Absztrakt
Az autóipari vállalatok részvényárfolyamának megbízható előrejelzése kulcsfontosságú a befektetői döntéshozatalban és a pénzügyi elemzésben. Kutatásunkban az adaptív neuro-fuzzy inferencia rendszer (ANFIS) alkalmazhatóságát vizsgáltuk fundamentális pénzügyi mutatók alapján történő részvényárfolyam-előrejelzésben. A vizsgálat elsődleges célja az volt, hogy felmérjük, milyen mértékben változik az ANFIS modell előrejelzési teljesítménye, ha a szakirodalom által validált négy fundamentális mutatót (eszközarányos nyereség (ROA), saját tőke arányos nyereség (ROE), egy részvényre jutó eredmény (EPS) és árbevétel-arányos nyereség (Profit Margin – PM)) egyenként eltávolítjuk és ezzel azonosítsuk a mutatók relatív fontosságát. Módszertanunk során az ORBIS pénzügyi adatbázisból származó, 2019 és 2023 közötti 103 tőzsdén jegyzett autóipari vállalat adatát használtuk fel. Az adatok elemzésére Sugeno-típusú ANFIS modellt alakítottunk ki, amelynek teljesítményét a gyök négyzetes átlagos hiba (RMSE) és annak normalizált értéke (nRMSE) segítségével értékeltük. Az eredmények szerint a ROA eltávolítása okozta a legjelentősebb, míg a PM eltávolítása a legkisebb teljesítménycsökkenést. Következtetéseink alapján a fundamentális mutatók fontossági sorrendje: ROA, ROE, EPS és PM. Kutatásunk egyértelműen alátámasztja, hogy az ANFIS módszer hatékony eszköz a fundamentális pénzügyi elemzés és a részvényárfolyam-előrejelzés támogatásában, továbbá kiemeli az egyes mutatók szerepének eltérő jelentőségét az autóipari szektor részvényértékelésében.
Kulcsszavak: ANFIS; Neuro-Fuzzy; Fundamentális Elemzés; Autóipar; Részvényárfolyam; Pénzügyi előrejelzés
JEL-kódok: C45; C53; G11; G17
Cikk letöltése
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