By Roger J. Grabowski, James P. Harrington, Duff & Phelps, Carla Nunes
The most up-to-date rate of capital information for about a hundred and eighty U.S. industries, pointed out via usual business category (SIC) code.
The 2016 Valuation Handbook – Industry rate of Capital presents valuation execs with a similar kind of rigorous industry-level research formerly released within the green-cover Morningstar/Ibbotson Cost of Capital Yearbook (now discontinued).
Using the latest, updated facts is necessary. The 2016 Valuation instruction manual – Industry rate of Capital offers up to date information because it is up-to-date every year (with facts via March), and comprises 3 intra-year Quarterly Updates (June, September, and December; Quarterly Updates are (i) non-compulsory, and (ii) no longer offered separately). the recent 2016 version of the publication is up-to-date with facts via March 31, 2016 (the past 2014 and 2015 versions also are on hand, with info via March 31, 2014 and March 31, 2015, respectively).
The 2016 Valuation Handbook – Industry expense of Capital presents as much as 8 (8) expense of fairness capital and weighted normal fee of capital (WACC) estimates for each of the U.S. industries coated within the booklet, plus capital constitution, valuation (trading) multiples, revenues, marketplace capitalization, capital constitution, numerous levered and unlevered beta estimates (e.g. ordinary-least squares (OLS) beta, sum beta, draw back beta, etc.), monetary and profitability ratios, fairness returns, combination forward-looking earnings-per-share (EPS) progress premiums, and more.
For additional information approximately Duff & Phelps valuation facts assets released by means of Wiley, please stopover at www.wiley.com/go/valuationhandbooks.
- 2016 Valuation instruction manual - advisor to price of Capital
- 2016 overseas Valuation guide - consultant to price of Capital
- 2016 foreign Valuation instruction manual - expense of Capital
- Access expense of capital estimates and betas for about a hundred and eighty U.S. industries.
- Reference industry-level valuation multiples, development charges, revenues, capital constitution, profitability ratios, plus records that allow the person to gauge the impression of 'debt-like' off-balance sheet goods at the capital constitution of the topic industry.
- Use the knowledge during this e-book to (i) benchmark, (ii) increase, and (iii) offer extra aid on your personal customized analyses of the within which a subject matter company, company possession curiosity, safeguard, or intangible asset resides.
- Ensure that you're utilizing the main up to date details on hand through including the intra-year Quarterly Updates.
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Extra info for 2016 valuation handbook: industry cost of capital
Sum beta is an attempt to capture more fully the lagged effect of comovement in a company's returns with returns on the market. , “lagged”) excess returns acting as the independent variables, and then summing the resulting coefficients. Downside Beta n EDownside ¦ ^Min R B ,0 u Min R i Bm ,0 ` m i n 1 n ¦ ^Min R m n 1 Bm ,0 ` 2 where: E Downside = Downside beta with respect to benchmark return Ri = Historical return for company or portfolio i Bi = Benchmark return for company or portfolio i Rm = Historical return on market portfolio Bm = Benchmark return for market portfolio The “downside” beta attempts to isolate the downside potential of a security’s returns relative to that of the market’s returns.
For the 5-Year Average, total market capitalization of common equity is calculated as the sum of the monthly market capitalization of equity for each year divided by 12, for each of the most recent five fiscal years. Market to Book Latest: MBi Me , i BVEi BVEi CEi DTi ITCi 5-Year Average: n MBA,i ¦M e,i ,n n 1 n ¦ BVE i ,n n 1 § pn · Me,i ,n ¨ ¦ Me,i , m,n ¸ y pn ©m 1 ¹ where: MB i = Market-to-book ratio for company or portfolio i M e,i = Market value of equity capital for company or portfolio i BVE i = Book value of equity for company or portfolio i CE i = Common equity for company or portfolio i DT i = Deferred taxes (deferred tax assets minus deferred tax liabilities) for company or portfolio i ITC i = Investment tax credit for company or portfolio i MB A,i = Market-to-book ratio for company or portfolio i over n periods (in this case, 5 years) M e,i,n = Market value of equity capital for company or portfolio i over n periods BVE i,n = Book value of equity for company or portfolio i over n periods M e,i,m,n = Market value of equity capital for company or portfolio i in month m over n periods pn = Number of months for which market value of equity capital data are available over n periods 2016 Valuation Handbook – Industry Cost of Capital (data through March 31, 2016) 43 Latest The “Latest” statistic is calculated as total market capitalization of common equity at the end of the most recent month divided by book value of common equity (plus net deferred taxes and investment tax credits) for the most recent fiscal year.
Eugene F. Fama and Kenneth R. French, “A five-factor asset pricing model”, The Journal of Financial Economics 116 (2015): 1-22. S. government 30-day T-bill from the equivalent monthly “market” total returns (the “market” is represented in the analyses herein by the S&P 500 total return index). Source of S&P 500 total returns: S&P. Source of 30-day T-bill returns: Morningstar Direct database. 2016 Valuation Handbook – Industry Cost of Capital (data through March 31, 2016) RMW (robust minus weak) returns: The difference between the monthly returns on diversified portfolios comprised of company stocks with “robust” profitability and “weak” profitability.