A Data Model for Processing Financial Market and News Data in Electronic Financial System for Investors with Non- Financial Expertises: The Case of Saudi Arabia

Abdulaziz Adel Aldaarmi, Maysam Abbod

Abstract


In this paper, prediction model consists of two parts is presented. The first is three factors of the Fama and French model (FF) at the micro level to forecasting the return of the portfolios in Saudi Arabia Stock Exchange (SASE) and the second is Value Based Management (VBM) model of decision-making on the basis of expectations of shareholders and portfolio investors to take the investment decision and the behaviour of stoke price using an accurate modern technique in forecasting Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of Saudi Arabia Stock Exchange from January 2007 to December 2011. The results from this study indicate that ANN technique can be used in predicting the stock portfolios returns, the investment decision and the behaviour of stoke price.


Keywords


Fama and French Model (FF); Artificial Neural Networks (ANN) and Value Based Management (VBM)

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