5/2/2023 0 Comments Jstock daily gain![]() Recent findings suggest that the CAPM has the ability to predict stock returns. For this purpose, a variety of models such as the single-factor model of CAPMhave been used in the literature. Stock returns have information contents and per se have encouraged most of the real and potential investors to perform financial analysis. Accordingly, this study aims to identify the behavior of stock returns in the current year in comparison to its behavior in previous year by applying the gray model. In other words, while other forecasting models such as neural models use a high volume of data, the gray model merely requires the data of previous years (Khajavi et al., 2012). The gray method is considered as one of the prediction methods that provides a relatively accurate prediction with less information. Several studies show that the nonlinear models have higher estimation power than linear the ones and these are capable of modeling the behavior of the efficiency (Abbasi and Bagheri, 2011). There has been a substantial increase in the use of nonlinear models, as compared with the linear ones, in recent literature. Expected returns in event studies are either estimated by using patterns such as pattern arbitrage in the market or easily measured as the average market return (Binder, 1998). Expected or normal return is the return on equity after excluding the expected event. These methods are usually different, depending on the expected return measure used. Practically, there are various methods for measuring the abnormal returns. Keywords Abnormal returns, Gray theory, Nash nonlinear gray Bernoulli model, Nonlinear gray Bernoulli model Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market. ![]() Originality/value The stock market is one of the most important markets, which is influenced by several factors. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model.įindings Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models. Purpose This study aims to use gray models to predict abnormal stock returns.ĭesign/methodology/approach Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. Modeling and forecasting abnormal stock returns using the nonlinear Grey Bernoulli modelġFerdowsi University of Mashhad, Mashhad, Iran
0 Comments
Leave a Reply. |