Risk Measures by Market Cap Class (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2016

Critieria for inclusion: All publicly traded firms in the United States

Market Cap in millions of US$ Number of firms Aggregate Market Cap Cash/Firm Value Annual trading volume/Shrs outstanding Average of Market Debt to capital ratio Average of Beta Average correlation with market Average of Standard deviation in stock price Total Beta Average of HiL0 Risk Measure (Hi- lo)/ (Hi+Lo)
 1-4 616  $1,331 13.66% 0.71 22.46% 1.16 0.098208858 115.59% 11.77 0.73
 4-10 424  $2,798 16.83% 0.75 23.21% 0.94 0.102900179 94.09% 9.17 0.64
 10-25 648  $10,800 25.76% 0.78 20.12% 0.75 0.115626886 79.70% 6.50 0.52
25 -50 508  $18,280 20.46% 0.85 23.57% 0.74 0.127498672 65.92% 5.79 0.43
50-100 503  $36,213 19.46% 0.87 25.65% 0.67 0.154178879 53.72% 4.36 0.35
100-175 363  $47,888 17.54% 1.29 27.56% 0.93 0.198838221 56.06% 4.70 0.36
175-250 241  $51,047 13.45% 1.66 29.82% 1.05 0.255123418 56.44% 4.13 0.37
250-500 500  $176,475 12.23% 1.91 27.22% 1.19 0.300303156 50.73% 3.95 0.34
500-1000 562  $394,911 9.85% 2.16 28.79% 1.22 0.347615275 45.84% 3.50 0.31
1000-2500 701  $1,136,620 7.23% 2.40 28.16% 1.24 0.392064469 41.91% 3.16 0.28
2500-10000 744  $3,684,383 5.59% 2.29 28.06% 1.18 0.458736499 33.53% 2.56 0.23
>10000 438  $19,283,150 4.56% 1.71 25.21% 1.13 0.530174245 28.18% 2.12 0.19
All firms 6248  $23,569,758 16.67% 1.71 24.06% 1.13 0.243826568 51.65% 4.64 0.47

 


Updated in January 2016
By Aswath Damodaran