THE DETERMINATION OF BETA COEFFICIENTS OF PUBLICLY-HELD COMPANIES BY A REGRESSION MODEL AND AN APPLICATION ON PRIVATE FIRMS

Öz

It is possible to determine the value of private companies by means of suggestions and assumptions derived from their financial statements. However, there comes out a serious problem in the determination of equity costs of these private companies using Capital Assets Pricing Model (CAPM) as beta coefficients are unknown or unavailable. In this study, firstly, a regression model that represents the relationship between the beta coefficients and financial statements’ Variables of publicly-held companies will be developed. Then, this model will be tested and applied on private companies.

Anahtar Kelimeler

• Beta Coefficients, Private Firm, Capital Assets Pricing Model, Regression.

HALKA AÇIK FİRMALARIN BETA KATSAYILARININ REGRESYON MODELİ İLE TESPİTİ VE HALKA AÇIK OLMAYAN FİRMALARA YÖNELİK UYGULANABİLİRLİĞİ

Öz

Halka açık olmayan firmaların değerinin tespitinde, mali tablolardan yola çıkılarak bir takım önermeler ve varsayımlar altında değerin tespiti mümkün olabilmektedir. Ancak, bu firmaların özsermaye maliyetlerinin tespitinde önemli bir sorunla karşılaşılmaktadır. Halka açık olmayan firmaların özsermaye maliyetleri Sermaye Varlıklarını Fiyatlandırma Modeli (Capital Assets Pricing Model-CAPM) kullanılarak hesaplanmak istendiğinde, beta katsayılarının tespitinde zorluklar yaşanmaktadır.Çalışmada, bu zorluk dikkate alınarak, öncelikle halka açık firmaların mali tablo değişkenleri ile beta katsayıları arasındaki ilişki regresyon modeli yardımıyla tespit edilmeye çalışılmaktadır. Daha sonrasında, ilgili model halka açık olan firmaların verileri kullanılarak test edilmekte ve halka açık olmayan firmalar üzerinde uygulanmaktadır.

Anahtar Kelimeler

• Beta Katsayısı, Halka Açık Olmayan İşletme, Sermaye

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