The Portfolio Construction Strategy with Ratios of SVAM, P/CF and Modified P/Si Tehran Stock Exchange

Articles in Press

Document Type : Original Article

Authors

1 Assistant Prof., Department of Accounting, Lahijan Branch, Islamic Azad University, Lahijan, Iran

2 Assistant Professor of Finance Department of Management and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran

3 Department of Accounting, Shafagh Institute of Higher Education, Tonekabon, Iran

Abstract

Choosing the best strategies in the formation of the investment portfolio according to the focus of the investors to establish a balance between risk and return and achieve optimal return is one of the important research topics in capital markets. This research has selected five relative criteria for portfolio arrangement, and for this purpose, it has used the data of 100 firms of Tehran Stock Exchange in 2013 to 2022 in 10 portfolios. The evidence shows that the portfolios created with PS ratios and modified PSs had lower cumulative returns compared to the PCF portfolio. The results of the Wilcoxon test also show the presence of significant differences in some pairs of portfolios. The results of the paired T-test also show that the performance of the modified PS ratio portfolios with profit margin (MPS2) has performed better compared to the portfolios of modified PS and PS ratios with debt (MPS1). The results also showed that portfolios formed with PCF ratios and shareholder value added to market value (SVAM) perform better compared to PS portfolios and its modified versions, while portfolios formed PCF ratios do not show significant differences with SVAM ratios.

Keywords

Main Subjects

Budget and Finance Strategic Research

Articles in Press, Accepted Manuscript
Available Online from 06 May 2024

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History

  • Receive Date: 09 December 2023
  • Revise Date: 07 January 2024
  • Accept Date: 06 May 2024

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