Comparing the superiority of Glomar stock using multi-criteria decision-making models, Taxonomy and PROMETHEE

Subject Areas : Journal of Investment Knowledge

farzaneh hashemloo ¹ , hashem nikoumaram ² , taghi torabi ³

1 - Financial management- faculty of economics and management - Science and Research Branch Islamic Azad University- Tehran- Iran
2 - Professor, Department of Financial Management, science and research branch, Islamic Azad University, Tehran, Iran
3 - department of financial management- faculty of economics and management- science and research branch-- Islamic azad university- Tehran-- Iran

Received: 2019-05-14 Accepted : 2019-07-08 Published : 2021-06-22

Keywords: Financial Ratios, Promethee, Shannon Entropy, taxonomy, Factor analysis,

Abstract :

The distribution of capital market resources depends on the presence of market participants, and the main issue we are facing is the decision to allocate resources, the selection of suitable securities for investment, and the formation of optimal stock portfolios. The development of new techniques in operational research and financial science, along with advances in computer science and technology, has led to the emergence of models, including multi-criteria decision-making models for selecting stock portfolios.Based on the fundamental analysis of stock valuation, 18 financial ratios in 6 groups of profitability, liquidity, activity, leverage, market value, and ownership were used to evaluate 30 companies during 2011-2017. Two methods, Taxonomy and PROMETHEE, is done to rank the sample shares and compare the result. The results showed that the ranking of the Shannon- PROMETHEE entropy model in comparison with the taxonomic-factor analysis models has a better prediction of stock returns.

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