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Valuation Handbook: U.S. Guide to Cost of Capital 1999, Essential Edition

ISBN: 978-1-119-39877-6
96 pages
February 2017
Valuation Handbook: U.S. Guide to Cost of Capital 1999, Essential Edition (1119398770) cover image


This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows practitioners to perform income approaches to valuation without debating over the correct foundational risk rates. Also included are real-world examples and useful graphs that show the analyses. This resource provides defensible cost of capital data of use in determining equity risk and size premia.
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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 -(Available in 2000 and later years U.S. Essentials Editions) 25

Data Exhibit 4: Industry Risk Premia Company List -(Available in 2003 and later years U.S. Essentials Editions) 27

Data Exhibit 5: CRSP Deciles Size Premia Study: Key Variables 29

Data Exhibit 6: Long-Horizon Equity Risk Premia “Over Time” 32

Data Exhibit 7: Mid-Cap Size Premia “Over Time” 35

Data Exhibit 8: Low-Cap Size Premia “Over Time” 38

Data Exhibit 9: Micro-Cap Size Premia “Over Time” 41

Data Exhibit 10: CRSP Portfolios of the NYSE (largest and smallest company by size group) 44

Data Exhibit 11: Long-term U.S. Government Bond Yields (in percent) 47

Risk Premium Report Study Data Exhibits 49

Data Exhibit 12: Exhibits A-1 through A-8, Premia Over the Risk-Free Rate (RPm+s) 51

Data Exhibit 13: Exhibits B-1 through B-8, Premia Over CAPM (RPs) 60

Data Exhibit 14: Exhibits C-1 through C-8, Comparative Risk Statistics 69

Data Exhibit 15: Size Characteristics of Portfolio 25 in Data Exhibits A, B, and C, by Percentile -(Available in 2009 and later years U.S. Essentials Editions) 78

Data Exhibit 16: Exhibits D-1 through D-3 79

Data Exhibit 17: Exhibits H-A, H-B, H-C -(Available in 2010 and later years U.S. Essentials Editions; in the 1999–2009 Risk Premium Report, high-financial-risk company statistics were reported as a single line within each of the respective size exhibits) 83

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