Estimation of the Cost of Equity in the Turkish Insurance Sector Using the Full Information Beta (FIB) Method: A Comparative Analysis of the CAPM, FF3F, and R-L Models

Year 2025, Volume: 9 Issue: 2, 833 - 852, 25.05.2025

Abdullah Buğra Soylu , Haşim Özüdoğru

https://doi.org/10.25295/fsecon.1589870

Abstract

This study aims to calculate the cost of equity (COE) for both publicly listed and non-listed insurance companies operating in the Turkish insurance sector. The insurance sector, characterized by its unique risk structure and financial dynamics, requires methodologies beyond traditional COE calculation methods due to its complex nature. This study integrates the Capital Asset Pricing Model (CAPM), Fama-French Three-Factor Model (FF3F), and Rubinstein-Leland (R-L) model using the Full Information Beta (FIB) technique, comparing their abilities to accurately estimate COE. The findings reveal that the R-L model provides lower error rates compared to other models in estimating COE in the complex and heterogeneous environment of the insurance sector. Therefore, the R-L model appears to be a more suitable tool for decision-making regarding capital allocation and risk management in insurance companies. This research offers a significant contribution to the literature by serving as a guide for determining the most appropriate COE estimation model for the insurance sector.

Keywords

Insurance Sector, Cost of Equity (COE), Full Information Beta (FIB), CAPM, Fama-French Three-Factor Model (FF3F), Rubinstein-Leland (R-L) Model

Türkiye Sigorta Sektöründe Özsermaye Maliyetinin Full Information Beta (FIB) Yöntemi ile Tahmini: CAPM, FF3F ve R-L Modellerinin Karşılaştırmalı Analizi

Abstract

Bu çalışma, Türkiye sigorta sektöründe faaliyet gösteren halka açık ve halka açık olmayan tüm sigorta şirketlerinin özsermaye maliyetlerinin (ÖSM) hesaplanmasını amaçlamaktadır. Sigorta sektörü, kendine has risk yapısı ve finansal dinamikleri nedeniyle geleneksel sermaye maliyeti hesaplama yöntemlerinin ötesinde yöntemlere gerek duyan karmaşık bir yapıya sahiptir. Bu çalışma, Full Information Beta (FIB) tekniği kullanılarak, Capital Asset Pricing Model (CAPM), Fama-French Üç Faktör Modeli (FF3F) ve Rubinstein-Leland (R-L) modelini birleştirmekte ve bu modellerin özsermaye maliyetlerini doğru bir şekilde tahmin edebilme kabiliyetlerini karşılaştırmaktadır. Çalışmanın bulguları, R-L modelinin, sigorta sektörü gibi karmaşık ve heterojen yapıya sahip bir sektörde sermaye maliyetini tahmin etmede diğer modellere göre daha düşük hata oranları sunduğunu ortaya koymaktadır. Bu sayede, R-L modelinin sigorta şirketlerinin sermaye tahsisi ve risk yönetimi kararlarında daha uygun bir araç olarak kullanılabileceği sonucuna ulaşılmıştır. Bu çalışma, literatüre önemli bir katkı sunarak, sigorta sektörü için en uygun ÖSM hesaplama modelinin belirlenmesi konusunda rehber niteliği taşımaktadır.

Keywords

Sigorta Sektörü, Özsermaye Maliyeti (ÖSM), Full Information Beta (FIB), CAPM, Fama-French Üç Faktör Modeli (FF3F), Rubinstein-Leland (R-L) Modeli

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