The Prediction of Stock Returns at the Banks Listed in Tehran Stock Exchange Using Financial Ratios and Support Vector Regression

Linear and nonlinear models have always been taken into account by investors, researchers, financestudents, organizations and investment companies operating in stock markets in order to predict stockreturns. The aim of the current study is to introduce a model to improve the prediction of stock returns atthe banks listed in Tehran Stock Exchange. For this purpose, 7 financial ratios were used in a periodfrom early 2009 to late 2014. Moreover, a data-mining technique, named Support Vector Regression(SVR) and used for prediction, was employed in this study. The research results indicate that SVR canpredict stock returns at the banks listed in Tehran Stock Exchange.

کلیدواژه ها:

Prediction ، Stock Returns ، Support Vector Regression ، Financial Ratios