Risk Measures by Market Cap Class (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2015

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 1330.63 13.75% 0.67 20.42% 1.13 0.0994 113.57% 11.33 0.7505
 4-10 424 2798.02 16.44% 0.74 19.32% 0.91 0.1074 97.84% 8.43 0.6340
 10-25 648 10800.4 20.02% 0.73 19.77% 0.73 0.1069 81.46% 6.80 0.5163
25 -50 508 18280.1 17.62% 1.13 19.44% 0.68 0.1281 72.80% 5.31 0.4336
50-100 503 36213 20.47% 0.98 21.13% 0.63 0.1402 58.62% 4.49 0.3350
100-175 363 47887.5 15.00% 1.15 23.48% 0.80 0.1823 61.79% 4.39 0.3527
175-250 241 51046.6 13.74% 1.60 26.26% 0.98 0.2583 56.68% 3.80 0.3369
250-500 500 176475.3 11.45% 1.83 24.55% 1.10 0.3012 55.94% 3.66 0.3067
500-1000 562 394911.2 9.09% 2.01 25.18% 1.09 0.3403 51.04% 3.19 0.2820
1000-2500 701 1136619.7 6.70% 2.46 25.37% 1.11 0.3931 45.56% 2.84 0.2416
2500-10000 744 3684383.2 5.40% 2.40 26.00% 1.10 0.4609 38.02% 2.38 0.2061
>10000 438 19283149.9 4.46% 1.93 23.65% 1.00 0.5084 31.81% 1.97 0.1742

 


Updated in January 2015
By Aswath Damodaran