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Valuation Handbook - U.S. Guide to Cost of Capital, 2012 U.S. Essentials Edition

ISBN: 978-1-119-39837-0
256 pages
April 2017
Valuation Handbook - U.S. Guide to Cost of Capital, 2012 U.S. Essentials Edition (1119398371) cover image

Description

The Valuation Handbook – U.S. Guide to Cost of Capital, 2012 Essentials Edition includes two sets of valuation data:
  • Data previously published in the 2012 Duff & Phelps Risk Premium Report
  • Data previously published in the Morningstar/Ibbotson 2012 Stocks, Bonds, Bills, and Inflation (SBBI) Valuation Yearbook
The Valuation Handbook – 2012 U.S. Essentials Edition includes data through December 31, 2011, and is intended to be used for 2012 valuation dates.

The Valuation Handbook – U.S. Guide to Cost of Capital, Essentials Editions are designed to function as historical archives of the two sets of valuation data previously published annually in:
  • The Morningstar/Ibbotson Stocks, Bonds, Bills, and Inflation (SBBI) Valuation Yearbook from 1999 through 2013
  • The Duff & Phelps Risk Premium Report from 1999 through 2013
  • The Duff & Phelps Valuation Handbook – U.S. Guide to Cost of Capital from 2014
The Valuation Handbook – U.S. Essentials Editions are ideal for valuation analysts needing "historical" valuation data for use in:
  • The preparation of carve-out historical financial statements, in cases where historical goodwill impairment testing is necessary
  • Valuing legal entities as of vintage date for tax litigation related to a prior corporate restructuring
  • Tax litigation related to historical transfer pricing policies, etc.
The Valuation Handbook – U.S. Essentials Editions are also designed to serve the needs of:
  • Corporate finance officers for pricing or evaluating mergers and acquisitions, raising private or public equity, property taxation, and stakeholder disputes
  • Corporate officers for the evaluation of investments for capital budgeting decisions
  • Investment bankers for pricing public offerings, mergers and acquisitions, and private equity financing
  • CPAs who deal with either valuation for financial reporting or client valuations issues
  • Judges and attorneys who deal with valuation issues in mergers and acquisitions, shareholder and partner disputes, damage cases, solvency cases, bankruptcy reorganizations, property taxes, rate setting, transfer pricing, and financial reporting
For more information about Duff & Phelps valuation data resources published by Wiley, please visit www.wiley.com/go/valuationhandbooks.
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Table of Contents

Introduction 8

CRSP Deciles Size Premia Study Data Exhibits 19

Data Exhibit 1: Summary Statistics of Annual Returns 20

Data Exhibit 2: Sum Beta Size Premia 23

Data Exhibit 3: Industry Risk Premia 25

Data Exhibit 4: Industry Risk Premia Company List 37

Data Exhibit 5: CRSP Deciles Size Premia Study: Key Variables 190

Data Exhibit 6: Long-Horizon Equity Risk Premia “Over Time” 193

Data Exhibit 7: Mid-Cap Size Premia “Over Time” 196

Data Exhibit 8: Low-Cap Size Premia “Over Time” 199

Data Exhibit 9: Micro-Cap Size Premia “Over Time” 202

Data Exhibit 10: CRSP Portfolios of the NYSE/AMEX/NASDAQ (largest and smallest company by size group) 205

Data Exhibit 11: Long-term U.S. Government Bond Yields (in percent) 208

Risk Premium Report Study Data Exhibits 210

Data Exhibit 12: Exhibits A-1 through A-8, Premia Over the Risk-Free Rate (RPm+s) 212

Data Exhibit 13: Exhibits B-1 through B-8, Premia Over CAPM (RPs) 221

Data Exhibit 14: Exhibits C-1 through C-8, Comparative Risk Statistics 230

Data Exhibit 15: Size Characteristics of Portfolio 25 in Data Exhibits A, B, and C, by Percentile 239

Data Exhibit 16: Exhibits D-1 through D-3 241

Data Exhibit 17: Exhibits H-A, H-B, H-C 245

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