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-22 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: 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 26.37%
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 125 1.27 8.74% 12.15% 1.19 8.52% 1.30 0.4280
Aerospace/Defense 117 1.22 13.49% 10.89% 1.11 9.89% 1.24 0.3261
Air Transport 75 1.61 120.44% 5.49% 0.85 7.80% 0.92 0.2769
Apparel 934 0.91 20.74% 13.52% 0.79 7.71% 0.85 0.4211
Auto & Truck 80 1.40 37.99% 11.42% 1.10 13.38% 1.27 0.2993
Auto Parts 510 1.55 18.68% 15.28% 1.37 9.59% 1.51 0.3496
Bank (Money Center) 469 0.98 176.11% 20.88% 0.43 24.31% 0.56 0.2346
Banks (Regional) 100 0.82 419.96% 16.50% 0.20 12.82% 0.23 0.2753
Beverage (Alcoholic) 127 1.07 2.00% 18.56% 1.05 4.32% 1.10 0.3296
Beverage (Soft) 37 0.69 4.77% 15.26% 0.67 4.16% 0.70 0.2778
Broadcasting 62 1.12 19.20% 12.84% 0.98 7.94% 1.06 0.3929
Brokerage & Investment Banking 436 0.87 174.65% 14.54% 0.38 9.64% 0.42 0.4113
Building Materials 244 1.17 18.34% 14.38% 1.03 7.03% 1.11 0.3608
Business & Consumer Services 296 0.89 12.61% 12.92% 0.81 9.35% 0.89 0.4148
Cable TV 33 1.13 32.41% 11.92% 0.92 12.43% 1.05 0.2874
Chemical (Basic) 674 1.12 24.57% 15.84% 0.95 7.82% 1.03 0.3766
Chemical (Diversified) 37 1.42 21.91% 18.93% 1.22 4.77% 1.28 0.3696
Chemical (Specialty) 599 1.12 13.14% 15.85% 1.02 5.52% 1.08 0.3796
Coal & Related Energy 93 1.09 44.55% 14.73% 0.82 22.61% 1.06 0.4604
Computer Services 499 1.06 6.77% 13.57% 1.01 4.10% 1.05 0.3883
Computers/Peripherals 213 1.43 14.51% 12.71% 1.29 11.22% 1.45 0.3361
Construction Supplies 544 1.15 37.93% 14.25% 0.90 13.53% 1.04 0.3375
Diversified 211 1.03 146.18% 14.56% 0.49 11.59% 0.56 0.2930
Drugs (Biotechnology) 278 1.44 3.30% 5.82% 1.41 6.17% 1.50 0.4030
Drugs (Pharmaceutical) 680 1.06 9.82% 14.59% 0.99 7.46% 1.07 0.3359
Education 144 1.13 35.72% 10.97% 0.89 12.03% 1.01 0.3924
Electrical Equipment 658 1.01 11.02% 13.02% 0.93 7.18% 1.00 0.3767
Electronics (Consumer & Office) 85 1.32 52.93% 12.58% 0.95 14.64% 1.11 0.3564
Electronics (General) 937 1.35 15.42% 12.34% 1.21 11.10% 1.36 0.3457
Engineering/Construction 876 1.16 122.96% 13.18% 0.61 19.98% 0.76 0.3815
Entertainment 320 1.20 13.05% 8.67% 1.09 8.62% 1.19 0.4336
Environmental & Waste Services 168 0.91 55.41% 13.56% 0.64 8.30% 0.70 0.3521
Farming/Agriculture 282 0.99 46.83% 13.30% 0.74 6.72% 0.79 0.3569
Financial Svcs. (Non-bank & Insurance) 636 0.82 134.57% 15.29% 0.41 8.84% 0.45 0.3842
Food Processing 925 0.93 25.20% 15.02% 0.78 7.51% 0.85 0.3322
Food Wholesalers 89 0.80 63.38% 11.91% 0.54 10.68% 0.61 0.3854
Furn/Home Furnishings 250 1.16 15.23% 15.23% 1.05 13.29% 1.21 0.3559
Green & Renewable Energy 122 0.92 50.62% 10.08% 0.67 3.65% 0.70 0.3339
Healthcare Products 306 1.18 3.25% 10.31% 1.15 7.82% 1.25 0.3925
 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 Support Services 178 0.95 33.33% 15.43% 0.76 11.16% 0.86 0.3517
Heathcare Information and Technology 107 1.47 2.23% 9.55% 1.45 4.00% 1.51 0.3952
Homebuilding 40 1.89 51.17% 12.49% 1.37 9.96% 1.52 0.3931
Hospitals/Healthcare Facilities 131 0.88 18.03% 16.82% 0.78 3.99% 0.81 0.3139
Hotel/Gaming 418 1.04 69.13% 4.46% 0.69 10.57% 0.77 0.3372
Household Products 292 1.12 7.16% 13.34% 1.06 5.21% 1.12 0.3434
Information Services 93 1.40 8.94% 17.00% 1.32 6.75% 1.41 0.3991
Insurance (General) 141 0.69 35.64% 13.05% 0.55 22.15% 0.70 0.2720
Insurance (Life) 82 1.00 80.18% 15.53% 0.63 18.36% 0.77 0.2808
Insurance (Prop/Cas.) 149 0.90 31.44% 15.69% 0.73 9.94% 0.81 0.3045
Investments & Asset Management 445 0.79 166.25% 7.29% 0.35 3.25% 0.37 0.3260
Machinery 825 1.09 12.45% 13.83% 1.00 7.50% 1.08 0.3642
Metals & Mining 325 1.31 29.91% 13.92% 1.08 9.38% 1.19 0.4148
Office Equipment & Services 72 1.06 9.49% 10.01% 0.99 8.42% 1.09 0.3903
Oil/Gas (Integrated) 23 1.11 18.46% 22.35% 0.97 5.97% 1.04 0.2913
Oil/Gas (Production and Exploration) 114 1.87 49.82% 13.70% 1.37 8.98% 1.50 0.4083
Oil/Gas Distribution 105 1.21 81.49% 13.60% 0.76 8.81% 0.83 0.3015
Oilfield Svcs/Equip. 231 1.31 45.85% 13.11% 0.98 6.38% 1.05 0.3487
Packaging & Container 301 0.96 18.24% 16.09% 0.85 5.57% 0.90 0.3534
Paper/Forest Products 187 1.17 65.83% 12.93% 0.79 8.98% 0.86 0.3641
Power 372 0.88 95.85% 16.45% 0.52 6.34% 0.55 0.3065
Precious Metals 81 1.34 21.44% 11.84% 1.15 8.90% 1.27 0.4043
Publishing & Newspapers 176 0.81 11.22% 10.75% 0.75 19.14% 0.93 0.3759
R.E.I.T. 261 0.91 50.75% 4.52% 0.66 2.39% 0.68 0.1616
Real Estate (Development) 776 1.01 212.20% 17.87% 0.40 23.42% 0.52 0.3466
Real Estate (General/Diversified) 222 0.96 89.32% 10.94% 0.58 10.89% 0.65 0.3136
Real Estate (Operations & Services) 369 0.96 56.04% 14.42% 0.68 10.40% 0.76 0.3329
Recreation 137 1.02 44.43% 11.79% 0.77 12.63% 0.88 0.3369
Reinsurance 31 1.56 39.01% 8.71% 1.21 20.72% 1.52 0.2933
Restaurant/Dining 143 1.08 23.69% 8.08% 0.92 6.60% 0.98 0.3599
Retail (Automotive) 102 0.95 47.92% 17.05% 0.70 8.93% 0.77 0.3433
Retail (Building Supply) 36 1.34 23.16% 15.88% 1.14 3.52% 1.19 0.3510
Retail (Distributors) 630 0.78 104.02% 13.59% 0.44 13.38% 0.51 0.4251
Retail (General) 130 1.05 62.62% 17.77% 0.72 9.18% 0.79 0.2661
Retail (Grocery and Food) 73 0.75 44.09% 16.61% 0.56 5.51% 0.60 0.2929
Retail (Online) 96 1.74 9.21% 10.18% 1.63 5.96% 1.73 0.5088
Retail (Special Lines) 186 1.17 28.63% 14.59% 0.97 7.37% 1.04 0.3588
Rubber& Tires 73 1.27 32.76% 15.01% 1.02 8.29% 1.12 0.3154
Semiconductor 449 1.63 6.39% 10.75% 1.56 6.34% 1.66 0.4002
Semiconductor Equip 232 2.07 6.43% 12.62% 1.98 5.15% 2.08 0.3543
Shipbuilding & Marine 238 1.18 41.52% 11.94% 0.90 15.62% 1.07 0.3645
Shoe 60 1.11 13.08% 13.91% 1.01 6.98% 1.09 0.3859
Software (Entertainment) 58 1.44 8.24% 9.21% 1.35 4.92% 1.42 0.4995
Software (Internet) 40 1.13 15.22% 13.23% 1.01 6.55% 1.09 0.3828
Software (System & Application) 462 1.43 4.43% 9.02% 1.38 6.42% 1.48 0.4157
Steel 521 1.30 44.55% 16.09% 0.98 10.99% 1.10 0.4298
Telecom (Wireless) 61 1.03 41.96% 17.63% 0.79 11.56% 0.89 0.2702
Telecom. Equipment 290 1.22 12.62% 9.08% 1.12 10.18% 1.24 0.3570
 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. Services 140 0.91 33.30% 15.69% 0.73 7.40% 0.79 0.3142
Tobacco 29 0.80 0.79% 20.60% 0.80 5.06% 0.84 0.3276
Transportation 213 1.08 52.37% 16.05% 0.78 10.10% 0.86 0.3572
Transportation (Railroads) 16 0.97 31.66% 24.55% 0.79 10.71% 0.88 0.2126
Trucking 118 1.12 63.76% 12.64% 0.76 10.32% 0.85 0.3465
Utility (General) 12 0.79 84.54% 24.29% 0.48 6.26% 0.52 0.1705
Utility (Water) 72 0.72 88.42% 16.37% 0.44 9.73% 0.48 0.2719
Total Market 24435 1.11 55.19% 13.47% 0.79 12.28% 0.90 0.3607
Total Market (without financials) 21977 1.13 33.31% 13.33% 0.91 9.40% 1.00 0.3641
 Average Beta over time
Average
Standard deviation of equity Standard deviation in operating income (last 10 years) 2018 2019 2020 2021 (2018-21)
37.70% 24.51% 1.52 1.39 1.46 1.30 1.39
30.86% 25.79% 1.04 1.14 1.10 1.24 1.15
27.25% 129.66% 0.59 0.57 0.59 0.92 0.72
31.45% 14.77% 0.82 0.72 0.64 0.85 0.78
27.15% 17.49% 1.42 1.28 1.13 1.27 1.27
30.59% 11.87% 1.30 1.16 1.11 1.51 1.32
20.12% 53.44% 0.52 0.42 0.43 0.56 0.50
21.57% NA 0.27 0.35 0.26 0.23 0.27
27.53% 25.29% 0.74 1.05 1.06 1.10 1.01
21.33% 44.66% 0.41 0.53 0.36 0.70 0.54
31.56% 23.68% 1.08 0.78 0.70 1.06 0.94
29.15% 89.36% 0.59 0.51 0.54 0.42 0.50
29.87% 25.82% 0.87 0.82 0.79 1.11 0.94
33.58% 28.10% 1.02 1.18 0.94 0.89 0.99
29.66% 43.18% 1.17 1.06 1.21 1.05 1.10
29.00% 21.03% 1.07 0.96 0.92 1.03 1.00
27.73% 20.69% 1.42 0.86 0.73 1.28 1.11
30.45% 22.24% 1.08 1.03 0.93 1.08 1.04
33.72% 33.76% 1.22 1.13 1.39 1.06 1.17
32.11% 24.73% 1.18 1.06 1.04 1.05 1.08
31.88% 33.67% 1.39 1.53 1.40 1.45 1.44
27.56% 33.98% 1.08 0.96 0.97 1.04 1.02
23.87% 26.13% 0.57 0.47 0.41 0.56 0.51
39.06% 50.16% 1.10 1.45 1.50 1.50 1.41
29.93% 23.51% 1.06 1.14 1.13 1.07 1.09
32.03% 45.72% 0.95 1.32 1.14 1.01 1.09
30.26% 30.35% 1.14 1.06 1.08 1.00 1.06
29.86% 35.98% 1.11 1.15 1.31 1.11 1.16
29.55% 41.12% 1.43 1.49 1.47 1.36 1.42
31.68% 32.28% 0.97 0.89 0.72 0.76 0.82
35.36% 45.31% 1.18 1.40 1.26 1.19 1.25
28.24% 55.24% 1.60 1.06 1.10 0.70 1.03
28.77% 22.88% 0.77 0.63 0.64 0.79 0.72
30.03% 39.55% 0.52 0.42 0.34 0.45 0.44
27.39% 30.27% 0.78 0.73 0.69 0.85 0.78
31.96% 23.35% 0.65 0.67 0.61 0.61 0.63
28.06% 35.81% 1.03 1.11 1.07 1.21 1.12
26.79% 38.92% 0.78 0.68 0.59 0.70 0.69
35.95% 111.43% 1.14 1.34 1.42 1.25 1.28
 Average
Standard deviation of equity Standard deviation in operating income (last 10 years) 2018 2019 2020 2021 (2018-21)
27.95% 44.50% 1.03 1.04 0.90 0.86 0.94
36.01% 102.78% 1.27 1.80 1.65 1.51 1.55
34.44% 77.26% 1.18 0.76 0.57 1.52 1.11
25.64% 19.57% 0.82 0.78 0.58 0.81 0.76
29.18% 73.41% 0.93 0.82 0.67 0.77 0.79
29.08% 20.20% 0.96 0.98 1.04 1.12 1.05
32.94% 21.71% 1.57 1.19 1.10 1.41 1.33
21.84% 25.18% 0.58 0.47 0.47 0.70 0.58
21.30% 46.41% 0.73 0.72 0.73 0.77 0.74
25.62% 20.95% 0.58 0.44 0.43 0.81 0.61
29.55% 43.25% 0.29 0.21 0.17 0.37 0.28
28.94% 26.21% 1.23 1.14 1.15 1.08 1.14
32.62% 27.85% 1.24 1.10 0.98 1.19 1.14
33.14% 25.84% 0.88 0.80 0.84 1.09 0.94
20.65% 48.83% 0.94 0.96 1.11 1.04 1.01
38.38% 40.24% 1.69 1.32 1.14 1.50 1.43
24.88% 26.04% 1.23 0.86 0.89 0.83 0.93
31.91% 38.25% 1.19 1.10 0.98 1.05 1.07
29.36% 20.03% 0.67 0.67 0.65 0.90 0.76
30.13% 37.80% 0.72 0.69 0.64 0.86 0.75
22.80% 17.45% 0.63 0.52 0.52 0.55 0.55
36.84% 48.65% 1.57 1.21 0.97 1.27 1.26
27.47% 10.37% 0.99 1.14 1.12 0.93 1.02
16.96% 40.01% 0.52 0.33 0.31 0.68 0.50
26.76% 47.79% 0.80 0.69 0.65 0.52 0.63
24.72% 17.90% 0.91 0.79 0.74 0.65 0.75
27.86% 16.57% 0.82 0.63 0.59 0.76 0.71
29.27% 32.02% 0.87 0.82 0.92 0.88 0.87
25.00% 48.27% 1.32 0.96 0.96 1.52 1.26
29.13% 46.00% 1.10 1.01 0.88 0.98 0.99
28.07% 26.43% 0.81 0.72 0.72 0.77 0.76
28.87% 19.12% 0.88 1.14 1.26 1.19 1.13
31.55% 26.83% 0.66 0.62 0.60 0.51 0.58
24.46% 12.10% 1.12 0.90 0.91 0.79 0.90
25.57% 11.42% 1.11 0.73 0.65 0.60 0.74
40.61% NA 1.46 1.46 1.49 1.73 1.58
29.08% 17.02% 1.05 1.00 0.83 1.04 0.99
26.09% 23.85% 0.75 0.70 0.70 1.12 0.88
33.64% 51.33% 1.48 1.73 1.58 1.66 1.62
33.55% 56.50% 1.25 1.66 1.82 2.08 1.78
29.67% 39.85% 0.96 0.69 0.67 1.07 0.89
30.27% 19.96% 1.09 0.91 0.77 1.09 0.99
37.46% 64.66% 1.58 1.78 1.38 1.42 1.52
32.13% 71.61% 1.59 0.85 1.18 1.09 1.16
35.13% 31.85% 1.50 1.46 1.59 1.48 1.50
31.19% 43.61% 0.97 0.89 0.77 1.10 0.97
22.17% 19.97% 1.01 0.76 0.66 0.89 0.84
30.69% 38.20% 1.39 1.45 1.47 1.24 1.36
 Average
Standard deviation of equity Standard deviation in operating income (last 10 years) 2018 2019 2020 2021 (2018-21)
27.27% 4.47% 0.78 0.81 0.64 0.79 0.76
24.98% 28.52% 0.32 0.83 0.77 0.84 0.72
28.94% 14.47% 1.10 0.87 0.87 0.86 0.91
21.25% 26.31% 1.40 1.30 1.14 0.88 1.12
30.93% 17.73% 0.79 0.72 0.65 0.85 0.77
18.41% 18.00% 0.48 0.41 0.44 0.52 0.47
29.55% 22.67% 1.12 0.82 0.81 0.48 0.74
29.55% 22.91% 0.90 0.84 0.82 0.90 0.87
29.88% 22.42% 1.00 0.93 0.91 1.00 0.97
Effective
Marginal