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The Data Page

Last Updated: January 2014

This page provides information on how to collect data from a variety of sources. it also allows you to look at and download a number of data sets that you might find useful in corporate finance and valuation. If you have trouble viewing the data in your browser, you can download the data in excel format. I will try to keep them updated, and include the dates of the updates with the data sets. If you want to see the company-specific information, you can download the data on individual firms below.

History and Philosophy: I am always flattered to see my data used, but I want everyone using the data to be aware of how and why I put together this data, and the ways it can be best used. Please read this before you use the data.

Important Data Source update: After twenty years of using Value Line for my US data updates, I have had to switch in 2014. Value Line has an arrangement with NYU that prevents my sharing any statistics that I get by processing the data (such as the industry averages) with anyone and they have told me that they plan to enforce it. While I understand their desire to protect their data, that makes the data useless to me. I am regretful since I am familiar with every nook and cranny of the Value Line data base. (Since Value Line's demand came after I had actually updated the data for 2014, you will notice a change in my US industry average numbers for 2014, if you had downloaded them in the last two weeks.) It will also mean that much of my archived data, other than the country risk premiums and betas, will be removed from my site. I am sorry!

I have switched to a combination of Morningstar, Bloomberg and Capital IQ data for all firms, with an overlay of my own modified industry categories. (Don't ask why... You don't want to know...) For all of the companies, I have also added my estimates of firm-specific costs of capital which you can find in the compfirm.xls dataset. In addition to having the data by region (US, Japan, Emerging Markets and Europe), you will find a global summary that lists items like beta and multiples for each sector, for all companies listed globally. You should also be able to find data by broad geographical groupings (emerging markets, Europe, Japan) and for India and China individually. Finally, I have followed my own advice and converted leases to debt for all companies in the global database. The debt ratios, margins, returns on capital and other key measures that you see in the global data sets are now adjusted for lease debt. Since the Value Line data does not carry lease information, I do have a secondary sector average listing for US companies that does incorporate leases.


Date of last update:

Market Date of last update Number of firms Data source
United States January 2014 7766 Cap IQ & Bloomberg
Europe (EU, UK, Switzerland & Scandinavia) January 2014 6073 Cap IQ & Bloomberg
Japan January 2014

3528

Cap IQ & Bloomberg
Emerging Markets (Asia, Latin America, Eastern Europe, Mid East and Africa) January 2014 Total: 19083
China: 4276
India: 3215
Cap IQ & Bloomberg
Australia, New Zealand & Canada January 2014 4456 Cap IQ & Bloomberg
Global January 2014 40906 Cap IQ & Bloomberg

Archived Data : The data reported in the download is the most recent data (from the dates of the last update). For the US data, you can download the archived averages from the strt of the previous years (1/00-1/13).

Individual company information: While the industry averages are reported below, you can also download information on individual firms. The files below contain the information for the US, Europe and Emerging Markets separately. Starting in 2010, I have added datasets for just the Chinese (including Hong Kong) and Indian markets. Be forewarned that these are large files and may take a while to download. The archived files from previous years are also available. Note that the financial statement data will lag by a longer period, since the most recent financial statements as of January 2014 for a company with December year-end financials will be the December 2012 financials.) All of the data is in millions of US dollars.

Date for Data US Europe Emerging Markets Japan Australia, NZ and Canada China India
Current (January 2014)
Download Download Download Download Download Download Download
1/13 (January 2013)
  Download Download Download Download Download Download
1/12(January 2012)
  Download Download Download Download Download Download
1/11(January 2011)
  Download Download Download Download Download Download
1/10(January 2010)
  Download Download Download Download Download Download
1/09 (January 2009)
  Download Download Download Download    
1/08 (January 2008)
  Download Download Download Download    
1/07 (January 2007)
  Download Download Download Download    
1/06 (January 2006)
  Download Download Download Download    
1/05 (January 2005)
  Download Download Download Download    
1/04 (January 2004)
  Download Download Download Download    
1/03 (January 2003)
  Download Download        
1/02 (January 2002)
             
1/01 (January 2001)
             

Variable definitions: The variables are defined and described in this link.
Source data: If you want more information on the source data, click here.

Collecting Data

Data Source
Comments
Instructions on Getting Information
Annual Report or 10K
While both contain large amounts of relevant data, my sense is that they are both becoming data dumps as companies become increasingly risk averse (and lawsuit averse).
Capital IQ
Superb source of information on both companies and transactions, across the globe. If you can afford it, subscribe to it. It is well worth the money. Webcast on using Cap IQ for screening
Bloomberg
An excellent source of market data on any firm almost anywhere in the world. It has two shortcomings. It is not very user-friendy, making it difficult to wade through the data to get the information you need, and it is often difficult to download the data that you need from the terminal. The other is that is more focused on traders than investors. Market data abounds. Getting data from Bloomberg pages

Data Sets
Topic
Current data sets (see above for data of update)
Download Excel file Archived data Description
Corporate Governance
  1. Europe
  2. Japan
  3. Just China
  4. Just India
  5. Emerg Mkt
  6. Global
  This data set includes insider holdings and institutional holdings as a percent of outstanding stock, classified by industry.
Discount Rate Estimation   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


1/01, 1/02, 1/03, 1/04, 1/05, 1/06 , 1/07, 1/08, 1/09, 1/10, 1/11, 1/12, 1/13 These are risk premiums estimates for other markets based upon the country ratings assigned by Moodys. Starting in June 2012, also reporting equity risk premiums based upon CDS spreads, where those are available.
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
1/99, 1/00, 1/01, 1/02, 1/03, 1/04. 1/05 , 1/06 , 1/07. 1/08, 1/09, 1/10, 1/11, 1/12, 1/13 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
For full version go to the KPMG site

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.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  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 (US)   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.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  This data set lists costs of equity, costs of debt, market debt ratios and costs of capital by industrial sector.
  Tax rate by Industry
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  This data set lists the average efective tax rate for all firms in each sector as well as for only money making firms.
Performance Measures
  1. US
  This data set lists the betas and correlation coefficients, classified by sector.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  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
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  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.
  1. US
  2. Global
  This summarizes the impact of converting operating lease commitments into debt on market debt to capital ratios, operating income, margins and return on capital, categorized by industry.
  1. US
  2. Global
  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 Dividends versus FCFE
  1. US
  2. Global
   
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  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
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  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.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Just China
  6. Just India
  7. Global
  This reports average operating and net margins by industry sector for the most recent time period.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  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 US   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.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  This data set summarizes growth rates from fundamentals (ROE * Retention Ratio) by industry group.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  This data set summarizes growth in earnings over the last 5 years by industry.
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  This data set summarizes growth rates from fundamentals (ROC*Reinvestment Rate) by industry group.
Multiples
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. China
  6. India
  7. Global
  This lists out the PE ratio, expected growth (Value Line) and the PE/growth by industry group for the most recent time period.
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. China
  6. India
  7. Global
  This lists outs Price/Book value ratios and ROE by industry group for the most recent time period.
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. China
  6. India
  7. Global
  This lists out Price/Sales ratios and margins by industry group for the most recent time period.
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. China
  6. India
  7. Global
  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).
1/05, 1/06 , 1/07, 1/08, 1/09, 1/10, 1/11, 1/12, 1/13 This lists the output from the latest regressions across the entire market of multiples against fundamentals (PE, PBV, PS, EV Multiples).
Option Pricing Models
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
  5. Global
  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.