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teaching data blog

 

 

 

Data Sources

Input

Detail

Links for data

 Riskfree Rate

Treasury rates: US

Government rates: Other

Historical data on US treasury rates (Bonds & Bills)

http://www.cnnfn.com/markets/bondcenter/

http://www.tradingeconomics.com/country-list/government-bond-10y

http://www.federalreserve.gov/releases/h15/data.htm

Equity Risk Premium

Historical: US

Country Rating

Country risk scores

Implied Premium: US

Country premiums

Historical implied ERP

http://www.stern.nyu.edu/~adamodar/pc/datasets/histretSP.xls

Moody’s: http://www.moodys.com (Click on sovereign ratings)

https://epub.prsgroup.com/products/icrg/icrg-risk-tables-singles  (Costs $210/report)

S&P: http://www.standardandpoors.com (for dividends and buybacks, check under indices and the S&P 500)

http://www.stern.nyu.edu/~adamodar/pc/datasets/ctryprem.xls

http://www.stern.nyu.edu/~adamodar/pc/datasets/histimpl.xls

Risk Parameters

Beta: Company

Beta: Sector average

Total Beta: Sector average

Small Cap Premium (Historic)

Debt Ratios

Business Breakdown

http://www.riskmetrics.com 

http://www.stern.nyu.edu/~adamodar/pc/datasets/betas.xls

http://www.stern.nyu.edu/~adamodar/pc/datasets/totalbeta.xls

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

http://www.stern.nyu.edu/~adamodar/pc/datasets/dbtfund.xls

http://www.sec.gov/edgarhp.htm (Segment breakdown in 10-K)

Cost of Debt

Bond Default Spreads

Synthetic Rating

Default Spreads

Marginal tax rate

http://www.bondsonline.com

http://www.stern.nyu.edu/~adamodar/pc/ratings.xls

http://img.en25.com/Web/StandardandPoors/SP_CreditRatingsGuide.pdf (for understanding the ratings process)

http://www.bondsonline.com (Check under investor tools; you have to pay $29 for a snapshot of spreads today)

http://people.stern.nyu.edu/adamodar/New_Home_Page/datafile/countrytaxrate.htm (KPMG tax rates)

Cash Flows

Earnings Checks

 

Operating Leases

Net Capital Expenditures

R & D Expenses

Working Capital

http://www.sec.gov/edgarhp.htm (Check details of 10-k, 10-Q)

http://www.morningstar.com (Type symbol for quick report and check under financials for last 5 years)

http://www.sec.gov/edgarhp.htm (Footnote to 10-K)

http://www.sec.gov/edgarhp.htm (Statement of Cash Flows)

http://www.sec.gov/edgarhp.htm (Statement of Cash Flows)

http://www.sec.gov/edgarhp.htm (Statement of Cash Flows)

(All of the above data will also be in an annual report. You can try http://www.reportgallery.com or try ******.com where ***** is the name of your firm)

Growth

Overall market size & growth

 

Historical Growth

 

Analyst forecast of growth

 

 Fundamental Growth

http://www.ibisworld.com/industry/home.aspx (Subscription needed for richer data, but market size/growth can be seen for free)

 

http://www.stern.nyu.edu/~adamodar/pc/datasets/histgr.xls

http://www.morningstar.com (Type symbol for quick report and check under Growth rates for 3 yr number)

http://www.zacks.com (for EPS next year and recommendations)

http://www.morningstar.com (Type symbol for quick report and check Growth rates for 5-yr projection))

http://www.stern.nyu.edu/~adamodar/pc/datasets/fundgrEB.xls

Growth Patterns

Barriers to Entry

http://www.stern.nyu.edu/~adamodar/pc/datasets/EVA.xls

Normalizing Earnings

Industry Average Margin

http://www.stern.nyu.edu/~adamodar/pc/datasets/margin.xls

Other Valuation Issues

Cash

Options outstanding

http://www.sec.gov/edgarhp.htm (Balance Sheet)

http://www.sec.gov/edgarhp.htm

Relative Valuation

Multiples for comparables

Fundamentals for comparables

http://www.morningstar.com (To screen a sector or market by multiple)

http://biz.yahoo.com/research/indgrp (click for companies in each sector; you can get fundamentals on each separately in Profile)

Option Pricing Models

Variance in firm value

http://www.stern.nyu.edu/~adamodar/pc/datasets/optvar.xls