To estimate pure play betas by business, to use in estimating a bottom up

End Game beta for a project or a company. 

Variable Explanation
Number of firms Number of firms in the indusry grouping.
Beta 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.

D/E Ratio 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 Effective tax rate in the most recxent 12

months.
Unlevered Beta Beta/ (1+ (1-tax rate) (D/E)). You can use
either a marginal or effective tax rate as
your option. 

Cash/Firm Value Cash & Marketable Securities/ (Market

Value of Equity + Total Debt, including
lease debt. Aggregated across companies
first ans then computed.

Unlevered Beta corrected Unlevered Beta/ (1- Cash/Firm Vaue).

for cash Cash has a beta of zero. With this
calculation, I remove its effect to get a
pure play beta.

HiLo Risk Simple average of (High Price for year -

Low Price/ (High Price + Low Price). It is a
non-parametric and simple measure of
price risk.

Standard deviation Simple average across firms of each firm's

(equity) standard deviation in stock prices in the
prior 2 years, using weekly returns.
Standard deviation Simple average across firms of each firm's
(operating income) 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)
by business, to use in estimating a bottom up
any. 

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.)
Date updated: 5-Jan-20 YouTube Video explaining estimation choices and process.
Created by: Aswath Damodaran, adamodar@stern.nyu.edu
What is this data? Beta, Unlevered beta and other risk measures Emerging Markets
Home Page: http://www.damodaran.com
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in each industry: http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions: http://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 26.16%
Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Advertising 103 1.50 14.34% 15.28% 1.35 7.61% 1.46 0.4044
Aerospace/Defense 89 1.18 24.92% 12.54% 0.99 9.71% 1.10 0.2971
Air Transport 86 1.11 133.69% 14.03% 0.56 5.26% 0.59 0.2742
Apparel 907 0.75 39.86% 14.37% 0.58 8.87% 0.64 0.3509
Auto & Truck 83 1.38 57.42% 12.25% 0.97 14.08% 1.13 0.3352
Auto Parts 459 1.20 27.79% 15.65% 0.99 10.57% 1.11 0.3232
Bank (Money Center) 449 0.66 139.23% 21.19% 0.32 24.29% 0.43 0.2049
Banks (Regional) 95 0.73 362.68% 18.18% 0.20 24.88% 0.26 0.2378
Beverage (Alcoholic) 120 1.02 3.79% 19.75% 0.99 6.29% 1.06 0.3003
Beverage (Soft) 31 0.39 19.61% 16.38% 0.34 5.95% 0.36 0.2529
Broadcasting 63 0.78 29.77% 14.98% 0.64 8.47% 0.70 0.3556
Brokerage & Investment Banking 392 0.99 134.33% 14.26% 0.50 7.98% 0.54 0.3386
Building Materials 223 0.92 34.24% 17.30% 0.73 7.82% 0.79 0.3049
Business & Consumer Services 254 0.96 18.14% 14.55% 0.85 9.72% 0.94 0.3471
Cable TV 33 1.26 28.59% 11.87% 1.04 13.57% 1.21 0.3793
Chemical (Basic) 612 1.05 33.44% 16.57% 0.84 8.80% 0.92 0.2925
Chemical (Diversified) 37 0.86 32.14% 16.24% 0.70 5.15% 0.73 0.3168
Chemical (Specialty) 521 1.07 31.40% 16.57% 0.87 6.72% 0.93 0.3147
Coal & Related Energy 105 1.58 53.52% 18.17% 1.13 18.86% 1.39 0.3469
Computer Services 442 1.08 12.96% 13.95% 0.98 5.45% 1.04 0.3302
Computers/Peripherals 209 1.39 18.08% 13.44% 1.22 12.63% 1.40 0.3189
Construction Supplies 515 1.11 46.04% 14.46% 0.83 14.21% 0.97 0.3091
Diversified 212 0.79 155.34% 15.66% 0.37 10.56% 0.41 0.2473
Drugs (Biotechnology) 206 1.48 4.62% 6.16% 1.43 4.51% 1.50 0.3942
Drugs (Pharmaceutical) 638 1.16 13.92% 16.06% 1.05 6.79% 1.13 0.3251
Education 121 1.19 17.92% 12.19% 1.05 7.40% 1.14 0.3513
Electrical Equipment 576 1.25 38.97% 13.62% 0.97 10.56% 1.08 0.3206
Electronics (Consumer & Office) 88 1.56 58.95% 10.79% 1.09 16.62% 1.31 0.3632
Electronics (General) 846 1.49 20.02% 13.40% 1.29 12.05% 1.47 0.3260
Engineering/Construction 829 1.11 131.66% 16.03% 0.56 22.13% 0.72 0.3407
Entertainment 303 1.30 17.81% 10.67% 1.15 8.88% 1.26 0.3922
Environmental & Waste Services 128 1.37 53.38% 15.89% 0.99 10.68% 1.10 0.3661
Farming/Agriculture 276 0.81 48.86% 12.71% 0.60 6.52% 0.64 0.3200
Financial Svcs. (Non-bank & Insurance) 589 0.71 169.55% 15.90% 0.32 8.34% 0.34 0.3210
Food Processing 858 0.77 26.83% 15.62% 0.64 5.89% 0.69 0.3120
Food Wholesalers 81 0.80 60.35% 13.24% 0.55 9.00% 0.61 0.3214
Furn/Home Furnishings 225 1.02 18.43% 16.37% 0.90 15.90% 1.07 0.3017
Green & Renewable Energy 108 0.89 76.51% 11.68% 0.57 3.54% 0.59 0.3071
 Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Healthcare Products 224 1.41 6.84% 11.18% 1.35 5.47% 1.42 0.3388
Healthcare Support Services 152 1.00 33.87% 16.11% 0.80 10.50% 0.90 0.3201
Heathcare Information and Technology 88 1.63 2.59% 9.73% 1.60 3.47% 1.65 0.4107
Homebuilding 35 0.70 41.47% 16.16% 0.53 6.40% 0.57 0.3607
Hospitals/Healthcare Facilities 110 0.66 26.72% 17.79% 0.56 5.04% 0.58 0.2586
Hotel/Gaming 400 0.82 46.37% 14.45% 0.61 9.42% 0.67 0.2895
Household Products 266 1.06 8.16% 15.35% 1.00 4.58% 1.04 0.3408
Information Services 75 1.12 15.62% 17.02% 1.00 8.70% 1.10 0.3680
Insurance (General) 141 0.49 30.39% 13.47% 0.40 13.32% 0.47 0.2066
Insurance (Life) 77 0.89 50.87% 14.28% 0.64 11.32% 0.73 0.2352
Insurance (Prop/Cas.) 141 0.47 32.82% 16.64% 0.38 11.48% 0.43 0.2465
Investments & Asset Management 356 0.66 392.73% 8.49% 0.17 2.02% 0.17 0.2978
Machinery 741 1.25 25.73% 15.45% 1.05 8.47% 1.15 0.3109
Metals & Mining 294 1.26 58.64% 12.80% 0.88 9.68% 0.98 0.3356
Office Equipment & Services 64 0.85 16.45% 13.60% 0.76 10.17% 0.84 0.3347
Oil/Gas (Integrated) 25 1.20 17.40% 23.86% 1.06 4.17% 1.11 0.2310
Oil/Gas (Production and Exploration) 121 1.42 42.00% 11.26% 1.08 5.28% 1.14 0.3986
Oil/Gas Distribution 95 1.35 84.60% 11.40% 0.83 6.77% 0.89 0.2956
Oilfield Svcs/Equip. 233 1.29 53.68% 12.32% 0.93 5.77% 0.98 0.3495
Packaging & Container 283 0.75 34.51% 17.14% 0.60 7.85% 0.65 0.3380
Paper/Forest Products 190 0.96 89.31% 13.07% 0.58 8.95% 0.64 0.3370
Power 368 0.88 104.64% 17.69% 0.49 5.45% 0.52 0.2618
Precious Metals 84 1.09 26.53% 12.55% 0.92 5.40% 0.97 0.4329
Publishing & Newspapers 167 1.03 16.81% 12.49% 0.92 17.78% 1.12 0.3151
R.E.I.T. 213 0.40 46.93% 4.39% 0.30 2.57% 0.31 0.1509
Real Estate (Development) 728 1.10 152.97% 18.73% 0.52 20.36% 0.65 0.2994
Real Estate (General/Diversified) 245 1.07 83.54% 13.05% 0.66 10.59% 0.74 0.2695
Real Estate (Operations & Services) 319 0.79 56.24% 14.97% 0.56 5.73% 0.59 0.2895
Recreation 129 1.12 51.48% 12.22% 0.81 12.01% 0.92 0.3378
Reinsurance 28 0.95 21.12% 12.10% 0.83 14.03% 0.96 0.2734
Restaurant/Dining 130 1.02 30.10% 15.02% 0.84 5.18% 0.88 0.3536
Retail (Automotive) 98 1.00 71.11% 17.58% 0.65 9.41% 0.72 0.3320
Retail (Building Supply) 26 1.45 26.43% 13.81% 1.21 3.46% 1.26 0.3346
Retail (Distributors) 594 0.89 93.59% 14.38% 0.52 12.85% 0.60 0.3632
Retail (General) 133 1.21 58.31% 22.95% 0.84 7.21% 0.91 0.2559
Retail (Grocery and Food) 70 0.84 50.03% 20.65% 0.61 5.12% 0.65 0.2675
Retail (Online) 72 1.48 5.98% 13.13% 1.42 4.83% 1.49 0.3909
Retail (Special Lines) 172 1.05 52.13% 16.47% 0.76 8.73% 0.83 0.3204
Rubber& Tires 70 0.87 50.75% 16.10% 0.63 9.45% 0.70 0.2876
Semiconductor 411 1.58 10.85% 10.23% 1.47 7.23% 1.58 0.3322
Semiconductor Equip 195 1.94 22.89% 14.24% 1.66 8.68% 1.82 0.3472
Shipbuilding & Marine 233 1.04 101.68% 12.42% 0.60 10.56% 0.67 0.2817
Shoe 56 0.84 20.08% 15.96% 0.73 5.30% 0.77 0.3477
Software (Entertainment) 49 1.39 7.34% 11.60% 1.31 5.11% 1.38 0.4794
Software (Internet) 31 1.25 16.74% 12.66% 1.11 5.86% 1.18 0.3348
Software (System & Application) 372 1.54 4.26% 10.32% 1.49 6.21% 1.59 0.3998
Steel 508 1.05 70.74% 13.97% 0.69 10.22% 0.77 0.3260
 Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Telecom (Wireless) 58 0.89 53.45% 15.95% 0.64 2.89% 0.66 0.2748
Telecom. Equipment 287 1.48 14.93% 9.85% 1.33 8.99% 1.47 0.3509
Telecom. Services 132 0.83 46.62% 15.45% 0.62 4.54% 0.64 0.3286
Tobacco 29 0.75 1.78% 21.31% 0.74 3.87% 0.77 0.2906
Transportation 183 1.12 55.00% 17.75% 0.79 9.15% 0.87 0.2988
Transportation (Railroads) 14 1.27 22.71% 20.27% 1.09 4.55% 1.14 0.1934
Trucking 100 0.86 55.81% 17.81% 0.61 6.45% 0.65 0.2792
Utility (General) 9 1.30 308.55% 18.87% 0.40 8.67% 0.44 0.2482
Utility (Water) 66 1.10 64.34% 20.09% 0.74 7.72% 0.81 0.2608
Total Market 22402 1.06 64.13% 14.63% 0.72 12.23% 0.82 0.3187
Total Market (without financials) 20162 1.10 44.35% 14.55% 0.83 9.02% 0.91 0.3231
Standard deviation of equity Standard deviation in operating income (last 10 years)
43.41% 45.21%
33.50% 20.91%
28.73% 39.97%
35.89% 16.30%
32.33% 19.30%
33.69% 22.05%
21.09% 55.71%
24.70% -454.14%
28.14% 36.55%
23.72% 28.66%
32.57% 22.40%
35.98% 49.16%
30.75% 19.94%
42.58% 41.72%
34.75% 57.01%
30.48% 26.51%
27.46% 20.58%
33.29% 27.09%
37.97% 36.65%
36.91% 26.49%
34.23% 43.99%
34.94% 24.66%
24.64% 33.37%
41.10% 25.37%
34.70% 33.69%
39.56% 55.91%
34.53% 24.01%
36.44% 45.56%
36.42% 46.95%
38.19% 36.01%
41.42% 54.12%
39.37% 66.67%
35.06% 16.34%
35.10% 24.48%
32.38% 20.33%
38.52% 24.59%
32.71% 40.65%
32.41% 40.39%
Standard deviation of equity Standard deviation in operating income (last 10 years)
38.35% 49.53%
34.21% 50.78%
42.83% 100.51%
31.22% 88.20%
26.33% 18.64%
31.68% 26.12%
35.10% 24.60%
36.36% 15.64%
26.53% 30.05%
26.69% 42.46%
26.49% 29.91%
34.47% 34.44%
34.24% 28.72%
36.63% 35.43%
39.97% 16.57%
27.90% 54.41%
45.62% 39.94%
32.49% 22.63%
40.60% 39.44%
35.78% 15.93%
35.47% 40.34%
27.53% 20.20%
48.21% 40.29%
36.73% 14.89%
14.42% 35.86%
32.38% 55.29%
28.18% 26.17%
32.36% 20.95%
35.80% 35.75%
26.06% 45.24%
37.38% 36.97%
34.24% 28.95%
35.43% 40.11%
37.76% 22.12%
26.10% 13.97%
30.71% 18.70%
41.78% 191.44%
34.55% 20.52%
27.66% 32.30%
36.60% 59.71%
37.39% 63.15%
32.65% 40.03%
34.49% 12.89%
50.91% 72.49%
34.75% 112.85%
42.29% 37.32%
34.35% 47.79%
Standard deviation of equity Standard deviation in operating income (last 10 years)
29.04% 18.81%
38.78% 32.26%
34.15% 3.70%
28.14% 9.97%
32.12% 22.07%
20.84% 17.74%
31.57% 23.17%
23.62% 23.37%
34.28% 19.92%
34.28% 25.49%
34.69% 25.33%
Effective
Marginal