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

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار مدیریت صنعتی، دانشگاه علامه طباطبائی

2 ** دانشیار مدیریت و حسابداری، دانشگاه علامه طباطبائی

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.

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