A Suggested Model to improve ESE investment performance by using Artificial Neural Net Work (ANN): A practical study on the Egyptian Listed companies on the Egyptian Stock Exchange

Abstract

Recently, More attention has been paid to the stock market investments.

Researchers addressed different issues regarding securities market efficacy,

and related aspects of investment portfolio management effectiveness to meet

investor expectation.However, using appropriate securities selection model is

considered one of the investment improvement criteria to improve investment

performance.Accordingly, different models have been developed by many

researchers sharing the same objective, but using different assumption

regarding the variable comprising stock value.

This paper addressed a suggested model, that can be used to improve

ESE investment performance, by using Artificial Neural Net Work (ANN)

technique, and the fundamental analysis approach which believes that the

price and the intrinsic value are different.This will create the chance to

achieve abnormal returns when the investor makes the right investment

decision to buy, sell, or hold.

The sample selected includes (50) companies, the characteristics with

the most active transactions during the period [2001- 2009], ANN technique

was adopted for this study, Key conclusion remarks include:

1. Demonstrate of the Proposed Model Return and Other securities selection

modals Return.

2. There is a significant direct relation between the development of securities

selection model and improving the investment performance.

3. There are statistical differences between the proposed model return and

other securities selection modals return.

4. The suggested model was tested in term of its application.

The conclusion of this study is that no perfect model can be sited.

Each suggested model has its own assumption and accordingly has own

limitation.