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 .

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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:
Depositing User: MA Alam
Date Deposited: 04 Feb 2020 08:12
Last Modified: 04 May 2020 12:45
URI: http://usir.salford.ac.uk/id/eprint/56358

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