The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange
The Purpose of this research is investigating the usefulness of variables (dimension) reduction methods (selection and extraction) in stock returns of the companies listed on Tehran Stock Exchange (TSE). In this regard, through reviewing literature, 52 predictive features (variables) were specified...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2019-09-01
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| Series: | مطالعات تجربی حسابداری مالی |
| Subjects: | |
| Online Access: | https://qjma.atu.ac.ir/article_10647_b4099b5604e7e6cb3af1787d46122751.pdf |
| _version_ | 1797378297616662528 |
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| author | Mohammad Hossein Setayesh Mostafa Kazemnezhad |
| author_facet | Mohammad Hossein Setayesh Mostafa Kazemnezhad |
| author_sort | Mohammad Hossein Setayesh |
| collection | DOAJ |
| description | The Purpose of this research is investigating the usefulness of variables (dimension) reduction methods (selection and extraction) in stock returns of the companies listed on Tehran Stock Exchange (TSE). In this regard, through reviewing literature, 52 predictive features (variables) were specified as the initial features based on the popularity in the literature and the availability of the necessary data. By using variables selection (relief) and variables extraction (factor analysis) methods, optimal variables (factors) are selected or extracted from initial variables. Subsequently, the stock returns of 101 firms listed on TSE from 2004 to 2013 were predicted utilizing decision tree and linear regression. The experimental results confirmed the usefulness of variables (dimension) reduction methods in stock return prediction and better performance of relief (relative to factor analysis). Furthermore, the results indicated that decision tree outperforms the linear regression. |
| first_indexed | 2024-03-08T20:04:45Z |
| format | Article |
| id | doaj.art-1bd3661afbfe45f2b7cfda3433228e66 |
| institution | Directory Open Access Journal |
| issn | 2821-0166 2538-2519 |
| language | fas |
| last_indexed | 2024-03-08T20:04:45Z |
| publishDate | 2019-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | مطالعات تجربی حسابداری مالی |
| spelling | doaj.art-1bd3661afbfe45f2b7cfda3433228e662023-12-23T10:37:29ZfasAllameh Tabataba'i University Pressمطالعات تجربی حسابداری مالی2821-01662538-25192019-09-0116638310710.22054/qjma.2019.1064710647The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock ExchangeMohammad Hossein Setayesh0Mostafa Kazemnezhad1Ph.D in Accounting, Shiraz University, Shiraz, IranPh.D in Accounting, Shiraz University, Shiraz, IranThe Purpose of this research is investigating the usefulness of variables (dimension) reduction methods (selection and extraction) in stock returns of the companies listed on Tehran Stock Exchange (TSE). In this regard, through reviewing literature, 52 predictive features (variables) were specified as the initial features based on the popularity in the literature and the availability of the necessary data. By using variables selection (relief) and variables extraction (factor analysis) methods, optimal variables (factors) are selected or extracted from initial variables. Subsequently, the stock returns of 101 firms listed on TSE from 2004 to 2013 were predicted utilizing decision tree and linear regression. The experimental results confirmed the usefulness of variables (dimension) reduction methods in stock return prediction and better performance of relief (relative to factor analysis). Furthermore, the results indicated that decision tree outperforms the linear regression.https://qjma.atu.ac.ir/article_10647_b4099b5604e7e6cb3af1787d46122751.pdfstock return predictionvariables (dimension) reductionnonlinear regressiondecision tree |
| spellingShingle | Mohammad Hossein Setayesh Mostafa Kazemnezhad The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange مطالعات تجربی حسابداری مالی stock return prediction variables (dimension) reduction nonlinear regression decision tree |
| title | The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange |
| title_full | The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange |
| title_fullStr | The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange |
| title_full_unstemmed | The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange |
| title_short | The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange |
| title_sort | usefulness of variables dimension reduction methods in stock returns of the companies listed on tehran stock exchange |
| topic | stock return prediction variables (dimension) reduction nonlinear regression decision tree |
| url | https://qjma.atu.ac.ir/article_10647_b4099b5604e7e6cb3af1787d46122751.pdf |
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