Comparison of Selected Performance of Portfolio Investment Companies by Using of Grey Forecasting and Johnson’s Index in Tehran Stock Exchange Market

Document Type: Research Paper

Authors

1 Department of Management, Islamic Azad University Central Tehran Branch, Tehran, Iran

2 Department of Humanities, Islamic Azad University, Sanandej Branch,

Abstract

The purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in Tehran Stock Exchange Market in the field of their portfolio management. The duration of research was between years 2009-2014. Statistical society the research is consisting of all active investment companies in in Tehran Stock Exchange Market which were 30 companies. Volume of research sample is by using of omit systematic method and also is by considering time of accepting in stock consisting of 14 companies. Data of research which are done based on compare couple and also gathered by financial ratio. Analysis process technic is used for compare couple analysis and used criteria weight determine in ash analysis. For determining company's priority based on financial ratio and weights of any of these companies; grey analysis is used. In present research all of the relations are approved by gain results. The result shows that there is no significant difference between obtained rankings by using of grey Forecasting Johnson ranking; it could be claim that there is no priority between grey forecasting and Johnson ranking. Results based on ranking of tested companies showed that criteria that used in this research were in same direction with liquidity criteria, so it is a confirmation of the fact that economic and accounting criteria could be a good and appropriate base for investors in selecting portfolio; and also that used criteria in the research is very powerful criteria for companies’ performance assessment.

Keywords


[1] Abhay P. and Karnik, A. Do Indian Stock Markets Matter? Stock Market Indice and Macroeconomic Variables,
Economic and Political Weekly, 2005, 13, P. 349-356.

[2] Ahmadpour. A, Yahyazadefar. M, Sarafraz Yazdi. M. Comparison between expected coasts with capital coast
in companies accepted in Tehran Stock. Industry science research, 2005, 19, P. 13-32

[3] Akbarpour Shirazi, M. Asadzade, A, Presenting mathematic combined model in order to determine suppliers.
third international strategic of management. 2008

[4] Aouni, B. Multi-attribute portfolio selection: New perspectives. INFOR, 2009. 47 (1), P. 1-4


[5] Asghar Zade, E. Hajzavar, F. Analysis of pre optimized of effecting ranking factors in investment decision in
accepted companies in Tehran Stock. Analysis counting magazine. 2011, 65, P. 1-18

[6] Asghari and Firoz Jaei, E. Study effects of stop trading on the flow, volatility and price discovery in Tehran, Vol. 1(2) (2016), 

[7] Azizzadeh, T. Studying role of measure of criteria in creating values for companies counting journal, years
25, 2009, P.208.

[8] Bacidore, J. M. , Boquist, J. A. , Milbourn,T. T. & Thakor, A. V. The Search for The Best Financial
Performance Measure, Financial Analysts Journal, 1997, 55,3, P.11-20.

[9] Ballestero, E. Stochastic goal programming: A mean-variance approach, European Journal of Operational
Research, 2001, 131, P. 476-481.

[10] Chang, C. H. Lin, J. J. Lin, J. H, Chiang, M. C, Domestic open-end equity mutual fund performance evaluation
using extended TOPSIS method with different distance approaches. Expert systems with applications, 2010, 37, P.4642-4649.

[11] David, K. Grey system and grey relational model. ACM SIGICE Bulletin, 1994, 20, P. 1-9.

[12] Dabaghi, A. Mallek, A. Present a method for ranking and determining organization’s vision by using of mixed
research. Industrial management. Second period, 2008, 4. P. 57-74.

[13] Dastgir, M and Hajian N., Valuation of option in investments properties by using Black Wells Model. Journal
of research and science of counting. 2011, 27. P.8-11.

[14] Dong, G. Yamaguchi, D. Nagai, M., A grey-based decision making approach to the supplier selection problem.
mathematical and computer modeling, 2006, 46, P.573-581.

[15] Edirisinghe, N C P. Zhang X. Portfolio selection under DEA-based relative financial strength indicators: case
of US industries, Journal of the Operational Research Society, 2007, 59, P. 842-856.

[16] Enrico, D. G., Reward-Risk Portfolio Selection and Stochastic Dominance, Journal of Banking and Finance,
2002, 29, P. 895-926.

[17] Eslami bidgholi, Gh, and Tehrani, R and Shirazian, Z. Analysis of relation among investment companies based
on three features, Turner, Johnson and Sharp. Financial research, 2004, 19, P. 13-21.

[18] Fahimmi Doab, R. Study factors' value on investors behavior in Mashhad stock and its interpretive with
investors behavior in Tehran stock. MA paper. Alzahra University, 2011.

[19] Hassan,M. A combination of hidden Markov model and fuzzy model for stock market forecasting.
eurocommputing, 2009, 72, P.3439-3446.

[20] Hubner, G., How do performance measures perform? portfolio selection, 2007, 33(4), P. 64-74.

[21] Huang,K.& Jane, Ch., A hybrid model for stock market forecasting and portfolio selection based on ARX,grey
system and RS theories. Expert systems withapplication, 2009, .36, P. 5387-5392.

[22] Jabarri, R, Salehi Sedghyani, J, Amiri M. Analyzing operation and selecting portfolio from investment fund of
Stock, Research in mission and its function magazine, ninth year, 1995, 1. P. 1-19.

[23] Johnson, R. & LUC, S., Indicators of Successful Companies, European Management Journal, 2003, 21, P.
364–369.

[24] Jahan khani, A. Zarif fard, A. Do managers and investors uses an appropriate criterion for measuring
companies value?. Journal of research and science, 1995, 7. P. 69-76.

[25] Jones, C.P. Investment management. Neghah Danesh publication.2011

[26] Kothari, S.P. Capital markets research in accounting, Sloan School of Management, Massachusetts Institute
of Technology, Cambridge, MA 02142, USA. 2001.

[27] Kazemi, A. Mdares, M. Mehregan, MR. Fozoni Asl, A. Forecasting effective demands of transportation by
using of Markov chain model. Optimizing energy conference. 2010.

[28] Kayacan, E., Ulutas, B.& Kayanak, O., Grey system theory-based models in time series prediction. Expert
Systems with Applications, 2010, 36, P. 1784-1789.

[29] Kroll Y. H. Levey H., Markowitz, H. Mean-variance versus direct utility maximization; Journal of Finance,
1984, P. 47- 61.

[30] Kuo, Y. Yang, T. Huang, G. The use of grey relational analysis in solving multiple attribute decision making
problems. computers & industrial engineering,2008, 55, P. 80-93.

[31] Kuo, M. S. Liang, G. S. Combining VIKOR with GRA techniques to evaluate service quality of airports under fuzzy environment. Expert systems with applications, 2011, 38, P. 1925-1933.

[32] Liu, S. Lin, Y. Grey information theory and practical applications, London, springer. 2006.

[33] Lovata, L. M. & Costigan,M. L. Empirical Analysis of Adapter Value Added, Management Accounting
Research, 2002, 13, P. 215-228.

[34] Lucey, Brian M. Dowling, M, The Role of Feeling in Investor Decision Making, Journal of Economic
Surveys, 2010, 19, P. 211-237.

[35] Markowitz, H. M.,Portfolio Selection,«Journal of Finance, 1952, 7, P. 77- 91.

[36] Makridakis, S. Andersen, A. Carbon, R. The accuracy of extrapolation (time series) method; results of a
forcasting competition. 1989, 1, P. 111-153.

[37] Markowitz, H. M. Foundation of portfolio theory, The Journal of Finance, 1991, 46, P. 469 - 477.

[38] Mohammadi, A. Determining function of supply chain vendors. University management journal. 2012, 1, P.38
51.

[39] Momeni M. New discussion in research of operation. Moualef publication. Fourth edition. 2012.

[40] Monajati Fassaei, R. Selecting portfolio by process of phase hierarchy analysis. MA paper. Tehran University.
2010, P. 25-30.

[41] Pendaraki, K, Zopounidis, C, Doumpos, M. On the construction of mutual fund portfolios: A multicriteria
methodology and an application to the Greek market of equity mutual funds. Operational research, 2005, 163,
P. 462-481.

[42] Pourhassan, F. Moradi, M. Analysis of Q ratio operation and its compare to profitability in output forecast of
salary of investors. Advance of accounting magazine, 2010, 1, P.179-198

[43] Raei and Pouyanfar. Management of advanced investment. Tehran. Samt publication. 2010.

[44] Rao, R. V. & Davim, J. P. Decision-Making Framework Models for Material Selection Using a Combined
Multiple Attribute Decision-Making Method: J. of Adv. Manufacturing Technology, 2008, 35, P. 751–760.

[45] Sang, M. Lee. & Chesser, L, D, Goal programming for portfolio selection, Journal of Portfolio Management,
6,3, 1980, P. 22-26. DOI: 10.3905/jpm.1980.408744.

[46] Shabani, A. Function of decision with multi criteria in selecting portfolio. MA paper. Economic and
Counting university. 2013.

[47] Shajari, H. Sadat Emam, S. Analysis of effective factors on invertors decision in Tehran stock. Journal of
commercials study.2012, 53.P.1-13.
[48] Sharieat panah, M. Khosravi, F. Relation between companies output and size of company, rate of official
Value to market value and rate of profit stock price in Tehran stock. Journal of accounting. 2007, 20, P. 12-
19.

[48] Sharifi S.A., Present a model in order to select capital fund in stock market by multi decision operation. 50 top
companies. MA paper. Shahid Beheshti University. 2009.

[49] Stewart, G. B. The Quest for Value: A Guide for Senior Managers, New York: Harper Business Publisher,
1991.

[50] Talangy, A. Raei, R. Management of advanced investment. Samt publish. First publication. 2004

[51] Tobin, J., Monetary policies and the economy: The transmission mechanism. Southern Economic Journal,
1978, 37, P. 421–431.

[52] Vadeii, M, Shokohi zade, M. Study effective financial criteria on decision making of investors in stock.
Knowledge of accounting journal. 2012, 3. P. 151-171.

[53] Wang, Ch. & Hsu, L. Using genetic algorithms grey theory to forecast high technology industrial output
Application Mathematics and Computation, 2008, 195, P. .256-263.

[54] Wiecek, M. Ehrgott, M. Fedal, G. Figueira. J.R. Multiple criteria decision making for engineering Omega,
2008, 36, P. 337-339.

[55] William, Sh. Gordon. J. Alexander, J. Billy. V. Investment, Analysis. Etehad publication. Tehran. 2009.

[56] William Schwert, G. Anomalies and Market Efficiency, Simon School of Business Working Paper, 2002, 2, P.
13.

[57] YahyaZade, Shams, M, Larimi,Sh. Relation of additional value and rate of profitability of additional value Vol. 1(2) (2016), market, accepted in Tehran stock. Accounting and auditing, 2010, 15. P. 113-128. 

[58] Young M. R. A minimax portfolio selection rule with linear Programming solution, Management Science,
1998, 44, P. 673-683.

[59] Zandi.M. Selecting capital fund by using of phase algorithm. MA paper. Tehran University. 2010.

[60] Nickoparvar, Yazdi, Talleb nia, M, Study effect of variables of companies financial on their turnovers in
Tehran Stock. Financial research, 2010. 29. P.79-98.