بررسي پيش‌بيني‌پذيري بازدهي و ارزيابي عملكرد استراتژي سرمايه‌گذاري با استفاده از معيار ارزش افزوده اقتصادي (EVA) در صنعت شيميايي بورس اوراق بهادار تهران

Economic Value Added , Return on Equity , Return on Capital , Investment Strategies , Company Performance eva‎luation

Investigating the Predictability of Returns and eva‎luating the Performance of the Investment Strategy Using the Economic Value Added (EVA) Criterion in the Chemical Industry of the Tehran Stock Exchange

مديريت

Financial analysts have long been interested in finding the most accurate and effective measure to eva‎luate a companyʹs financial performance and predict its future success; Because it is necessary to eva‎luate the performance of companies to ensure the optimal allocation of limited resources. Also, the performance of a company is an important factor that investors consider in investment decisions. When it comes to eva‎luating performance, metrics like Return on Equity and return on assets first come to mind as a common approach, while traditional performance accounting metrics have long been shunned due to their inability to capture the cost of capital and their inadequacy in guiding strategic decisions have been criticized. An important question that is raised in relation to criteria such as Return on Equity or Economic Value Added that eva‎luate the companyʹs performance from an accounting point of view, is whether there is a relationship between these criteria and the companyʹs performance from the perspective of return. The question that arises after this question is that if this relationship exists, can the companyʹs performance eva‎luation criterion be used from an accounting perspective as a criterion in designing an investment strategy? Considering that the Economic Value Added is considered a more comprehensive criterion in eva‎luating the performance of companies, the purpose of the current research is to design a value screening investment strategy based on the Economic Value Added as a proposed innovation and measure its effectiveness. In this way, in the design of the investment strategy, the investor is considered to review his investment portfolio every three months and determine the weight of the companies in his investment portfolio based on the companyʹs performance in the previous season. In line with this main goal, first, the relationship between stock returns and Economic Value Added and Return on Equity at the level of quarterly returns for two simultaneous and predictive states has been investigated. The statistical population under investigation is the chemical companies of Tehran Stock Exchange in two time periods from April 2011 to July 2023 and April 2011 to April 2019. The method of testing research hypotheses is Pearson correlation coefficient analysis. The next step is to compare the investment strategy based on economic value added and the screening investment strategies based on other performance criteria such as return on equity with the equal weight allocation strategy, based on return indicators, risk, Sharpe ratio and information ratio. By incorporating economic value added into the valuation process on a quarterly basis, investors can get a more up-to-date picture of a companyʹs true financial performance over time. This enables investors to make informed decisions based on the companyʹs value creation potential.

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