Last Updated: January 2009

This page provides information on how to collect data from a variety of sources. it also allows you to look at and download a number of data sets that you might find useful in corporate finance and valuation. If you have trouble viewing the data in your browser, you can download the data in excel format. I will try to keep them updated, and include the dates of the updates with the data sets. If you want to see the company-specific information, you can download the data on individual firms below.

Data comments for 2009: I have expanded the data to include all publicly traded firms that had a market capitalization greater than $ 10 million on January 1, 2009. I continue to use Value Line for the US data updates, but I have switched to a combination of Bloomberg and Capital IQ data for non-US firms. The betas reported for non-US firms are now Capital IQ betas and not Bloomberg betas. In additiion to having the data by region (US, Japan, Emerging Markets and Europe), I have also added a global summary that lists items like beta and multiples for each sector for all companies listed globally.
The last quarter of 2008 will have a profound effect on the numbers that you see for most companeis and for the sectors. The market cap and price data for all companies is of January 1, 2009 and thus reflects the market carnage of the last few months. However, the accounting data as of January 1, 2009 is generally either through September 2008 (for trailing 12 month data) or earlier (December 2007 for annual data). Consequently, you will see that many companies trade at absurdly low multiples of 2007 earnings, not because the market is under pricing these companies but because expectations of future earnings have changed so dramatically. While there is not much that I can do about this right now (I could try to use forecasted earnings for 2009 but that is available for about 15% of my overall sample), I will revisit the data in June (when the 2008 numbers should be fully in and update the data. Note also that I have adjusted the equity risk premium for mature markets up to 5% (from the lower numbers that I have used in previous years) to reflect the state of the markets today and that default spreads for both corporate bonds and sovereign data have been updated to reflect the new reality. With the U.S. data, I have added an extra feature, at least for the risk measures and multiples, where I have broken down the averages by market cap class. I have also added back the data set on the effect of capitalizing operating leases on debt ratios and returns on capital.

To read more about my thoughts on using 2009 data, click here.

For a 24-hour period (January 13-14 of 2009), I miscategorized Spain as an emerging market. I intended no slight to the Spanish and it was entirely a mistake. It has now been fixed.

Archived Data : The data reported in the download is the most recent data (from the dates of the last update). For the US data, you can download the archived averages from the end of the previous years (1998-2007). The 2007 archived average is the average as of December 2007 (January 2008 update), for instance.

Individual company information: While the industry averages are reported below, you can also download information on individual firms. The files below contain the information for the US, Europe and Emerging Markets separately. Be forewarned that these are large files and may take a while to download. The archived files from previous years are also available. (The 2005 file incluces data avaiable from the end of 2005 and so on... Note that the financial statement data will lag by a longer period, since the most recent financial statements as of January 2008 for a company with December year-end financials will be the 2006 financials.) All of the data is in millions of US dollars.

Variable definitions: The variables are defined and described in this link.
Source data: If you want more information on the source data, click here.

Collecting Data

Data Sets

Topic	Current data sets (see above for data of update)	Download Excel file	Archived Data( 1998 archived data is from the January 1999 update).	Description
Corporate Governance	Insider and Institutional Holdings by Industry Sector	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This data set includes insider holdings and institutional holdings as a percent of outstanding stock, classified by industry.
Discount Rate Estimation	Historical Returns on Stocks, Bonds and Bills - United States	Download		This data set includes actual returns on stocks, bonds and bills for the United States from 1928 to the most recent year. It is a useful starting point for estimating historical equity premiums.
	Implied Equity Risk Premiums - United States	Download		These risk premiums are estimated based upon a simple 2-stage Dividend discount model and reflect the risk premium which would justify they current level of the index, given the dividend yield, expected growth in earnings and the level of the long term bond rate.
	Risk Premiums for Other Markets	Download	2000, 2001, 2002, 2003, 2004, 2005 , 2006, 2007	These are risk premiums estimates for other markets based upon the country ratings assigned by Standard and Poors'.
	Levered and Unlevered Betas by Industry	U.S. Europe Japan Emerg Mkt Global	1998, 1999, 2000, 2001, 2002, 2003. 2004 , 2005 , 2006. 2007	This data set lists betas by industrial sector. The betas are computed using 5 years of monthly returns for each stock and then averaged (simple). The unlevered betas are estimated using the average market debt/equity ratios by industrial sector. (Hamada betas).
	Marginal tax rate by country	Download		This is the KPMG survey of corporate tax rates by country. Please give them full credit when you use any of the information from this file.
	Total Beta By Industry Sector	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	These are betas adjusted to reflect a firm's total exposure to risk rather than just the market risk component. It is a function of the market beta and the portion of the total risk that is market risk. These betas might provide better estimates of costs of equity for undiversified owners of businesses.
	Risk Measures by Market Cap Class	Download		These are risk measures - standard deviatiions, betas, total betas and hilo risk - broken down for U.S. firms into ten market cap classes. Make of it what you will.
	Costs of Capital by Industry Sector	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This data set lists costs of equity, costs of debt, market debt ratios and costs of capital by industrial sector.
Performance Measures	Jensen's Alpha By Industry	Download	2002, 2003, 2004, 2005 , 2006, 2007	This data set lists annualized Jensen's alphas by industry, as well as R-squared values.
	EVA and Equity EVA by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	This lists out the average economic value added and equity economic value added by industry sector. While I have not made any adjustments to the operating income and book value of capital, this is a good starting point for comparisons.
Capital Structure	Debt Ratio Trade Off Variables by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	This data set lists the industry averages of the market debt ratio, the effective tax rate (tax benefit), insider holdings (discipline), variance in operating income (bankruptcy risk) and fixed assets to total assets (agency costs).
	Ratings, Spreads and Interest Coverage Ratios	Download		This data set lists S&P bond ratings classes, with normal spreads over the treasury bond rate and typical interest coverage ratios
	Operating Lease effect on debt (Will be fixed shortly)	Download		This summarizes the impact of converting operating lease commitments into debt on market debt to capital ratios, operating income and return on capital, categorized by industry.
	Cross Sectional Regression of Debt Ratio			This summarizes the results of the latest cross sectional regression of the market debt ratio (total debt to capital) against financial variables.
	Duration, Cyclicality and Inflation Measures by Sector	Download		This lists the coefficients obtained when we regress sector market value changes (quarterly) against changes in long term interest rates, GNP growth and inflation.
	Macro Economic Data for Debt Design	Download		This data set includes annual data on interest rates, inflation rates, GNP growth and the weighted dollar from 1981 on...
Dividend Policy	Dividend Policy Trade Off Variables by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	This data set lists the industry averages of the dividend yield and payout ratios, as well as other variables that might be relevant in examining the trade off involved in paying dividends.
	Cross Sectional Regression of Dividend Ratios			This summarizes the results of the latest cross sectional regression of the dividend yield and payout ratio against financial variables.
Cash Flow Estimation	Capital Expenditures, Depreciation,Reinvestment Rate and Sales to Capital Ratios by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 ,2005 , 2006, 2007	This lists out average capital expenditures and depreciation by industry sector, as a percent of operating income. It is a useful resource during valuation. It also includes the sales to capital ratio which is useful when valuing young firms with negative earnings.
	Operating and Net Margins by Industry Sector	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This reports average operating and net margins by industry sector for the most recent time period.
	Working Capital Requirements by Industry Sector	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005, 2006, 2007	This lists out average inventory, accounts receivable, accounts payable and non-cash working capital by industry sector, as a percent of revenues.
Growth Rate Estimation	Return on Equity decomposition by Industry sector:	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005 , 2006, 2007	This data set reports average return on equity (net income/book value of equity) by industry sector and decomposes these returns into a pure return on assets and leverage.
	Fundamental Growth Rate in EPS by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This data set summarizes growth rates from fundamentals (ROE * Retention Ratio) by industry group.
	Historical Growth Rate in Earnings by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	This data set summarizes growth in earnings over the last 5 years by industry.
	Fundamental Growth Rate in EBIT by Industry	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This data set summarizes growth rates from fundamentals (ROC*Reinvestment Rate) by industry group.
Multiples	PE Ratios, PEG Ratios and Expected Growth Rates by Industry Sector	U.S. Europe Japan Emerg MktGlobal	1998, 1999, 2000, 2001, 2002, 2003, 2004 , 2005 , 2006, 2007	This lists out the PE ratio, expected growth (Value Line) and the PE/growth by industry group for the most recent time period.
	Price and Value to Book Ratios and ROE by Industry Sector	U.S. Europe Japan Emerg Mkt Global	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This lists outs Price/Book value ratios and ROE by industry group for the most recent time period.
	Price and Value to Sales Ratios and Margins by Industry Sector	U.S. Europe Japan Emerg Mkt Global	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This lists out Price/Sales ratios and margins by industry group for the most recent time period.
	Value/EBIT & Value/EBITDA Multiples by Industry Sector	U.S. Europe Japan Emerg Mkt Global	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005 , 2006, 2007	This lists out Enterprise Value / EBITDA by industry group for the most recent time period. Enterprise Value is the market value of equity plus the book value of debt minus cash.
	Multiples by Market Cap Class (US)	Download		The averages for key equity and enterprise value multiples are reported for firms in different market cap classes in the U.S.
	Earnings. Book Value and Sales Multiple Averages by Country	Download		This lists out the average PE, Price to book, Price to Sales and Enterprise Value multiples by country. It also includes summary statistics on returns on equity and capital and margins (net and operating).
	Market Regressions of Multiples against fundamentals		2005, 2006 , 2007, 2008	This lists the output from the latest regressions across the entire market of multiples against fundamentals (PE, PBV, PS, EV Multiples).
Option Pricing Models	Firm Value and Equity Standard Deviations (for use in real option pricing models)	Download	1998, 1999, 2000, 2001, 2002, 2003 , 2004 , 2005, 2006, 2007	This lists out average annualized stock price variance (in daily stock prices) over the previous five years, and the average firm value standard deviation over the same period.