Document Type : Original Article
Authors
1
PhD in Agricultural Economics, Assistant Professor at Sistan and Baluchestan University (Corresponding Author)
2
PhD in Agricultural Economics, Assistant Professor at Sistan and Baluchestan University
3
MA in Energy Economics, Shahid Bahonar University of Kerman
4
PhD student in Agricultural Economics, Sistan and Baluchestan University
Abstract
Introduction: Considering the significant impact of the large holding of Social Security Investment Company on the country’s economy and regarding the fact that many joint-stock companies are owned by this holding, choosing the optimal financial ratios and predicting the impact of financial ratios and macroeconomic variables on stock returns is of paramount importance. In the present study, the effect of financial ratios and optimal macroeconomic variables on stock returns of Shasta subsidiaries was studied.
Method: The population of the study consisted of 61 subsidiaries under Shasta Investment Company from 1390 to 1396, and the data were analyzed using Stata, MATLAB and MS modeling software and genetic function approximation (GFA) algorithm and adaptive fuzzy neural network models.
Results: The results of the genetic function approximation algorithm showed that out of 18 financial ratios affecting the stock returns of Shasta subsidiaries, 6 were optimal financial ratios, among which the stock returns ration to current assets ratio (X3), inventory to working capital ratio (X11) fixed assets turnover (X14), and net profit margin (X17) had a negative correlation with stock returns of Shasta subsidiaries, but had a positive correlation with fixed assets turnover ratio (X10) and return on capital (X15). Modeling the effect of macroeconomic variables on stock returns of Shasta subsidiaries indicated that 4 out of 10 macroeconomic variables (government and free exchange rates, OPEC crude oil price, gold coin prices and the indicative profit rates) were optimal, and the optimal regression model showed that stock returns of Shasta subsidiaries had a positive correlation with the free exchange rate and OPEC crude oil price, but they were negatively correlated with gold coin prices and the indicative profit rates.
Conclusion: Based on the results, it is recommended that due to the country’s current recession, Shasta subsidiaries increase their ability to pay their obligations in the short term, and we can see the efficiency of Shasta subsidiaries’ management in earning acceptable profits for investment from the relationship between financial ratios and stock returns of Shasta subsidiaries. Regarding the results, free exchange rate and OPEC crude oil price had a positive correlation with stock returns, so it is expected that the increase in these two variables will encourage investors to buy the stocks of Shasta subsidiaries, and since gold coin prices and the indicative profit rates have a negative impact on stock returns, it is recommended that anticipating an increase in these two variables, Shasta sell its stocks.
JEL: C14, E22, C45, L74
Keywords
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