Identification of the Factors Affecting Stored Corporate Cash in Tehran Stock Exchange: Robust Variable Selection Technique

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RAEI REZA; Fayyaz Heidari Kazem; Basakha Hamed; MOVAGHARI HADI

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Journal: FINANCIAL RESEARCH Year:2019 | Volume:21 | Issue:1 Page(s): 1-18

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Title

Identification of the Factors Affecting Stored Corporate Cash in Tehran Stock Exchange: Robust Variable Selection Technique

Author(s)

RAEI REZA | Fayyaz Heidari Kazem | Basakha Hamed | MOVAGHARI HADI | Issue Writer Certificate

Keywords

Cash HoldingsQ1

OutliersQ1

Penalty FunctionQ1

Robust RegressionQ1

Variable SelectionQ1

Abstract

Objective: Based on the existing theories, many variables may affect stored corporate cash. And on the other hand, occurrence of Outliers in financial variables is common. This affects the performance of statistical methods, especially Variable Selection based on the ordinary least squares (OLS). In this article using robust Variable Selection, the most important factors affecting stored cash by firms accepted in Tehran stock exchange (TSE) are identified. Methods: To identify the most important predictors of stored cash, we apply robust Variable Selection technique based on the SCAD Penalty Function. For this purpose, the data from 196 stock firms in the period of 2009-2011 were analyzed. Results: Findings showed that robust Variable Selection identifies variables affecting stored corporate cash which traditional regression methods such as OLS can't identify. Conclusion: Presence of Outliers in financial variables may spoil the performance of the traditional ordinary least squares (OLS) method. This problem highlights the importance of using robust techniques in empirical finance.

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APA: Copy

RAEI, REZA, Fayyaz Heidari, Kazem, Basakha, Hamed, & MOVAGHARI, HADI. (2019). Identification of the Factors Affecting Stored Corporate Cash in Tehran Stock Exchange: Robust Variable Selection Technique. FINANCIAL RESEARCH, 21(1 ), 1-18. SID. https://sid.ir/paper/91149/en

Vancouver: Copy

RAEI REZA, Fayyaz Heidari Kazem, Basakha Hamed, MOVAGHARI HADI. Identification of the Factors Affecting Stored Corporate Cash in Tehran Stock Exchange: Robust Variable Selection Technique. FINANCIAL RESEARCH[Internet]. 2019;21(1 ):1-18. Available from: https://sid.ir/paper/91149/en

IEEE: Copy

REZA RAEI, Kazem Fayyaz Heidari, Hamed Basakha, and HADI MOVAGHARI, “Identification of the Factors Affecting Stored Corporate Cash in Tehran Stock Exchange: Robust Variable Selection Technique,” FINANCIAL RESEARCH, vol. 21, no. 1 , pp. 1–18, 2019, [Online]. Available: https://sid.ir/paper/91149/en

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