The Effect of Average of the Stock return, Expected Growth, Profitability and Asset Structure of Peer Firms on Investment Management Strategy Using Markov chain Monte Carlo Simulation and Hierarchical Bayes

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EBRAHIMI MOHAMMAD; VAKILIFARD HAMID REZA; TALEBNIA GHODRATOLLAH; NIKOMARAM HASHEM

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2019 | Volume:7 | Issue:2 (25) Page(s): 41-58

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Title

The Effect of Average of the Stock return, Expected Growth, Profitability and Asset Structure of Peer Firms on Investment Management Strategy Using Markov chain Monte Carlo Simulation and Hierarchical Bayes

Author(s)

EBRAHIMI MOHAMMAD | VAKILIFARD HAMID REZA | TALEBNIA GHODRATOLLAH | NIKOMARAM HASHEM | Issue Writer Certificate

Keywords

Investment management strategy Hierarchical bayesian Markov chain Monte Carlo Gibbs sampling Peer firmQ1

Abstract

Objective: In this study, we examined the effect of accounting variables and characteristics of peer firms on investment management strategy and we suppose that firm’ s financial strategies are dependent to financial strategies of peer firms. Also, financial strategies of peer firms are dependent to their accounting variables and characteristics of peer firms. Therefore there is a relation between investment management, accounting variables and characteristics pbt. Method: In order to carry out the investigation on the hierarchical model and Markov chain Monte Carlo simulation is used. The sample of this research is listed companies in Tehran Stock Exchange during the years 2009-2015. Accounting variables are included the structure of assets and average of the companies' profitability. It also characteristics of peer firms are included the average of stock return and expected growth rate. Results: The results show that the average of the peer firms' expected growth rate has a significant relationship with investment management strategy. Also the result shows that Student's t-distribution has the minimum Standard deviation.

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APA: Copy

EBRAHIMI, MOHAMMAD, VAKILIFARD, HAMID REZA, TALEBNIA, GHODRATOLLAH, & NIKOMARAM, HASHEM. (2019). The Effect of Average of the Stock return, Expected Growth, Profitability and Asset Structure of Peer Firms on Investment Management Strategy Using Markov chain Monte Carlo Simulation and Hierarchical Bayes. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 7(2 (25) ), 41-58. SID. https://sid.ir/paper/245650/en

Vancouver: Copy

EBRAHIMI MOHAMMAD, VAKILIFARD HAMID REZA, TALEBNIA GHODRATOLLAH, NIKOMARAM HASHEM. The Effect of Average of the Stock return, Expected Growth, Profitability and Asset Structure of Peer Firms on Investment Management Strategy Using Markov chain Monte Carlo Simulation and Hierarchical Bayes. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2019;7(2 (25) ):41-58. Available from: https://sid.ir/paper/245650/en

IEEE: Copy

MOHAMMAD EBRAHIMI, HAMID REZA VAKILIFARD, GHODRATOLLAH TALEBNIA, and HASHEM NIKOMARAM, “The Effect of Average of the Stock return, Expected Growth, Profitability and Asset Structure of Peer Firms on Investment Management Strategy Using Markov chain Monte Carlo Simulation and Hierarchical Bayes,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 7, no. 2 (25) , pp. 41–58, 2019, [Online]. Available: https://sid.ir/paper/245650/en

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