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iThe effects of international integration on cost of equity: Application of Turkey's tourism sector

Bu çalışmada, Borsa İstanbulda işlem gören ve turizm sektöründe faaliyet gösteren firmalarınözsermaye maliyetlerini, Sermaye Varlıklarını Fiyatlama Modelini (SVFM) temel alan yöntemler kullanılarakhesaplanmıştır. Yerel piyasaya ait veriler kullanılarak elde edilen sonuçlar uluslararası veriler kullanılarak eldeedilen sonuçlar ile karşılaştırılmıştır. Böylece uluslararası finansal piyasalara entegrasyonun özsermayemaliyeti üzerindeki etkisi ölçülmüştür.Firmaların özsermaye maliyetlerinin bulunmasında Tek Faktörlü Lokal / Global SVFM, Çok FaktörlüGlobal SVFM, BekaertHarvey Karışım Modeli, Goldman Modeli, HarveyViskanta Modeli, DamadoranModeli, Ibbotsan Modeli, CSFB Modeli ve ErbHarveyViskanta Modeli kullanılmıştır. Tüm modeller için tekbir zaman noktasında özsermaye maliyeti hesaplanmış ve ayrıca Global SVFM ve BekaertHarvey KarışımModeli için zaman içinde değişen özsermaye maliyeti hesaplanmıştır. Kullanılan tüm veriler Haziran 2008 Haziran 2013 tarih aralığını kapsamaktadır.Elde edilen sonuçlar öncelikle Lokal modellerin ülkemiz için geçerli olmadığını göstermektedir. Globalmodeller arasında uluslar arası entegrasyon derecesini hesaba katan modellerin diğer modellerde n dahagerçekçi sonuçlar elde etmeyi sağladığı görülmektedir. Sonuç olarak özermayenin zaman içindeki değişiminibulmayı sağlayan Bekaert Harvey Karışım Modelinin ülkemiz için en uygun model olduğu bulgusunaulaşılmıştır.

Uluslararası entegrasyonun özsermaye maliyeti üzerindeki etkileri: Turizm sektörü

In this paper, the cost of equities of the companies listed in the BISTTRZM index in BORSAİSTANBULwere computed by using models which are based on the Capital Asset Pricing Model (CAPM). The results ofmodels using local data were compared with the results of models using global data. Thus the effect of Turkey sintegration of international capital market on the cost of equity was measured.Local and Global Capital Asset Pricing Model (CAPM), Multifactor Global CAPM, BekaertHarveyMixture Model, Goldman Model, HarveyViskanta Model, Damadoran Model, Ibbotson Model, CSFB Modeland ErbHarveyViskanta Model were used to compute the firms cost of equity. First, the cost of equity of allfirms was computed at only one time point and also was computed for time varying cost of equity but only usingthe Global CAPM and BekaertHarvey Mixture Model. All data used includes June 2008June 2013. First, the results that we have reached show that Local Models cannot be used for Turkey. It seems thatthe models which take into account the market s integration level produce more realistic results than others.Finally, it was found that the Bekaert Harvey Mixture Model which provides the time varying effect on cost ofequity is the best model for Turkey.
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Muhasebe ve Finansman Dergisi-Cover
  • ISSN: 2146-3042
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2005
  • Yayıncı: Muhasebe ve Finansman Öğretim Üyeleri Derneği (MUFAD)
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iThe effects of international integration on cost of equity: Application of Turkey's tourism sector

Sezgin DEMİR, Yasemin KADERLİ COŞKUN