selling ratio, return on assets, earnings per share, market value to book value, money volume, operating return margin, return on capital, and current assets, as top ten variables, on P/E ratio, which estimates a total of ۸۶% of the P/E ratio changes.

Keywords:

Metaheuristic Algorithms , Harmony search , Forecasting price to earnings (P/E) ratio , Econometric of panel data

Authors

Mozhgan Safa

Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran.

Hossein Panahian

Department Of Accounting , Kashan Branch , Islamic Azad University , Kashan , Iran

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