Table 1 Portfolio selection criteria
Criteria | Sample Reference | Factor Analysis/PCA |
|---|---|---|
Price-to-book ratio (P/B) | Gold and Lebowitz (1999) | No |
Thakur et al. (2018) | No | |
Hilliard and Zhang (2015) | No | |
Palazzo et al. (2018) | No | |
Mohapatra and Misra (2019) | No | |
Price-to-earnings ratio (P/E) | Zargham and Sayeh (1999) | No |
Thakur et al. (2018) | No | |
Pattipeilohy and Koesrindartoto (2015) | No | |
Thakur et al. (2016) | No | |
Sharma and Mehra (2017) | No | |
Net profit margin | Huang (2012) | No |
Silva et al. (2015) | No | |
Boonjing and Boongasame (2016) | No | |
Jeong and Kim (2019) | No | |
Ece and Uludag (2017) | No | |
Systematic risk | Treynor and Black (1973) | No |
No | ||
Aliu et al. (2017) | No | |
Wang et al. (2018) | No | |
Guerard Jr et al. (2015) | No | |
Earnings per share | Hurson and Zopounidis (1997) | No |
Messaoudi et al. (2017) | No | |
Guerard Jr et al. (2015) | No | |
Thakur et al. (2018) | No | |
Vezmelai et al. (2015) | No | |
Revenue growth rate | Lim et al. (2014) | No |
Silva et al. (2015) | No | |
Najafi and Pourahmadi (2016) | No | |
Du et al. (2016) | No | |
Maier et al. (2016) | No | |
Net profit rate | Han et al. (2004) | No |
Silva et al. (2015) | No | |
Vezmelai et al. (2015) | No | |
Guo et al. (2016) | No | |
Lee and Moon (2017) | No | |
Return on asset (ROA) | Rachev et al. (2005) | No |
Mashayekhi and Omrani (2016) | No | |
Bruni et al. (2016) | No | |
Li et al. (2018) | No | |
No | ||
Market risk | Campbell et al. (2001) | No |
Davies et al. (2016) | No | |
Wang et al. (2017) | No | |
Messaoudi et al. (2017) | No | |
Shen (2015) | No | |
Financial risk | Merton (1969) | No |
Bianchi et al. (2019) | No | |
Gao et al. (2016) | No | |
Calvo et al. (2016) | No | |
Shi et al. (2018) | No | |
Earnings per share growth rate | Brown (2012) | No |
Silva et al. (2015) | No | |
Dhrymes and Guerard (2017) | Yes | |
Jothimani et al. (2017) | Yes | |
Guerard Jr et al. (2015) | No | |
Management system | Archer and Ghasemzadeh (1999) | No |
Abdollahi et al. (2015) | No | |
Costantino et al. (2015) | No | |
Kaiser et al. (2015) | No | |
Calvo et al. (2016) | No | |
Liquidity | Koo (1998) | No |
Zhao and Xiao (2016) | No | |
Zhang et al. (2016) | No | |
Qi et al. (2017) | No | |
Caccioli et al. (2016) | No | |
Company assets | Lintner (1975) | No |
Vezmelai et al. (2015) | No | |
Paiva et al. (2019) | No | |
Silva et al. (2015) | No | |
Bagheri et al. (2017) | No | |
Davies et al. (2016) | No | |
Stock turnover | Ledoit and Wolf (2003) | No |
Yang et al. (2018) | No | |
Li (2015) | No | |
Mashayekhi and Omrani (2016) | No | |
Low et al. (2016) | No | |
Semivariance | Yan et al. (2007) | No |
Seyedhosseini et al. (2016) | No | |
Barati et al. (2016) | No | |
Farahani and Amiri (2017) | No | |
Yan and Li (2009) | No | |
Interest coverage | Raei and Jahromi (2012) | No |
Varma and Kumar (2012) | No | |
Donaldson et al. (2011) | No | |
Thompson (1976) | No | |
Kazemi et al. (2014) | No | |
Sustainable growth rate | Barracchini (2004) | No |
Sullivan et al. (2006) | No | |
Lukasevicius and Lapinskaite (2014) | No | |
Cucchiella et al. (2017) | No | |
Chaudhry et al. (2014) | No | |
Negative standard deviation | Baumol (1963) | No |
Best and Grauer (2016) | No | |
Brinkmann et al. (2015) | No | |
Gardner (2019) | No | |
Zhu (2019) | No | |
Return on equity (ROE) | Hurson and Zopounidis (1997) | No |
Rakićević et al. (2019) | No | |
Škrinjarić and Šego (2019) | No | |
Witayakiattilerd (2019) | Yes | |
Gao (2019) | No | |
Positive standard deviation | Levy and Sarnat (1970) | No |
Tamiz and Azmi (2019) | No | |
Gardner (2019) | No | |
Penev et al. (2019) | No | |
Lian and Chen (2019) | No | |
Asset turnover | Bouri et al. (2002) | No |
Rakićević et al. (2019) | No | |
Gao (2019) | No | |
Chanvarasuth et al. (2019) | No | |
Jeong and Kim (2019) | No | |
Workforce | Archer and Ghasemzadeh (1999) | No |
Tavana et al. (2019) | No | |
No | ||
Hashemizadeh and Ju (2019) | No | |
Doerner et al. (2004) | No |