تبيين الگوي بهينه ارزيابي و قيمت گذاري عرضه اوليه عمومي سهام با استفاده از تكنيك هاي تصميم گيري چند معياره فازي، رگرسيون، شبكه عصبي و الگوريتم ژنتيك

Explaining the Optimal Model of Appraisal and Pricing of the Initial Pablic Offering using Fuzzy Multi-Criteria Decision Making Techniques, Multivariate Regression, Neural Network and Genetic Algorithm

ﻓﺮآﯾﻨﺪ ﻣﻬﻢ ارزﯾﺎﺑﯽ و ﻗﯿﻤﺖﮔﺬاري اوراق ﺑﻬﺎدار ﺗﺨﻤﯿﻦ ارزش اوراق ﺑﻬﺎدار از ﺟﻤﻠﻪ ﺳﻬﺎم ﻋﺮﺿﻪ اوﻟﯿﻪ ﺷﺮﮐﺖﻫﺎ اﺳﺖ. زﯾﺮا از ﯾﮏ ﺳﻮ ﺳﺮﻣﺎﯾﻪﮔﺬاران ﺑﻪ ﻣﻨﻈﻮر ﺳﺮﻣﺎﯾﻪﮔﺬاري آﮔﺎﻫﺎﻧﻪ ﻧﯿﺎز دارﻧﺪ ﮐﻪ از ارزش واﻗﻌﯽ ﺳﻬﺎﻣﯽ ﮐﻪ ﻋﻼﻗﻤﻨﺪ ﺑﻪ ﺳﺮﻣﺎﯾﻪ ﮔﺬاري در آن ﻫﺴﺘﻨﺪ، اﻃﻼع داﺷﺘﻪ ﺑﺎﺷﻨﺪ و از ﺳﻮي دﯾﮕﺮ ﺻﺎﺣﺒﺎن ﺷﺮﮐﺖﻫﺎ ﮐﻪ ﻗﺼﺪ ﻓﺮوش اوراق ﺑﻬﺎدار ﺧﻮد را دارﻧﺪ، ﻧﺎﮔﺰﯾﺮﻧﺪ ﺗﺎ داراﯾﯽ ﺧﻮد را ﺑﻪ ﺷﯿﻮه درﺳﺖ ارزﯾﺎﺑﯽ و ﻗﯿﻤﺖﮔﺬاري ﻧﻤﺎﯾﺪ. ﻟﺬا ﻫﺪف از اﻧﺠﺎم اﯾﻦ ﭘﮋوﻫﺶ ﺗﺒﯿﯿﻦ اﻟﮕﻮي ﺑﻬﯿﻨﻪ ارزﯾﺎﺑﯽ و ﻗﯿﻤﺖﮔﺬاري ﻋﺮﺿﻪ اوﻟﯿﻪ ﻋﻤﻮﻣﯽ ﺳﻬﺎم ﺷﺮﮐﺖﻫﺎي ﭘﺬﯾﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺎ اﺳﺘﻔﺎده از ﺗﮑﻨﯿﮏﻫﺎي ﺗﺼﻤﯿﻢﮔﯿﺮي ﭼﻨﺪ ﻣﻌﯿﺎره ﻓﺎزي، رﮔﺮﺳﯿﻮن ﮔﺎم ﺑﻪ ﮔﺎم، ﺷﺒﮑﻪ ﻋﺼﺒﯽ و اﻟﮕﻮرﯾﺘﻢ ژﻧﺘﯿﮏ ﻣﯽﺑﺎﺷﺪ. ﺑﻪ اﯾﻦ ﻣﻨﻈﻮر دادهﻫﺎي ﻣﺮﺑﻮط ﺑﻪ 421 ﺷﺮﮐﺖ ﺟﻤﻊآوري ﺷﺪ ﮐﻪ در ﻃﯽ ﺳﺎلﻫﺎي 1385 ﺗﺎ 1397 اﻗﺪام ﺑﻪ ﻋﺮﺿﻪ ﻋﻤﻮﻣﯽ اوﻟﯿﻪ ﺳﻬﺎم در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻧﻤﻮده ﺑﻮدﻧﺪ. ﻫﻢﭼﻨﯿﻦ ﺟﻬﺖ ﺗﺠﺰﯾﻪ و ﺗﺤﻠﯿﻞ دادهﻫﺎ از روش AHP ﻓﺎزي، رﮔﺮﺳﯿﻮن ﭘﯿﺶرو، ﺷﺒﮑﻪ ﻋﺼﺒﯽ و اﻟﮕﻮرﯾﺘﻢ ژﻧﺘﯿﮏ ﺑﻬﺮه ﮔﺮﻓﺘﻪ ﺷﺪه اﺳﺖ. ﻧﺘﺎﯾﺞ ﺗﺤﻘﯿﻖ ﻧﺸﺎن داد: اﻟﮕﻮي اﻟﮕﻮرﯾﺘﻢ ژﻧﺘﯿﮏ ﻣﺪل ﺑﻬﯿﻨﻪ ﻗﯿﻤﺖﮔﺬاري و ارزﯾﺎﺑﯽ ﺳﻬﺎم ﻋﺮﺿﻪ اوﻟﯿﻪ مي باشد

Valuation and pricing of securities the process of estimating the value of securities is one of the initial shares of companies. Because, on the one hand, investors need to know in a conscious investment that knows the true value of the stock they are interested in investing in and on the other hand, the owners of companies that are going to sell their securities have to evaluate and value their assets in a proper manner. Therefore, the purpose of this study is to explain the optimal model of evaluation and pricing of the initial public supply of shares of companies accepted in Tehran Stock Exchange using fuzzy multi-criteria decision-making techniques, stepwise regression, neural network and genetic algorithm. To this end, data on 421 companies were collected that during the years 2006 to 2018 launched a public offering of shares on the Tehran Stock Exchange. Fuzzy AHP method, forward regression, neural network and genetic algorithm are also used to analyze the data. The results of the research showed that the genetic algorithm model is the optimal pricing model and initial stock valuation.