Predicting the Factors Affecting on the Migration of Growth Firms with Financial Health in the Tehran Stock Exchange by Using the Random Forest Method
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFMA-6-23_006
تاریخ نمایه سازی: 10 آذر 1400
Abstract:
The purpose of this research is to investigate the factors affecting migration of growth companies with financial health in the Tehran Stock Exchange. In order to make better decisions and also to innovate, this research was conducted only on companies with financial health based on the Black, Scholes and Merton (BSM) model. The statistical population of this study is all companies listed on the Tehran Stock Exchange between ۲۰۱۲ and the end of ۲۰۱۹; therefore, all companies have been operating on the stock exchange during these years and their fiscal year ends in March, Participated in this research. After extracting the statistical sample, the researcher calculated the financial health of the statistical sample companies based on the model introduced by Black, Scholes and Merton (BSM) model, and then by using the Fama and French model, companies with growth migration were identified. Due to superiority of artificial intelligence methods over statistical linear models as well as the benefits of nonlinear methods in prediction, the present study presented a model for predicting the migration of growth stocks using nonlinear algorithm of random forests. Based on the results of the present study, it can be acknowledged that by using historical information, we can suggest factors for modeling growth migration.
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Authors
Majid Rahmanifirouzjae
Ph.D. Candidate in Finance, Tehran Central Branch, Islamic Azad University, Tehran, Iran
Zadalah Fathi
Associate Professor, PhD Tehran Centeral Branch, Islamic Azad University, Tehran, Iran
Mirfeiz Fallah Shams
Associate Professor, Ph.D. Tehran Centeral Branch, Islamic Azad University, Tehran, Iran.