Yapay Sinir Ağları ile Yatırım Değerlemesi Analizi

Yıl 2017, Cilt: 18 Sayı: 2, 85 - 96, 01.07.2017

Hüseyin İnce Kadir Sayım Salih Zeki İmamoğlu Nihat Kasap

Öz

Bu çalışmada geleneksel yatırım değerleme metotlarından olan indirgenmiş nakit akım ve net bugünkü değer modeli ile yapay sinir ağları modelinin tahmin etme özelliğinin birleştirilmesi analiz edilmiştir. Değerleme modellerinin temel bileşenlerinden olan satış gelirleri, maliyetler, yatırım harcamaları ve bunların yıllar içerisindeki büyüme oranları sektörel dinamikler ve makroekonomik faktörlerle yakından ilişkilidir. Bununla birlikte, enflasyon oranı ve döviz kurları bu bileşenlerin değişim oranlarını etkilemektedir. Dolayısıyla enflasyon oranını ve döviz kurlarını tahmin etmek değerlemenin sonucu açısından kritik bir önem taşımaktadır. Bu çalışmada Türkiye enflasyonu ve USD/TRY döviz kuru yapay sinir ağları modeli ile tahmin edilmiş ve bu değişkenler indirgenmiş nakit akım modeli içerisine yerleştirilmiştir. Bu modelin sonuçları geleneksel yöntemler ile karşılaştırılmıştır

Anahtar Kelimeler

Yapay sinir ağları, Yatırım değerlemesi, Tahmin etme, Enflasyon oranı tahmini, Döviz kuru tahmini, İndirgenmiş nakit akım

Investment Valuation Analysis with Artificial Neural Networks

Öz

This paper shows that discounted cash flow and net present value, which are traditional investment valuation models, can be combined with artificial neural network model forecasting. The main inputs for the valuation models, such as revenue, costs, capital expenditure, and their growth rates, are heavily related to sector dynamics and macroeconomics. The growth rates of those inputs are related to inflation and exchange rates. Therefore, predicting inflation and exchange rates is a critical issue for the valuation output. In this paper, the Turkish economy’s inflation rate and the exchange rate of USD/TRY are forecast by artificial neural networks and implemented to the discounted cash flow model. Finally, the results are benchmarked with conventional practices.

Anahtar Kelimeler

Artificial neural networks, Investment valuation, Forecasting, Inflation rate forecast, Exchange rate forecast, Discounted cash flow

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