أثر حجم الشركة ورافعتها المالية في أداء المحفظة الاستثمارية المثلى – دراسة تحليلية في سوق العراق للأوراق المالية للمدة (2014-2024).

Rp- The Impact of Firm Size and Financial Leverage on The Performance of The Optimal Investment Portfolio - An Applied Study in the Iraq Stock .pdf

This study aims to measure the impact of firm-specific structural characteristics—specifically, firm size and leverage—on the performance of optimal investment portfolios in the Iraq Stock Exchange. The study used the Markowitz (1952) mean-variance optimization model to construct optimal investment portfolios. To achieve the study’s objective, the surveyed companies were divided into groups based on their size (large and small) and their level of leverage (high and low). The performance of the investment portfolio was then evaluated using four established performance indicators: the Sharpe ratio, Treynor ratio, Jensen’s alpha, and the information ratio, with a comparative analysis conducted with the sample portfolio as a reference portfolio.
The empirical analysis was based on a purposive sample of 33 companies selected from among the 82 companies listed on the Iraq Stock Exchange during the study period. These companies were selected according to two main criteria: the company’s continued trading activity throughout the study period (2014-2024); and the availability of complete financial data for the same period.
To achieve the study’s objective and test its hypotheses, a set of financial and statistical methods were employed, in addition to the Generalized Estimating Equations (GEE) model. Based on this, the study reached several conclusions, the most important of which was that large-market capitalization and low-leverage equity portfolios consistently outperformed other portfolio groups in most portfolio performance indicators. The study concluded with several recommendations, most notably the need to integrate company size and leverage as key determinants in portfolio construction.