Design the model for Glomar Stock Selection in the Tehran Securities Exchange

Subject Areas : Journal of Investment Knowledge

farzaneh hashemloo ¹ (Farzaneh Hashemloo Ph.D. student, Department of Financial Management, science and research branch, Islamic Azad University, Tehran, Iran)
hashem nikoumaram ² (Professor, Department of Financial Management, science and research branch, Islamic Azad University, Tehran, Iran)
taghi torabi ³ (Associate Professor, Department of Financial Management, science and research branch, Islamic Azad University, Tehran, Iran)

Received: 2019-01-06 Accepted : 2019-05-14 Published : 2020-12-21

Keywords: Stock Selection, Factor analysis, taxonomy,

Abstract :

The main purpose of this research is to use the Factor Analysis-Taxonomy method to select the best stock from listed companies in Tehran Stock Exchange. Portfolio Selection is one of the most important issues in the field of finance and there are some models for optimal selection. One of the problems of the presented models is to ignore the multiple indexes and dimensions, and to not identify the reasons for the rejection or acceptance of a company in the selection of stocks.In this research, to solve these shortcomings, a taxonomy method, which is a multi-criteria decision-making method, is used. The results showed that 6% of the selected companies, the first priority shares, 68% of the shares with the second priority and 16% of the shares with the third priority and ultimately 10% of the shares with the fourth priority are considered. Finally, the analysis of the findings showed that the stocks with the higher priorities presented by the model only in some years had better performance.

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