About the Book
The Valuation Handbook – U.S. Guide to Cost of Capital, 1999 Essentials Edition includes two sets of valuation data:
Data previously published in the 1999 Duff & Phelps Risk Premium Report
Data previously published in the Morningstar/Ibbotson 1999 Stocks, Bonds, Bills, and Inflation (SBBI) Valuation Yearbook
The Valuation Handbook – 1999 U.S. Essentials Edition includes data through December 31, 1998, and is intended to be used for 1999 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.
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
About the Author :
Roger J. Grabowski, Managing Director of Duff & Phelps LLC, is a major speaker at conferences and has testified in court as an expert witness on the value of closely held businesses and business interests, matters of solvency, valuation and amortization of intangible assets and other valuation issues. He testified in the Northern Trust case, the first U.S. Tax Court decision that adopted the discounted cash flow method to value the stock of a closely-held business with the discount rate based on the capital asset pricing model. Roger authors the annual Duff & Phelps' Risk Premium Report.
James P. Harrington, Director in the Office of Professional Practice at Duff & Phelps, is an accomplished financial writer and analyst. He provides technical support on client engagements involving cost of capital and business valuation matters, and leads efforts for development of Duff & Phelps' studies, surveys, online content and tools, and internal models. He is also the co-developer of the online Duff & Phelps Risk Premium Calculator, which is based on the data and methodology of the Duff & Phelps Risk Premium Report. Prior to joining Duff & Phelps, Harrington was the Director of Valuation Research in Morningstar's Financial Communications Business, leading the group that produces the widely used and cited Ibbotson SBBI Valuation Yearbook and Ibbotson SBBI Classic Yearbook, the Ibbotson Cost of Capital Yearbook, the Ibbotson Beta Book, and various international and domestic reports.
Carla Nunes, Director in the Office of Professional Practice of Duff & Phelps LLC, provides firmwide technical guidance on a variety of valuation, financial and tax reporting issues. She has directed multiple valuation assignments for a wide range of industries, including pharmaceutical, biotechnology, healthcare, vitamin retail, specialty chemicals, industrial manufacturing, and gaming and hospitality.
