Evaluating the performances of over-the-counter companies in developing countries using a stochastic dominance criterion and a PSO-ANN hybrid optimization model

Nasseri, A, Jamshidi, S, Yazdifar, H, Percy, DF ORCID: https://orcid.org/0000-0002-2733-3855 and Alam, MA ORCID: https://orcid.org/0000-0002-8260-235X 2020, 'Evaluating the performances of over-the-counter companies in developing countries using a stochastic dominance criterion and a PSO-ANN hybrid optimization model' , Journal of Applied Accounting Research, 21 (3) , pp. 563-582.

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Abstract

With suitable optimization criteria, hybrid models have proven to be efficient for preparing portfolios in capital markets of developed countries. This study adapts and investigates these methods for a developing country, so providing a novel approach to the application of banking and finance. Our specific objectives are to employ a stochastic dominance criterion to evaluate the performances of over-the-counter (OTC) companies in a developing country and to analyse them with a hybrid model involving particle swarm optimization and artificial neural networks.
In order to achieve these aims, we conduct a case study of OTC companies in Iran. Weekly and daily returns of 36 companies listed in this market are calculated for one year during 2014-2015. The hybrid model is particularly interesting and our results identify first, second and third-order stochastic dominances among these companies. Our chosen model uses the best performing combination of activation functions in our analysis, corresponding to TPT where T represents hyperbolic tangent transfers and P represents linear transfers.
Our portfolios are based on the shares of companies ranked with respect to the stochastic dominance criterion. Considering the minimum and maximum numbers of shares to be 2 and 10 for each portfolio, an eight-share portfolio is determined to be optimal. Compared with the index of Iran OTC during the research period of this study, our selected portfolio achieves a significantly better performance. Moreover, the methods used in this analysis are shown to be as efficient as they were in the capital markets of developed countries.

Item Type:	Article
Schools:	Schools > Salford Business School
Journal or Publication Title:	Journal of Applied Accounting Research
Publisher:	Emerald
ISSN:	0967-5426
Related URLs:	Publication
Depositing User:	A Alam
Date Deposited:	04 Feb 2020 08:12
Last Modified:	16 Feb 2022 03:58
URI:	https://usir.salford.ac.uk/id/eprint/56358

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