An integrated MCDM model for glamour stock selection

摘要

Stock market is full of opportunity and uncertainty, which is characterized by return and risk. Investors have to utilize their knowledge and experience to explore the available information for selecting stocks with good prospects. Investment professionals mainly utilize available financial information for making evaluation, which is often termed as fundamental analysis. Nevertheless, which financial information (variables/ criteria) should be considered and the way for analysis is still inconclusive. Furthermore, while making comparison among a group of stocks, different criteria sometime reveal inconsistent signals. To handle the complexity of financial information analysis, this study proposes an integrated method to deal with the glamour stock evaluation problem. The method is based on an examined financial model. In the first stage, the weights of criteria are obtained by DANP method, and the second stage integrates the influential weights with expert's assessment for each criterion to complete the modified TOPSIS based on influential network relation map (INRM) for making decision in improvement direction. This study provides an empirical case for 5 real stocks in the Taiwan market as example. The suggested ranking result generated high correlation with the 5 stocks' subsequent holding period returns, which indicates the usefulness of the proposed method.