ارزیابی مدل‌های درخت تصمیم در پیش‌بینی عملکرد مالی شرکت‌های بورس اوراق بهادار تهران

ایمان رئیسی وانانی, قاسم بولو, شهره زرکش

چکیده


     نسبت‌های مالی همواره یکی از منابع قوی در ارزیابی عملکرد مالی شرکت‌های بورس اوراق بهادار تهران است. یکی از روش­های پیش­بینی عملکرد استفاده از الگوریتم­های داده­کاوی است. در این پژوهش، چهار مدل درخت تصمیم به­منظور ارزیابی عملکرد، پیاده‌سازی و مدل‌ها با معیار‌های ارزیابی مقایسه شدند. بدین منظور نمونه‌ای متشکل 21 نسبت در 534 شرکت پذیرفته­شده در بورس اوراق بهادار تهران در فاصله بین سال‌های 1390 تا 1393 به­عنوان متغیرهای مستقل و دو نسبت بازده دارایی‌ها و بازده حقوق صاحبان سهام به­عنوان متغیرهای وابسته انتخاب شده است. نتایج تحقیق حاکی از آن است که بین دو متغیر بازده دارایی‌ها و بازده حقوق صاحبان سهام، بازده حقوق صاحبان سهام از لحاظ ارزیابی‌های به­دست­آمده از صحت بالاتری برخوردار است و در بین چهار درخت تصمیم سی فایو از بهترین شاخصه‌های ارزیابی برخوردار بود.


واژگان کلیدی


ارزیابی عملکرد مالی؛ درخت تصمیم؛ داده کاوی

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