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Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. (1397). Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence. , 11(4), 693-714. doi: 10.22059/ijms.2018.242990.672848
Azam Mohtadi; Rezvan Hejazi; Sayed Ali Hosseini; mansoor momeny. "Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence". , 11, 4, 1397, 693-714. doi: 10.22059/ijms.2018.242990.672848
Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. (1397). 'Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence', , 11(4), pp. 693-714. doi: 10.22059/ijms.2018.242990.672848
Mohtadi, Azam, Hejazi, Rezvan, Hosseini, Sayed Ali, momeny, mansoor. Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence. , 1397; 11(4): 693-714. doi: 10.22059/ijms.2018.242990.672848

Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence

Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
مقاله 3، دوره 11، شماره 4، بهمن 2018، صفحه 693-714    اصل مقاله (710.11 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ijms.2018.242990.672848
نویسندگان
Azam Mohtadi* 1؛ Rezvan Hejazi2؛ Sayed Ali Hosseini2؛ mansoor momeny3
11. Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran 2. Accounting, Department of Management, Economic and Accounting, Payame Noor University, Tehran, Iran
2Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran
3Industrial Management/ Faculty of Management, University of Tehran, Tehran, Iran
چکیده
This paper has provided "out of sample" evidence of stock returns predictability in Tehran Stock Exchange. 68 qualified companies over the period from 2002 to 2015 were selected and for five different "forms of returns", five superior predictive models have been designed by applying "General to specific" approach of modeling technique. Then "out of sample" analysis, based on rolling regressions, has been used to test the validation of the designed models. The result showed that all designed models have sufficient "out of sample" validity and the aggregate returns have a higher predictability level.
کلیدواژه‌ها
Returns؛ out of sample؛ Rolling Regressions؛ General to Specific
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