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Determination Stock Investment Strategies Of Listed Companies In Iran Using Data Mining Techniques

Author

Listed:
  • Hamide Ramezani Aval Riabe

    (Islamic Azad University, Mashhad, Iran)

  • Mohammad Hossin Vadeei

    (Associate Professor, Department of Accounting Ferdowsi University of Mashhad, Iran)

  • Mehrdad Jalali

    (Assistant Professor, Faculty of Engineering, Mashhad Branch Islamic Azad University, Mashhad, Iran)

Abstract

Investment can be considered as a one of the fundamental pillars of national economy. The single and most important reason is to earn returns on investment. At the present time, many investors look to find a criterion for comparison stock together and selecting the best. The investors try in choosing the type of strategy, to choose strategies that maximize the earning value of the investment process. The current study aims to forecasting stock returns using data mining techniques and determinat return rate of value or growth stocks of listed companies in Tehran Stock Exchange during 2005-2010. The results indicate that the developed model has appointed the investment companies with high accuracy and portfolio value in some years and growth portfolio in some other years has a higher rate of return. It is clear that if it is used hybrid model, rates of return can be increased and the approach presented in this paper is flexible and strong.

Suggested Citation

  • Hamide Ramezani Aval Riabe & Mohammad Hossin Vadeei & Mehrdad Jalali, 2012. "Determination Stock Investment Strategies Of Listed Companies In Iran Using Data Mining Techniques," Far East Journal of Psychology and Business, Far East Research Centre, vol. 8(2), pages 12-26, September.
    • Handle: RePEc:fej:articl:v:8c:y:2012:i:2:p:12-26
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    References listed on IDEAS

    as
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    2. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. "Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
    3. Doron Avramov, 2004. "Stock Return Predictability and Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 699-738.
    4. Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1992. "The Structure and Performance of the Money Management Industry," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1992 Micr), pages 339-391.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Investment Strategy; Decision Trees; Clustering; SVM; Discriminant Analysis.;
    All these keywords.

    JEL classification:

    • M1 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration

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