The data, with a couple of exceptions, gets updated once a year, at the start of the year. In computing the statistics, the data used will reflect the most updated numbers I can find for each company, which at the start of each year, will reflect trailing 12-month data through the third quarter of the prior year. While most of the statistics are ratios or percentages, if there are absolute values, they are in millions of US dollars.
Corporate Governance Datasets
Insider holdings and institutional holdings as a percent of outstanding stock, classified by industry.
Discount Rate Estimation
Implied Equity Risk Premiums: United States
These risk premiums are estimated based upon a simple 2-stage Augmented Dividend Discount model and reflect the risk premium which would justify the current level of the index, given the cash yield, expected growth in earnings and the level of the long term bond rate
Implied Equity Risk Premiums: Global
These are risk premium estimates for other markets based on the country ratings assigned by Moodys. From June 2012, I also report equity risk premiums based on CDS spreads, where they are available.
Discount Rate Estimation
Levered, Unlevered, and Pure Play Betas by Industry. Also includes other risk measures including operating earnings variability and price-based risk measures:
Discount Rate Estimation
Costs of equity, costs of debt, market debt ratios, and costs of capital by industry groupings:
Capital Budgeting Spreadsheet and Datasets on Return Measures
Capital Budgeting spreadsheet allows you to do a basic capital budgeting analysis for a project, and compute NPV, IRR and ROI.
Average excess returns (return on invested capital minus cost of capital, return on equity minus cost of equity), economic value added and equity economic value added by industry sector:
Capital Structure
Optimal Capital Structure spreadsheet
Debt Details: The following breaks down debt into lease debt and regular debt, short term and long term, and interest expense:
Debt Ratio Trade Off Variables by Industry: Market debt ratio, the effective rax 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: S&P bond ratings classes, with default spreads over the treasury bond rate and typical interest coverage ratios
Cross Sectional Regression of Debt Ratio:
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:
This lists the coefficients obtained when we regress sector market value changes (quarterly) against changes in long term interest rates, GNP growth and inflation.
