PERFORMANCE EVALUATION OF 50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGE (TSE) USING THE SORTINO RITIO, EROV AND M3 MEASURE

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FALLAH SHAMS M.F.; ATAEI Y.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:2 | Issue:9 Page(s): 1-22

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Title

PERFORMANCE EVALUATION OF 50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGE (TSE) USING THE SORTINO RITIO, EROV AND M3 MEASURE

Author(s)

FALLAH SHAMS M.F. | ATAEI Y. | Issue Writer Certificate

Keywords

PORTFOLIO MANAGEMENTQ2

POST MODEM PORTFOLIO THEORYQ2

RISK-ADJUSTED PERFORMANCE EVALUATION MEASURES (EXCESS RETURN ON VARQ2

SORTINO RATIO AND M3 MEASURE)Q2

50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGEQ2

Abstract

The aim of this paper is evaluating performance of 50 active companies in Tehran stock exchange. A long research, between 2006 and 2009 were considered. Convenient sampling was the sampling method of choice in this study, thus we just selected the companies that during period their stock was actively traded on the Stock Exchange and their relevant financial information was available. In order to measure their performance, according to the POST MODEM PORTFOLIO THEORY Excess Return on VaR, Sortino Ratio and M3 Measure used test the hypothesis that through statistical tests to Independent Samples Test and ANOV A with Tukey test was performed after the Results showed that the performance 50 active companies in Tehran Stock Exchange according to the M3, SORTINO, EROV Measures average differ with each other. Of course, with significantly different performance EROV Measure was better. And Sortino Measure were in second place. Finally using the statistical test, 50 active companies of performance evaluated compared with market in the stock that any of the Measures better performance the companies against the market did not show.

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بررسی اثر ریسک نامطلوب در ارزیابی عملکرد شرکت های سرمایه گذاری پذیرفته شده در بورس اوراق بهادار تهران

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APA: Copy

FALLAH SHAMS, M.F., & ATAEI, Y.. (2012). PERFORMANCE EVALUATION OF 50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGE (TSE) USING THE SORTINO RITIO, EROV AND M3 MEASURE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(9), 1-22. SID. https://sid.ir/paper/197882/en

Vancouver: Copy

FALLAH SHAMS M.F., ATAEI Y.. PERFORMANCE EVALUATION OF 50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGE (TSE) USING THE SORTINO RITIO, EROV AND M3 MEASURE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;2(9):1-22. Available from: https://sid.ir/paper/197882/en

IEEE: Copy

M.F. FALLAH SHAMS, and Y. ATAEI, “PERFORMANCE EVALUATION OF 50 ACTIVE COMPANIES IN TEHRAN STOCK EXCHANGE (TSE) USING THE SORTINO RITIO, EROV AND M3 MEASURE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 9, pp. 1–22, 2012, [Online]. Available: https://sid.ir/paper/197882/en

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