2015 Valuation Handbook - Guide to Cost of Capital

March 2015 Hardcover, PDF Update(s) (352 pages)

Carla Nunes, Duff & Phelps, James Harrington, Roger Grabowski

Duff & Phelps

The Duff & Phelps 2015 Valuation Handbook - Guide to Cost of Capital, authored by Duff & Phelps, replaces the discontinuedSBBI Valuation Edition and the Duff & Phelps Risk Premium Report. The Valuation Handbook includes both the ERP data available in the Duff & Phelps Risk Premium Report, and picks up where the previous SBBI Valuation Edition left off, with new features, tools, and analysis.

Now available with three quarterly dataset updates
 (delivered via PDF - additional fee)
The Industry Risk Premia Quarterly Updates subscription includes quarterly updates (data through March; data through June; data through September) to supplement the IRPs in the Valuation Handbook. The updates for approximately 250 U.S. industries include three industry risk premiums that are used in the “build-up” method of estimating cost of equity capital.

The Valuation Handbook includes all of the "key variables in estimating the cost of capital," including:

  • Yields
    • Long-term (20-year) U.S. Treasury Coupon Bond Yield
  • Equity Risk Premium
    • Long-horizon expected ""historical"" equity risk premium
    • Long-horizon expected ""supply side"" equity risk premium
  • Size Premium
    • CRSP Mid-Cap, Low-Cap, and Micro-Cap size premia
    • CRSP Deciles 1 through 10 size premia
    • Size premia for the breakdown of CRSP Decile 10 into 10a (and its subdeciles 10w and 10x) and 10b (and its subdeciles 10y and 10z)
  • Industry Risk Premium
    • Industry risk premia (IRPs) for use in the build-up method (previously found in Table 3-5 in theSBBI Valuation Yearbook).

The Valuation Handbook also includes all risk premia and size premia (for up to eight different measures of ""size"") previously published in the Duff & Phelps Risk Premium Report, including:

  • Size Study: Analyzes the relationship between equity returns and company size, using up to 8 measures of company size (market value of common equity, book value of common equity, 5-year average net income, market value of invested capital (MVIC), total assets, 5-year average EBITDA, sales, and number of employees).
  • Risk Study: Analyzes the relationship between equity returns and accounting-based fundamental risk measures
  • High-Financial-Risk Study: Analyzes the relationship between equity returns and high-financial-risk, as measured by the Altman z-Score
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