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Topic |
Data Sets
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Download Excel file |
Archived Data |
Description |
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Corporate Governance |
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Download
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1998,
1999,
2000,
2001,
2002,
2003 ,
2004
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This data set includes
insider holdings and institutional holdings as a percent of
outstanding stock, classified by industry. |
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Discount Rate
Estimation |
|
Download
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This data set includes
actual returns on stocks, bonds and bills for the United States from
1928 to the most recent year. It is a useful starting point for
estimating historical equity premiums. |
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|
Download |
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These risk premiums are
estimated based upon a simple 2-stage Dividend discount model and
reflect the risk premium which would justify they current level of
the index, given the dividend yield, expected growth in earnings and
the level of the long term bond rate. |
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Download |
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These are risk premiums
estimates for other markets based upon the country ratings assigned
by Standard and Poors'. |
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U.S.
Europe
Japan
Emerg Mkt
|
1998,
1999,
2000,
2001,
2002,
2003.
2004
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This data set lists betas
by industrial sector. The betas are computed using 5 years of monthly
returns for each stock and then averaged (simple). The unlevered
betas are estimated using the average market debt/equity ratios by
industrial sector. (Hamada betas). |
| Marginal tax rate by
country |
Download |
|
This is the KPMG survey
of corporate tax rates by country. Please give them full credit when
you use any of the information from this file. |
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|
Download |
1998,
1999,
2000, 2001,
2002,
2003,
2004 |
These are betas adjusted
to reflect a firm's total exposure to risk rather than just the
market risk component. It is a function of the market beta and the
portion of the total risk that is market risk. These betas might
provide better estimates of costs of equity for undiversified owners
of businesses. |
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Risk Measures by Market Cap Class
|
Download |
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These are risk measures -
standard deviatiions, betas, total betas and hilo risk - broken down
for U.S. firms into ten market cap classes. Make of it what you will.
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Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This data set lists costs
of equity, costs of debt, market debt ratios and costs of capital by
industrial sector. |
|
Performance
Measures |
|
Download |
2002,
2003,
2004
|
This data set lists
annualized Jensen's alphas by industry, as well as R-squared values. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004
|
This lists out the
average economic value added and equity economic value added by
industry sector. While I have not made any adjustments to the
operating income and book value of capital, this is a good starting
point for comparisons. |
|
Capital
Structure |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004
|
This data set lists the
industry averages of the market debt ratio, the effective tax rate
(tax benefit), insider holdings (discipline), variance in operating
income (bankruptcy risk) and fixed assets to total assets (agency
costs). |
|
|
Download |
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This data set lists S&P
bond ratings classes, with normal spreads over the treasury bond rate
and typical interest coverage ratios |
|
|
Download |
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This summarizes the
impact of converting operating lease commitments into debt on market
debt to capital ratios, operating income and return on capital,
categorized by industry. |
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This summarizes the
results of the latest cross sectional regression of the market debt
ratio (total debt to capital) against financial variables. |
|
|
Download |
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This lists the
coefficients obtained when we regress sector market value changes
(quarterly) against changes in long term interest rates, GNP growth
and inflation. |
|
|
Download
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This data set includes
annual data on interest rates, inflation rates, GNP growth and the
weighted dollar from 1981 on... |
|
Dividend
Policy |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004
|
This data set lists the
industry averages of the dividend yield and payout ratios, as well as
other variables that might be relevant in examining the trade off
involved in paying dividends. |
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This summarizes the
results of the latest cross sectional regression of the dividend
yield and payout ratio against financial variables. |
|
Cash Flow
Estimation |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This lists out average
capital expenditures and depreciation by industry sector, as a
percent of operating income. It is a useful resource during
valuation. It also includes the sales to capital ratio which is
useful when valuing young firms with negative earnings. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This reports average
operating and net margins by industry sector for the most recent time
period. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This lists out average
inventory, accounts receivable, accounts payable and non-cash working
capital by industry sector, as a percent of revenues. |
|
Growth Rate
Estimation |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004 |
This data set reports
average return on equity (net income/book value of equity) by
industry sector and decomposes these returns into a pure return on
assets and leverage. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This data set summarizes
growth rates from fundamentals (ROE * Retention Ratio) by industry
group. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004
|
This data set summarizes
growth in earnings over the last 5 years by industry. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This data set summarizes
growth rates from fundamentals (ROC*Reinvestment Rate) by industry
group. |
|
Multiples |
|
U.S.
Europe
Japan
Emerg Mkt
|
1998,
1999,
2000,
2001,
2002,
2003,
2004
|
This lists out the PE
ratio, expected growth (Value Line) and the PE/growth by industry
group for the most recent time period. |
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U.S.
Europe
Japan
Emerg Mkt
|
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This lists outs
Price/Book value ratios and ROE by industry group for the most recent
time period. |
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U.S.
Europe
Japan
Emerg Mkt
|
1998,
1999,
2000,
2001, 2002,
2003 ,
2004
|
This lists out
Price/Sales ratios and margins by industry group for the most recent
time period. |
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U.S.
Europe
Japan
Emerg Mkt
|
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This lists out Enterprise
Value / EBITDA by industry group for the most recent time period.
Enterprise Value is the market value of equity plus the book value of
debt minus cash. |
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Multiples by Market Cap Class (US)
|
Download |
|
The averages for key
equity and enterprise value multiples are reported for firms in
different market cap classes in the U.S. |
|
|
Download |
|
This lists out the
average PE, Price to book, Price to Sales and Enterprise Value
multiples by country. It also includes summary statistics on returns
on equity and capital and margins (net and operating). |
|
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2004 ,
2005 |
This lists the output
from the latest regressions of multiples against fundamentals (PE,
PBV and PS ratios). |
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Option Pricing Models |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004
|
This lists out average
annualized stock price variance (in daily stock prices) over the
previous five years, and the average firm value standard deviation
over the same period. |
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