The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange

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SETAYESH MOHAMMAD HOSSEIN; KAZEMNEZHAD MOSTAFA

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Paper Information

Journal: JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL Year:2019 | Volume:16 | Issue:63 Page(s): 83-107

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Title

The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange

Author(s)

SETAYESH MOHAMMAD HOSSEIN | KAZEMNEZHAD MOSTAFA | Issue Writer Certificate

Keywords

Stock Return PredictionQ1

Variables (Dimension) ReductionQ1

Nonlinear RegressionQ2

Decision treeQ2

Abstract

The Purpose of this research is investigating the usefulness of variables (dimension) reduction methods (selection and extraction) in stock returns of the companies listed on Tehran Stock Exchange (TSE). In this regard, through reviewing literature, 52 predictive features (variables) were specified as the initial features based on the popularity in the literature and the availability of the necessary data. By using variables selection (relief) and variables extraction (factor analysis) methods, optimal variables (factors) are selected or extracted from initial variables. Subsequently, the stock returns of 101 firms listed on TSE from 2004 to 2013 were predicted utilizing Decision tree and linear regression. The experimental results confirmed the usefulness of variables (dimension) reduction methods in Stock Return Prediction and better performance of relief (relative to factor analysis). Furthermore, the results indicated that Decision tree outperforms the linear regression.

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APA: Copy

SETAYESH, MOHAMMAD HOSSEIN, & KAZEMNEZHAD, MOSTAFA. (2019). The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, 16(63 ), 83-107. SID. https://sid.ir/paper/387348/en

Vancouver: Copy

SETAYESH MOHAMMAD HOSSEIN, KAZEMNEZHAD MOSTAFA. The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL[Internet]. 2019;16(63 ):83-107. Available from: https://sid.ir/paper/387348/en

IEEE: Copy

MOHAMMAD HOSSEIN SETAYESH, and MOSTAFA KAZEMNEZHAD, “The Usefulness of Variables (Dimension) Reduction Methods in Stock Returns of the Companies Listed on Tehran Stock Exchange,” JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, vol. 16, no. 63 , pp. 83–107, 2019, [Online]. Available: https://sid.ir/paper/387348/en

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