Cooperate Finance and Management Accounting Worksheet

Description

Finish calculation of two excels models for Boeing and Airbus. Boeing model has been done partly but needs to be double-checked and complete.

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Income Statement
2018
Fill these
Total Revenue
Cost of Revenue
Gross Profit
Operating Expense this includes depreciation
Operating Income EBIT
Net non operating Interest
Other Income Expense
Pretax Income
Tax Provision
Net Income
Balance Sheet
101,127,000
81,490,000
19,637,000
7,836,000
11,801,000
-475,000
278,000
11,604,000
1,144,000
10,460,000
2018
Fill these
Current Asset
Gross PPE
Depreciation
Goodwill
Investment and Advances
Non current account receivables
Non current deferred Assets
Other Non current Assets
Current Liabilities
Total Non current Liabilities
Equity
Capital Stock
Paid up
Retained Earnings
117,359,000
31,213,000
-18,568,000
11,269,000
1,087,000
2,418,000
284,000
1,826,000
81,590,000
35,359,000
410,000
339,000
6,768,000
55,941,000
FCF
Calculate these
EBIT
Tax over ebit (effective tax i.e.30%)，check online the percentage
Depreciation + check cashflow statement company depreciation + amortization
Delta provisions is old year – new year and then + the outcocme.
Working Capital = current asset old year – current assets new year (exclude cash and cash like) + current liabilities new
i.e. 2022 old year is 2021 and new is 2022.
Capex (prognose it)
Free cash flow
Valuation Model
Risk-free Rate
Equity Risk Premium
Aerospace & Defence Unlevered Beta (must choose this industry)
Re-levered Beta
Discount Rate
DCF Calculation
Free Cash Flow
Present Value
Total Equity Value
Equity Value/ share
Current Share Price
Undervalued
So the stock is currently underv
WAAC
ammount debt (checking annual report)
market value equity market capitalisation
Calculate according to the example in Airbus sheet
?
?
WACC
?
2019
Fill these
2020
Fill these
76,559,000
72,093,000
58,158,000
63,843,000
4,466,000
-5,685,000
7,128,000
-2,662,000
722,000
1,125,000
-2,259,000
-1,623,000
-636,000
7,293,000
-12,978,000
-2,156,000
658,000
-14,476,000
-2,535,000
-11,941,000
2019
2020
Fill these
102,229,000
31,844,000
-19,342,000
11,398,000
1,092,000
1,936,000
86,000
4,712,000
97,312,000
44,613,000
-8,300,000
-8,617,000
6,745,000
50,644,000
Fill these
121,642,000
32,327,000
-20,507,000
10,924,000
1,016,000
2,136,000
683,000
3,585,000
87,280,000
82,931,000
-18,075,000
-18,316,000
7,787,000
38,610,000
2021 2022 p
2023 p
Fill these
Fill these
Fill these
62,286,000
74743200
59,269,000
71122800
3,017,000
3,620,400
6,406,000
7687200
-3,389,000
-4,066,800
-2,682,000
1,038,000
-3218400
1245600
-5,033,000
-6,039,600
-743,000
-891600
-4,290,000
-5,148,000
2021 2022 p
Fill these
Fill these
108,666,000
31,456,000
-20,538,000
10630000.000
975,000
1,695,000
77,000
5,591,000
81,992,000
71,406,000
-14,999,000
5,061,000
9,052,000
34,408,000
80971800
77049700
3922100
8327800
-4405700
-3486600
1349400
-6542900
-965900
-5577000
2023 p
Fill these
Calculate these Calculate these Calculate theseCalculate theseCalculate these
-3,389,000
find it in income statement
xclude cash and cash like) + current liabilities new year – C.L. old year(exclude debt and debt like)
-871000
-2,518,000
-2487.500753
1.90% 5-Year Average of US Long term
4.20% S&P Global
1.11
1.2340284
= 0.33 + [(0.66 * Unlevered beta) * (1 + (
7.08% Cost of Equity = Risk Free Rate + (Levered Beta * Equ
2022
2860
2670.827448
207080.5987
350.9840656
191
45.58% ?
So the stock is currently undervalued
Calculate according to the example in Airbus sheet
2023
10,445.82
9109.659268
2024
12,384.89
10086.29222
2024 p
2025
2026
Fill these
Fill these
Fill these
87200400
93429000
93429000
82976600
88903500
88903500
4223800
4525500
4525500
8968400
9609000
9609000
-4744600
-5083500
-5083500
-3754800
-4023000
-4023000
1453200
1557000
1557000
-7046200
-7549500
-7549500
-1040200
-1114500
-1114500
-6006000
-6435000
-6435000
2024 p
2025
2026
Fill these
Fill these
Fill these
74,532,500
Ideal complex
depreciation equals investments = capex
Calculate these
Calculate these
Calculate these
33 + [(0.66 * Unlevered beta) * (1 + (1 – tax rate) (Debt/Market Equity))]
isk Free Rate + (Levered Beta * Equity Risk Premium)
2025
2026
10,266.13
12,002.50
7807.75092 8524.53509
2027
2028
2029
12,242.55
12,487.40
12,737.15
8119.899842 7734.47147 7367.33827
2030
12,991.89
7017.631841
58,370,000
2031 Terminal Value
13,251.73
261,599.35
6684.52497
131957.6674
Income Statement
2018
Fill these
2019
Fill these
Total Revenue
Cost of Revenue
Gross Profit
Operating Expense
Operating Income
Net Non Operating Interest Income Expense
Pretax Income
Tax Provision
Net Income Common Stockholders
Free Cash Flow
Net Income
Depreciation
Increase in Working Capital
Capital Expenditure
Balance Sheet
2018
Fill these
2019
Fill these
Current Assets
Gross PPE
Accumulated Depreciation
Goodwill
Investment Properties
Financial Assets
Deferred Asset
Non Current Prepaid Assets
Other Non Current Assets
Total Liabilities Net Minority Interest
Total Equity Gross Minority Interest
Valuation Model
Risk Free Rate
Equity Risk Premium
Tax Rate
Aerospace & Defence Unlevered Beta (must choose this industry)
Re-levered Beta
Discount Rate
DCF Calculation
FCF
PV
Total Equity Value
Value per share
Current Price
Undervalue
So the stock is currently undervalued
WAAC
RF
ERP Global
Unlevered Beta
CEU
Beta Levered
CD
WAAC
2020
Fill these
2021
Fill these
54,906,000
45,332,000
9,574,000
4,754,000
4,820,000
-163,000
5,032,000
912,000
4,188,000
2022 p
Fill these
2023 p
Fill these
2024 p
Fill these
4,188,000
25,178,000
14280000
540000
14,546,000 1848.28463
2020
Fill these
2021 2022 p
Fill these
Fill these
58,400,000
41,852,000
-25,178,000
16,199,000
2,000
3,451,000
282,000
76,000
125,000
103,639,000
6,456,000
2023 p
2024 p
Fill these
Fill these
Number of shares 787000000
0.30%
4.20%
9.43%
1.11
1.235114113
5.49%
1
2022
2
2023
3
2024
2025
3696.56925 5544.85388
3504.272996 4982.97005
7393.138501 7577.96696
6298.33996 7577.96696
161107.4199
204.7108258
107
47.73%
So the stock is currently undervalued
checking the DATA IN Beta Global Excel
2.375
MV Equity
7.77
MV Debt
1.11
D/E
2.387
1.537
3.5
10.353
113
58.1
0.51
2025
Fill these
2026
Fill these
2025
2026
Fill these
Fill these
4
2026
5
2027
6
2028
7
2029
8
2030
9
2031 Terminal Value
7762.79543 7947.62389 8132.45235 8317.28081 8502.10928 8686.93774 167962.089
6269.23404 6084.60981 5902.22879 5722.35719 5545.22747 5371.04112 103849.171
Terminal Value
Case Cow
Opening balance sheet (year 0) Year 2
Year 3
1000 Equity
400
800
1200
Debt
600
1200
1800
1000 Liabilities
1000
2000
3000
Cash
Debt
Assets
Price cow
Economic life
Residue value cow/ scrap
Sales per cow
Cost goods sold per cow
Staff costs per cow
OPEX per cow
1000
3 years
100
1500
300
450
150
Debt long
Servicing / repay loan
Tax
Collection period
Payment period
Inventory days outst.
Questions
1. make the income statement for year 1
2. make the balance sheet for year 1
3. make the cash flow statement for year on 1 (indirecte method)
4. make prognosis for year 2, 3 and 4 with annual investments in 1 cow.
Income statement
Sales
Cost of goods sold
Gross profit margin
Staff costs
OPEX
EBITDA
Depriciaton
EBIT
Interest 5%
Taxable income
Tax 25%
Net income
Cow 1
Cow 2
Cow 3
Cow 4
Total cows
Debt
1000
600.00
Year 1
1,500.00
300.00
1,200.00
450.00
150.00
600.00
300.00
300.00
30.00
270.00
Year 2
3,000.00
600.00
2,400.00
900.00
300.00
1,200.00
600.00
600.00
50.00
550.00
67.50
137.50
202.50
412.50
700.00
400.00
700.00
Year 3
4,500.00
900.00
3,600.00
1,350.00
450.00
1,800.00
900.00
900.00
60.00
840.00
210.00
630.00
Year 4
4,500.00
900.00
3,600.00
1,350.00
450.00
1,800.00
900.00
900.00
30.00
870.00
217.50
652.50
100.00
400.00
700.00
0.00
100.00
400.00
700.00
1,200.00
700.00
1,100.00
1,200.00
400.00
200.00
0.00
100.00
400.00
100.00
400.00
Total debt
200.00
400.00
0.00
200.00
600.00
400.00
600.00
600.00
200.00
Balance sheetOpening
Fixed assets 1000.00
Inventory / stock 0.00
Accounts receiveable
0.00
Cash
0.00
Total assets 1,000.00
Year 1
700.00
0.00
250.00
77.50
1,027.50
Year 2
1100.00
0.00
500.00
465.00
2065.00
Year 3
1200.00
0.00
750.00
1170.00
3120.00
Year 4
1200.00
0.00
750.00
1422.50
3372.50
Liabilities
Equity paid in 400.00
Retained earnings0.00
Annual profit
0.00
Total equity 400.00
Debt
600.00
Accounts payable0.00
Total liabilities
1,000.00
400.00
0.00
202.50
602.50
400.00
25.00
1,027.50
800.00
202.50
412.50
1415.00
600.00
50.00
2065.00
1200.00
615.00
630.00
2445.00
600.00
75.00
3120.00
1200.00
1245.00
652.50
3097.50
200.00
75.00
3372.50
Cashflow statement
Year 1
Year 2
Year 3
EBIT
300.00
600.00
900.00
TAX 25% over EBIT 75.00
150.00
225.00
NOP(L)AT
225.00
450.00
675.00
Depreciation +
300.00
600.00
900.00
Change in Provisions +
0.00
0.00
0.00
Operating cashflow
525.00 1050.00 1575.00
Change working cap + -225.00 -225.00 -225.00
Investments +
-1,000.00 -1000.00 -1000.00
Free cash flow
-700.00 -175.00
350.00
0.00
Year 4
900.00
225.00
675.00
900.00 Optimal complex
0.00
1575.00
0.00 No change NWC
-900.00 Optimal complex
675.00
Mature company = steady free cash
6. Calculate the value of this enterprise
The WACC is 12% and the perpetual growt rate 1% from year 4 onwards
Plan period year 0
FCF
WACC 12%
Present value
Total plan period
-86.41
Growth rate (G) 1%
1
-700.00
1.12
-625.00
2
-175.00
1.25
-139.51
3
350.00
1.40
249.12
4
675.00
1.57
428.97
5
681.75
681.75
WACC – G
Present value T4
WACC T4
Total perpetual
3,938.77
value
Company value
3,852.36 Per day 1
Market value debt
600.00
Cash +
400.00
Equity value3,652.36 Per day 1
(0,12-0,01)
6,197.73 6,197.73
1.57
3,938.77
Year 4
1200
1800
3000
5%
200 per year
25%
2 months
1 month
None
mpany = steady free cash flow
End of year convention
End Game
Variable
Number of firms
Beta
D/E Ratio
Effective Tax Rate
Unlevered Beta
Cash/Firm Value
Unlevered Beta corrected for cash
HiLo Risk
Standard deviation (equity)
Standard deviation (operating income)
To estimate pure play betas by business, to use in estimating a
bottom up beta for a project or a company.
Explanation
Number of firms in the indusry grouping.
Simple average across firms of each firm’s beta, taken as a weighted
average of 2-year and 5-year weekly return regression betas, with 2-year
betas weighted 2/3rds. If the company has only a 2-year beta, it is used.
Total debt, including lease debt/ Market Value of equity. I aggregate each
number across the firms and then compute the aggregate debt to equity
ratio.
Effective tax rate in the most recxent 12 months.
Beta/ (1+ (1-tax rate) (D/E)). You can use either a marginal or effective
tax rate as your option.
Cash & Marketable Securities/ (Market Value of Equity + Total Debt,
including lease debt. Aggregated across companies first ans then
computed.
Unlevered Beta/ (1- Cash/Firm Vaue). Cash has a beta of zero. With this
calculation, I remove its effect to get a pure play beta.
Simple average of (High Price for year – Low Price/ (High Price + Low
Price). It is a non-parametric and simple measure of price risk.
Simple average across firms of each firm’s standard deviation in stock
prices in the prior 2 years, using weekly returns.
Simple average across firms of each firm’s coefficient of variation in
annual operating income over prior 10 years. (Coefficient of variation is
standard deviation divided by average operating income over the period)
Why?
Law of large numbers?
I average the 2-year and 5-year betas, to remove
some noise at the company level, and then take the
simple average to remove even more. I don’t use
weighted averages, since that will make each sector’s
beta converge on its largest company or companies.
My definition of debt for all things cost of capital. I
have always treated lease commitments as debt.
Now the accountants will as well.
I need a tax rate.
Interest saves you taxes at the margin. You should
generally use a marginal tax rate, but if you have a
multinational facing different marginal tax rates in
different regions, you may use effective instead,
Cash is usualy invested in liquid, close to riskless
investments and has a beta close to zero.
The standard unlevered beta is an unlevered beta for
the company. If the company holds a large amount
of cash, you need to remove it from the calculation
to get a beta for just the business.
If you don’t like making distributional assumptions
and want a simple range-based measure of risk…
This is the total risk. Beta measures only the portion
of this standard deviation that is market-related.
If you don’t like price-based measures of risk,
preferring something more intrinsic, this may be
your preferred measure of risk. (Since operating
income levels vary widely across firms, I used the
coefficient of variation.)
Global
Beta by Sector
January 2019
Date updated:
5-Jan-22
Created by:
Aswath Damodaran, adamodar@stern.nyu.edu
What is this data?
Beta, Unlevered beta and other risk measures
Global
Home Page:
http://www.damodaran.com
Data website:
https://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in each industry: https://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions:
https://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Do you want to use marginal or effective tax rates in unlevering betas?
Marginal
If marginal tax rate, enter the marginal tax rate to use
26.06%
Industry Name
Number of firms
Advertising
348
Aerospace/Defense
272
Air Transport
151
Apparel
1170
Auto & Truck
152
Auto Parts
728
Bank (Money Center)
610
Banks (Regional)
816
Beverage (Alcoholic)
219
Beverage (Soft)
100
Broadcasting
139
Brokerage & Investment Banking
599
Building Materials
449
Business & Consumer Services
948
Cable TV
54
Chemical (Basic)
854
Chemical (Diversified)
71
Chemical (Specialty)
898
Coal & Related Energy
206
Computer Services
1040
Computers/Peripherals
336
Construction Supplies
784
Diversified
318
Drugs (Biotechnology)
1223
Drugs (Pharmaceutical)
1371
Education
244
Electrical Equipment
999
Electronics (Consumer & Office)
138
Electronics (General)
1425
Engineering/Construction
1267
Entertainment
734
Environmental & Waste Services
353
Farming/Agriculture
417
Financial Svcs. (Non-bank & Insurance) 1102
Food Processing
1377
Food Wholesalers
160
Beta
D/E Ratio
Effective
Tax rate
1.29
1.22
1.59
0.95
1.35
1.53
1.03
0.74
0.92
0.88
1.09
0.92
1.12
1.11
0.99
1.14
1.40
1.11
1.13
1.12
1.35
1.16
1.05
1.10
1.08
1.06
1.10
1.29
1.30
1.12
1.14
1.04
0.95
0.89
0.86
0.86
32.55%
25.96%
126.36%
16.32%
47.86%
27.88%
271.63%
177.47%
14.84%
16.66%
67.66%
197.22%
17.85%
18.35%
58.41%
28.78%
44.13%
15.90%
41.17%
12.45%
9.27%
36.16%
56.82%
11.71%
14.79%
30.78%
12.26%
30.27%
13.06%
87.33%
15.34%
30.51%
42.97%
532.33%
24.62%
75.40%
13.91%
9.43%
4.44%
13.83%
11.02%
16.80%
20.49%
19.89%
17.51%
11.47%
16.81%
15.26%
17.45%
16.70%
15.05%
16.00%
19.77%
15.44%
7.36%
16.78%
12.09%
15.20%
14.50%
2.08%
9.26%
13.33%
12.44%
11.80%
12.29%
15.80%
7.80%
13.00%
12.70%
15.29%
15.20%
14.57%
Unlevered beta
1.04
1.03
0.82
0.85
1.00
1.27
0.34
0.32
0.83
0.79
0.73
0.37
0.99
0.97
0.69
0.94
1.06
0.99
0.86
1.03
1.27
0.91
0.74
1.02
0.97
0.87
1.01
1.05
1.19
0.68
1.03
0.85
0.72
0.18
0.73
0.55
YouTube Video
explaining
estimation
choices and
process.
Notes
if you are looking for a pure-play beta, i.e., a
beta for a business, the unlevered beta
corrected for cash is your best bet. Since
even sector betas can move over time, I
have also reported the average of the this
sector beta across time in the last column.
Cash/Firm value
Unlevered
beta corrected
for cash
HiLo Risk
Standard
deviation
of equity
12.09%
7.69%
12.38%
5.73%
9.94%
11.89%
41.89%
52.18%
3.53%
3.56%
10.22%
17.85%
6.17%
6.06%
3.15%
8.34%
7.82%
4.71%
20.81%
5.72%
4.50%
10.65%
9.44%
7.66%
4.72%
13.16%
6.99%
11.14%
9.59%
19.19%
7.35%
4.88%
6.18%
8.21%
5.44%
8.22%
1.18
1.11
0.94
0.90
1.11
1.44
0.59
0.67
0.86
0.82
0.81
0.45
1.05
1.04
0.72
1.02
1.15
1.04
1.09
1.09
1.33
1.02
0.82
1.10
1.02
1.00
1.08
1.19
1.31
0.84
1.11
0.90
0.77
0.20
0.77
0.60
0.4293
0.3777
0.2992
0.4084
0.3585
0.3355
0.2393
0.2103
0.3162
0.4391
0.3820
0.4005
0.3288
0.3821
0.2781
0.3693
0.2971
0.3719
0.5196
0.3771
0.3647
0.3269
0.3113
0.5081
0.4548
0.3881
0.3973
0.3799
0.3606
0.3487
0.4555
0.4121
0.3645
0.3608
0.3274
0.3449
38.28%
33.19%
30.93%
31.36%
31.49%
29.80%
20.42%
19.22%
25.20%
30.68%
32.84%
30.27%
28.03%
32.34%
25.39%
29.52%
24.80%
30.76%
44.90%
31.78%
33.87%
28.43%
23.87%
45.42%
39.79%
32.38%
33.72%
31.54%
31.03%
29.43%
38.64%
33.74%
30.33%
30.02%
26.79%
30.06%
$ Rf
ERP global
Beta u
CEU
CD
WACC
Unlevered beta corrected for
Standard
deviation in
operating
income (last
10 years)
2018
22.80%
16.26%
151.64%
17.83%
17.10%
22.26%
56.13%
NA
15.15%
9.27%
14.85%
51.98%
22.46%
15.68%
23.07%
21.07%
20.43%
9.71%
39.23%
9.30%
14.90%
25.10%
25.40%
32.23%
8.23%
21.13%
12.67%
48.37%
29.52%
22.25%
28.03%
23.07%
13.85%
31.79%
18.55%
15.80%
0.97
1.06
0.64
0.82
1.04
1.22
0.48
0.47
0.68
0.57
0.78
0.5
0.85
0.89
0.83
1.03
1.32
1.08
1.1
1.02
1.24
1.04
0.76
1.32
1.07
0.87
1.14
1.28
1.32
0.98
1.02
1.03
0.69
0.15
0.72
0.63
Global
Industry Name
Beta by Sector
Number of firms
Furn/Home Furnishings
359
Green & Renewable Energy
239
Healthcare Products
852
Healthcare Support Services
445
Heathcare Information and Technology 455
Homebuilding
168
Hospitals/Healthcare Facilities
223
Hotel/Gaming
654
Household Products
575
Information Services
266
Insurance (General)
215
Insurance (Life)
142
Insurance (Prop/Cas.)
231
Investments & Asset Management
1706
Machinery
1421
Metals & Mining
1706
Office Equipment & Services
145
Oil/Gas (Integrated)
46
Oil/Gas (Production and Exploration) 642
Oil/Gas Distribution
165
Oilfield Svcs/Equip.
457
Packaging & Container
414
Paper/Forest Products
272
Power
541
Precious Metals
947
Publishing & Newspapers
337
R.E.I.T.
812
Real Estate (Development)
893
Real Estate (General/Diversified)
344
Real Estate (Operations & Services)
739
Recreation
324
Reinsurance
38
Restaurant/Dining
385
Retail (Automotive)
196
Retail (Building Supply)
98
Retail (Distributors)
1002
Retail (General)
204
Retail (Grocery and Food)
184
Retail (Online)
353
Retail (Special Lines)
479
Rubber& Tires
90
Semiconductor
581
Semiconductor Equip
324
Shipbuilding & Marine
348
Shoe
84
January 2019
Beta
D/E Ratio
Effective
Tax rate
Unlevered beta
Cash/Firm value
Unlevered
beta corrected
for cash
HiLo Risk
Standard
deviation
of equity
Standard
deviation in
operating
income (last
10 years)
1.14
1.01
1.03
0.96
1.06
1.48
0.96
1.19
1.04
1.27
0.78
1.08
0.88
0.86
1.14
1.10
1.10
1.28
1.46
1.16
1.36
0.96
1.12
0.85
1.00
0.93
1.07
1.00
1.03
0.90
1.10
1.48
1.19
1.10
1.20
0.87
1.02
0.69
1.43
1.21
1.26
1.57
1.91
1.12
1.14
18.54%
51.79%
8.92%
27.50%
8.01%
32.82%
48.73%
49.02%
11.05%
10.75%
39.12%
107.91%
28.04%
45.27%
13.33%
25.98%
26.72%
26.81%
38.76%
82.45%
53.52%
36.26%
50.76%
89.13%
14.68%
26.01%
57.12%
205.17%
114.03%
73.02%
24.67%
32.29%
31.78%
41.79%
16.10%
64.47%
33.44%
53.51%
9.30%
29.52%
39.12%
7.14%
4.09%
41.09%
8.23%
15.99%
9.77%
7.60%
14.23%
6.85%
20.57%
15.98%
5.71%
12.04%
14.32%
14.54%
16.75%
15.52%
4.70%
15.76%
4.40%
13.30%
22.97%
5.27%
12.54%
10.56%
17.67%
14.10%
16.29%
4.21%
13.45%
2.69%
17.12%
13.90%
13.99%
11.41%
11.30%
10.63%
19.28%
19.95%
16.37%
19.12%
20.24%
10.70%
16.78%
16.41%
10.09%
13.15%
11.54%
13.79%
1.00
0.73
0.97
0.80
1.00
1.19
0.71
0.88
0.96
1.17
0.61
0.60
0.73
0.65
1.04
0.92
0.92
1.07
1.13
0.72
0.97
0.76
0.81
0.51
0.90
0.78
0.75
0.40
0.56
0.58
0.93
1.19
0.97
0.84
1.07
0.59
0.82
0.49
1.34
0.99
0.98
1.49
1.86
0.86
1.07
12.53%
4.13%
3.86%
6.52%
3.31%
13.17%
3.99%
7.68%
3.54%
4.29%
15.25%
39.90%
10.55%
10.23%
7.47%
9.03%
12.61%
7.11%
6.17%
2.91%
8.11%
5.61%
8.92%
4.92%
8.89%
16.81%
2.30%
23.06%
8.98%
6.77%
8.90%
17.07%
4.45%
5.57%
3.02%
8.81%
5.92%
7.69%
4.66%
8.72%
11.06%
4.18%
3.93%
12.60%
5.08%
1.15
0.76
1.01
0.85
1.03
1.37
0.74
0.95
1.00
1.23
0.72
1.00
0.82
0.72
1.13
1.01
1.05
1.15
1.21
0.75
1.06
0.80
0.89
0.54
0.99
0.94
0.77
0.52
0.61
0.63
1.02
1.44
1.01
0.89
1.11
0.65
0.87
0.53
1.40
1.09
1.10
1.55
1.93
0.99
1.13
0.3552
0.3791
0.4369
0.4057
0.4436
0.2994
0.3383
0.3579
0.4152
0.4176
0.2713
0.2629
0.3009
0.2476
0.3397
0.4836
0.3578
0.2917
0.5409
0.3154
0.3964
0.3266
0.3469
0.2913
0.4748
0.3595
0.1970
0.3490
0.2958
0.3097
0.3576
0.2709
0.3230
0.3490
0.3085
0.3833
0.2744
0.2630
0.4712
0.3440
0.3095
0.4093
0.3574
0.3636
0.3785
29.08%
32.66%
38.06%
34.69%
39.54%
29.33%
29.03%
32.25%
35.72%
39.75%
23.03%
22.92%
25.95%
31.47%
27.71%
53.07%
29.77%
24.69%
50.73%
28.33%
36.58%
28.11%
28.54%
21.94%
51.15%
27.41%
23.92%
27.27%
24.61%
26.34%
31.77%
24.50%
29.15%
29.70%
28.84%
29.68%
24.70%
22.69%
43.90%
31.64%
25.58%
34.36%
33.07%
28.90%
30.49%
27.15%
43.27%
27.58%
26.70%
34.90%
42.59%
16.00%
76.21%
10.26%
26.73%
16.26%
22.48%
20.14%
18.36%
11.30%
33.79%
6.67%
49.41%
118.85%
33.22%
37.10%
16.34%
27.31%
9.78%
71.28%
9.90%
23.97%
47.57%
19.35%
18.64%
12.96%
31.63%
23.27%
17.65%
26.66%
18.09%
4.50%
15.99%
48.28%
13.71%
14.31%
37.93%
56.78%
24.31%
15.78%
2018
0.95
0.76
0.99
0.89
0.98
0.94
0.57
0.84
0.91
1.23
0.72
1.19
0.65
0.67
1.14
1.33
0.85
1.22
1.33
1.07
1.18
0.62
0.81
0.58
1.23
0.9
0.44
0.78
0.77
0.65
0.82
1.16
0.7
0.68
0.67
0.65
0.92
0.68
1.19
0.82
0.84
1.45
1.34
0.99
1.09
Global
Industry Name
Beta by Sector
Number of firms
Software (Entertainment)
Software (Internet)
Software (System & Application)
Steel
Telecom (Wireless)
Telecom. Equipment
Telecom. Services
Tobacco
Transportation
Transportation (Railroads)
Trucking
Utility (General)
Utility (Water)
Total Market
Total Market (without financials)
317
151
1603
709
101
465
296
55
295
51
232
54
104
47606
42185
January 2019
Beta
D/E Ratio
Effective
Tax rate
Unlevered beta
Cash/Firm value
Unlevered
beta corrected
for cash
HiLo Risk
Standard
deviation
of equity
Standard
deviation in
operating
income (last
10 years)
1.28
1.13
1.21
1.25
1.00
1.17
0.86
0.85
1.01
0.83
1.13
0.80
0.73
1.09
1.12
3.65%
6.77%
5.75%
44.56%
74.29%
10.58%
77.25%
30.00%
39.99%
39.09%
43.47%
82.95%
68.17%
55.84%
28.36%
9.51%
10.12%
8.25%
15.45%
15.21%
8.53%
13.92%
16.03%
17.30%
19.68%
16.40%
16.71%
15.41%
12.33%
12.22%
1.24
1.08
1.16
0.94
0.65
1.09
0.54
0.70
0.78
0.64
0.86
0.50
0.48
0.77
0.93
2.74%
2.96%
3.00%
11.69%
9.83%
6.94%
5.50%
4.02%
8.21%
4.03%
7.12%
4.51%
5.79%
13.24%
6.61%
1.28
1.11
1.20
1.07
0.72
1.17
0.58
0.73
0.85
0.67
0.92
0.52
0.51
0.89
0.99
0.5139
0.4661
0.4470
0.4168
0.3250
0.3929
0.3572
0.4188
0.3470
0.1991
0.3307
0.1784
0.2954
0.3731
0.3845
41.35%
36.63%
39.59%
31.87%
25.12%
32.55%
28.13%
27.24%
28.15%
17.87%
28.26%
18.54%
32.55%
32.55%
33.24%
53.61%
27.09%
23.63%
40.72%
14.71%
14.99%
7.72%
11.05%
12.28%
20.70%
34.19%
15.74%
17.50%
13.12%
13.13%
2018
1.44
1.26
1.13
1.01
0.88
1.23
0.69
0.63
1
0.77
0.64
0.5
0.81
0.82
0.96
Global
2.375.00
7.77
1.11
14.319.8
3.5
10.3531611
Beta by Sector
Beta L
1.537300885
MV equity
MV debt
d/e
113
58
0.51
Unlevered beta corrected for cash – Over time
2019
2020
2021
Average
(2018-22)
0.91
1.06
0.59
0.75
0.8
1.09
0.38
0.47
0.8
0.68
0.61
0.42
0.81
0.92
0.72
0.95
0.96
1.04
1.23
1.01
1.35
0.92
0.66
1.38
1.19
1.06
1.11
1.3
1.36
0.88
1.24
0.98
0.59
0.13
0.66
0.6
0.96
1.05
0.65
0.7
0.85
1.11
0.4
0.46
0.8
0.71
0.69
0.44
0.83
0.88
0.79
0.9
0.95
0.98
1.27
0.98
1.35
0.96
0.69
1.4
1.2
1.02
1.15
1.3
1.38
0.81
1.17
1.01
0.6
0.15
0.65
0.52
1.16
1.53
1.27
0.7
1.57
1.38
2.03
1.67
0.9
0.54
0.74
0.42
1.04
0.64
1.13
1.04
1.08
1.15
1.84
0.77
0.64
1.04
1.32
0.82
1.13
0.65
1.12
1.59
0.64
0.75
0.47
0.96
0.73
0.3
0.97
0.43
1.04
1.16
0.82
0.77
1.07
1.25
0.78
0.75
0.81
0.66
0.73
0.45
0.92
0.87
0.84
0.99
1.09
1.06
1.31
0.97
1.18
1.00
0.85
1.20
1.12
0.92
1.12
1.33
1.20
0.85
1.00
0.98
0.68
0.19
0.75
0.56
0.66081871
0.33918129
January 2019
Global
Beta by Sector
2019
2020
2021
Average
(2018-22)
0.97
0.65
1.13
0.95
1.23
0.74
0.56
0.72
0.94
1.12
0.58
0.94
0.52
0.57
1.12
1.24
0.86
1.11
1.16
0.75
1.07
0.61
0.77
0.49
1.15
0.9
0.34
0.66
0.68
0.54
0.83
0.9
0.64
0.64
0.76
0.62
0.77
0.51
1.24
0.8
0.7
1.59
1.73
0.67
0.94
1.01
0.59
1.13
0.82
1.23
0.75
0.5
0.68
0.96
1.05
0.54
0.98
0.5
0.55
1.16
1.09
0.94
1.14
1.14
0.83
1.06
0.61
0.74
0.51
1
0.85
0.35
0.64
0.64
0.49
0.84
0.92
0.67
0.66
0.9
0.6
0.86
0.49
1.23
0.75
0.72
1.53
1.82
0.71
0.9
0.9
0.75
0.49
0.8
1.24
0.91
0.73
0.81
0.74
1.32
1.33
1.17
1.19
0.55
1.01
0.82
0.71
0.99
0.64
1.03
1.22
0.72
0.64
0.65
0.32
0.73
1.16
0.57
1.17
0.52
0.74
6.75
0.78
0.39
0.71
0.5
1.34
0.56
1.62
0.64
1.21
1.16
2.58
1.05
1.05
1.00
0.70
0.95
0.86
1.14
0.94
0.62
0.80
0.91
1.19
0.78
1.06
0.74
0.61
1.11
1.10
0.88
1.12
1.10
0.89
1.12
0.67
0.77
0.55
0.94
0.86
0.61
0.63
0.77
0.57
0.85
2.23
0.76
0.65
0.83
0.60
0.95
0.55
1.34
0.82
0.91
1.46
1.88
0.88
1.02
January 2019
Global
Beta by Sector
2019
2020
2021
Average
(2018-22)
1.25
1.06
1.18
0.89
0.69
1.28
0.66
0.77
0.8
0.91
0.57
0.38
0.65
0.79
0.92
1.18
1.22
1.25
0.82
0.61
1.27
0.59
0.87
0.79
0.83
0.65
0.41
0.69
0.79
0.92
1.16
0.52
1.2
0.74
0.73
1.2
0.96
0.94
0.77
1.52
0.71
NA
2.37
0.81
0.88
1.26
1.03
1.19
0.91
0.73
1.23
0.70
0.79
0.84
0.94
0.70
0.45
1.01
0.82
0.93
January 2019
Effective
Marginal

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