Localization of systematic risk assessment patterns Based on financial and non-financial variables

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ESLAMPOUR ALIREZA; DARABI ROYA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:10 | Issue:41 Page(s): 129-161

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Title

Localization of systematic risk assessment patterns Based on financial and non-financial variables

Author(s)

ESLAMPOUR ALIREZA | DARABI ROYA | Issue Writer Certificate

Keywords

Systematic RiskQ2

Neural NetworksQ2

Financial and Non-Financial VariablesQ1

Abstract

Financial and economic decisions are always at risk due to future uncertainties. Therefore, one way to help investors is to provide investment risk forecasting models. But as these projections are closer to reality, decisions that are based on such predictions will be more correct. The main purpose of the present experimental study is to predict Systematic Risk with emphasis on Financial and Non-Financial Variables. The statistical population of this research is the companies accepted in Tehran Stock Exchange. The data of the study consist of 552 Firm-year from 2012 to 2017. To test the hypotheses, the artificial Neural Networks approach and night worm algorithms, decision tree and regressor of backup vector machine have been used. The results of this study showed that the results obtained from the hypothesis test showed that all three of the algorithms have the power to explain Systematic Risk.

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APA: Copy

ESLAMPOUR, ALIREZA, & DARABI, ROYA. (2020). Localization of systematic risk assessment patterns Based on financial and non-financial variables. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(41 ), 129-161. SID. https://sid.ir/paper/371829/en

Vancouver: Copy

ESLAMPOUR ALIREZA, DARABI ROYA. Localization of systematic risk assessment patterns Based on financial and non-financial variables. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;10(41 ):129-161. Available from: https://sid.ir/paper/371829/en

IEEE: Copy

ALIREZA ESLAMPOUR, and ROYA DARABI, “Localization of systematic risk assessment patterns Based on financial and non-financial variables,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 41 , pp. 129–161, 2020, [Online]. Available: https://sid.ir/paper/371829/en

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