Regression Statistics By Industry

This data set summarizes intercepts, betas and R-squared, by industry.

Data Used: Value Line database, of 6870 firms.

Date of Analysis: Data used is as of January 2009

can be obtained by clicking here

on which companies are included in each industry


Industry Name Number of firms Jensen's Alpha Beta R-Squared
Advertising 30 -6.33% 1.43 9.68%
Aerospace/Defense 66 8.85% 1.27 16.77%
Air Transport 44 -7.05% 0.84 14.54%
Apparel 53 1.03% 1.14 10.19%
Auto & Truck 20 0.60% 1.49 28.92%
Auto Parts 54 -1.34% 1.56 15.75%
Bank 477 -3.56% 0.59 18.13%
Bank (Canadian) 8 11.37% 0.70 48.88%
Bank (Midwest) 39 0.14% 0.55 25.12%
Beverage 41 -0.87% 0.95 10.29%
Biotechnology 108 -4.27% 1.25 8.66%
Building Materials 52 3.57% 1.39 16.19%
Cable TV 25 2.75% 1.56 11.66%
Canadian Energy 12 23.29% 1.22 31.44%
Chemical (Basic) 19 11.10% 1.25 28.14%
Chemical (Diversified) 33 15.25% 1.21 26.95%
Chemical (Specialty) 88 8.21% 1.18 14.53%
Coal 18 28.13% 1.98 20.54%
Computer Software/Svcs 322 0.05% 1.22 9.54%
Computers/Peripherals 125 -7.56% 1.29 8.49%
Diversified Co. 113 10.07% 1.25 16.15%
Drug 342 -8.69% 1.16 8.43%
E-Commerce 54 4.33% 1.50 13.21%
Educational Services 34 2.46% 0.76 8.52%
Electric Util. (Central) 24 8.65% 0.75 39.34%
Electric Utility (East) 26 11.99% 0.64 31.58%
Electric Utility (West) 16 12.20% 0.68 39.77%
Electrical Equipment 83 -1.32% 1.37 13.90%
Electronics 173 -3.33% 1.31 9.68%
Entertainment 84 -13.04% 1.66 11.44%
Entertainment Tech 33 -4.56% 1.45 11.58%
Environmental 79 1.57% 1.11 8.45%
Financial Svcs. (Div.) 296 -0.91% 1.27 13.46%
Food Processing 109 5.97% 0.80 12.41%
Food Wholesalers 18 2.20% 0.69 11.18%
Foreign Electronics 10 3.95% 1.18 36.18%
Furn/Home Furnishings 34 -6.80% 1.29 12.07%
Grocery 14 13.48% 0.84 21.88%
Healthcare Information 29 2.16% 1.05 9.50%
Heavy Construction 14 27.41% 1.48 26.02%
Homebuilding 32 -9.69% 1.23 19.79%
Hotel/Gaming 68 7.70% 1.70 16.43%
Household Products 26 6.19% 1.08 20.34%
Human Resources 31 -0.89% 1.44 19.69%
Industrial Services 167 7.49% 1.20 10.22%
Information Services 34 3.70% 1.22 19.43%
Insurance (Life) 35 3.86% 1.17 22.45%
Insurance (Prop/Cas.) 78 7.41% 0.77 27.60%
Internet 208 -0.77% 1.41 6.87%
Investment Co. 17 0.29% 0.83 48.68%
Investment Co.(Foreign) 16 6.89% 1.31 41.31%
Machinery 124 11.77% 1.39 16.92%
Manuf. Housing/RV 18 -7.77% 1.32 15.80%
Maritime 56 16.75% 1.24 26.35%
Medical Services 160 1.93% 1.10 9.67%
Medical Supplies 252 2.34% 1.17 9.46%
Metal Fabricating 35 9.32% 1.56 16.27%
Metals & Mining (Div.) 78 6.25% 1.69 11.68%
Natural Gas (Div.) 34 19.35% 1.20 24.75%
Natural Gas Utility 25 8.52% 0.44 31.61%
Newspaper 16 -20.02% 1.16 21.18%
Office Equip/Supplies 26 -1.47% 1.11 17.79%
Oil/Gas Distribution 19 10.99% 0.58 29.08%
Oilfield Svcs/Equip. 112 21.74% 1.56 20.85%
Packaging & Container 33 7.64% 1.27 20.91%
Paper/Forest Products 38 3.27% 1.20 18.79%
Petroleum (Integrated) 25 23.45% 1.34 29.34%
Petroleum (Producing) 188 16.44% 1.24 12.78%
Pharmacy Services 19 10.93% 0.81 18.40%
Power 66 8.71% 1.63 11.95%
Precious Metals 75 -7.32% 1.08 12.21%
Precision Instrument 90 1.99% 1.47 13.45%
Property Management 17 13.12% 1.38 23.98%
Publishing 27 -5.94% 1.24 14.81%
R.E.I.T. 144 3.80% 1.35 23.03%
Railroad 15 22.23% 1.25 27.77%
Recreation 64 -6.32% 1.41 10.71%
Reinsurance 11 7.14% 0.76 36.87%
Restaurant 68 3.17% 1.26 13.36%
Retail (Special Lines) 155 -5.88% 1.26 12.17%
Retail Automotive 16 7.12% 1.31 31.77%
Retail Building Supply 8 5.67% 0.71 28.82%
Retail Store 38 -2.17% 0.99 17.88%
Securities Brokerage 32 4.12% 1.37 17.54%
Semiconductor 122 -5.88% 1.81 13.45%
Semiconductor Equip 16 -6.19% 1.78 26.86%
Shoe 19 10.98% 1.23 17.71%
Steel (General) 20 29.27% 1.71 24.69%
Steel (Integrated) 14 29.83% 1.96 14.40%
Telecom. Equipment 110 -3.07% 1.49 9.23%
Telecom. Services 140 4.70% 1.43 10.92%
Thrift 234 -6.34% 0.62 15.98%
Tobacco 12 5.79% 0.60 16.86%
Toiletries/Cosmetics 23 -0.26% 0.95 11.70%
Trucking 33 6.67% 1.04 21.19%
Utility (Foreign) 5 21.03% 1.23 36.19%
Water Utility 16 12.51% 0.82 30.33%
Wireless Networking 57 6.92% 1.54 13.79%
Public/Private Equity 10 -0.04% 2.08 27.51%
Funeral Services 6 15.51% 1.41 30.96%
Total Market 6870 1.76% 1.19 14.35%

 



Last Updated in January 2009
By Aswath Damodaran