logo about writing tools
teaching data blog

 

 

 


Data of last update: January 5, 2016

Topic
Current data set as html (just US)
Regional datasets (downloadable Excel) Description
Corporate Governance
Insider and Institutional Holdings by Industry Sector
  1. Europe
  2. Japan
  3. Emerging Markets
    1. China
    2. India
  4. Global
Insider holdings and institutional holdings as a percent of outstanding stock, classified by industry.
Discount Rate Estimation
Historical Returns on Stocks, Bonds and Bills - United States
Download
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.
Implied Equity Risk Premiums - United States
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.

Risk Premiums for Other Markets

Download (July 2016)

Download (Jan 2016)


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 and Unlevered Betas by Industry
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
Levered, unlevered and pure play betas by industry.

Marginal tax rate by country
For full version go to the KPMG site

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.
Total Beta By Industry Sector
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
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 deviatiions, 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 Capital by Industry Sector
  1. US
  2. Europe
  3. Japan
  4. Emerging Markets
    1. Just China
    2. Just India
  5. Global
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. Emerging Markets
    1. Just China
    2. Just India
  5. Global
Average efective tax rate for all firms in each sector as well as for only money making firms.
Return Measures
EVA and Equity EVA by Industry
  1. US
  2. Europe
  3. Japan
  4. Emerging Markets
    1. Just China
    2. Just India
  5. Global
Average excess returns, economic value added and equity economic value added by industry sector.
Capital Structure
Debt Ratio Trade Off Variables by Industry
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
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).
Ratings, Spreads and Interest Coverage Ratios
Download S&P bond ratings classes, with normal spreads over the treasury bond rate and typical interest coverage ratios.
Operating Lease adjusted values for debt, returns and earnings
  1. US
  2. Global
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.
Cross Sectional Regression of Debt Ratio
  1. US
  2. Global
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.
Macro Economic Data for Debt Design
Download
Annual data on interest rates, inflation rates, GNP growth and the weighted dollar from 1981 on...
Dividend Policy
Dividends versus FCFE
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
Dividends and Cash flows left over after taxes, reinvestment needs and debt payments (FCFE), by industry
Dividend Policy Trade Off Variables by Industry
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
Dividend yield and payout ratios, as well as other variables that might be relevant in examining the trade off involved in paying dividends.
Cross Sectional Regression of Dividend Ratios
  1. US
  2. Global
The latest cross sectional regression of the dividend yield and payout ratio against financial variables.
Cash Flow Estimation
Capital Expenditures, Depreciation,Reinvestment Rate and Sales to Capital Ratios by Industry
  1. US
  2. Europe
  3. Japan
  4. Emerging 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.
Operating and Net Margins by Industry Sector
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
This reports average operating and net margins by industry sector for the most recent time period.
Working Capital Requirements by Industry Sector
  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
Return on Equity decomposition by Industry sector:
  1. US
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. Just China
    2. Just India
  5. Global
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.
Fundamental Growth Rate in EPS by Industry
  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.
Historical Growth Rate in Earnings by Industry
  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.
Fundamental Growth Rate in EBIT 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
PE Ratios, PEG Ratios and Expected Growth Rates by Industry Sector
  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.
Price and Value to Book Ratios and ROE by Industry Sector
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. China
    2. India
  5. Global
This lists outs Price/Book value ratios and ROE by industry group for the most recent time period.
Price and Value to Sales Ratios and Margins by Industry Sector
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. China
    2. India
  5. Global
This lists out Price/Sales ratios and margins by industry group for the most recent time period.
Value/EBIT & Value/EBITDA Multiples by Industry Sector
  1. U.S.
  2. Europe
  3. Japan
  4. Emerg Mkt
    1. China
    2. India
  5. 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.
Earnings. Book Value and Sales Multiple Averages by Country
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).
Market Regressions of Multiples against fundamentals
This lists the output from the latest regressions across the entire market of multiples against fundamentals (PE, PBV, PS, EV Multiples).
Option Pricing Models
Firm Value and Equity Standard Deviations (for use in real 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.