Predicting the added economic value of companies listed on the Tehran Stock Exchange using artificial neural networks

Dissertation for Master's Degree

Orientation: Accounting

Abstract:

In this article, we seek to predict and provide a solution to find the added economic value of companies admitted to the Tehran Stock Exchange market. The basis of the predictions made in this research is the information of the audited financial statements. The data used are the data between 1382 and 1387. After performing the necessary calculations, we will forecast the added economic value using regression. We make the same prediction using artificial neural networks and compare the predictions made with the reality. At the end of this research, it can be seen that the predictions made using artificial neural networks perform better than linear regression. Key words: neural network, added economic value, financial ratios. Azim between owners and managers, evaluating the performance of companies and their managers and leaders is one of the issues of interest to different strata such as creditors, government owners and even managers. Also, due to the separation of ownership from management, creating value and increasing the wealth of Samdaran is considered one of the most important goals of companies. And the increase in wealth will be achieved as a result of good knowledge. Therefore, users look for indicators to determine the extent to which the most important goal of the company is achieved. From the point of view of the shareholders, the amount of increase in wealth is important either through the increase in the price and value of the company or through cash profit. But what is more important is from the perspective of investors. Because this group is not willing to invest in high-risk companies, and therefore, if they do this, more returns will be expected for more risk. Therefore, they are also looking for an index to evaluate the performance of companies so that they can decide to invest.

Introduction

In this chapter, topics such as statement of the problem, research objectives, importance of research, assumptions, questions and so on.

2-1 Study history

Domestic research

Fadaei in investigating the inflationary effects of value added tax on different economic sectors in Iran (data-result analysis) examines the potential tax capacity of the country that there is a significant gap between the potential tax capacity and actual collections and it indicates that by taking measures to reform the tax system and eliminate existing problems, tax collections can be increased and reliance on oil revenues can be reduced. Without eliminating the problems of the tax system, this system will not be able to provide a major part of the government's expenses. In this regard, we can pay attention to the issue of (value added tax) as one of the methods of taxation, which has been used in more than 90 countries in the last three decades. The implementation of value added tax for the first time in a country will leave several economic effects, which can generally be divided into three categories: 1- Price (inflationary) effects. 2- Distributive works. 3- Income effects. This research is carried out in order to investigate the inflationary effects of the implementation of (value-added tax) on different economic sectors in Iran, so that by knowing the inflationary effects of (value-added tax) on each of the economic sectors and taking into account the effects of inflation in our country, the necessary measures can be thought out in this field. The results of this study show that out of 78 sectors of the economy, 36 sectors have weak price effects, 13 sectors have moderate price effects and 29 sectors have severe price effects (first scenario). Using the ((price model)), we can see that:

The range of inflation caused by the application of value added tax on 78 sectors of the Iranian economy varies between 0.0003% and 39.4% (second scenario). In this research, it is suggested that after applying the value added tax at the rate of 10%, the economic sectors with severe price effects (29 sectors) - the first scenario - and the sectors whose inflationary effects are greater than or equal to 10.1% (34 sectors) - the second scenario, will be exempted. Finally, it can be said that 36 sectors of the economy can definitely be subject to value added tax and 8 sectors are subject to the expected tax revenues from 36 sectors. The rate of inflation resulting from the application of value added tax at a rate of 10% in the entire economy, before exempting sectors 13.The rate of inflation resulting from the application of value added tax at a rate of 10% in the entire economy is 13.5% before the exemption of sectors and 1.2% after the exemption of sectors (Fedaei, 2019, 22) 1.

The issue of capital structure is one of the issues on which many researches and tests have been conducted so far, and theoretical researches and empirical studies are still ongoing. The theoretical discussion about the capital structure aims to reach a level of balance between the two main sources of financing, i.e., debt and equity, which can maximize the value of the company's stock at that point, and on the other hand, reduce the cost of financing sources to the minimum possible. The conducted researches have not led to a practical model to optimize the capital structure. Perhaps one of the reasons is that despite the existence of different models for measuring the structural impact of capital on company value, the superior model has not been determined. Among the company valuation criteria, the economic added value model is proposed as a new model that is more related to value creation in profit-making units. Therefore, in this research, with the premise that EVA is a suitable criterion for evaluating the performance of an economic enterprise, it is closely related to value creation, in order to measure the effect of capital structure on the value of the company, shareholders' wealth is taken into consideration. Therefore, this research tries to empirically test the relationship between economic added value and capital structure in order to answer the main research question. The hypothesis that guides us in solving the research problem is that there is a significant relationship between EVA and capital structure ratios (Sofiani, 2014, 2013).

Providing information related to added value and its components, as well as the information content of this accounting variable, has been discussed in financial and accounting circles and assemblies in the last few decades. In this research, the main goal is to investigate the informational content of value added (including economic value added and cash value added) versus accounting profit and cash from operations. Presenting a model to predict stock returns based on the above variables is also one of the other goals of this research.

For this purpose, the relationship of stock returns and changes in data related to economic value added, cash value added, accounting profit and cash from operations, for manufacturing companies admitted to the Tehran Stock Exchange since 1375 It has been tested until 1381, and in this case, econometric models are used, and in order to test the related hypotheses, multivariable regression analysis is used for the data, once in cross-sectional form and again in pooled cumulative form. The statistical software used in this research is SPSS-11 (Mashaikhi, 1383, 37)1.

Capital owners as company owners always seek to evaluate the performance of the managers of these units as their representatives in using their invested resources and in this regard they use various criteria. One of the new criteria proposed to evaluate the performance of economic added value. This criterion measures the performance results of business unit management according to the resources at their disposal. In order to determine the relationship between the efficient and productive performance of managers and the creation of real value for the company, the present research investigates the effect of efficient use of resources in creating value for companies. For this purpose, two main hypotheses were designed in this research. The first main hypothesis was that "activity or efficiency ratios in a business unit have a meaningful relationship with the added economic value created by that unit". The second main hypothesis was "the turnover ratio of total assets in a business unit has the highest correlation with the added economic value created by that unit". After testing the sub-hypotheses of the research, no significant correlation was found between any of the 4 activity ratios investigated (with the exception of the weak correlation observed between inventory turnover and EVA, which was negligible) and the calculated EVA of the companies during the study period. As a result, the first main hypothesis of this research was rejected. Also, according to the results obtained from the sub-hypotheses test of the research, the highest correlation between EVA and inventory turnover was observed, as a result of which the second main hypothesis of this research was also rejected (Haraf Amuqin, 2013, 64)2.

The purpose of conducting this research is to prioritize reward methods in connection with increasing the motivation of managers in order to increase the wealth of shareholders, so that the owners of industries can choose the best reward method and through this, the most important goal of the organization is to create Realize the added value for the owners.