End Game

Variable
Number of firms

Average Unlevered Beta

Average Levered Beta

Average correlation with the market

Total Unlevered Beta

Total Levered Beta

To estimate risk in a company from the perspective of a completely undiversified investor (with all

Explanation
Number of firms in the indusry grouping.
Unlevered beta, corrected for cash, of companies in the business. See the
beta spreadsheet for details of calculation.
Levered beta, corrected for cash, of companies in the busines and using
the aggregate debt to equity ratio of companies in the group. See the
beta spreadsheet for details.

Correlation of stock with the market index, using two years of weekly
returns, averaged across stocks in the group.
Total Unlevered Beta = Unlevered Beta/ Correlation with the market.
Expands risk measure to include all risk in the firm, not just the market
risk.

Total Levered Beta = Levered Beta/ Correlation with the market. Expands
risk measure to include all risk in the firm, not just the market risk.
a completely undiversified investor (with all of his or her money invested just in one company)

Why?
Law of large numbers?
Income subject to taxation, allowing for all dedutions allowed by tax law, reported in income statement.

Accrual estimate of taxes payable

Cash taxes paid

Expands risk measure (beta), before considering debt, to include company-specific risk that would normally
be diversified away, be acuse investor is not diversified.

Expands risk measure (beta), after incorporating risk added by debt, to include company-specific risk that
would normally be diversified away, be acuse investor is not diversified.
Date updated: 5-Jan-23
Created by: Aswath Damodaran, adamodar@stern.nyu.edu
What is this data? Total Beta (beta for completely undiversified investor)
Home Page: http://www.damodaran.com
Data website: https://pages.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Companies in each industry: https://pages.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions: https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/varia

Industry Name Number of firms Average Unlevered Beta

Advertising 135 1.31
Aerospace/Defense 121 1.15
Air Transport 79 0.80
Apparel 919 0.81
Auto & Truck 78 1.20
Auto Parts 527 1.36
Bank (Money Center) 459 0.42
Banks (Regional) 91 0.19
Beverage (Alcoholic) 123 1.04
Beverage (Soft) 40 0.52
Broadcasting 60 1.05
Brokerage & Investment Banking 434 0.40
Building Materials 250 1.06
Business & Consumer Services 313 1.00
Cable TV 33 1.02
Chemical (Basic) 691 1.01
Chemical (Diversified) 34 1.05
Chemical (Specialty) 625 1.03
Coal & Related Energy 93 0.98
Computer Services 548 1.03
Computers/Peripherals 220 1.34
Construction Supplies 546 0.95
Diversified 204 0.54
Drugs (Biotechnology) 304 1.52
Drugs (Pharmaceutical) 701 0.94
Education 151 0.79
Electrical Equipment 694 1.00
Electronics (Consumer & Office) 81 0.97
Electronics (General) 976 1.31
Engineering/Construction 876 0.67
Entertainment 329 1.27
Environmental & Waste Services 183 0.79
Farming/Agriculture 296 0.63
Financial Svcs. (Non-bank & Insurance) 609 0.41
Food Processing 946 0.74
Food Wholesalers 98 0.51
Furn/Home Furnishings 254 1.17
Green & Renewable Energy 131 0.73
Healthcare Products 340 1.22
Healthcare Support Services 195 0.86
Heathcare Information and Technology 117 1.52
Homebuilding 42 0.66
Hospitals/Healthcare Facilities 139 0.61
Hotel/Gaming 412 0.65
Household Products 300 1.04
Information Services 90 1.60
Insurance (General) 137 0.52
Insurance (Life) 85 0.65
Insurance (Prop/Cas.) 152 0.62
Investments & Asset Management 483 0.28
Machinery 865 1.06
Metals & Mining 326 1.18
Office Equipment & Services 73 0.99
Oil/Gas (Integrated) 15 0.92
Oil/Gas (Production and Exploration) 107 1.29
Oil/Gas Distribution 105 0.73
Oilfield Svcs/Equip. 229 0.78
Packaging & Container 305 0.74
Paper/Forest Products 188 0.68
Power 317 0.44
Precious Metals 71 1.29
Publishing & Newspapers 171 1.11
R.E.I.T. 261 0.41
Real Estate (Development) 757 0.50
Real Estate (General/Diversified) 220 0.60
Real Estate (Operations & Services) 352 0.68
Recreation 139 0.88
Reinsurance 29 1.05
Restaurant/Dining 141 0.96
Retail (Automotive) 103 0.64
Retail (Building Supply) 36 0.73
Retail (Distributors) 642 0.51
Retail (General) 122 0.64
Retail (Grocery and Food) 75 0.62
Retail (Online) 98 1.86
Retail (Special Lines) 197 0.93
Rubber& Tires 71 0.97
Semiconductor 485 1.77
Semiconductor Equip 253 2.02
Shipbuilding & Marine 236 1.18
Shoe 58 0.89
Software (Entertainment) 57 1.81
Software (Internet) 42 1.08
Software (System & Application) 492 1.47
Steel 519 1.07
Telecom (Wireless) 59 0.67
Telecom. Equipment 293 1.28
Telecom. Services 138 0.63
Tobacco 31 0.60
Transportation 220 0.79
Transportation (Railroads) 17 0.96
Trucking 110 0.75
Utility (General) 13 0.56
Utility (Water) 71 0.41
Total Market 24853 0.81
Total Market (without financials) 22403 0.94
yu.edu
fied investor)

/New_Home_Page/data.html
/pc/datasets/indname.xls
/New_Home_Page/datafile/variable.htm

Average Levered Beta Average correlation with the market

1.25 18.70%
1.11 18.35%
1.22 20.29%
0.87 15.21%
1.28 20.85%
1.42 22.74%
0.80 18.64%
0.80 16.19%
1.00 19.05%
0.51 13.73%
1.11 18.83%
0.99 17.41%
1.15 17.38%
0.97 14.84%
1.11 18.95%
1.14 18.66%
1.16 17.86%
1.06 17.49%
0.86 13.31%
1.05 16.92%
1.28 20.95%
1.09 18.61%
0.89 17.48%
1.44 17.03%
0.94 15.88%
0.88 14.22%
1.00 16.74%
1.29 21.82%
1.31 21.09%
1.10 16.64%
1.28 18.18%
1.09 13.95%
0.82 13.57%
0.83 15.67%
0.85 15.48%
0.64 13.49%
1.08 18.81%
1.00 16.18%
1.13 16.90%
0.95 13.68%
1.48 19.31%
1.05 16.11%
0.66 11.91%
0.83 15.20%
1.03 17.39%
1.54 20.96%
0.54 12.64%
0.86 19.94%
0.69 14.78%
0.81 15.00%
1.05 17.57%
1.31 18.43%
0.97 16.04%
0.97 20.40%
1.42 16.54%
0.98 17.62%
1.02 15.36%
0.83 15.38%
1.00 16.78%
0.75 14.87%
1.41 18.69%
0.93 15.98%
0.60 16.31%
1.03 17.38%
0.95 16.96%
0.92 16.44%
1.05 17.33%
1.18 25.36%
1.03 15.45%
0.86 15.01%
0.85 15.09%
0.75 13.85%
0.89 16.30%
0.76 15.37%
1.88 19.99%
1.03 16.54%
1.18 21.31%
1.70 23.53%
1.95 28.93%
1.13 16.25%
0.95 17.04%
1.86 19.63%
1.14 18.82%
1.38 19.14%
1.30 17.91%
0.81 14.84%
1.25 20.72%
0.75 15.16%
0.57 13.31%
1.04 17.43%
1.04 22.68%
1.06 16.22%
0.68 11.73%
0.67 12.73%
1.05 17.35%
1.08 17.46%
Emerging Markets

Total Unlevered Beta Total Levered Beta

6.99 6.71
6.28 6.06
3.94 6.03
5.32 5.70
5.74 6.14
6.00 6.23
2.24 4.27
1.16 4.95
5.48 5.26
3.79 3.74
5.57 5.89
2.31 5.70
6.09 6.59
6.76 6.53
5.38 5.87
5.41 6.11
5.90 6.50
5.87 6.08
7.36 6.49
6.10 6.20
6.38 6.11
5.10 5.87
3.07 5.09
8.92 8.44
5.92 5.93
5.52 6.21
5.99 6.00
4.44 5.89
6.23 6.21
4.01 6.61
6.99 7.03
5.66 7.81
4.66 6.07
2.59 5.28
4.80 5.50
3.77 4.76
6.20 5.71
4.48 6.21
7.19 6.67
6.30 6.93
7.85 7.67
4.11 6.50
5.14 5.51
4.31 5.46
6.00 5.91
7.65 7.36
4.09 4.24
3.28 4.32
4.22 4.64
1.88 5.41
6.03 5.99
6.40 7.10
6.20 6.03
4.52 4.73
7.81 8.56
4.12 5.55
5.07 6.62
4.80 5.41
4.04 5.96
2.99 5.02
6.92 7.53
6.94 5.84
2.49 3.69
2.87 5.94
3.52 5.63
4.11 5.58
5.07 6.05
4.13 4.66
6.20 6.69
4.27 5.73
4.84 5.64
3.72 5.42
3.93 5.48
4.02 4.92
9.28 9.38
5.63 6.25
4.56 5.54
7.53 7.22
6.97 6.73
7.23 6.95
5.23 5.58
9.24 9.50
5.73 6.08
7.69 7.21
5.96 7.25
4.51 5.47
6.19 6.03
4.18 4.94
4.47 4.25
4.52 5.96
4.22 4.60
4.62 6.52
4.74 5.77
3.21 5.28
4.69 6.05
5.36 6.16