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Topic |
Current data set as html (just US) |
Regional datasets (downloadable Excel) | Description | Explanatory Webcast |
| Insider holdings and institutional holdings as a percent of outstanding stock, classified by industry. | ||||
| Historical 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 Augmented 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. Starting in June 2012, I am also reporting equity risk premiums based upon CDS spreads, where those are available. | ||||
| Levered, unlevered and pure play betas by industry. | ||||
Marginal tax rate
by country |
Download | From the KPMG survey of corporate tax rates by country. Please give them full credit when you use any of the information from this file. | ||
| 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) | Risk measures - standard deviations, betas, total betas and hilo risk - broken down for U.S. firms into ten market cap classes. Make of it what you will. | ||
| Costs of equity, costs of debt, market debt ratios and costs of capital by industrial sector. | ||||
| Tax rate by Industry | Average efective tax rate for all firms in each sector as well as for only money making firms. | |||
| Dollar Value Measures | Dollar Value Meaures by Industry | Aggregated dollar values in millions of US % for market capitalization/enterprise value, as well as operating and profitability measures - revenues, gross profit, EBITDA, operating and net income. | ||
| COVID Effects | COVID effects (mkt cap & operations) by Industry | Aggregated dollar values in millions of US % for market capitalization/enterprise value, as well as operating and profitability measures - revenues, gross profit, EBITDA, operating and net income in 2020 (the COVID damage year) and 2021 (the recovery year). | ||
| Average exTicess returns, economic value added and equity economic value added by industry sector. | ||||
| Debt Details (Type of debt, short or long term) | Breaks down debt into lease debt and regular debt, short term and long term and interest expenses. | |||
| 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 | S&P bond ratings classes, with normal spreads over the treasury bond rate and typical interest coverage ratios. | |||
| 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. | ||||
| 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 |
Annual data on interest rates, inflation rates, GNP growth and the weighted dollar from 1981 on... | |||
| Dividends versus FCFE | Dividends and Cash flows left over after taxes, reinvestment needs and debt payments (FCFE), by industry | |||
| Dividend yield and payout ratios, as well as other variables that might be relevant in examining the trade off involved in paying dividends. | ||||
| The latest cross sectional regression of the dividend yield and payout ratio against financial variables. | ||||
| 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. | ||||
| R&D Expenditures | Looks at current and past (last five years) R&D expenses as well as my estimate of capitalized R&D | |||
| Goodwill and Impairment | Looks at the most useless and damaging of accounting items, goodwill, in terms of magnitude, changes and impairment. If nothing else, it gives you a measure of both how active companies have been on the M&A front and how much they have overpaid along the way. | |||
| This reports average operating and net margins by industry sector for the most recent time period. | ||||
| Financing Flows by Sector | Looks at financing flows to & from equity (dividends, buybacks & issuances) and to and from debt (debt repaid and debt raised) | |||
| This lists out average inventory, accounts receivable, accounts payable and non-cash working capital by industry sector, as a percent of revenues. | ||||
| 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. | ||||
| This data set summarizes growth rates from fundamentals (ROE * Retention Ratio) by industry group. | ||||
| This data set summarizes growth in earnings over the last 5 years by industry. | ||||
| This data set summarizes growth rates from fundamentals (ROC*Reinvestment Rate) by industry group. | ||||
| 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). | ||||
| 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. |
