Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253750 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Economics, Finance and Administrative Science [ISSN:] 2218-0648 [Volume:] 23 [Issue:] 44 [Publisher:] Emerald Publishing Limited [Place:] Bingley [Year:] 2018 [Pages:] 95-112
Publisher: 
Emerald Publishing Limited, Bingley
Abstract: 
This study aims to use gray models to predict abnormal stock returns. Design/methodology/approach Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model and the Nash nonlinear gray Bernoulli model. Findings Results show that the Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray models which predict increases, and then after checking regression models, the Bernoulli regression model is defined, which gives higher accuracy and fewer errors than the other two models. Originality/value The stock market is one of the most important markets, which is influenced by several factors. Thus, accurate and reliable techniques are necessary to help investors and consumers find detailed and exact ways to predict the stock market.
Subjects: 
Abnormal returns
Gray theory
Nash nonlinear gray Bernoulli model
Nonlinear gray Bernoulli model
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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