Regression Statistics By Industry

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

Data Used: Value Line database, of 6177 firms.

Date of Analysis: Data used is as of January 2013

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 32 -2.55% 1.68 30.87%
Aerospace/Defense 66 -1.03% 0.98 31.61%
Air Transport 36 -1.50% 1.03 28.17%
Apparel 54 9.42% 1.36 27.58%
Auto Parts 54 7.95% 1.76 38.91%
Automotive 12 9.87% 1.73 35.80%
Bank 416 -5.90% 0.77 22.31%
Bank (Midwest) 68 1.91% 0.89 39.24%
Beverage 35 2.34% 0.95 23.83%
Biotechnology 214 -1.21% 1.23 21.84%
Building Materials 43 5.27% 1.57 36.86%
Cable TV 20 8.02% 1.40 38.16%
Chemical (Basic) 18 14.25% 1.37 54.95%
Chemical (Diversified) 33 17.46% 1.55 45.52%
Chemical (Specialty) 70 1.79% 1.18 23.15%
Coal 20 3.31% 1.47 54.70%
Computer Software 191 3.34% 0.98 24.73%
Computers/Peripherals 81 1.02% 1.37 25.37%
Diversified Co. 113 2.61% 1.22 29.74%
Drug 223 -6.65% 1.08 17.47%
E-Commerce 64 1.14% 1.05 22.06%
Educational Services 33 -24.48% 0.91 28.53%
Electric Util. (Central) 20 10.49% 0.57 37.62%
Electric Utility (East) 17 6.78% 0.43 30.03%
Electric Utility (West) 15 10.73% 0.58 45.60%
Electrical Equipment 64 2.18% 1.43 31.86%
Electronics 123 -3.76% 1.22 21.02%
Engineering & Const 30 0.11% 1.28 43.01%
Entertainment 76 1.00% 1.60 29.74%
Entertainment Tech 42 -1.83% 1.11 41.97%
Environmental 84 -15.07% 0.66 10.33%
Financial Svcs. (Div.) 256 2.21% 1.34 31.82%
Food Processing 119 2.62% 0.87 23.20%
Foreign Electronics 10 -1.43% 1.10 51.93%
Funeral Services 6 12.18% 1.12 54.40%
Furn/Home Furnishings 32 8.39% 1.63 41.95%
Healthcare Information 20 12.23% 0.97 28.67%
Heavy Truck & Equip 23 11.30% 1.80 55.11%
Homebuilding 22 16.53% 1.55 51.24%
Hotel/Gaming 57 1.90% 1.65 35.63%
Household Products 27 10.89% 0.98 26.72%
Human Resources 25 3.58% 1.38 48.64%
Industrial Services 136 -1.84% 0.97 25.33%
Information Services 28 8.90% 1.25 35.09%
Insurance (Life) 32 5.31% 1.44 40.05%
Insurance (Prop/Cas.) 62 4.45% 0.85 44.13%
Internet 194 -5.55% 1.17 18.63%
Investment Companies 31 6.50% 1.27 58.01%
IT Services 63 3.65% 1.05 40.81%
Machinery 94 11.54% 1.26 36.73%
Maritime 51 -11.69% 1.51 49.11%
Med Supp Invasive 87 1.04% 0.87 27.23%
Med Supp Non-Invasive 143 0.88% 1.07 23.64%
Medical Services 118 -5.54% 0.84 26.15%
Metal Fabricating 25 7.64% 1.63 30.54%
Metals & Mining (Div.) 77 -3.59% 1.62 27.76%
Natural Gas (Div.) 31 0.80% 1.28 45.40%
Natural Gas Utility 27 7.45% 0.46 37.19%
Newspaper 14 -2.08% 1.86 35.09%
Office Equip/Supplies 22 -3.21% 1.43 30.11%
Oil/Gas Distribution 12 10.30% 1.02 38.77%
Oilfield Svcs/Equip. 81 4.56% 1.66 48.69%
Packaging & Container 27 12.74% 1.20 49.97%
Paper/Forest Products 32 15.83% 1.37 48.24%
Petroleum (Integrated) 26 7.12% 1.17 58.29%
Petroleum (Producing) 176 2.20% 1.45 35.37%
Pharmacy Services 18 9.81% 1.17 32.03%
Pipeline MLPs 53 15.61% 0.74 46.96%
Power 101 -24.32% 1.35 21.84%
Precious Metals 83 -2.69% 1.03 16.70%
Precision Instrument 82 -0.20% 1.27 31.95%
Property Management 31 0.86% 1.30 30.48%
Public/Private Equity 12 3.60% 2.02 58.27%
Publishing 29 -2.61% 1.17 28.33%
R.E.I.T. 127 11.43% 1.43 46.60%
Railroad 12 19.79% 1.32 54.55%
Recreation 51 6.39% 1.45 38.65%
Reinsurance 11 9.34% 0.82 55.50%
Restaurant 65 9.33% 1.16 32.68%
Retail (Hardlines) 79 7.48% 1.79 37.44%
Retail (Softlines) 42 16.33% 1.43 50.04%
Retail Automotive 19 24.34% 1.39 36.85%
Retail Building Supply 10 29.56% 1.11 60.38%
Retail Store 38 14.71% 1.29 33.84%
Retail/Wholesale Food 30 6.80% 0.68 35.86%
Securities Brokerage 27 -6.32% 1.07 39.14%
Semiconductor 142 4.20% 1.49 41.60%
Semiconductor Equip 10 13.67% 1.79 57.29%
Shoe 17 8.40% 1.26 31.24%
Steel 33 5.34% 1.65 47.10%
Telecom. Equipment 105 -2.55% 1.07 29.01%
Telecom. Services 76 6.31% 1.15 25.66%
Telecom. Utility 23 -4.21% 0.92 36.39%
Thrift 170 -1.16% 0.68 16.28%
Tobacco 11 16.04% 0.86 40.95%
Toiletries/Cosmetics 14 12.86% 1.17 35.28%
Trucking 34 3.46% 1.09 49.44%
Water Utility 11 9.54% 0.49 40.66%
Wireless Networking 58 -1.08% 1.35 33.54%
Total Market 6177 1.44% 1.17 30.22%

 



Last Updated in January 2013
By Aswath Damodaran