The Data Page
Last Updated: January 2012
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.
Data comments for 2012: I have expanded the data
to include all publicly traded firms for both US and non-US firms. Note, though, that much of the data is missing for many of the smallest firms.
I continue to use Value Line for the US data updates, but I have switched to
a combination of Bloomberg and Capital IQ data for non-US firms, with an overlay
of my own modified industry categories. (Don't ask why... You don't want to
know..). In addition to having the data by region (US, Japan, Emerging Markets
and Europe), I have also added a global summary that lists items like beta
and multiples for each sector, for all companies listed globally.With the U.S.
data, I have added an extra feature, at least for the risk measures and multiples,
where I have broken down the averages by market cap class. I have also added
back the data set on the effect of capitalizing operating leases on debt ratios
and returns on capital. Finally, I have added separate data sets for India and China. While I include
companies from both markets in the emerging market dataset, each of these markets
is now large enough (about 3000 firms) to allow for separate analysis.
Date of last update:
|Market||Date of last update||Number of firms||Data source|
|United States||January 2012||5891||Value Line|
|Europe (EU, UK, Switzerland & Scandinavia)||January 2012||5204||Cap IQ & Bloomberg|
|Japan||January 2012||3569||Cap IQ & Bloomberg|
|Emerging Markets (Asia, Latin America, Eastern Europe, Mid East and Africa)||January 2012||Total: 19941
|Cap IQ & Bloomberg|
|Australia, New Zealand & Canada||January 2012||4802||Cap IQ & Bloomberg|
|Global||January 2012||41803||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 (1/00-2010).
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 2012 for a company with December year-end financials will be the December 2010 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 2012)||Download||Download||Download||Download||Download||Download||Download|
|1/09 (January 2009)||Download||Download||Download||Download||Download|
|1/08 (January 2008)||Download||Download||Download||Download||Download|
|1/07 (January 2007)||Download||Download||Download||Download||Download|
|1/06 (January 2006)||Download||Download||Download||Download||Download|
|1/05 (January 2005)||Download||Download||Download||Download||Download|
|1/04 (January 2004)||Download||Download||Download||Download||Download|
|1/03 (January 2003)||Download||Download||Download|
|1/02 (January 2002)||Download|
|1/01 (January 2001)||Download|
Variable definitions: The
variables are defined and described in this link.
Source data: If you want more information on the source data, click here.
|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).|
|Value Line||Plus: Old fashioned but very effective at delivering substantial
amounts of information on one page.
Minus: Needs to update page to reflect available (and necessary data) and downplay its stock picking and forecasting ability.
|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.|
|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- pdf file (online version)|
Current data sets (see above for data of update)
|Download Excel file||Archived Data (for just US data)||Description|
|Corporate Governance||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.|
|These are risk premiums estimates for other markets based upon the country ratings assigned by Moodys.|
|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).|
|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.|
|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||This data set lists costs of equity, costs of debt, market debt ratios and costs of capital by industrial sector.|
|Tax rate by Industry||Download||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||Download||This data set lists annualized Jensen's alphas by industry, as well as R-squared values.|
|Download||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.|
|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
|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.|
||This data set includes annual data on interest rates, inflation rates, GNP growth and the weighted dollar from 1981 on...|
|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||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||This reports average operating and net margins by industry sector for the most recent time period.|
|Download||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||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||This data set summarizes growth rates from fundamentals (ROE * Retention Ratio) by industry group.|
|Download||This data set summarizes growth in earnings over the last 5 years by industry.|
|Download||This data set summarizes growth rates from fundamentals (ROC*Reinvestment Rate) by industry group.|
|Multiples||This lists out the PE ratio, expected growth (Value Line) and the PE/growth by industry group for the most recent time period.|
|This lists outs Price/Book value ratios and ROE by industry group for the most recent time period.|
|This lists out Price/Sales ratios and margins by industry group for the most recent time period.|
|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).|
|This lists the output from the latest regressions across the entire market of multiples against fundamentals (PE, PBV, PS, EV Multiples).|
|Option Pricing Models||Download||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.|