|
Topic |
Current
data sets (see above for data of update) |
Download
Excel file |
Archived
Data( 1998 archived data is from the January 1999 update). |
Description |
|
Corporate Governance |
|
Download
|
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
This
data set includes insider holdings and institutional holdings as a
percent of outstanding stock, classified by industry. |
|
Discount Rate Estimation |
|
Download
|
|
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. |
|
|
Download |
|
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. |
|
|
Download |
2000,
2001,
2002,
2003,
2004,
2005 ,
2006,
2007 |
These are risk premiums
estimates for other markets based upon the country ratings assigned by
Standard and Poors'. |
|
|
U.S.
Europe
Japan
Emerg Mkt
Global
|
1998,
1999,
2000,
2001,
2002,
2003.
2004 ,
2005 ,
2006.
2007 |
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. |
|
|
Download |
1998,
1999,
2000, 2001,
2002,
2003,
2004 ,
2005 ,
2006,
2007 |
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. |
|
Risk Measures by Market Cap Class |
Download |
|
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. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
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,
2005 ,
2006,
2007 |
This data set lists
annualized Jensen's alphas by industry, as well as R-squared values. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004 ,
2005 ,
2006,
2007 |
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 ,
2005 ,
2006,
2007 |
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 |
|
This
data set lists S&P bond ratings classes, with normal spreads over the
treasury bond rate and typical interest coverage ratios |
|
Operating Lease
effect on debt (Will be fixed shortly)
|
Download |
|
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. |
|
|
|
|
This
summarizes the results of the latest cross sectional regression of the
market debt ratio (total debt to capital) against financial variables. |
|
Duration,
Cyclicality and Inflation Measures by Sector
|
Download |
|
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
|
|
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 ,
2005 ,
2006,
2007 |
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. |
|
|
|
|
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 ,2005
,
2006,
2007 |
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 ,
2005 ,
2006,
2007 |
This
reports average operating and net margins by industry sector for the
most recent time period. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005,
2006,
2007 |
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,
2005 ,
2006,
2007 |
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 ,
2005 ,
2006,
2007 |
This data set summarizes
growth rates from fundamentals (ROE * Retention Ratio) by industry
group. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003,
2004 ,
2005 ,
2006,
2007 |
This
data set summarizes growth in earnings over the last 5 years by
industry. |
|
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
This data set summarizes
growth rates from fundamentals (ROC*Reinvestment Rate) by industry
group. |
|
Multiples |
|
U.S.
Europe
Japan
Emerg MktGlobal
|
1998,
1999,
2000,
2001,
2002,
2003,
2004 ,
2005 ,
2006,
2007 |
This
lists out the PE ratio, expected growth (Value Line) and the PE/growth
by industry group for the most recent time period. |
|
|
U.S.
Europe
Japan
Emerg Mkt
Global |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
This lists outs
Price/Book value ratios and ROE by industry group for the most recent
time period. |
|
|
U.S.
Europe
Japan
Emerg Mkt
Global
|
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
This
lists out Price/Sales ratios and margins by industry group for the most
recent time period. |
|
|
U.S.
Europe
Japan
Emerg Mkt
Global
|
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005 ,
2006,
2007 |
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. |
|
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). |
|
|
|
2005,
2006 ,
2007,
2008 |
This lists the output
from the latest regressions of multiples against fundamentals (PE, PBV
and PS ratios). |
|
Option Pricing Models |
|
Download |
1998,
1999,
2000,
2001,
2002,
2003 ,
2004 ,
2005,
2006,
2007 |
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 |
![[Most Recent Exchange Rate from www.kitco.com]](http://www.weblinks247.com/exrate/24hr-euro-small.gif)
![[Most Recent Exchange Rate from www.kitco.com]](http://www.weblinks247.com/exrate/24hr-gbp-small.gif)
![[Most Recent Quotes from www.kitco.com]](http://kitconet.com/charts/metals/base/aluminum-d.gif)
![[Most Recent Quotes from www.kitco.com]](http://kitconet.com/charts/metals/base/copper-d.gif)
![[Most Recent Quotes from www.kitco.com]](http://kitconet.com/images/quotes_special.gif)
